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Citations of
Lutz Kilian

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Ralf Martin & Ulrich J. Wagner & Laure B. de Preux, 2009. "The Impacts of the Climate Change Levy on business: Evidence from Microdata," CEP Discussion Papers dp0917, Centre for Economic Performance, LSE. [Downloadable!]

  2. Lutz Kilian & Clara Vega, 2008. "Do energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices," International Finance Discussion Papers 957, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:

    Cited by:

    1. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  3. Edelstein, Paul & Kilian, Lutz, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks," CEPR Discussion Papers 6507, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    2. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  4. Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers 6559, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Daron Acemoglu & Amy Finkelstein & Matthew J. Notowidigdo, 2009. "Income and Health Spending: Evidence from Oil Price Shocks," NBER Working Papers 14744, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    3. M. Ayhan Kose & Stijn Claessens & Marco Terrones, 2008. "What Happens During Recessions, Crunches, and Busts?," IMF Working Papers 08/274, International Monetary Fund. [Downloadable!]
      Other versions:
    4. G. Peersman & I. Van Robays, 2009. "Oil and the Euro Area Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/582, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    5. Chen, Natalie & Graham, Liam & Oswald, Andrew, 2008. "Oil Prices, Profits, and Recessions: An Inquiry Using Terrorism as an Instrumental Variable," CEPR Discussion Papers 6937, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. Lippi, Francesco & Nobili, Andrea, 2008. "Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions," CEPR Discussion Papers 6830, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    7. Rajeev Dhawan & Karsten Jeske & Pedro Silos, . "Productivity, Energy Prices and the Great Moderation: A New Link," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics. [Downloadable!] (restricted)
      Other versions:
    8. Alan S. Blinder & Jeremy B. Rudd, 2008. "The Supply-Shock Explanation of the Great Stagflation Revisited," NBER Working Papers 14563, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    10. Hicks, Bruce & Kilian, Lutz, 2009. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?," CEPR Discussion Papers 7265, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    11. Kilian, Lutz & Vigfusson, Robert J., 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers 7284, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    12. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN. [Downloadable!]
    13. Junhee Lee & Joonhyuk Song, 2009. "Nature of Oil Price Shocks and Monetary Policy," NBER Working Papers 15306, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. Deren Unalmis, Ibrahim Unalmis and Derya Filiz Unsal, 2008. "Oil Price Shocks, Macroeconomics Stability and Welfare in a Small Open Economy," Discussion Papers 08/13, Department of Economics, University of York. [Downloadable!]

  5. Davis, Lucas W & Kilian, Lutz, 2007. "The Allocative Cost of Price Ceilings: Lessons to be Learned from the US Residential Market for Natural Gas," CEPR Discussion Papers 6142, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Erzo F.P. Luttmer, 2007. "Does the Minimum Wage Cause Inefficient Rationing?," NBER Working Papers 13012, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  6. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Olivier J. Blanchard & Jordi Galí, 2007. "The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s?," NBER Chapters, in: International Dimensions of Monetary Policy National Bureau of Economic Research, Inc. [Downloadable!]
      Other versions:
    2. Olivier J. Blanchard & Jordi Gali, 2007. "The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s?," NBER Working Papers 13368, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    4. Edelstein, Paul & Kilian, Lutz, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks," CEPR Discussion Papers 6507, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Nicoletta Batini & Eugen Tereanu, 2009. "What Should Inflation Targeting Countries Do When Oil Prices Rise and Drop Fast?," IMF Working Papers 09/101, International Monetary Fund. [Downloadable!]
    7. Francesco Lippi & Andrea Nobili, 2009. "Oil and the macroeconomy: a quantitative structural analysis," Temi di discussione (Economic working papers) 704, Bank of Italy, Economic Research Department. [Downloadable!]

  7. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2007. "Oil Shocks and External Balances," CEPR Discussion Papers 6303, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Hicks, Bruce & Kilian, Lutz, 2009. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?," CEPR Discussion Papers 7265, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Martin Bodenstein & Christopher J. Erceg & Luca Guerrieri, 2007. "Oil shocks and external adjustment," International Finance Discussion Papers 897, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    3. Kilian, Lutz, 2008. "Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," CEPR Discussion Papers 6919, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Schubert, Stefan Franz, 2009. "Dynamic Effects of Oil Price Shocks and their Impact on the Current Account," MPRA Paper 16738, University Library of Munich, Germany. [Downloadable!]

  8. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. James D. Hamilton, 2008. "Understanding Crude Oil Prices," NBER Working Papers 14492, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2008. "An international perspective on oil price shocks and U.S. economic activity," Globalization and Monetary Policy Institute Working Paper 20, Federal Reserve Bank of Dallas. [Downloadable!]
    3. Elif C. Arbatli, 2008. "Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account," Working Papers 08-48, Bank of Canada. [Downloadable!]

  9. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers 6031, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]

  10. Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do actions speak louder than words? Household expectations of inflation based on micro consumption data," Discussion Paper Series 1: Economic Studies 2006,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Fabio Canova & Luca Gambetti, 2007. "Do expectations matter? The Great Moderation revisited," Economics Working Papers 1084, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2009. [Downloadable!]

  11. Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Pablo Pincheira & Álvaro García, 2007. "Oil Shocks and Inflation The Case of Chile and a Sample of Industrial Countries," Working Papers Central Bank of Chile 413, Central Bank of Chile. [Downloadable!]
      Other versions:
    3. Elisaveta Archanskaïa & Jerome Creel & Paul Hubert, 2009. "Why the nature of oil shocks matters," Documents de Travail de l'OFCE 2009-02, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
    4. Olivier J. Blanchard & Jordi Gali, 2007. "The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s?," NBER Working Papers 13368, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Melolinna, Marko, 2008. "Using financial markets information to identify oil supply shocks in a restricted VAR," Research Discussion Papers 9/2008, Bank of Finland. [Downloadable!]
    6. Rajeev Dhawan & Karsten Jeske & Pedro Silos, . "Productivity, Energy Prices and the Great Moderation: A New Link," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics. [Downloadable!] (restricted)
      Other versions:
    7. Alan S. Blinder & Jeremy B. Rudd, 2008. "The Supply-Shock Explanation of the Great Stagflation Revisited," NBER Working Papers 14563, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Olivier J. Blanchard & Jordi Galí, 2007. "The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s?," Economics Working Papers 1045, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008. [Downloadable!]
      Other versions:
    9. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    10. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2008. "An international perspective on oil price shocks and U.S. economic activity," Globalization and Monetary Policy Institute Working Paper 20, Federal Reserve Bank of Dallas. [Downloadable!]
    11. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC). [Downloadable!]
    12. Edelstein, Paul & Kilian, Lutz, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks," CEPR Discussion Papers 6507, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    13. Kevin L. Kliesen, 2008. "Oil and the U.S. macroeconomy: an update and a simple forecasting exercise," Working Papers 2008-009, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    14. Jose De Gregorio. & Oscar Landerretche. & Christopher Neilson., 2007. "Another Pass-Through Bites the Dust? Oil Prices and Inflation," Working Papers Central Bank of Chile 417, Central Bank of Chile. [Downloadable!]
    15. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research Department. [Downloadable!]
    16. Torsten Schmidt & Tobias Zimmermann, 2007. "Why are the Effects of Recent Oil Price Shocks so Small?," Ruhr Economic Papers 0029, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    17. Alessia Campolmi, 2008. "Oil price shocks: Demand vs Supply in a two-country model," MNB Working Papers 2008/5, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
    18. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  12. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
    • Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]

    Cited by:

    1. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    2. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    3. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
    4. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
      Other versions:
    5. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    6. Jonas Dovern, 2006. "Predicting GDP Components. Do Leading Indicators Increase Predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy. [Downloadable!]
    7. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society. [Downloadable!]
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    8. H. Lütkepohl, . "Bootstrapping Impulse Responses in VAR Analyses," Sonderforschungsbereich 373 2000-22, Humboldt Universitaet Berlin.
    9. Nyankori, James C.O. & Wabukawo, Veronica & Sakyi-Dawson, Esther & Sefa-Dedeh, Sam, 2002. "Product Life Cycle Model Of Cowpea Based Products In Ghana," Working Papers 18803, Clemson University, Department of Agricultural and Applied Economics. [Downloadable!]
    10. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany, revised Feb 2007. [Downloadable!]
      Other versions:

  13. Kilian, Lutz, 2005. "The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries," CEPR Discussion Papers 5404, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Rebeca Jiménez-Rodríguez, 2007. "The industrial impact of oil price shocks: Evidence from the industries of six OECD countries," Banco de España Working Papers 0731, Banco de España. [Downloadable!]
    2. Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Monash Economics Working Papers 40/07, Monash University, Department of Economics. [Downloadable!]
      Other versions:
    3. Antón Nákov & Andrea Pescatori, 2007. "Oil and the Great Moderation," Banco de España Working Papers 0735, Banco de España. [Downloadable!]
      Other versions:
    4. Anton Nakov & Andrea Pescatori, 2007. "Inflation-output gap trade-off with a dominant oil supplier," Working Paper 0710, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:
    5. María Ángeles Caraballo & Carlos Usabiaga, 2006. "The Relevance of Supply Shocks for Inflation: The Spanish Case," Economic Working Papers at Centro de Estudios Andaluces E2006/17, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:

  14. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  15. Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers 5131, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Pablo Pincheira & Álvaro García, 2007. "Oil Shocks and Inflation The Case of Chile and a Sample of Industrial Countries," Working Papers Central Bank of Chile 413, Central Bank of Chile. [Downloadable!]
      Other versions:
    3. Elisaveta Archanskaïa & Jerome Creel & Paul Hubert, 2009. "Why the nature of oil shocks matters," Documents de Travail de l'OFCE 2009-02, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
    4. Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do actions speak louder than words? Household expectations of inflation based on micro consumption data," Discussion Paper Series 1: Economic Studies 2006,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    5. James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," NBER Working Papers 15002, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Melolinna, Marko, 2008. "Using financial markets information to identify oil supply shocks in a restricted VAR," Research Discussion Papers 9/2008, Bank of Finland. [Downloadable!]
    8. Chen, Natalie & Graham, Liam & Oswald, Andrew, 2008. "Oil Prices, Profits, and Recessions: An Inquiry Using Terrorism as an Instrumental Variable," CEPR Discussion Papers 6937, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    9. Nicholas Apergis & Stephen M. Miller, 2009. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers 0917, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
      Other versions:
    10. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    11. Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    12. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009. [Downloadable!]
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    13. Luís Francisco Aguiar-Conraria & Maria Joana Soares, 2007. "Using cross-wavelets to decompose the time-frequency relation between oil and the macroeconomy," NIPE Working Papers 16/2007, NIPE - Universidade do Minho. [Downloadable!]
    14. Mohamed El Hedi Arouri & Julien Fouquau, 2009. "On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses," Working Papers hal-00387103_v1, HAL. [Downloadable!]
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    15. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN. [Downloadable!]
    16. Naohisa Hirakata & Nao Sudo, 2009. "Accounting for Oil Price Variation and Weakening Impact of the Oil Crisis," IMES Discussion Paper Series 09-E-01, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    17. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2008. "An international perspective on oil price shocks and U.S. economic activity," Globalization and Monetary Policy Institute Working Paper 20, Federal Reserve Bank of Dallas. [Downloadable!]
    18. Juan Carlos Castañeda & Carlos Eduardo Castillo, 2005. "Supply Shocks in the Transition Towards an Inflation Targeting Reform: an Empirical Evidence for Guatemala," Working Papers Central Bank of Chile 354, Central Bank of Chile. [Downloadable!]
    19. Martin Bodenstein & Christopher J. Erceg & Luca Guerrieri, 2007. "Oil shocks and external adjustment," International Finance Discussion Papers 897, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    20. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. Robalo, Pedro Brito & Salvado, João Cotter, 2008. "Oil price shocks and the Portuguese economy since the 1970s," FEUNL Working Paper Series wp529, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
    22. Andrea Nobili & Stefano Neri, 2006. "The transmission of monetary policy shocks from the US to the euro area," Temi di discussione (Economic working papers) 606, Bank of Italy, Economic Research Department. [Downloadable!]
    23. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    24. Marc D. Weidenmier & Joseph H. Davis & Roger Aliaga-Diaz, 2008. "Is Sugar Sweeter at the Pump? The Macroeconomic Impact of Brazil's Alternative Energy Program," NBER Working Papers 14362, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research Department. [Downloadable!]
    26. Christian M. Oberpriller, 2007. "Global Current Account Imbalances and Exchange Rate Adjustment: The Role of Oil Suppliers Valuation Effects and Interest Rate Changes," Kiel Advanced Studies Working Papers 442, Kiel Institute for the World Economy. [Downloadable!]
    27. Kilian, Lutz, 2005. "The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries," CEPR Discussion Papers 5404, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    28. Alessia Campolmi, 2008. "Oil price shocks: Demand vs Supply in a two-country model," MNB Working Papers 2008/5, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
    29. Deren Unalmis, Ibrahim Unalmis and Derya Filiz Unsal, 2008. "Oil Price Shocks, Macroeconomics Stability and Welfare in a Small Open Economy," Discussion Papers 08/13, Department of Economics, University of York. [Downloadable!]

