Details about Lutz Kilian

Access statistics for papers by Lutz Kilian.

Last updated 2013-05-04. Update your information in the RePEc Author Service.

Short-id: pki110

Working Papers

2013

1. Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2012

2. Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
   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.) (2012)
   See also Journal Article in Journal of Business & Economic Statistics (2013)
3. Monetary policy responses to oil price fluctuations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article in IMF Economic Review (2012)
4. Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
   Working Papers, Bank of Canada
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011)
5. The Role of Speculation in Oil Markets: What Have We Learned So Far?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
6. What Central Bankers Need to Know about Forecasting Oil Prices
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2011

7. Forecasting the Price of Oil
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
   Also in Working Papers, Bank of Canada (2011) View citations (3)
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (2)
8. Inference on Impulse Response Functions in Structural VAR Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
9. Nonlinearities in the Oil Price-Output Relationship
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (6)
   See also Journal Article in Macroeconomic Dynamics (2011)
10. Real-Time Forecasts of the Real Price of Oil
    Working Papers, Bank of Canada View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2012)
11. Structural Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

2010

12. The Role of Inventories and Speculative Trading in the Global Market for Crude Oil
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (35)

2009

13. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
14. Do Local Projections Solve the Bias Problem in Impulse Response Inference?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
15. Does the Fed Respond to Oil Price Shocks?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    See also Journal Article in Economic Journal (2011)
16. Estimating the Effect of a Gasoline Tax on Carbon Emissions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2011)
17. Frequentist Inference in Weakly Identified DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) View citations (1)
18. Oil Price Shocks, Monetary Policy and Stagflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Chapter (2010)
19. Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
    Also in 2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (2)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (4)
20. Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    See also Journal Article in Journal of the European Economic Association (2012)

2008

21. 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 (12)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (8)
    See also Journal Article in The Review of Economics and Statistics (2011)
22. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Journal of Political Economy (2011)
23. 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 View citations (4)

2007

24. Oil Shocks and External Balances
    Working Papers, Research Seminar in International Economics, University of Michigan View citations (8)
    Also in IMF Working Papers, International Monetary Fund (2007) View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (20)
    See also Journal Article in Journal of International Economics (2009)
25. Retail Energy Prices and Consumer Expenditures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
26. 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 (2)
27. 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 (2)
    See also Journal Article in Journal of Money, Credit and Banking (2008)
28. The Economic Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (44)
    See also Journal Article in Journal of Economic Literature (2008)
29. The Impact of Oil Price Shocks on the U.S. Stock Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
    See also Journal Article in International Economic Review (2009)
30. 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 (8)
    See also Journal Article in The B.E. Journal of Macroeconomics (2007)
31. What Do We Learn from the Price of Crude Oil Futures?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    See also Journal Article in Journal of Applied Econometrics (2010)

2006

32. 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 (3)
    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)
33. 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 (20)
    See also Journal Article in American Economic Review (2009)
34. Time Series Analysis
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (11)
    Also in Working Papers, University of Maryland, Department of Agricultural and Resource Economics (2006) View citations (2)

2005

35. 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 (14)
    See also Journal Article in The Review of Economics and Statistics (2008)
36. 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 (8)
37. 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 (13)

2004

38. Bagging Time Series Models
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (6)
39. Oil and the Macroeconomy Since the 1970s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (116)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (98)
    See also Journal Article in Journal of Economic Perspectives (2004)

2003

40. Asymptotic and Bootstrap Inference for AR(Infinite) Processes with Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO View citations (3)
41. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    Also in Working Paper Series, European Central Bank (2002) View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations (7)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2002) View citations (4)
    CIRANO Working Papers, CIRANO (2003) View citations (24)
    See also Journal Article in Journal of Econometrics (2004)
42. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    Also in Working Paper Series, European Central Bank (2003) View citations (7)
    See also Journal Article in Journal of Econometrics (2006)
43. The Central Bank as a risk manager: quantifying and forecasting fnflation risks
    Working Paper Series, European Central Bank View citations (5)
44. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2002

45. 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 (48)
    Also in Working Paper Series, European Central Bank (2002) View citations (39)
    See also Journal Article in Econometric Reviews (2005)

