Research

Research Interests and Papers

Research in econometric theory sometimes displays a gap between theoretical and empirical analysis. My research applies econometric theory to problems faced by empirical researchers. I place great value on maintaining a tight connection between theory and practice, whether conducting a rigorous statistical analysis of an empirical problem or developing a practical solution to an important econometric problem. My research interest is in the area of non-stationary variables, unit roots, near unit roots and cointegration with applications to the fields of international finance and macroeconomics.

Published Papers

“An Analytical Evaluation of the power of tests for the absence of cointegration”, Journal of Econometrics, vol. 122, No. 2, October 2004, pp. 349-384.
Abstract | Working Paper | Paper

“Optimal Power for Testing Potential Cointegrating Vectors with known parameters for Nonstationarity” (with Graham Elliott and Michael Jansson), Journal of Business & Economic Statistics, Vol. 23, No. 1, January 2005, pp.34-48.
Abstract | Paper

“The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment” (with Ana Maria Herrera), Journal of Business & Economic Statistics, Vol. 23, No. 4 , October 2005, pp.462-472.
Code: Gauss .
Abstract | Paper

“Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure”, (with Barbara Rossi), Macroeconomic Dynamics, Vol. 9, No. 4, September 2005, pp. 478-488.
Code: Gauss .
Abstract | Paper

“On the Failure of PPP for Bilateral Exchange Rates After 1973”, (with Graham Elliott), Journal of Money, Credit, and Banking, Vol. 38, No. 6 , October 2006, pp.1405-1430.
Abstract | Paper

“Small sample confidence intervals for multivariate IRFs at long horizons”, (with Barbara Rossi), Journal of Applied Econometrics, Vol.21, No.8, December 2006, pp.1135-1155.
Code: Multivariate (Gauss), Appendix (Gauss).
Abstract | Paper | Additional Appendix

“Residuals Based Tests for the Null of No Cointegration: an Analytical Comparison”, Journal of Time Series Analysis, Vol.28, No.1, January 2007, pp.111-137.
Abstract | Paper

“Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?” (formely “Univariate Impulse Response Functions with a Possible Unit Root: A Monte Carlo comparison at Long Horizons.”) (with Barbara Rossi), Journal of Economic Dynamics and Control , Vol.31, No.7, July 2007, pp.2398-2412.
Code: Univariate (Matlab)
Abstract | Paper

“The Comovement in Inventories and in Sales: Higher and Higher” (with Ana Maria Herrera and Irina Murtazashvili) Economics Letters, Vol.99, No.1, April 2008, pp.155-158.
Abstract| Paper

“Oil Price Shocks, Systematic Monetary Policy and the “Great Moderation”” (with Ana Maria Herrera), Macroeconomic Dynamics, Vol.13, No.1, February 2009, pp.107-137.
Abstract | Paper

“Testing the null of no cointegration when covariates are known to have a unit root” (with Graham Elliott), Econometric Theory, Vol 25, No. 6, December 2009, pp. 1829-1850.
Abstract| Paper

“Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks” (with Nikolay Gospodinov and Alex Maynard), Journal of Business & Economic Statistics, Vol 29, No.4, 2011, pp. 455-467.

“Unit Roots, Cointegration and Pre-Testing in VAR Models” (with Ana Maria Herrera and Nikolay Gospodinov) forthcoming in Advances in Econometrics Volume 31 VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims

Working Papers and Work in Progress

“Near-Optimal Unit Root Test with Stationary Covariate with Better Finite Sample Size”
Abstract| Paper

“Higher Power Tests for no Cointegration

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