  16. Robert Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," NBER Working Papers 10855, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Elisaveta Archanskaïa & Jerome Creel & Paul Hubert, 2009. "Why the nature of oil shocks matters," Documents de Travail de l'OFCE 2009-02, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
    2. Kilian, Lutz & Vega, Clara, 2008. "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," CEPR Discussion Papers 7015, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics. [Downloadable!]
    4. Claudia S. Gómez-López & Luis A.Puch, 2008. "Macroeconomic Consequences of International Commodity Price Shocks," Working Papers 2008-27, FEDEA. [Downloadable!]
    5. Nicholas Apergis & Stephen M. Miller, 2009. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers 0917, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
      Other versions:
    6. Lutz Kilian, 2006. "Understanding the effects of exogenous oil supply shocks," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 7(2), pages 21-27, 07. [Downloadable!]
    7. Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho. [Downloadable!]
      Other versions:
    8. Julie A. Nelson, . "05-04 "Rationality and Humanity: A View from Feminist Economics"," GDAE Working Papers 05-04, GDAE, Tufts University. [Downloadable!]
    9. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009. [Downloadable!]
      Other versions:
    10. Kevin L. Kliesen, 2008. "Oil and the U.S. macroeconomy: an update and a simple forecasting exercise," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 505-516. [Downloadable!]
      Other versions:
    11. Benjamin Bridgman, 2008. "Energy Prices and the Expansion of World Trade," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(4), pages 904-916, October. [Downloadable!] (restricted)
      Other versions:
    12. Beyer, Andreas & Gaspar, Vítor & Gerberding, Christina & Issing, Otmar, 2009. "Opting out of the great inflation: German monetary policy after the breakdown of Bretton Woods," Discussion Paper Series 1: Economic Studies 2009,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    13. Gillman, Max & Nakov, Anton, 2008. "Monetary Effects on Nominal Oil Prices," Cardiff Economics Working Papers E2008/15, Cardiff University, Cardiff Business School, Economics Section, revised Nov 2009. [Downloadable!]
    14. Casey Mulligan & Luke Threinen, 2008. "Market Responses to the Panic of 2008," NBER Working Papers 14446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Naohisa Hirakata & Nao Sudo, 2009. "Accounting for Oil Price Variation and Weakening Impact of the Oil Crisis," IMES Discussion Paper Series 09-E-01, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
    16. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2008. "An international perspective on oil price shocks and U.S. economic activity," Globalization and Monetary Policy Institute Working Paper 20, Federal Reserve Bank of Dallas. [Downloadable!]
    18. Junhee Lee & Joonhyuk Song, 2009. "Nature of Oil Price Shocks and Monetary Policy," NBER Working Papers 15306, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. Dora Gicheva & Justine Hastings & Sofia Villas-Boas, 2007. "Revisiting the Income Effect: Gasoline Prices and Grocery Purchases," NBER Working Papers 13614, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. Hafedh Bouakez & Nooman Rebei & Désiré Vencatachellum, 2008. "Optimal Pass-Through of Oil Prices in an Economy with Nominal Rigidities," Cahiers de recherche 0831, CIRPEE. [Downloadable!]
    21. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei. [Downloadable!]
    22. Douwe Kingma & Wim Suyker, 2004. "FAQs about oil and the world economy," CPB Memoranda 104, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
    23. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present, and Future," NBER Working Papers 11401, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    24. Kilian, Lutz, 2008. "Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," CEPR Discussion Papers 6919, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    25. Olivier Coibion & Yuriy Gorodnichenko, 2008. "Strategic Interaction Among Heterogeneous Price-Setters In An Estimated DSGE Model," NBER Working Papers 14323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. McDonald, Scott & van Schoor, Melt, 2005. "A Computable General Equilibrium (CGE) Analysis of the Impact of an Oil Price Increase in South Africa," Working Paper Series 15633, PROVIDE Project. [Downloadable!]
    27. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research Department. [Downloadable!]
    28. Kline, Patrick, 2008. "Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis of the Oil and Gas Field Services Industry," Working Papers 43, Yale University, Department of Economics. [Downloadable!]
    29. Alessia Campolmi, 2008. "Oil price shocks: Demand vs Supply in a two-country model," MNB Working Papers 2008/5, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]

  17. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers 4333, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]

  18. Sílvia Gonçalves & Lutz Kilian, 2003. "Asymptotic and Bootstrap Inference for AR(Infinite) Processes with Conditional Heteroskedasticity," CIRANO Working Papers 2003s-28, CIRANO. [Downloadable!]

    Cited by:

    1. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics. [Downloadable!]
    2. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  19. GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. David Peel & Ivan Paya & E Pavlidis, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 005913, Lancaster University Management School, Economics Department. [Downloadable!]
    2. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    3. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    4. Jae H. Kim & Philip I. Ji, 2004. "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings 124, Econometric Society. [Downloadable!]
    5. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    6. Philip Inyeob Ji & Jae H. Kim, 2005. "Real Interest Rate Linkages in the Pacific Basin Region," Monash Econometrics and Business Statistics Working Papers 23/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    7. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus. [Downloadable!]
    9. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Structural Breaks in the International Transmission of Inflation," Centre for Growth and Business Cycle Research Discussion Paper Series 119, Economics, The Univeristy of Manchester. [Downloadable!]
    10. Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    11. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus. [Downloadable!]
    12. Stan Hurn & Ralf Becker, 2006. "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers 2006-02, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
      Other versions:
    13. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    14. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    15. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics. [Downloadable!]
    16. Emmanuel Flachaire, 2005. "More efficient tests robust to heteroskedasticity of unknown form," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175914_v1, HAL. [Downloadable!]
    17. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics. [Downloadable!]
    18. Russell Davidson & James G. MacKinnon, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Working Papers 1044, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    19. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research. [Downloadable!]
    20. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank, Research Centre. [Downloadable!]
    21. Ralf Becker & Denise Osborn, 2007. "Weighted smooth transition regressions," The School of Economics Discussion Paper Series 0724, Economics, The University of Manchester. [Downloadable!]
    22. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    23. Charles Goodhart & Boris Hofmann, 2008. "Credit and the natural rate of interest," Working Paper Series 888, European Central Bank. [Downloadable!]
    24. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics. [Downloadable!]
    25. James G. MacKinnon, 2006. "Bootstrap Methods in Econometrics," Working Papers 1028, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    26. Jaromir Benes & David Vávra & Marta de Castello Branco, 2007. "A Simple DGE Model for Inflation Targeting," IMF Working Papers 07/197, International Monetary Fund. [Downloadable!]
    27. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    28. Kilian, Lutz & Park, Cheolbeom, 2007. "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers 6166, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    29. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    30. Kilian, Lutz, 2008. "Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," CEPR Discussion Papers 6919, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    31. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    32. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    33. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    34. J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
      Other versions:
    35. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society. [Downloadable!]
      Other versions:
    36. Russell Davidson & James G. MacKinnon, 2008. "Wild Bootstrap Tests for IV Regression," Working Papers 1135, Queen's University, Department of Economics. [Downloadable!]
      Other versions:

  20. Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Küster, Keith & Wieland, Volker, 2005. "Insurance Policies for Monetary Policy in the Euro Area," CEPR Discussion Papers 4956, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  21. Lutz Kilian & Atsushi Inoue, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics. [Downloadable!]
    2. Kerstin Gerling & Hans Peter Grüner & Alexandra Kiel & Elisabeth Schulte, 2003. "Information acquisition and decision making in committees: A survey," Working Paper Series 256, European Central Bank. [Downloadable!]
      Other versions:
    3. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    5. Thorsten V. Köppl, 2004. "Risk sharing through financial markets with endogenous enforcement of trades," Working Paper Series 319, European Central Bank. [Downloadable!]
      Other versions:
    6. Christopher Bowdler & Eilev S. Jansen, 2004. "A mark-up model of inflation for the euro area," Working Paper Series 306, European Central Bank. [Downloadable!]
    7. Kirstin Hubrich & Kenneth D. West, 2008. "Forecast Evaluation of Small Nested Model Sets," NBER Working Papers 14601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do actions speak louder than words? Household expectations of inflation based on micro consumption data," Discussion Paper Series 1: Economic Studies 2006,26, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    9. Edith Skriner, . "Forecasting Global Flows," FIW Working Paper series 009, FIW. [Downloadable!]
    10. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis. [Downloadable!]
    11. Lutz Kilian & Atsushi Inoue, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank. [Downloadable!]
      Other versions:
    12. Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies. [Downloadable!]
    13. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series 1057, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
      Other versions:
    14. Ard Reijer & Peter Vlaar, 2006. "Forecasting Inflation: An Art as Well as a Science!," De Economist, Springer, vol. 154(1), pages 19-40, 03. [Downloadable!] (restricted)
      Other versions:
    15. Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]. [Downloadable!]
      Other versions:
    16. Ralph Süppel, 2003. "Comparing economic dynamics in the EU and CEE accession countries," Working Paper Series 267, European Central Bank. [Downloadable!]
    17. Lutz Kilian & Simone Manganelli, 2003. "The Central Bank as a risk manager: quantifying and forecasting fnflation risks," Working Paper Series 226, European Central Bank. [Downloadable!]
    18. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich. [Downloadable!]
    19. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    20. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics. [Downloadable!]
    21. Claus Brand & Hans-Eggert Reimers & Franz Seitz, 2003. "Forecasting real GDP: What role for narrow money?," Working Paper Series 254, European Central Bank. [Downloadable!]
    22. Barbara Rossi, 2005. "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability," International Finance 0503006, EconWPA. [Downloadable!]
      Other versions:
    23. Lutz Kilian & Atsushi Inoue, 2002. "In-Sample or out-of-sample tests of predictability: which one should we use?," Working Paper Series 195, European Central Bank. [Downloadable!]
      Other versions:
    24. William A. Barnett, 2003. "Aggregation-theoretic monetary aggregation over the Euro area; when countries are heterogeneous," Working Paper Series 260, European Central Bank. [Downloadable!]
      Other versions:
    25. Alessandro Calza & João Sousa, 2003. "Why has broad money demand been more stable in the Euro area than in other economies? A literature review," Working Paper Series 261, European Central Bank. [Downloadable!]
    26. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank. [Downloadable!]
      Other versions:
    27. Marco Catenaro & Jean-Pierre Vidal, 2003. "Implicit tax co-ordination under repeated policy interactions," Working Paper Series 259, European Central Bank. [Downloadable!]
    28. Tatevik Sekhposyan & Barbara Rossi, 2008. "Has models’ forecasting performance for US output growth and inflation changed over time, and when?," Working Papers 09-02, Duke University, Department of Economics. [Downloadable!]
    29. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City. [Downloadable!]
    30. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, EconWPA. [Downloadable!]
    31. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department. [Downloadable!]
    32. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan. [Downloadable!]
    33. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    34. Annick Bruggeman & Paola Donati & Anders Warne, 2003. "Is the demand for Euro area M3 stable?," Working Paper Series 255, European Central Bank. [Downloadable!]
    35. Katharina Hampel & Marcus Kunz & Norbert Schanne & Ruediger Wapler & Antje Weyh, 2006. "Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation," ERSA conference papers ersa06p196, European Regional Science Association. [Downloadable!]
    36. Paul D. McNelis & Salih N. Neftci, 2006. "Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?," Working Papers 012006, Hong Kong Institute for Monetary Research. [Downloadable!]
    37. Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    38. Catherine Fuss & Philip Vermeulen, 2004. "Firms’ investment decisions in response to demand and price uncertainty," Working Paper Series 347, European Central Bank. [Downloadable!]
      Other versions:
    39. Rómulo Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Working Papers Central Bank of Chile 260, Central Bank of Chile. [Downloadable!]
      Other versions:
    40. Lutz Kilian & Atsushi Inoue, 2004. "Bagging Time Series Models," Econometric Society 2004 North American Summer Meetings 110, Econometric Society. [Downloadable!]
      Other versions:
    41. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:

  22. Lutz Kilian & Simone Manganelli, 2003. "The Central Bank as a risk manager: quantifying and forecasting fnflation risks," Working Paper Series 226, European Central Bank. [Downloadable!]

    Cited by:

    1. Vitor Gaspar, 2003. "The conduct of monetary policy under uncertainty," Proceedings, Federal Reserve Bank of Kansas City, pages 249-264. [Downloadable!]
    2. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA. [Downloadable!]
    3. Frank Smets & Raf Wouters, 2004. "Forecasting with a Bayesian DSGE model - an application to the euro area," Working Paper Series 389, European Central Bank. [Downloadable!]
      Other versions:

  23. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    2. Roberto Golinelli & Giuseppe Parigi, 2003. "What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries," Temi di discussione (Economic working papers) 484, Bank of Italy, Economic Research Department. [Downloadable!]
    3. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    4. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority. [Downloadable!]
    5. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    6. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    7. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers 11468, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    9. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Javier J. Pérez, 2005. "Early-warning tools to forecast general government deficit in the euro area: the role of intra-annual fiscal indicators," Working Paper Series 497, European Central Bank. [Downloadable!]
      Other versions:
    11. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society. [Downloadable!]
    12. C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2007. "On forecasting the term structure of credit spreads," Working Paper 0705, Federal Reserve Bank of Cleveland. [Downloadable!]
    13. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics. [Downloadable!]
    14. Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series 1033, Department of Economics, UC Santa Cruz. [Downloadable!]
      Other versions:
    15. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004 112, Society for Computational Economics. [Downloadable!]
      Other versions:
    16. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
      Other versions:
    17. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    18. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11, University of Washington, Department of Economics. [Downloadable!]
      Other versions:
    19. Ansgar Belke & Wim Kösters & Martin Leschke & Thorsten Polleit, 2005. "Back to the rules," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 268/2005, Department of Economics, University of Hohenheim, Germany. [Downloadable!]
    20. Ramdane Djoudad & Jack Selody & Carolyn Wilkins, 2005. "Does Financial Structure Matter for the Information Content of Financial Indicators?," Working Papers 05-33, Bank of Canada. [Downloadable!]
    21. Andreas Billmeier, 2004. "Ghostbusting: Which Output Gap Measure Really Matters?," IMF Working Papers 04/146, International Monetary Fund. [Downloadable!]
    22. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile. [Downloadable!]
    23. Junsoo Lee & John A. List & Mark Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers 11487, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    24. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Lucas W. Davis & Lutz Kilian, 2008. "The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas," NBER Working Papers 14030, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City. [Downloadable!]
    27. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
    28. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics. [Downloadable!]
      Other versions:
    29. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy. [Downloadable!]
      Other versions:
    30. Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    31. Ana María Abarca & Felipe Alarcón & Pablo Pincheira & Jorge Selaive, 2007. "Chilean Nominal Exchange Rate: Forecasting Based Upon Technical Analysis," Working Papers Central Bank of Chile 425, Central Bank of Chile. [Downloadable!]
    32. Todd E. Clark & Michael W. McCracken, 2003. "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper RWP 03-06, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    33. Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    34. Inoue, Atsushi & Kilian, Lutz, 2003. "On the Selection of Forecasting Models," CEPR Discussion Papers 3809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    35. Doyle, Matthew, 2006. "Empirical Phillips Curves in OECD Countries: Has There Been A Common Breakdown?," Staff General Research Papers 12684, Iowa State University, Department of Economics. [Downloadable!]
    36. Thomas Fullerton & Roberto Tinajero & Martha Barraza de Anda, 2006. "Short-Term Water Consumption Patterns in Ciudad Juárez, Mexico," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(4), pages 467-479, December. [Downloadable!] (restricted)
    37. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group. [Downloadable!]
    38. Guy Meredith, 2003. "Medium-Term Exchange Rate Forecasting: What Can We Expect?," IMF Working Papers 03/21, International Monetary Fund. [Downloadable!]