2001

46. A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
47. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (72)
    See also Chapter (2002)
48. 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 (34)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (35)
    Working Paper Series, European Central Bank (2001) View citations (35)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations (9)
    See also Journal Article in Journal of International Economics (2003)

2000

49. A Monetary Explanation Of The Great Stagflation Of The 1970s
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (1)
    Working Papers, Research Seminar in International Economics, University of Michigan (2000) View citations (1)
50. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
    See also Journal Article in Econometrica (2002)
51. Measuring Predictability: Theory And Macroeconomic Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (8)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations (8)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2001)
52. 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 (6)
    Also in Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (16)
    See also Journal Article in Journal of International Money and Finance (2001)

1999

53. 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 (1)
    See also Journal Article in Econometric Reviews (2002)
54. 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 (14)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1999) View citations (4)
55. 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 (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (1)
    Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (1)
    Working Paper, Federal Reserve Bank of Atlanta (1999) View citations (2)
56. 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 (4)
    Also in ZEI Working Papers, ZEI - Center for European Integration Studies, University of Bonn (1999) View citations (2)
57. Unit Root Tests Are Useful for Selecting Forecasting Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    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 (14)
    See also Journal Article in Journal of Business & Economic Statistics (2000)
58. Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (3)
    See also Journal Article in Macroeconomic Dynamics (2002)

1998

59. A Direct test of the Emerging Consensus about Long-Run PPP
    Departmental Working Papers, Bilkent University, Department of Economics
60. Analyzing Unit Root Tests in Finite Samples Using Power Profiles
    Working Papers, Michigan - Center for Research on Economic & Social Theory
61. How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (2)
62. Is there a trend break in U.S. GNP? A macroeconomic perspective
    Staff Report, Federal Reserve Bank of Minneapolis View citations (2)
63. Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (1)

1997

64. Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?
    Working Papers, Research Seminar in International Economics, University of Michigan View citations (1)
65. Residual-Based Bootstrap Tests for Normality in Autoregressions
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (4)

1996

66. Recent developments in bootstrapping time series
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (46)
    See also Journal Article in Econometric Reviews (2000)

Journal Articles

2013

1. Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
   Journal of Business & Economic Statistics, 2013, 31, (1), 78-93
   See also Working Paper (2012)

2012

2. Interviews with the experts on "Financial Speculation in the Oil Market and the Determinants of the Oil Price" (PART II)
   Review of Environment, Energy and Economics - Re3, 2012
3. Monetary Policy Responses to Oil Price Fluctuations
   IMF Economic Review, 2012, 60, (4), 470-504 View citations (1)
   See also Working Paper (2012)
4. Real-Time Forecasts of the Real Price of Oil
   Journal of Business & Economic Statistics, 2012, 30, (2), 326-336 View citations (2)
   See also Working Paper (2011)
5. WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS
   Journal of the European Economic Association, 2012, 10, (5), 1166-1188 View citations (17)
   See also Working Paper (2009)

2011

6. Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
   Quantitative Economics, 2011, 2, (3), 419-453 View citations (16)
7. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
   The Review of Economics and Statistics, 2011, 93, (2), 660-671 View citations (7)
   See also Working Paper (2008)
8. Does the Fed Respond to Oil Price Shocks?
   Economic Journal, 2011, 121, (555), 1047-1072 View citations (13)
   See also Working Paper (2009)
9. Estimating the effect of a gasoline tax on carbon emissions
   Journal of Applied Econometrics, 2011, 26, (7), 1187-1214 View citations (6)
   See also Working Paper (2009)
10. How Reliable Are Local Projection Estimators of Impulse Responses?
    The Review of Economics and Statistics, 2011, 93, (4), 1460-1466 View citations (2)
11. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363
    See also Working Paper (2011)
12. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
    Journal of Political Economy, 2011, 119, (2), 212 - 241 View citations (5)
    See also Working Paper (2008)

2010

13. Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market
    The Energy Journal, 2010, Volume 31, (Number 2), 87-112 View citations (8)
14. What do we learn from the price of crude oil futures?
    Journal of Applied Econometrics, 2010, 25, (4), 539-573 View citations (26)
    See also Working Paper (2007)

