Details about Lutz Kilian

Access statistics for papers by Lutz Kilian.

Last updated 2009-11-04. Update your information in the RePEc Author Service.

Short-id: pki110

Working Papers

2009

1. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
2. Do Local Projections Solve the Bias Problem in Impulse Response Inference?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Estimating the Effect of a Gasoline Tax on Carbon Emissions
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations
4. Frequentist inference in weakly identified DSGE models
   Working Papers, Federal Reserve Bank of Philadelphia
5. Oil Price Shocks, Monetary Policy and Stagflation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
6. Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009)

2008

7. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations
8. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
   NBER Working Papers, National Bureau of Economic Research, Inc
9. 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, C.E.P.R. Discussion Papers

2007

10. Oil Shocks and External Balances
    Working Papers, Research Seminar in International Economics, University of Michigan View citations
    Also in IMF Working Papers, International Monetary Fund (2007) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations
    See also Journal Article in Journal of International Economics (2009)
11. Retail Energy Prices and Consumer Expenditures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
12. The Allocative Cost of Price Ceilings: Lessons to be Learned from the US Residential Market for Natural Gas
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
13. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Money, Credit and Banking (2008)
14. The Economic Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Economic Literature (2008)
15. The Impact of Oil Price Shocks on the U.S. Stock Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
16. 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, C.E.P.R. Discussion Papers View citations
    See also Journal Article in The B.E. Journal of Macroeconomics (2007)
17. What Do We Learn from the Price of Crude Oil Futures?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2006

18. Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006)
    See also Journal Article in Journal of Money, Credit and Banking (2009)
19. Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in American Economic Review (2009)
20. Time Series Analysis
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
    Also in Working Papers, University of Maryland, Department of Agricultural and Resource Economics (2006)

2005

21. Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in The Review of Economics and Statistics (2008)
22. How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
23. The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2004

24. Bagging Time Series Models
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
25. Oil and the Macroeconomy Since the 1970s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    See also Journal Article in Journal of Economic Perspectives (2004)

2003

26. Asymptotic and Bootstrap Inference for AR(Infinite) Processes with Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO View citations
27. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Working Paper Series, European Central Bank (2002) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2002) View citations
    CIRANO Working Papers, CIRANO (2003) View citations
    See also Journal Article in Journal of Econometrics (2004)
28. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2003) View citations
    See also Journal Article in Journal of Econometrics (2006)
29. The Central Bank as a risk manager: quantifying and forecasting fnflation risks
    Working Paper Series, European Central Bank View citations
30. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2002

31. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2002) View citations

2001

32. A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
33. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (2002)
34. Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?
    Working Papers, Research Seminar in International Economics, University of Michigan View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations
    Working Paper Series, European Central Bank (2001) View citations
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations
    See also Journal Article in Journal of International Economics (2003)

2000

35. A Monetary Explanation Of The Great Stagflation Of The 1970s
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000)
    Working Papers, Research Seminar in International Economics, University of Michigan (2000)
36. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    See also Journal Article in Econometrica (2002)
37. Measuring Predictability: Theory And Macroeconomic Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations
    Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations
    See also Journal Article in Journal of Applied Econometrics (2001)
38. Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations
    See also Journal Article in Journal of International Money and Finance (2001)

1999

39. Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: A Monte Carlo Study
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations
    See also Journal Article in Econometric Reviews (2002)
40. On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1999) View citations
41. Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors
    Working Papers, Research Seminar in International Economics, University of Michigan View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations
    Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations
    Working Paper, Federal Reserve Bank of Atlanta (1999) View citations
42. Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work
    Computing in Economics and Finance 1999, Society for Computational Economics View citations
43. Unit Root Tests Are Useful for Selecting Forecasting Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2000)
44. Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations
    See also Journal Article in Macroeconomic Dynamics (2002)

1998

45. A Direct test of the Emerging Consensus about Long-Run PPP
    Departmental Working Papers, Bilkent University, Department of Economics
46. Analyzing Unit Root Tests in Finite Samples Using Power Profiles
    Working Papers, Michigan - Center for Research on Economic & Social Theory
47. How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations
48. Is there a trend break in U.S. GNP? A macroeconomic perspective
    Staff Report, Federal Reserve Bank of Minneapolis
49. Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations

1997

50. Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?
    Working Papers, Research Seminar in International Economics, University of Michigan View citations
51. Residual-Based Bootstrap Tests for Normality in Autoregressions
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations

1996

52. Recent developments in bootstrapping time series
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Econometric Reviews (2000)

Journal Articles

2009

1. Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data
   Journal of Money, Credit and Banking, 2009, 41, (7), 1331-1363
   See also Working Paper (2006)
2. Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
   American Economic Review, 2009, 99, (3), 1053-69 View citations
   See also Working Paper (2006)
3. Oil shocks and external balances
   Journal of International Economics, 2009, 77, (2), 181-194 View citations
   See also Working Paper (2007)

2008

4. A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries
   Journal of the European Economic Association, 2008, 6, (1), 78-121 View citations
5. 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, 2008, 90, (2), 216-240 View citations
   See also Working Paper (2005)
6. How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
   Journal of the American Statistical Association, 2008, 103, 511-522
7. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
   Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 View citations
   See also Working Paper (2007)
8. The Economic Effects of Energy Price Shocks
   Journal of Economic Literature, 2008, 46, (4), 871-909 View citations
   See also Working Paper (2007)

2007

9. Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
   Econometric Reviews, 2007, 26, (6), 609-641 View citations
10. Comment
    Journal of Business & Economic Statistics, 2007, 25, 156-159
11. Quantifying the Risk of Deflation
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 View citations
12. 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, 2007, 7, (1) View citations
    See also Working Paper (2007)

2006

13. NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005
    Econometric Theory, 2006, 22, (05), 961-967
14. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 View citations
    See also Working Paper (2003)
15. Understanding the effects of exogenous oil supply shocks
    CESifo Forum, 2006, 7, (2), 21-27

2005

16. A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1) View citations

2004

17. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
    Journal of Econometrics, 2004, 123, (1), 89-120 View citations
    See also Working Paper (2003)
18. Oil and the Macroeconomy since the 1970s
    Journal of Economic Perspectives, 2004, 18, (4), 115-134 View citations
    See also Working Paper (2004)

2003

19. THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP
    Econometric Theory, 2003, 19, (06), 944-961 View citations
20. Why is it so difficult to beat the random walk forecast of exchange rates?
    Journal of International Economics, 2003, 60, (1), 85-107 View citations
    See also Working Paper (2001)

2002

21. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 View citations
    See also Working Paper (2000)
22. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 View citations
23. DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
    Econometric Reviews, 2002, 21, (4), 449-476 View citations
    See also Working Paper (1999)
24. Quantifying the uncertainty about the half-life of deviations from PPP
    Journal of Applied Econometrics, 2002, 17, (2), 107-125 View citations
25. UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
    Macroeconomic Dynamics, 2002, 6, (05), 614-632
    See also Working Paper (1999)

2001

26. Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order
    Journal of Forecasting, 2001, 20, (3), 161-79 View citations
27. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations
    See also Working Paper (2000)
28. Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
    Journal of International Money and Finance, 2001, 20, (5), 639-657 View citations
    See also Working Paper (2000)

2000

29. How accurate are confidence intervals for impulse responses in large VAR models?
    Economics Letters, 2000, 69, (3), 299-307 View citations
30. Recent developments in bootstrapping time series
    Econometric Reviews, 2000, 19, (1), 1-48 View citations
    See also Working Paper (1996)
31. Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
    Journal of Business & Economic Statistics, 2000, 18, (1), 40-50 View citations
32. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations
    See also Working Paper (1999)

1999

33. Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?
    Journal of Applied Econometrics, 1999, 14, (5), 491-510 View citations
34. FINITE-SAMPLE PROPERTIES OF PERCENTILE AND PERCENTILE-t BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES
    The Review of Economics and Statistics, 1999, 81, (4), 652-660 View citations

1998

35. Confidence intervals for impulse responses under departures from normality
    Econometric Reviews, 1998, 17, (1), 1-29 View citations
36. Small-Sample Confidence Intervals For Impulse Response Functions
    The Review of Economics and Statistics, 1998, 80, (2), 218-230 View citations

1995

37. The Effects of Real and Monetary Shocks in a Business Cycle Model with Some Sticky Prices
    Journal of Money, Credit and Banking, 1995, 27, (4), 1209-34 View citations
    Also in Proceedings, 1994, 1209-1240 (1994) View citations

Chapters

2002

1. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
   A chapter in NBER Macroeconomics Annual 2001, Volume 16, 2002, pp 137-198 View citations
   See also Working Paper (2001)