  24. Kilian, Lutz & Taylor, Mark P, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    1. Luciana Juvenal & Mark P. Taylor, 2008. "Threshold adjustment in deviations from the law of one price," Working Papers 2008-027, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    2. P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank. [Downloadable!]
      Other versions:
    3. Paul De Grauwe & Marianna Grimaldi, 2003. "Intervention in the Foreign Exchange Market in a Model with Noise Traders," Working Papers 162003, Hong Kong Institute for Monetary Research. [Downloadable!]
    4. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
      Other versions:
    5. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. David Peel & Ivan Paya & E Pavlidis, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 005913, Lancaster University Management School, Economics Department. [Downloadable!]
    7. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
      Other versions:
    8. U. Michael Bergman & Shakill Hassan, 2008. "Currency Crises and Monetary Policy in an Economy with Credit Constraints: The No Interest Parity Case," EPRU Working Paper Series 08-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
    9. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    10. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August. [Downloadable!] (restricted)
    11. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    12. Kleopatra Nikolaou, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 667, European Central Bank. [Downloadable!]
    13. Carlo Altavilla, 2006. "The (Un-) Stable Relationship between The Exchange rate and its Fundamentals," Discussion Papers 6_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
      Other versions:
    14. Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376. [Downloadable!]
      Other versions:
    15. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    16. Carlo Altavilla & Paul De Grauwe, 2006. "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    17. Ivan Paya & David A. Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor and Francis Journals, vol. 37(21), pages 2515-2522, December. [Downloadable!] (restricted)
      Other versions:
    18. Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003. "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper 8, Tor Vergata University, CEIS. [Downloadable!]
    19. Kurmas Akdogan & Yunus Aksoy, 2007. "Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?," Working Papers 0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
      Other versions:
    20. Diks, C.G.H. & Weide, R. van der, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers 03-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    21. Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(1), pages 1-12, April. [Downloadable!] (restricted)
    22. Dimitris K. Christopoulos & Miguel León-Ledesma, 2004. "Current Account Sustainability in the US: What Do We Really Know About It?," Studies in Economics 0412, Department of Economics, University of Kent. [Downloadable!]
    23. Juan Carlos Cuestas, 2007. "Purchasing Power Parity In Central And Eastern European Countries: An Analysis Of Unit Roots And Nonlinearities," Working Papers. Serie AD 2007-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    24. Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
    25. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group. [Downloadable!]
    26. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    27. Chung-Hua Shen & Shyh-Wei Chen, 2004. "Long swing in appreciation and short swing in depreciation and does the market not know it?--the case of Taiwan," International Economic Journal, Korean International Economic Association, vol. 18(2), pages 195-213, June. [Downloadable!] (restricted)
    28. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    29. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    30. Manzan, S. & Westerhoff, F., 2002. "Heterogeneous Expectations, Exchange Rate Dynamics and Predictability," CeNDEF Working Papers 02-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
      Other versions:
    31. Rebecca L Driver & Peter F Westaway, . "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England. [Downloadable!]
    32. Carlo Altavilla & Paul De Grauwe, 2005. "Non-Linearities in the Relation between the Exchange Rate and its Fundamentals," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    33. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    34. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    35. Valerie Herzberg & George Kapetanios & Simon Price, . "Import prices and exchange rate pass-through: theory and evidence from the United Kingdom," Bank of England working papers 182, Bank of England. [Downloadable!]
    36. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group. [Downloadable!]
    37. Jose Eduardo de A. Ferreira, 2006. "Periodically Collapsing Rational Bubbles in Exchange Rates: A Markov-Switching Analysis for a Sample of Industrialised Markets," Studies in Economics 0604, Department of Economics, University of Kent. [Downloadable!]
    38. Lahtinen, Markus & Mäki-Fränt, Petri, 2007. "The Exchange Rate Targeting of Central Banks Revised: The Role of Long-term Interest Rates," Economics Discussion Papers 2007-28, Kiel Institute for the World Economy. [Downloadable!]
    39. Yamin Ahmad & Stuart Glosser, 2007. "Searching for Nonlinearities in Real Exchange Rates?," Working Papers 09-01, UW-Whitewater, Department of Economics, revised Jan 2009. [Downloadable!]
    40. Menkhoff, Lukas & Rebitzky, Rafael, 2007. "Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-376, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
      Other versions:
    41. Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series 1033, Department of Economics, UC Santa Cruz. [Downloadable!]
      Other versions:
    42. Roman Hotvath, 2005. "Real Equilibrium Exchange Rate Estimates: To What Extent Applicable for Setting the Central Parity?," International Finance 0509006, EconWPA. [Downloadable!]
    43. Frömmel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2002. "Markov Switching Regimes in a Monetary Exchange Rate Model," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-266, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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    44. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
      Other versions:
    45. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
    46. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39. [Downloadable!]
    47. Daiki Maki, 2006. "Variance ratio tests for a unit root in the presence of a mean shift: small sample properties and an application to purchasing power parity," Applied Financial Economics, Taylor and Francis Journals, vol. 16(8), pages 607-615, May. [Downloadable!] (restricted)
    48. Liew, Venus Khim-Sen & Lee, Hock-Ann & Lim, Kian-Ping, 2005. "Purchasing power parity in Asian economies: further evidence from rank tests for cointegration," MPRA Paper 7301, University Library of Munich, Germany. [Downloadable!]
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    49. Jian Wang & Jason J. Wu, 2008. "The Taylor rule and forecast intervals for exchange rates," Globalization and Monetary Policy Institute Working Paper 22, Federal Reserve Bank of Dallas. [Downloadable!]
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    50. Carlos Felipe Lopez Suarez & Jose Antonio Rodriguez Lopez, 2008. "Nonlinear Exchange Rate Predictability," Working Papers 080911, University of California-Irvine, Department of Economics. [Downloadable!]
    51. Reitz, Stefan & Slopek, Ulf Dieter, 2008. "Nonlinear oil price dynamics: a tale of heterogeneous speculators?," Discussion Paper Series 1: Economic Studies 2008,10, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    52. Ramdane Djoudad & Jack Selody & Carolyn Wilkins, 2005. "Does Financial Structure Matter for the Information Content of Financial Indicators?," Working Papers 05-33, Bank of Canada. [Downloadable!]
    53. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange rate forecasters’ performance: evidence of skill?," Working Papers 2009_13, Department of Economics, University of Glasgow. [Downloadable!]
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    54. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
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    55. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    56. Berka, Martin, 2005. "General Equilibrium Model of Arbitrage Trade and Real Exchange Rate Persistence," MPRA Paper 234, University Library of Munich, Germany, revised 06 May 2008. [Downloadable!]
    57. Serineh Najarian & H. L. Leon, 2003. "Time-Varying Thresholds: An Application to Purchasing Power Parity," IMF Working Papers 03/181, International Monetary Fund. [Downloadable!]
    58. Jean Imbs & Haroon Mumtaz & Morton O. Ravn & Helene Rey, 2002. "PPP Strikes Back: Aggregation and the Real Exchange Rate," NBER Working Papers 9372, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    59. Mahesh Kumar Tambi, 2005. "FORECASTING EXCHANGE RATE :A Uni-variate out of sample Approach," International Finance 0506005, EconWPA. [Downloadable!]
    60. Emmanuel Davradakis, 2005. "Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 439-446, April. [Downloadable!] (restricted)
    61. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rat," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    62. Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    63. Tsangyao Chang & Hsu-Ling Chang & Hsiao-Ping Chu & Chi-Wei Su, 2006. "Does PPP hold in African countries? Further evidence based on a highly dynamic non-linear (logistic) unit root test," Applied Economics, Taylor and Francis Journals, vol. 38(20), pages 2453-2459, November. [Downloadable!] (restricted)
    64. Ondřej Schneider & Jan Zápal, 2005. "Fiscal Policy in New EU Member States: Go East, Prudent Man!," Working Papers IES 76, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005. [Downloadable!]
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    65. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2003. "What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    66. Sarmidi, Tamat, 2008. "Exchange Rates Predictability in Developing Countries," MPRA Paper 16580, University Library of Munich, Germany. [Downloadable!]
    67. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    68. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    69. W. Kim, . "Kernel Estimation of Functional Coefficients in Nonparametric ARX Time Series Models," Sonderforschungsbereich 373 2001-101, Humboldt Universitaet Berlin.
    70. Céline Gauthier & Fu Chun Li, 2006. "Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model," Working Papers 06-42, Bank of Canada. [Downloadable!]
    71. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City. [Downloadable!]
    72. Corrado, L. & Marcus Miller & Lei Zhang, 2002. "Exchange Rate Monitoring Bands: Theory and Policy," Cambridge Working Papers in Economics 0209, Faculty of Economics, University of Cambridge. [Downloadable!]
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    73. Christian Bauer & Bernhard Herz, 2004. "Technical trading and the Volatility of Exchange Rates," Macroeconomics, Department of Economics, Economics I, Bayreuth University, vol. 4(4), pages 1-16. [Downloadable!]
    74. Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    75. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach," Working Papers 0717, University of Crete, Department of Economics. [Downloadable!]
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    76. Frédéric Karamé & Lise Patureau & Thepthida Sopraseuth, 2003. "Limited participation and exchange rate dynamics : does theory meet the data ?," Cahiers de la Maison des Sciences Economiques v04013, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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    77. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    78. Hsing, Y, 2009. "Functional Forms and PPP: The Case of Canada, the EU, Japan, and the U.K," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
    79. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
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    80. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany. [Downloadable!]
    81. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper 9684, University Library of Munich, Germany. [Downloadable!]
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    82. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
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    83. Juselius , Mikael & Kim, Moshe & Ringbom, Staffan, 2009. "Do markup dynamics reflect fundamentals or changes in conduct?," Research Discussion Papers 12/2009, Bank of Finland. [Downloadable!]
    84. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics. [Downloadable!]
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    85. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada. [Downloadable!]
    86. Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005. "Revisiting the Martingale hypothesis for exchange rates," Money Macro and Finance (MMF) Research Group Conference 2005 19, Money Macro and Finance Research Group. [Downloadable!]
    87. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan. [Downloadable!]
    88. Juan Carlos Cuestas & Estefania Mourelle, 2008. "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," Working Papers 2008/8, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
    89. David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668. [Downloadable!]
      Other versions:
    90. Reitz, Stefan, 2002. "Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate," Discussion Paper Series 1: Economic Studies 2002,17, Deutsche Bundesbank, Research Centre. [Downloadable!]
    91. Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    92. Stefan Reitz & Georg Stadtmann, 2005. "Consensus among FX forecasters?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(4), pages 223-227, July. [Downloadable!] (restricted)
    93. Kenneth W Clements & Yihui Lan & John Roberts, 2007. "Exchange-Rate Economics for the Resources Sector," Economics Discussion / Working Papers 07-13, The University of Western Australia, Department of Economics. [Downloadable!]
    94. Hyungsik Roger Moon & Benoit Perron, 2005. "An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors," IEPR Working Papers 05.35, Institute of Economic Policy Research (IEPR). [Downloadable!]
    95. Serineh Najarian & H. L. Leon, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 03/159, International Monetary Fund. [Downloadable!]
    96. Paresh Kumar Narayan, 2006. "Are bilateral real exchange rates stationary? Evidence from Lagrange multiplier unit root tests for India," Applied Economics, Taylor and Francis Journals, vol. 38(1), pages 63-70, January. [Downloadable!] (restricted)
    97. Bofinger, Peter & Leitner, Johannes & Schmidt, Robert, 2004. "Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices," CEPR Discussion Papers 4230, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    98. Berka, Martin, 2006. "Non-linear adjustment in law of one price deviations and physical characteristics of goods," MPRA Paper 8606, University Library of Munich, Germany, revised Dec 2007. [Downloadable!]
      Other versions:
    99. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335. [Downloadable!]
    100. Todd E. Clark & Michael W. McCracken, 2003. "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper RWP 03-06, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    101. Mark E. Wohar & David E. Rapach, 2005. "Valuation ratios and long-horizon stock price predictability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 327-344. [Downloadable!]
    102. John Pippenger, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series 03-04, Department of Economics, UC Santa Barbara. [Downloadable!]
    103. Ken Johnston & David Carter & John Hatem, 2005. "Exchange rates, and fundamental variables: a semi-parametric analysis of binary choice," Applied Economics, Taylor and Francis Journals, vol. 37(16), pages 1915-1924, September. [Downloadable!] (restricted)
    104. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis. [Downloadable!]
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    105. Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April. [Downloadable!] (restricted)
    106. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics. [Downloadable!]
    107. Marcos Alvarez-Diaz & Alberto Alvarez, 2007. "Forecasting exchange rates using an evolutionary neural network," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 5-9, January. [Downloadable!] (restricted)
    108. Paul De Grauwe & Marianna Grimaldi, 2002. "The Exchange Rate and its Fundamentals. A Chaotic Perspective," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    109. Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank, Research Centre. [Downloadable!]
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    110. Alina Spiru, 2007. "Inflation convergence in the new EU member states," Working Papers 005221, Lancaster University Management School, Economics Department. [Downloadable!]
    111. Roman Horváth, 2005. "Real Equilibrium Exchange Rate Estimates: To What Extent Are They Applicable for Setting the Central Parity?," Working Papers IES 75, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005. [Downloadable!]
    112. Marianna Grimaldi & Paul De Grauwe, 2003. "Bubbling and Crashing Exchange Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    113. Simón Sosvilla-Rivero & Emma García, . "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA. [Downloadable!]
    114. Anthony Garratt & Kevin Lee, 2006. "Investing Under Model Uncertainty: Decision Based Evaluation of Exchange Rate and Interest Rate Forecasts in the US, UK and Japan," Birkbeck Working Papers in Economics and Finance 0616, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
    115. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Exchange Rate Puzzles: A Tale of Switching Attractors," Working Paper Series 163, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    116. Roche, M.J. & Moore. M.J., 2002. "Volatile and persistent real exchange rates without the contrivance of sticky prices," Economics, Finance and Accounting Department Working Paper Series n1160402, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    117. Stefan Reitz & Frank Westerhoff, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies. [Downloadable!]
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    118. Taylor, Mark P, 2003. "Is Official Exchange Rate Intervention Effective?," CEPR Discussion Papers 3758, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  25. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Canova, Fabio, 2002. "G-7 Inflation Forecasts," CEPR Discussion Papers 3283, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Jonathan McCarthy & Egon Zakrajsek, 2003. "Inventory dynamics and business cycles: what has changed?," Finance and Economics Discussion Series 2003-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    3. Fabio Canova, 2002. "G-7 inflation forecasts," Working Paper Series 151, European Central Bank. [Downloadable!]
    4. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:

  26. Robert B. Barsky & Lutz Kilian, 2001. "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative," NBER Working Papers 8389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Browne, Frank & Cronin, David, 2006. "Commodity Prices, Money and Inflation," Research Technical Papers 16/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    2. Martin Sommer, 2002. "Supply Shocks and the Persistence of Inflation," Economics Working Paper Archive 485, The Johns Hopkins University,Department of Economics. [Downloadable!]
      Other versions:
    3. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642. [Downloadable!]
      Other versions:
    5. G. Peersman & I. Van Robays, 2009. "Oil and the Euro Area Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/582, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    6. Kilian, Lutz & Vega, Clara, 2008. "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," CEPR Discussion Papers 7015, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Olivier J. Blanchard & Jordi Galí, 2007. "The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s?," NBER Chapters, in: International Dimensions of Monetary Policy National Bureau of Economic Research, Inc. [Downloadable!]
      Other versions:
    8. James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," NBER Working Papers 15002, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. John Fernald & Bharat Trehan, 2005. "Why hasn't the jump in oil prices led to a recession?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Nov 18. [Downloadable!]
    10. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics. [Downloadable!]
    11. Chen, Natalie & Graham, Liam & Oswald, Andrew, 2008. "Oil Prices, Profits, and Recessions: An Inquiry Using Terrorism as an Instrumental Variable," CEPR Discussion Papers 6937, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    12. Nicholas Apergis & Stephen M. Miller, 2009. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers 0917, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
      Other versions:
    13. Luis Aguiar-Conraria & Yi Wen, 2006. "Understanding the large negative impact of oil shocks," Working Papers 2005-042, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    14. Lutz Kilian, 2006. "Understanding the effects of exogenous oil supply shocks," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 7(2), pages 21-27, 07. [Downloadable!]
    15. Aguiar-Conraria, Luis & Wen, Yi, 2005. "Understanding the Impact of Oil Shocks," Working Papers 05-01, Cornell University, Center for Analytic Economics. [Downloadable!]
      Other versions:
    16. Anna Kormilitsina, 2009. "Oil Price Shocks and the Optimality of Monetary Policy," Departmental Working Papers 0901, Southern Methodist University, Department of Economics. [Downloadable!]
    17. Nelson, Edward & Nikolov, Kalin, 2002. "Monetary Policy and Stagflation in the UK," CEPR Discussion Papers 3458, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    18. Alan S. Blinder & Jeremy B. Rudd, 2008. "The Supply-Shock Explanation of the Great Stagflation Revisited," NBER Working Papers 14563, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Edward Nelson, 2004. "The Great Inflation of the seventies: what really happened?," Working Papers 2004-001, Federal Reserve Bank of St. Louis. [Downloadable!]
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    20. Beyer, Andreas & Gaspar, Vítor & Gerberding, Christina & Issing, Otmar, 2009. "Opting out of the great inflation: German monetary policy after the breakdown of Bretton Woods," Discussion Paper Series 1: Economic Studies 2009,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    21. Patrick Kline, 2008. "Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis of the Oil and Gas Field Services Industry," Cowles Foundation Discussion Papers 1645, Cowles Foundation, Yale University. [Downloadable!]
    22. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2007. "Oil Shocks and External Balances," CEPR Discussion Papers 6303, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    23. Christophe Kamps & Christian Pierdzioch, 2002. "Monetary Policy Rules and Oil Price Shocks," Kiel Working Papers 1090, Kiel Institute for the World Economy. [Downloadable!]
    24. Martin Schneider, 2004. "The Impact of Oil Price Changes on Growth and Inflation," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 27-36, July. [Downloadable!]
    25. Hicks, Bruce & Kilian, Lutz, 2009. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?," CEPR Discussion Papers 7265, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    26. Sylvain Leduc & Keith Sill & Tom Stark, 2002. "Self-fulfilling expectations and the inflation of the 1970s: evidence from the Livingston Survey," Working Papers 02-13, Federal Reserve Bank of Philadelphia. [Downloadable!]
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    27. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    28. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2008. "An international perspective on oil price shocks and U.S. economic activity," Globalization and Monetary Policy Institute Working Paper 20, Federal Reserve Bank of Dallas. [Downloadable!]
    29. Ansgar Belke & Daniel Gros, 2009. "A Simple Model of an Oil Based Global Savings Glut – The “China Factor” and the OPEC Cartel," Ruhr Economic Papers 0128, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    30. Patrizio Pagano & Massimiliano Pisani, 2009. "Risk-adjusted forecasts of oil prices," Working Paper Series 999, European Central Bank. [Downloadable!]
      Other versions:
    31. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei. [Downloadable!]
    32. Luís Aguiar-Conraria & Yi Wen, 2007. "A note on oil dependence and economic instability," Working Papers 2006-060, Federal Reserve Bank of St. Louis. [Downloadable!]
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    33. Anton Nakov & Andrea Pescatori, 2007. "Inflation-output gap trade-off with a dominant oil supplier," Working Paper 0710, Federal Reserve Bank of Cleveland. [Downloadable!]
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    34. Kilian, Lutz, 2008. "Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," CEPR Discussion Papers 6919, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    35. D'Agostino, Antonello & Surico, Paolo, 2007. "Does global liquidity help to forecast US inflation?," Research Technical Papers 10/RT/07, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
      Other versions:
    36. Wang, Peng-fei & Wen, Yi, 2004. "Another Look at Sticky Prices and Output Persistence," Working Papers 04-19, Cornell University, Center for Analytic Economics. [Downloadable!]
      Other versions:
    37. Ernest Gnan, 2009. "Energy, Commodity and Food Price Volatility: What Policy Responses?," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 10(1), pages 21-28, 04. [Downloadable!]
    38. Frederic S. Mishkin, 2002. "Does inflation targeting matter? - commentary," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 149-154. [Downloadable!]
    39. Anton Nakov & Andrea Pescatori, 2007. "Oil and the Great Moderation," Working Paper 0717, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:
    40. Blanchard, Olivier J & Galí, Jordi, 2008. "The Macroeconomic Effects of Oil Shocks: Why are the 2000s so Different from the 1970s?," CEPR Discussion Papers 6631, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    41. Kline, Patrick, 2008. "Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis of the Oil and Gas Field Services Industry," Working Papers 43, Yale University, Department of Economics. [Downloadable!]
    42. Kilian, Lutz, 2005. "The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries," CEPR Discussion Papers 5404, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    43. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    44. Alessia Campolmi, 2008. "Oil price shocks: Demand vs Supply in a two-country model," MNB Working Papers 2008/5, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]
    45. Luís Francisco Aguiar-Conraria & Maria Joana Soares & Nuno Azevedo, 2007. "Using Wavelets to decompose time-frequency economic relations," NIPE Working Papers 17/2007, NIPE - Universidade do Minho. [Downloadable!]
    46. Wohltmann, Hans-Werner & Winkler, Roland, 2005. "Oil Price Shocks and Currency Denomination (A revised version of EWP 2005-01)," Economics Working Papers 2005,10, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    47. Frank Browne & David Cronin, 2007. "Commodity prices, money and inflation," Working Paper Series 738, European Central Bank. [Downloadable!]
    48. Munechika Katayama, . "Declining Effects of Oil-Price Shocks," Departmental Working Papers 2009-02, Department of Economics, Louisiana State University. [Downloadable!]

  27. Caner, Mehmet & Kilian, Lutz, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers 2425, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Ana María Iregui & Jesús Otero, 2008. "Testing The Law Of One Price In Food Markets: Evidence For Colombia Using Disaggregated Data," DOCUMENTOS DE TRABAJO 005102, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
    2. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics. [Downloadable!]
    3. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004. [Downloadable!]
    4. Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004. "Does Financial Structure Matter?," Economics Working Paper Archive 399, Levy Economics Institute, The. [Downloadable!]
      Other versions:
    5. Ivan Paya & David A. Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor and Francis Journals, vol. 37(21), pages 2515-2522, December. [Downloadable!] (restricted)
      Other versions:
    6. Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics. [Downloadable!]
    7. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics. [Downloadable!]
      Other versions:
    8. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008. [Downloadable!]
    9. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    10. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A. & Lau, Evan, 2007. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 04 Jun 2007. [Downloadable!]
    11. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics. [Downloadable!]
    12. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies. [Downloadable!]
      Other versions:
    13. Sonali Das & Rangan Gupta & Patrick Agu Kaya, 2009. "Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests," Working Papers 200922, University of Pretoria, Department of Economics. [Downloadable!]
    14. Lutz Kilian & Tao Zha, 1999. "Quantifying the half-life of deviations from PPP: The role of economic priors," Working Paper 99-21, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    15. Tastan Hüseyin, 2005. "Do real exchange rates contain a unit root? Evidence from Turkish data," Applied Economics, Taylor and Francis Journals, vol. 37(17), pages 2037-2053, September. [Downloadable!] (restricted)
    16. Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics. [Downloadable!]
      Other versions:
    17. Jönsson , Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics. [Downloadable!]
    18. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125. [Downloadable!]
    19. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. GRENADE, Kari & MOORE, Winston, 2008. "Co-Movements Between Foreign And Domestic Interest Rates In A Fixed Exchange Rate Regime: The Case Of The Eccu And The Us," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 119-130. [Downloadable!] (restricted)
    21. Haluk Erlat, . "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW. [Downloadable!]
    22. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers 768, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    23. Jorge Selaive & Vicente Tuesta, 2003. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Working Papers Central Bank of Chile 252, Central Bank of Chile. [Downloadable!]
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    24. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:
    25. Jönsson , Kristian, 2005. "Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results," Working Papers 2005:16, Lund University, Department of Economics. [Downloadable!]
    26. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Luintel, Kul B & Khan, Mosahid & Arestis, Philip & Theodoridis, Konstantinos, 2008. "Financial Structure and Economic Growth," Cardiff Economics Working Papers E2008/3, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
      Other versions:
    28. Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor and Francis Journals, vol. 37(9), pages 1063-1071, May. [Downloadable!] (restricted)
    29. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer, vol. 31(1), pages 77-94, February. [Downloadable!] (restricted)
    30. Olivier Darné, 2004. "The effects of additive outliers on stationarity tests: a monte carlo study," Economics Bulletin, Economics Bulletin, vol. 3(16), pages 1-8. [Downloadable!]
    31. Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen. [Downloadable!]
    32. Mabel Cabezas B. & Jorge Selaive C. & Gonzalo Becerra M., 2004. "Determinants of Non-Mining Exports: A Regional Perspective," Working Papers Central Bank of Chile 296, Central Bank of Chile. [Downloadable!]
    33. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007. [Downloadable!]

  28. Diebold, Francis X & Kilian, Lutz, 2000. "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers 2424, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics. [Downloadable!]
    2. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    3. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 449-476. [Downloadable!] (restricted)
      Other versions:
    4. John W. Galbraith & Greg Tkacz, 2007. "Forecast Content And Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2007-01, McGill University, Department of Economics. [Downloadable!]
      Other versions:
    5. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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    6. Carlos Barrera-Chaupis, 2005. "Proyecciones desagregadas de la variación del índice de precios al consumidor (IPC), del índice de precios al por Mayor (IPM) y del Crecimiento del Producto Real (PBI)," Working Papers 2005-006, Banco Central de Reserva del Perú. [Downloadable!]
    7. Marc Brisson & Bryan Campbell & John Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO. [Downloadable!]
    8. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
      Other versions:
    9. António Brandão Moniz, 2008. "Assessing scenarios on the future of work," Enterprise and Work Innovation Studies, Universidade Nova de Lisboa, IET-Research Center on Enterprise and Work Innovation, Faculty of Science and Technology, vol. 4(4), pages 91-106, November. [Downloadable!]
    10. Jonas Dovern, 2006. "Predicting GDP Components. Do Leading Indicators Increase Predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy. [Downloadable!]
    11. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank. [Downloadable!]
      Other versions:
    12. John G. Galbraith & Greg Tkacz, 2006. "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2006-13, McGill University, Department of Economics. [Downloadable!]
    13. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Francis X. Diebold, 1997. "The Past, Present, and Future of Macroeconomic Forecasting," NBER Working Papers 6290, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. John Galbraith, 1999. "Content Horizons for Forecasts of Economic Time Series," CIRANO Working Papers 99s-17, CIRANO. [Downloadable!]
      Other versions:
    16. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    17. Konstantin A. Kholodilin & Boriss Siliverstovs, 2009. "Do forecasters inform or reassure? Evaluation of the German real-time data," Working papers 09-215, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
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    18. Sergio Nicoletti Altimari, 2001. "Does money lead inflation in the euro area?," Working Paper Series 063, European Central Bank. [Downloadable!]
    19. Yoshua Bengio & François Gingras & Claude Nadeau, 2002. "On Out-of-Sample Statistics for Time-Series," CIRANO Working Papers 2002s-51, CIRANO. [Downloadable!]

  29. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society. [Downloadable!]
    Published as:

    Cited by:

    1. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
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    2. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
      Other versions:
    3. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO. [Downloadable!]
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    4. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria. [Downloadable!]
    5. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    6. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," NBER Working Papers 11706, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2004. "Measuring Half-Lives Using A Non-Parametric Bootstrap Approach," Public Policy Discussion Papers 04-13, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    9. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    10. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
      Other versions:
    11. Park, Joon, 2003. "A Bootstrap Theory for Weakly Integrated Processes," Working Papers 2003-16, Rice University, Department of Economics. [Downloadable!]
    12. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    13. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta. [Downloadable!]
    14. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series 2003-07, University of Cincinnati, Department of Economics. [Downloadable!]
      Other versions:
    15. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
    16. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    17. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    18. Ruxandra Prodan, 2004. "Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity," Econometric Society 2004 North American Summer Meetings 90, Econometric Society. [Downloadable!]
    19. Robert Taylor & Peter Burridge, 2004. "Bootstrapping the HEGY Seasonal Unit Root Tests," Econometric Society 2004 North American Summer Meetings 125, Econometric Society. [Downloadable!]
      Other versions:
    20. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society. [Downloadable!]
      Other versions:

  30. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:

    Cited by:

    1. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
      Other versions:
    2. Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    3. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2007. "Oil Shocks and External Balances," CEPR Discussion Papers 6303, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Hicks, Bruce & Kilian, Lutz, 2009. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?," CEPR Discussion Papers 7265, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  31. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics. [Downloadable!]
    2. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    3. Y.Chen & K. Rogoff, 2003. "Commodity Currencies and Empirical Exchange Rate Puzzles," DNB Staff Reports (discontinued) 76, Netherlands Central Bank. [Downloadable!]
    4. Marcellino, Massimiliano, 2002. "Instability and Non-Linearity in the EMU," CEPR Discussion Papers 3312, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Serena Ng & Timothy Vogelsang, 1999. "Forecasting Dynamic Time Series in the Presence of Deterministic Components," Boston College Working Papers in Economics 445, Boston College Department of Economics. [Downloadable!]
    6. Markku Lanne & Matti Liski, 2003. "Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028," Working Papers 0302, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. [Downloadable!]
      Other versions:
    7. Yunus Aksoy & Miguel A. Leon-Ledesma, 2007. "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance 0710, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
      Other versions:
    8. David T. Griffiths, 2004. "The big problem of forecasting small change," Applied Economics, Taylor and Francis Journals, vol. 36(19), pages 2195-2207, September. [Downloadable!] (restricted)
    9. Marcellino, Massimiliano, 2002. "Forecasting EMU Macroeconomic Variables," CEPR Discussion Papers 3529, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    10. Carlos Capistrán & Christian Constandse & Manuel Ramos Francia, 2009. "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers 2009-05, Banco de México. [Downloadable!]
    11. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank. [Downloadable!]
    12. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]
    13. Junsoo Lee & John List, 2004. "Examining Trends of Criteria Air Pollutants: Are the Effects of Governmental Intervention Transitory?," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 29(1), pages 21-37, September. [Downloadable!] (restricted)
    14. Junsoo Lee & John A. List & Mark Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers 11487, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. David F. Hendry & Kirstin Hubrich, 2006. "Forecasting economic aggregates by disaggregates," Working Paper Series 589, European Central Bank. [Downloadable!]
      Other versions:
    16. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," SFB 649 Discussion Papers SFB649DP2006-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    17. Gerhard Rünstler & Franck Sédillot, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 276, European Central Bank. [Downloadable!]
    18. Guidolin, Massimo & Timmermann, Allan G, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    19. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal. [Downloadable!]
    20. Simonetta Longhi & Peter Nijkamp, 2005. "Forecasting Regional Labour Market Developments Under Spatial Heterogeneity and Spatial Autocorrelation," Tinbergen Institute Discussion Papers 05-041/3, Tinbergen Institute. [Downloadable!]
    21. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
      [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]      ," MPRA Paper 8602, University Library of Munich, Germany. [Downloadable!]
    22. Longhi, Simonetta & Nijkamp, Peter, 2006. "Forecasting regional labor market developments under spatial heterogeneity and spatial correlation," Serie Research Memoranda 0015, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    23. Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    24. Massimiliano Marcellino, . "Forecast pooling for short time series of macroeconomic variables," Working Papers 212, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:

  32. Mehmet Caner & Lutz Kilian, 1999. "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work," Computing in Economics and Finance 1999 511, Society for Computational Economics. [Downloadable!]

    Cited by:

    1. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Baharumshah, Ahmad Zubaidi & Aggarwal, Raj & Chan, Tze-Haw, 2005. "East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests," MPRA Paper 2023, University Library of Munich, Germany, revised 2007. [Downloadable!]
      Other versions:

  33. Lutz Kilian & Tao Zha, 1999. "Quantifying the half-life of deviations from PPP: The role of economic priors," Working Paper 99-21, Federal Reserve Bank of Atlanta. [Downloadable!]
    Other versions:

    Cited by:

    1. Qian Chen & David E. Giles, 2007. "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers 0703, Department of Economics, University of Victoria. [Downloadable!]
    2. Chan, Tze-Haw & Khong, Wye Leong Roy & Baharumshah, Ahmad Zubaidi, 2003. "Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity," MPRA Paper 2209, University Library of Munich, Germany, revised 2003. [Downloadable!]

  34. Kilian, L. & Ohanian, L.E., 1999. "Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective," Papers 99-02, Michigan - Center for Research on Economic & Social Theory.
    Published as:

    Cited by:

    1. Yunus Aksoy & Miguel A. Leon-Ledesma, 2007. "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance 0710, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
      Other versions:

  35. Kilian, L. & Bergean, I., 1999. "Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: A Monte Carlo Study," Papers 99-04, Michigan - Center for Research on Economic & Social Theory.
    Published as:

    Cited by:

    1. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  36. Kilian, L., 1998. "Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics," Papers 98-04, Michigan - Center for Research on Economic & Social Theory.

    Cited by:

    1. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  37. Kilian, L. & Chang, P.L., 1998. "How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?," Papers 98-06, Michigan - Center for Research on Economic & Social Theory.

    Cited by:

    1. Carlo Monticelli & Oreste Tristani, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 2, European Central Bank. [Downloadable!]
    2. Jon Faust & John H. Rogers, 1999. "Monetary policy's role in exchange rate behavior," International Finance Discussion Papers 652, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  38. Kilian, L. & Demiroglu, U., 1997. "Residual-Based Bootstrap Tests for Normality in Autoregressions," Papers 97-14, Michigan - Center for Research on Economic & Social Theory.

    Cited by:

    1. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:

  39. Kilian, L., 1997. "Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?," Working Papers 401, Research Seminar in International Economics, University of Michigan.

    Cited by:

    1. R.-P. Berben & D.J.C. van Dijk, 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Report 145, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    2. Zwart, G.J. de & Markwat, T.D. & Swinkels, L. & Dijk, D.J.C. van, 2007. "The Economic Value of Fundamental and Technical Information in Emerging Currency Markets," Research Paper ERS-2007-096-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
      Other versions:

  40. Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series 96-45, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

    Cited by:

    1. K. Patterson, 2007. "Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment," Journal of Applied Statistics, Taylor and Francis Journals, vol. 34(1), pages 23-45, January. [Downloadable!] (restricted)
    2. Giulietti, Monica & Otero, Jesus & Waterson, Michael, 2007. "Pricing behaviour under competition in the UK electricity supply industry," The Warwick Economics Research Paper Series (TWERPS) 790, University of Warwick, Department of Economics. [Downloadable!]
    3. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, Economics Bulletin, vol. 3(44), pages 1-8. [Downloadable!]
    4. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    5. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    6. Brian P. Poi, 2004. "From the help desk: Some bootstrapping techniques," Stata Journal, StataCorp LP, vol. 4(3), pages 312-328, September. [Downloadable!]
    7. Jae H. Kim & Philip I. Ji, 2004. "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings 124, Econometric Society. [Downloadable!]
    8. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 449-476. [Downloadable!] (restricted)
      Other versions:
    9. Matsuki, Takashi & Usami, Ryoichi, 2007. "China's Regional Convergence in Panels with Multiple Structural Breaks," MPRA Paper 10167, University Library of Munich, Germany, revised 17 May 2008. [Downloadable!]
    10. Hsiu-Yun Lee & Jyh-Lin Wu, 2004. "Convergence of interest rates around the Pacific Rim," Applied Economics, Taylor and Francis Journals, vol. 36(12), pages 1281-1288, July. [Downloadable!] (restricted)
    11. Philip Inyeob Ji & Jae H. Kim, 2005. "Real Interest Rate Linkages in the Pacific Basin Region," Monash Econometrics and Business Statistics Working Papers 23/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    12. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria. [Downloadable!]
    13. David Brownstone & Robert Valletta, 2001. "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 129-141, Fall. [Downloadable!] (restricted)
    14. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis. [Downloadable!]
    15. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    16. Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    17. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    19. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
    20. Elena Pesavento, 2005. "Residuals Bases Tests for the Null of No Cointegration: an Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    21. Gregory Gadzinski & Fabrice Orlandi, 2004. "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series 414, European Central Bank. [Downloadable!]
    22. GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    23. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia. [Downloadable!]
      Other versions:
    24. Jae H. Kim, 2005. "Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach," Applied Economics, Taylor and Francis Journals, vol. 37(3), pages 347-354, February. [Downloadable!] (restricted)
    25. Jeffery Amato, Thomas Laubach, 2000. "Monetary Policy In An Estimated Optimization-Based Model With Sticky Prices And Wages," Computing in Economics and Finance 2000 303, Society for Computational Economics. [Downloadable!]
    26. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Papers 08-18, Bank of Canada. [Downloadable!]
      Other versions:
    27. Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation, Yale University, revised Jun 2003. [Downloadable!]
      Other versions:
    28. Miguel Arranz & Alvaro Escribano, 2006. "Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(1), pages 179-208, June. [Downloadable!] (restricted)
    29. Jeffery D. Amato & Thomas Laubach, 1999. "Monetary policy in an estimated optimization-based model with sticky prices and wages," Research Working Paper 99-09, Federal Reserve Bank of Kansas City. [Downloadable!]
    30. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    31. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006 493, Society for Computational Economics. [Downloadable!]
    32. Schumacher, Christian, 2000. "Forecasting Trend Output in the Euro Area," Discussion Paper Series 26245, Hamburg Institute of International Economics. [Downloadable!]
      Other versions:
    33. Dora Borbély & Carsten-Patrick Meier, 2003. "Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy. [Downloadable!]
    34. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    35. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    36. André Kurmann, 2003. "Quantifying the Uncertainty about the Fit of a New Keynesian Pricing Model: Extended Version," Cahiers de recherche 0344, CIRPEE. [Downloadable!]
    37. Ruxandra Prodan, 2004. "Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity," Econometric Society 2004 North American Summer Meetings 90, Econometric Society. [Downloadable!]
    38. J. Vilar-Fernández & J. Vilar-Fernández & W. González-Manteiga, 2007. "Bootstrap tests for nonparametric comparison of regression curves with dependent errors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(1), pages 123-144, May. [Downloadable!] (restricted)
    39. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics. [Downloadable!]

Articles

  1. Atsushi Inoue & Lutz Kilian & Fatma Burcu Kiraz, 2009. "Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1331-1363, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2009. "Oil shocks and external balances," Journal of International Economics, Elsevier, vol. 77(2), pages 181-194, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-69, June. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  4. Lutz Kilian, 2008. "The Economic Effects of Energy Price Shocks," Journal of Economic Literature, American Economic Association, vol. 46(4), pages 871-909, December.
    Other versions:

    See citations under working paper version above.

  5. Lutz Kilian, 2008. "A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries," Journal of the European Economic Association, MIT Press, vol. 6(1), pages 78-121, 03. [Downloadable!] (restricted)

    Cited by:

    1. Park, Moonsoo & Jin, Yanhong H & Bessler, David A., 2008. "The Impacts of Animal Disease Crises on the Korean Meat Market," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6365, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
      Other versions:
    2. Korhonen, Iikka & Mehrotra, Aaron, 2009. "Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers," BOFIT Discussion Papers 6/2009, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    3. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    4. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Olivier J. Blanchard & Jordi Gali, 2007. "The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s?," NBER Working Papers 13368, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Chen, Natalie & Graham, Liam & Oswald, Andrew, 2008. "Oil Prices, Profits, and Recessions: An Inquiry Using Terrorism as an Instrumental Variable," CEPR Discussion Papers 6937, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Olivier J. Blanchard & Jordi Galí, 2007. "The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s?," Economics Working Papers 1045, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008. [Downloadable!]
      Other versions:
    8. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009. [Downloadable!]
      Other versions:
    9. Marcelo Sánchez, 2008. "Oil shocks and endogenous markups - results from an estimated euro area DSGE model," Working Paper Series 860, European Central Bank. [Downloadable!]
    10. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN. [Downloadable!]
    11. Marc D. Weidenmier & Joseph H. Davis & Roger Aliaga-Diaz, 2008. "Is Sugar Sweeter at the Pump? The Macroeconomic Impact of Brazil's Alternative Energy Program," NBER Working Papers 14362, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Alessia Campolmi, 2008. "Oil price shocks: Demand vs Supply in a two-country model," MNB Working Papers 2008/5, Magyar Nemzeti Bank (The Central Bank of Hungary). [Downloadable!]

