Details about Elena Pesavento

Access statistics for papers by Elena Pesavento.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: ppe68

Working Papers

2024

1. Nonparametric Local Projections
   Working Papers, Federal Reserve Bank of Dallas

2022

2. When Do State-Dependent Local Projections Work?
   Working Papers, Federal Reserve Bank of Dallas View citations (14)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)

2020

3. Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors
   Working Papers, Federal Reserve Bank of Dallas
   See also Journal Article Impulse response analysis for structural dynamic models with nonlinear regressors, Journal of Econometrics, Elsevier (2021) View citations (16) (2021)

2009

4. Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (10)
   See also Journal Article Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (15) (2011)

2006

5. Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
   Economics Working Papers, European University Institute
   Also in Working Papers, Duke University, Department of Economics (2006)
   See also Journal Article Impulse response confidence intervals for persistent data: What have we learned?, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (20) (2007)
6. Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size
   Economics Working Papers, European University Institute View citations (5)

2004

7. Do Technology Shocks Drive Hours Up or Down?
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (5)
8. Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure
   Econometrics, University Library of Munich, Germany
   Also in Working Papers, Duke University, Department of Economics (2003) View citations (2)
   See also Journal Article DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE, Macroeconomic Dynamics, Cambridge University Press (2005) View citations (26) (2005)
9. Optimal Power for Testing Potential Cointegrating Vectors with Known
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
10. Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (1)
    Working Papers, Duke University, Department of Economics (2003) View citations (4)
    See also Journal Article Small-sample confidence intervals for multivariate impulse response functions at long horizons, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (31) (2006)

2000

11. Analytical Evaluation of the Power of Tests for the Absence of Cointegration
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
    See also Journal Article Analytical evaluation of the power of tests for the absence of cointegration, Journal of Econometrics, Elsevier (2004) View citations (66) (2004)

Journal Articles

2022

1. Long-horizon stock valuation and return forecasts based on demographic projections
   Journal of Empirical Finance, 2022, 68, (C), 190-215

2021

2. Impulse response analysis for structural dynamic models with nonlinear regressors
   Journal of Econometrics, 2021, 225, (1), 107-130 View citations (16)
   See also Working Paper Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors, Working Papers (2020) (2020)

2011

3. Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks
   Journal of Business & Economic Statistics, 2011, 29, (4), 455-467 View citations (15)
   Also in Journal of Business & Economic Statistics, 2011, 29, (4), 455-467 (2011) View citations (15)
   See also Working Paper Sensitivity of Impulse Responses to Small Low Frequency Co-Movements: Reconciling the Evidence on the Effects of Technology Shocks, Cahiers de recherche (2009) View citations (10) (2009)

2009

4. OIL PRICE SHOCKS, SYSTEMATIC MONETARY POLICY, AND THE “GREAT MODERATION”
   Macroeconomic Dynamics, 2009, 13, (1), 107-137 View citations (176)
5. TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
   Econometric Theory, 2009, 25, (6), 1829-1850 View citations (3)

2008

6. The comovement in inventories and in sales: Higher and higher
   Economics Letters, 2008, 99, (1), 155-158 View citations (10)

2007

7. Impulse response confidence intervals for persistent data: What have we learned?
   Journal of Economic Dynamics and Control, 2007, 31, (7), 2398-2412 View citations (20)
   See also Working Paper Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?, Economics Working Papers (2006) (2006)
8. Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
   Journal of Time Series Analysis, 2007, 28, (1), 111-137 View citations (8)

2006

9. On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973
   Journal of Money, Credit and Banking, 2006, 38, (6), 1405-1430 View citations (25)
10. Small-sample confidence intervals for multivariate impulse response functions at long horizons
    Journal of Applied Econometrics, 2006, 21, (8), 1135-1155 View citations (31)
    Also in Journal of Applied Econometrics, 2006, 21, (8), 1135-1155 (2006) View citations (7)
    See also Working Paper Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons, CEPR Discussion Papers (2004) View citations (3) (2004)

2005

11. DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
    Macroeconomic Dynamics, 2005, 9, (4), 478-488 View citations (26)
    See also Working Paper Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure, Econometrics (2004) (2004)
12. Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
    Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations (26)
13. The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment
    Journal of Business & Economic Statistics, 2005, 23, 462-472 View citations (70)

2004

14. Analytical evaluation of the power of tests for the absence of cointegration
    Journal of Econometrics, 2004, 122, (2), 349-384 View citations (66)
    See also Working Paper Analytical Evaluation of the Power of Tests for the Absence of Cointegration, University of California at San Diego, Economics Working Paper Series (2000) View citations (5) (2000)