2009

15. 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 View citations (2)
    See also Working Paper (2006)
16. How sensitive are consumer expenditures to retail energy prices?
    Journal of Monetary Economics, 2009, 56, (6), 766-779 View citations (25)
17. 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 (157)
    See also Working Paper (2006)
18. Oil shocks and external balances
    Journal of International Economics, 2009, 77, (2), 181-194 View citations (21)
    See also Working Paper (2007)
19. THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET
    International Economic Review, 2009, 50, (4), 1267-1287 View citations (22)
    See also Working Paper (2007)

2008

20. 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 (48)
21. 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 (95)
    See also Working Paper (2005)
22. 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 View citations (5)
23. 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 (4)
    See also Working Paper (2007)
24. The Economic Effects of Energy Price Shocks
    Journal of Economic Literature, 2008, 46, (4), 871-909 View citations (52)
    See also Working Paper (2007)

2007

25. Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
    Econometric Reviews, 2007, 26, (6), 609-641 View citations (16)
26. Comment
    Journal of Business & Economic Statistics, 2007, 25, 156-159
27. Quantifying the Risk of Deflation
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 View citations (3)
28. 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), 35 View citations (15)
    See also Working Paper (2007)

2006

29. NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005
    Econometric Theory, 2006, 22, (05), 961-967
30. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 View citations (40)
    See also Working Paper (2003)
31. Understanding the effects of exogenous oil supply shocks
    CESifo Forum, 2006, 7, (2), 21-27

2005

32. A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1), 2 View citations (23)
33. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    Econometric Reviews, 2005, 23, (4), 371-402 View citations (4)
    See also Working Paper (2002)

2004

34. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
    Journal of Econometrics, 2004, 123, (1), 89-120 View citations (71)
    See also Working Paper (2003)
35. Oil and the Macroeconomy Since the 1970s
    Journal of Economic Perspectives, 2004, 18, (4), 115-134 View citations (102)
    See also Working Paper (2004)

2003

36. 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 (7)
37. 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 (157)
    See also Working Paper (2001)

2002

38. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 View citations (48)
    See also Working Paper (2000)
39. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 View citations (10)
40. DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
    Econometric Reviews, 2002, 21, (4), 449-476 View citations (2)
    See also Working Paper (1999)
41. Quantifying the uncertainty about the half-life of deviations from PPP
    Journal of Applied Econometrics, 2002, 17, (2), 107-125 View citations (30)
42. UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
    Macroeconomic Dynamics, 2002, 6, (05), 614-632 View citations (4)
    See also Working Paper (1999)

2001

43. Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order
    Journal of Forecasting, 2001, 20, (3), 161-79 View citations (37)
44. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations (29)
    See also Working Paper (2000)
45. 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 (41)
    See also Working Paper (2000)

2000

46. How accurate are confidence intervals for impulse responses in large VAR models?
    Economics Letters, 2000, 69, (3), 299-307 View citations (18)
47. Recent developments in bootstrapping time series
    Econometric Reviews, 2000, 19, (1), 1-48 View citations (40)
    See also Working Paper (1996)
48. Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
    Journal of Business & Economic Statistics, 2000, 18, (1), 40-50 View citations (15)
49. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (28)
    See also Working Paper (1999)

1999

50. Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?
    Journal of Applied Econometrics, 1999, 14, (5), 491-510 View citations (104)
51. 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 (23)

1998

52. Confidence intervals for impulse responses under departures from normality
    Econometric Reviews, 1998, 17, (1), 1-29 View citations (32)
53. Small-Sample Confidence Intervals For Impulse Response Functions
    The Review of Economics and Statistics, 1998, 80, (2), 218-230 View citations (197)

1995

54. 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 (34)
    Also in Proceedings, 1994, 1209-1240 (1994) View citations (6)

Chapters

2010

1. Oil Price Shocks, Monetary Policy and Stagflation
   A chapter in Inflation in an Era of Relative Price Shocks, 2010 View citations (6)
   See also Working Paper (2009)

2002

2. 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 (48)
   See also Working Paper (2001)