  6. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, 09. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Lutz Kilian, 2008. "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 216-240, 03. [Downloadable!] (restricted)
    Other versions:

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  8. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 561-590, 03. [Downloadable!] (restricted)

    Cited by:

    1. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers 6031, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  9. Sílvia Gonçalves & Lutz Kilian, 2007. "Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity," Econometric Reviews, Taylor and Francis Journals, vol. 26(6), pages 609-641. [Downloadable!] (restricted)

    Cited by:

    1. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Òscar Jordà & Massimiliano Marcellino, 2008. "Path Forecast Evaluation," Economics Working Papers ECO2008/34, European University Institute. [Downloadable!]
      Other versions:

  10. Paul Edelstein & Lutz Kilian, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 7(1). [Downloadable!]
    Other versions:

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  11. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Ventzislav Ivanov & Lutz Kilian, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(1). [Downloadable!]

    Cited by:

    1. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    2. Brian M Lucey and Alexander Eastman, 2008. "Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp260, IIIS. [Downloadable!]
    3. Barbara Rossi & Elena Pesavento, 2006. "Small-sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1135-1155. [Downloadable!]
      Other versions:
    4. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics. [Downloadable!]
    6. Luca Benati & Paolo Surico, 2006. "The Great Moderation and the ‘Bernanke Conjecture’," Computing in Economics and Finance 2006 158, Society for Computational Economics. [Downloadable!]
    7. Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand. [Downloadable!]
    8. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  13. Robert B. Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy since the 1970s," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134, Fall. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  14. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  15. Inoue, Atsushi & Kilian, Lutz, 2003. "The Continuity Of The Limit Distribution In The Parameter Of Interest Is Not Essential For The Validity Of The Bootstrap," Econometric Theory, Cambridge University Press, vol. 19(06), pages 944-961, December. [Downloadable!]

    Cited by:

    1. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO. [Downloadable!]
      Other versions:
    2. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:

  16. Kilian, Lutz & Taylor, Mark P., 2003. "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, vol. 60(1), pages 85-107, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 309-332, May. [Downloadable!] (restricted)

    Cited by:

    1. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    2. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    3. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
      Other versions:
    4. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    5. Luca Sala, 2004. "The Fiscal Theory of the Price Level: Identifying Restrictions and Empirical Evidence," Working Papers 257, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]

  18. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125. [Downloadable!]

    Cited by:

    1. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    2. Ahmed Asseery, 2005. "Evidence of non-linearities in the bilateral real exchange rates of the British pound," International Economic Journal, Korean International Economic Association, vol. 19(1), pages 63-90, March. [Downloadable!] (restricted)
    3. Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604. [Downloadable!]
      Other versions:
    4. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," NBER Working Papers 11706, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2004. "Measuring Half-Lives Using A Non-Parametric Bootstrap Approach," Public Policy Discussion Papers 04-13, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
    6. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    7. Jean Imbs & Haroon Mumtaz & Morton O. Ravn & Helene Rey, 2002. "PPP Strikes Back: Aggregation and the Real Exchange Rate," NBER Working Papers 9372, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Ivan Paya & David A. Peel, 2004. "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD 2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
      Other versions:
    9. Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany. [Downloadable!]
    10. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    11. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
      Other versions:
    12. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    13. Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group. [Downloadable!]
    14. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society. [Downloadable!]
      Other versions:

  19. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  20. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 449-476. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  21. Kilian, Lutz & Ohanian, Lee E., 2002. "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 6(05), pages 614-632, November. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  22. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  23. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  24. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.

    Cited by:

    1. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    3. Jonathan McCarthy & Egon Zakrajsek, 2003. "Inventory dynamics and business cycles: what has changed?," Finance and Economics Discussion Series 2003-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    4. Assenmacher-Wesche, K. & Pesaran, M.H., 2008. "A VECX* Model of the Swiss Economy," Cambridge Working Papers in Economics 0809, Faculty of Economics, University of Cambridge. [Downloadable!]
      Other versions:
    5. Francis X. Diebold & Lutz Kilian, 1997. "Measuring Predictability: Theory and Macroeconomic Applications," NBER Technical Working Papers 0213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
    7. Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series 139, Central Bank of Brazil, Research Department. [Downloadable!]
    8. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    9. Barbara Rossi & Elena Pesavento, 2006. "Small-sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1135-1155. [Downloadable!]
      Other versions:
    10. Jonas Dovern, 2006. "Predicting GDP Components. Do Leading Indicators Increase Predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy. [Downloadable!]
    11. Douch, Mohamed, 2005. "The macroeconomic effects of monetary policy and financial crisis," MPRA Paper 1120, University Library of Munich, Germany. [Downloadable!]
    12. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    13. Mark P. Taylor, 2004. "Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 229-244. [Downloadable!]
    14. Dora Borbély & Carsten-Patrick Meier, 2003. "Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy. [Downloadable!]
    15. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    16. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  25. Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 265-73, July.
    Other versions:

    See citations under working paper version above.

  26. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 1-48. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  27. Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 40-50, January.

    Cited by:

    1. DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 07-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    2. Bent Nielsen & Eric Engler, 2007. "The empirical process of autoregressive residuals," Economics Papers 2007-W01, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    3. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche 0635, CIRPEE. [Downloadable!]
    4. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO. [Downloadable!]
    5. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    6. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI. [Downloadable!]
      Other versions:

  28. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December. [Downloadable!] (restricted)

    Cited by:

    1. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    2. Elena Pesavento & Barbara Rossi, 2003. "Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure," Emory Economics 0326, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    3. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    4. Barbara Rossi & Elena Pesavento, 2004. "Do Technology Shocks Drive Hours Up or Down?," Econometric Society 2004 North American Summer Meetings 96, Econometric Society. [Downloadable!]
    5. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    6. Edda Claus & Mardi Dungey & Renee Fry, 2006. "Monetary Policy In Illiquid Markets: Options For A Small Open Economy," CAMA Working Papers 2006-17, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
      Other versions:

  29. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct. [Downloadable!]

    Cited by:

    1. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA. [Downloadable!]
      Other versions:
    3. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    4. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    5. Lutz Kilian & Silvia Goncalves, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank. [Downloadable!]
      Other versions:
    6. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers 11468, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    7. Jian Wang, 2005. "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance 0501002, EconWPA. [Downloadable!]
    8. Guglielmo Maria Caporale & Mario Cerrato, 2006. "Black Market and Official Exchange Rates: Long-Run Equilibrium and Short-Run Dynamics," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    9. Kurmas Akdogan & Yunus Aksoy, 2007. "Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?," Working Papers 0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
      Other versions:
    10. Ardic, Oya Pinar & Ergin, Onur & Senol, G. Bahar, 2008. "Exchange Rate Forecasting: Evidence from the Emerging Central and Eastern European Economies," MPRA Paper 7505, University Library of Munich, Germany. [Downloadable!]
    11. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," IMF Working Papers 03/111, International Monetary Fund. [Downloadable!]
    13. Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    14. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    15. William Barnett & Chang Ho Kwag, 2005. "Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach," International Trade 0505004, EconWPA, revised 24 Oct 2005. [Downloadable!]
      Other versions:
    16. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," NBER Working Papers 11706, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 51-74. [Downloadable!]
      Other versions:
    19. Zagaglia, Paolo, 2006. "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics 2006:5, Stockholm University, Department of Economics. [Downloadable!]
    20. Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series 1033, Department of Economics, UC Santa Cruz. [Downloadable!]
      Other versions:
    21. Westerlund, Joakim & Basher, Syed A., 2006. "Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?," MPRA Paper 1229, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    22. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    23. Jian Wang & Jason J. Wu, 2008. "The Taylor rule and forecast intervals for exchange rates," Globalization and Monetary Policy Institute Working Paper 22, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
    24. Carlos Felipe Lopez Suarez & Jose Antonio Rodriguez Lopez, 2008. "Nonlinear Exchange Rate Predictability," Working Papers 080911, University of California-Irvine, Department of Economics. [Downloadable!]
    25. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    26. Kilian, Lutz & Taylor, Mark P, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    27. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    28. R.-P. Berben & D.J.C. van Dijk, 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Report 145, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    29. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    30. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis. [Downloadable!]
    31. Zagaglia, Paolo, 2006. "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics 2006:4, Stockholm University, Department of Economics. [Downloadable!]
    32. Pablo Pincheira, 2006. "Conditional Evaluation of Exchange Rate Predictive Ability in Long Run Regressions," Working Papers Central Bank of Chile 378, Central Bank of Chile. [Downloadable!]
    33. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society. [Downloadable!]
      Other versions:
    34. Emmanuel Davradakis, 2005. "Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 439-446, April. [Downloadable!] (restricted)
    35. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    36. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis. [Downloadable!]
    37. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    38. Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    39. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," Working Papers 2006-033, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    40. Jorge Selaive & Vicente Tuesta, 2003. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Working Papers Central Bank of Chile 252, Central Bank of Chile. [Downloadable!]
      Other versions:
    41. Guidolin, Massimo & Timmermann, Allan G, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    42. A. Carriero & G. Kapetanios & M. Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Economics Working Papers ECO2008/33, European University Institute. [Downloadable!]
      Other versions:
    43. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan. [Downloadable!]
    44. Bofinger, Peter & Leitner, Johannes & Schmidt, Robert, 2004. "Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices," CEPR Discussion Papers 4230, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    45. Todd E. Clark & Michael W. McCracken, 2003. "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper RWP 03-06, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    46. Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics. [Downloadable!]
    47. Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    48. Nelson Mark, 1998. "Fundamentals of the Real Dollar-Pound Rate: 1871-1994," Working Papers 98-14, Ohio State University, Department of Economics. [Downloadable!]
    49. Guy Meredith, 2003. "Medium-Term Exchange Rate Forecasting: What Can We Expect?," IMF Working Papers 03/21, International Monetary Fund. [Downloadable!]

  30. Lutz Kilian, 1999. "FINITE-SAMPLE PROPERTIES OF PERCENTILE AND PERCENTILE-t BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 652-660, November. [Downloadable!] (restricted)

    Cited by:

    1. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2006. "Schumpeterian Technology Shocks," Economics Working Papers 1012, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2007. [Downloadable!]
    2. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    3. Michael D. Bordo & Christopher J. Erceg & Charles L. Evans, 2000. "Money, Sticky Wages, and the Great Depression," American Economic Review, American Economic Association, vol. 90(5), pages 1447-1463, December. [Downloadable!] (restricted)
      Other versions:
    4. Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, Economics Bulletin, vol. 3(19), pages 1-8. [Downloadable!]
    5. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall. [Downloadable!] (restricted)
    6. Eo, Yunjong & Morley, James C., 2008. "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper 10372, University Library of Munich, Germany. [Downloadable!]
    7. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
    8. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    9. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008. [Downloadable!]
    10. Jonas Fisher, 2004. "Technology Shocks Matter," Econometric Society 2004 North American Winter Meetings 14, Econometric Society. [Downloadable!]
      Other versions:
    11. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, Australian National University, Economics RSPAS. [Downloadable!]
    12. Di Iorio, Francesca & Fachin, Stefano, 2008. "A note on the estimation of long-run relationships in dependent cointegrated panels," MPRA Paper 12053, University Library of Munich, Germany. [Downloadable!]
    13. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society. [Downloadable!]
      Other versions:

  31. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May. [Downloadable!] (restricted)

    Cited by:

    1. Günter Coenen, 2000. "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Working Paper Series 09, European Central Bank. [Downloadable!]
      Other versions:
    2. Carlo Monticelli & Oreste Tristani, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 2, European Central Bank. [Downloadable!]
    3. Shiu-Sheng Chen & Charles Engel, 2004. "Does "Aggregation Bias" Explain the PPP Puzzle?," NBER Working Papers 10304, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    5. John Crooker, 2004. "Valuing Resource Access with Seminonparametric Techniques: An Application to Clear Lake," Center for Agricultural and Rural Development (CARD) Publications 04-wp352, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
    6. Jae Kim & Mahbuba Yeasmin, 2005. "The Size and Power of the Bias-Corrected Bootstrap Test for Regression Models with Autocorrelated Errors," Computational Economics, Springer, vol. 25(3), pages 255-267, June. [Downloadable!] (restricted)
    7. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, Economics Bulletin, vol. 3(44), pages 1-8. [Downloadable!]
    8. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    9. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
    10. Roberto Tatiwa Ferreira & Ivan Castelar, 2006. "Nonlinearities And Price Puzzle In Brazil," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 163, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
    11. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    12. Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany. [Downloadable!]
    13. Alejandro Izquierdo & Randall Romero & Ernesto Talvi, 2008. "Booms and Busts in Latin America: The Role of External Factors," RES Working Papers 4569, Inter-American Development Bank, Research Department. [Downloadable!]
    14. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre. [Downloadable!]
    15. Berger, Helge & Woitek, Ulrich, 1999. "Does Conservatism Matter? A Time Series Approach to Central Banking," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    16. Francis X. Diebold & Lutz Kilian, 1997. "Measuring Predictability: Theory and Macroeconomic Applications," NBER Technical Working Papers 0213, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Philip Inyeob Ji & Jae H. Kim, 2005. "Real Interest Rate Linkages in the Pacific Basin Region," Monash Econometrics and Business Statistics Working Papers 23/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    18. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee. [Downloadable!]
    19. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    20. Jean Boivin & Marc Giannoni, 2002. "Has monetary policy become less powerful?," Staff Reports 144, Federal Reserve Bank of New York. [Downloadable!]
    21. David Brownstone & Robert Valletta, 2001. "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 129-141, Fall. [Downloadable!] (restricted)
    22. Mercereau, Benôit & Miniane, Jacques Alain, 2008. "Should We Trust the Empirical Evidence from Present Value Models of the Current Account?," Economics Discussion Papers 2008-10, Kiel Institute for the World Economy. [Downloadable!]
    23. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    24. Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany : a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:
    25. Christopher J. Erceg & Luca Guerrieri, 2004. "Can Long-Run Restrictions Identify Technology Shocks?," Computing in Economics and Finance 2004 3, Society for Computational Economics. [Downloadable!]
      Other versions:
    26. Tang, Sumei & Selvanathan, E.A. & Selvanathan, S., 2008. "Foreign Direct Investment, Domestic Investment, and Economic Growth in China: A Time Series Analysis," Working Papers RP2008/19, World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
      Other versions:
    27. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    28. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," NBER Working Papers 11706, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    29. Jean Boivin & Marc Giannoni, 2008. "Global Forces and Monetary Policy Effectiveness," NBER Working Papers 13736, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    30. Stanislav Radchenko, 2004. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Industrial Organization 0408001, EconWPA. [Downloadable!]
      Other versions:
    31. Peter Vlaar & Ard den Reijer, 2004. "Forecasting inflation: An art as well as a science!," Computing in Economics and Finance 2004 148, Society for Computational Economics. [Downloadable!]
      Other versions:
    32. A. Benkwitz, . "Multiple Time Series Analysis," Sonderforschungsbereich 373 2000-54, Humboldt Universitaet Berlin.
    33. Eickmeier, Sandra & Hofmann, Boris & Worms, Andreas, 2006. "Macroeconomic fluctuations and bank lending: evidence for Germany and the euro area," Discussion Paper Series 1: Economic Studies 2006,34, Deutsche Bundesbank, Research Centre. [Downloadable!]
    34. Valerie A. Ramey & Matthew D. Shapiro, 1999. "Costly Capital Reallocation and the Effects of Government Spending," NBER Working Papers 6283, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    35. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    36. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group. [Downloadable!]
    37. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "Inflation and monetary policy in the twentieth century," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 22-45. [Downloadable!]
    38. Jonathan N. Millar, 2005. "Gestation lags for capital, cash flows, and Tobin's Q," Finance and Economics Discussion Series 2005-24, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    39. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers 1127, Queen's University, Department of Economics. [Downloadable!]
    40. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    41. Susanto, Dwi & Zapata, Hector O. & Cramer, Gail L., 2004. "Bootstrapping In Vector Autoregressions: An Application To The Pork Sector," 2004 Annual meeting, August 1-4, Denver, CO 20051, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    42. Charlotta Groth & Jarkko Jääskelä & Paolo Surico, . "Fundamental inflation uncertainty," Bank of England working papers 309, Bank of England. [Downloadable!]
    43. Stanislav Radchenko, 2004. "Anticipated and unanticipated effects of crude oil prices and oil inventory changes on gasoline prices," Microeconomics 0406001, EconWPA. [Downloadable!]
    44. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland. [Downloadable!]
      Other versions:
      • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05. [Downloadable!] (restricted)
      • Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    45. Charles Engel & Kenneth D. West, 2004. "Taylor Rules and the Deutschmark-Dollar Real Exchange Rate," NBER Working Papers 10995, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    46. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. ""Aggregation Bias" DOES Explain the PPP Puzzle," NBER Working Papers 11607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    47. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    48. Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation, Yale University, revised Jun 2003. [Downloadable!]
      Other versions:
    49. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct. [Downloadable!]
    50. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics. [Downloadable!]
      Other versions:
    51. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    52. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta. [Downloadable!]
    53. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the black box - structural factor models with large gross-sections," Working Paper Series 712, European Central Bank. [Downloadable!]
      Other versions:
    54. Massimo Giuliodori, . "The Empirical Relevance of a basic sticky-price intertemporal model," Working Papers 2001_17, Department of Economics, University of Glasgow. [Downloadable!]
    55. Dominique Tremblay, 2002. "Salaire réel, chocs technologiques et fluctuations économiques," Working Papers 02-42, Bank of Canada. [Downloadable!]
    56. Denis Larocque & Geneviève Lincourt & Michel Normandin, 2008. "Macroeconomic Effects of Terrorist Shocks in Israel," Cahiers de recherche 0820, CIRPEE. [Downloadable!]
    57. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    58. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    59. Yuriy Gorodnichenko, 2005. "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics 0512011, EconWPA. [Downloadable!]
    60. Robledo, Carlos W. & Zapata, Hector O., 1999. "Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence," 1999 Annual meeting, August 8-11, Nashville, TN 21526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    61. Cysne, Rubens Penha, 2005. "What Happens After the Central Bank of Brazil Increases the Target Interbank Rate by 1%?," Economics Working Papers (Ensaios Economicos da EPGE) 584, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    62. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    63. Edelstein, Paul & Kilian, Lutz, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks," CEPR Discussion Papers 6507, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    64. Tillmann, Peter, 2005. "The New Keynesian Phillips Curve in Europe : does it fit or does it fail?," Discussion Paper Series 1: Economic Studies 2005,04, Deutsche Bundesbank, Research Centre. [Downloadable!]
    65. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    66. Kyungho Jang & Masao Ogaki, 2001. "The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Working Papers 01-02, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    67. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    68. Claude Lopez & Christian J. Murray & David H. Papell, 2003. "State of the Art Unit Root Tests and the PPP Puzzle," Macroeconomics 0310009, EconWPA. [Downloadable!]
    69. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    70. Andrea Brischetto & Graham Voss, 1999. "A Structural Vector Autoregression Model of Monetary Policy in Australia," RBA Research Discussion Papers rdp1999-11, Reserve Bank of Australia. [Downloadable!]
    71. MoonJoong Tcha & Jae H. Kim, 2003. "Exchange Rate Pass-Through and Market Response: The Case of the US Steel Market," Economics Discussion / Working Papers 03-02, The University of Western Australia, Department of Economics. [Downloadable!]
    72. Jorda, Oscar, 2003. "Model-Free Impulse Responses," Working Papers 03-8, University of California at Davis, Department of Economics. [Downloadable!]
      Other versions:
    73. Alejandro Izquierdo & Randall Romero & Ernesto Talvi, 2008. "Bonanza y crisis en América Latina: El papel de los factores externos," RES Working Papers 4570, Inter-American Development Bank, Research Department. [Downloadable!]
    74. P.J.G. Vlaar & H. Schuberth, 1999. "Monetary Transmission and Controllability of Money in Europe: aStructural Vector Error Correction Approach," DNB Staff Reports (discontinued) 36, Netherlands Central Bank. [Downloadable!]
      Other versions:
    75. H. Lütkepohl, . "Bootstrapping Impulse Responses in VAR Analyses," Sonderforschungsbereich 373 2000-22, Humboldt Universitaet Berlin.
    76. John H. Rogers & Jonathan H. Wright & Jon Faust, 2002. "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," Working Paper Series 167, European Central Bank. [Downloadable!]
      Other versions:
    77. Jonas Fisher, 2004. "Technology Shocks Matter," Econometric Society 2004 North American Winter Meetings 14, Econometric Society. [Downloadable!]
      Other versions:
    78. Leon Berkelmans, 2005. "Credit and Monetary Policy: An Australian SVAR," RBA Research Discussion Papers rdp2005-06, Reserve Bank of Australia. [Downloadable!]
    79. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, Australian National University, Economics RSPAS. [Downloadable!]
    80. Jean Boivin & Marc P. Giannoni, 2003. "Has Monetary Policy Become More Effective?," NBER Working Papers 9459, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    81. Cysne, Rubens Penha, 2004. "Is There a Price Puzzle in Brazil? An Application of Bias-Corrected Bootstrap," Economics Working Papers (Ensaios Economicos da EPGE) 577, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    82. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.
    83. Matthew B. Canzoneri & Robert E. Cumby & Behzad T. Diba, 2001. "Is the Price Level Determined by the Needs of Fiscal Solvency?," American Economic Review, American Economic Association, vol. 91(5), pages 1221-1238, December. [Downloadable!] (restricted)
      Other versions:
    84. Crooker, John R., 2004. "Valuing Resource Access with Seminonparametric Techniques: An Application to Clear L," Staff General Research Papers 11246, Iowa State University, Department of Economics. [Downloadable!]
    85. Michael S. Hanson, 2006. "Varying Monetary Policy Regimes: A Vector Autoregressive Investigation," Wesleyan Economics Working Papers 2006-003, Wesleyan University, Department of Economics. [Downloadable!]
      Other versions:
    86. Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics. [Downloadable!]
    87. Mark P. Taylor, 2004. "Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 229-244. [Downloadable!]
    88. Adler, Johan, 2001. "From closed to open door policy: An empirical study of Chinas international capital mobility, 1958-98," Working Papers in Economics 64, Göteborg University, Department of Economics. [Downloadable!]
    89. Robert B. Barsky & Eric R. Sims, 2009. "Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence," NBER Working Papers 15049, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    90. André Kurmann, 2003. "Quantifying the Uncertainty about the Fit of a New Keynesian Pricing Model: Extended Version," Cahiers de recherche 0344, CIRPEE. [Downloadable!]
    91. Sebastian Galiani & Martin Gonzalez-Rozada, 2002. "Inference and estimation in small sample dynamic panel data models," Business School Working Papers treinta, Universidad Torcuato Di Tella. [Downloadable!]
    92. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    93. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society. [Downloadable!]
      Other versions:
    94. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? : Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank, Research Centre. [Downloadable!]
    95. Yuriy Gorodnichenko & Matthew D. Shapiro, 2006. "Monetary Policy When Potential Output is Uncertain: Understanding the Growth Gamble of the 1990s," NBER Working Papers 12268, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    96. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics. [Downloadable!]
    97. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada. [Downloadable!]
      Other versions:
    98. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  32. Lutz Kilian, 1998. "Confidence intervals for impulse responses under departures from normality," Econometric Reviews, Taylor and Francis Journals, vol. 17(1), pages 1-29. [Downloadable!] (restricted)

    Cited by:

    1. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory