Details about Barbara Rossi
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Working Papers
2024
- Has the Phillips curve flattened?
French Stata Users' Group Meetings 2024, Stata Users Group 
- Rethinking Short-Term Real Interest Rates and Term Spreads Using Very Long-Run Data
NBER Working Papers, National Bureau of Economic Research, Inc
2022
- Local projections in unstable environments: How effective is fiscal policy?
Economics Virtual Symposium 2022, Stata Users Group View citations (3)
- Long-Run Trends in Long-Maturity Real Rates 1311-2021
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2021
- A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (37)
Also in Working Papers, Barcelona School of Economics (2019) View citations (9)
- Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (25)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (5)
Working Papers, Barcelona School of Economics (2020) View citations (3)
- Has the information channel of monetary policy disappeared? Revisiting the empirical evidence
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (4)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2020) View citations (11)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (22)
Working Papers, Barcelona School of Economics (2020) View citations (23)
2020
- From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts
Working Papers, Barcelona School of Economics View citations (7)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2019) View citations (4)
Working Papers, Banco de España (2019) View citations (7)
- From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
- Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (5)
Also in Working Papers, Barcelona School of Economics (2019) View citations (16)
2019
- Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models
Working Papers, Barcelona School of Economics View citations (1)
- Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
- The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
Working Papers, Barcelona School of Economics View citations (19)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (19)
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2018) View citations (19)
See also Journal Article The effects of conventional and unconventional monetary policy on exchange rates, Journal of International Economics, Elsevier (2019) View citations (75) (2019)
Chapter The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Chapters, National Bureau of Economic Research, Inc (2018) View citations (16) (2018)
- VAR-Based Granger-Causality Test in the Presence of Instabilities
Working Papers, Barcelona School of Economics View citations (11)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2019) View citations (18)
- Vector autoregressive-based Granger causality test in the presence of instabilities
MPRA Paper, University Library of Munich, Germany View citations (29)
See also Journal Article Vector autoregressive-based Granger causality test in the presence of instabilities, Stata Journal, StataCorp LLC (2019) View citations (29) (2019)
2018
- Confidence intervals for bias and size distortion in IV and local projections — IV models
Working Papers, Banco de España View citations (4)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2018) View citations (5)
- Identifying the sources of model misspecification
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (5)
Also in Working Papers, Barcelona School of Economics (2015) View citations (9)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (6)
See also Journal Article Identifying the sources of model misspecification, Journal of Monetary Economics, Elsevier (2020) View citations (10) (2020)
- Understanding the sources of macroeconomic uncertainty
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (10)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (63)
Working Papers, Barcelona School of Economics (2016) View citations (63)
2017
- Alternative tests for correct specification of conditional predictive densities
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (4)
Also in Working Papers, Barcelona School of Economics (2015) View citations (4)
See also Journal Article Alternative tests for correct specification of conditional predictive densities, Journal of Econometrics, Elsevier (2019) View citations (58) (2019)
2016
- Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (53)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014) View citations (5)
Working Papers, Barcelona School of Economics (2015) View citations (3)
See also Journal Article Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (49) (2016)
- In-sample Inference and Forecasting in Misspecified Factor Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (39)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) View citations (39)
See also Journal Article In-Sample Inference and Forecasting in Misspecified Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (37) (2016)
- Rolling window selection for out-of-sample forecasting with time-varying parameters
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (1)
Also in Working Papers, Barcelona School of Economics (2015) View citations (9)
See also Journal Article Rolling window selection for out-of-sample forecasting with time-varying parameters, Journal of Econometrics, Elsevier (2017) View citations (127) (2017)
2015
- Can Oil Prices Forecast Exchange Rates?
Working Papers, Barcelona School of Economics View citations (141)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (11)
Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (9)
NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (43)
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) View citations (158)
Working Papers, Duke University, Department of Economics (2011) View citations (32)
- Conditional Predictive Density Evaluation in the Presence of Instabilities
Working Papers, Barcelona School of Economics View citations (30)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (36)
See also Journal Article Conditional predictive density evaluation in the presence of instabilities, Journal of Econometrics, Elsevier (2013) View citations (34) (2013)
- Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set
Working Papers, Barcelona School of Economics
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (1)
See also Journal Article Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set, International Journal of Forecasting, Elsevier (2014) View citations (57) (2014)
- Exchange Rate Predictability
Working Papers, Barcelona School of Economics View citations (379)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (379)
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (381)
See also Journal Article Exchange Rate Predictability, Journal of Economic Literature, American Economic Association (2013) View citations (379) (2013)
- Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
Working Papers, Barcelona School of Economics
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014)
See also Journal Article Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Annual Review of Economics, Annual Reviews (2015) View citations (8) (2015)
- Heterogeneous Consumers and Fiscal Policy Shocks
Working Papers, Barcelona School of Economics View citations (2)
Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (10)
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) View citations (2)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (15)
See also Journal Article Heterogeneous Consumers and Fiscal Policy Shocks, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (44) (2016)
- Macroeconomic Uncertainty Indices for the Euro Area and Individual Member Countries
Working Papers, Barcelona School of Economics View citations (19)
- Macroeconomic uncertainty indices based on nowcast and forecast error distributions
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (243)
See also Journal Article Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions, American Economic Review, American Economic Association (2015) View citations (244) (2015)
- Model Comparisons in Unstable Environments
Working Papers, Barcelona School of Economics View citations (3)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (1)
Working Papers, Duke University, Department of Economics (2010) View citations (10)
Working Papers, Duke University, Department of Economics (2009) View citations (6)
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) View citations (2)
- Tests for the validity of portfolio or group choice in financial and panel regressions
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra
2014
- Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
2013
- Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (43)
2012
- Out-of-sample forecast tests robust to the choice of window size
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (229)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (11)
Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (8)
- The changing relationship between commodity prices and equity prices in commodity exporting
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (23)
2011
- Advances in Forecasting Under Instability
Working Papers, Duke University, Department of Economics View citations (6)
See also Chapter Advances in Forecasting under Instability, Handbook of Economic Forecasting, Elsevier (2013) View citations (91) (2013)
- Forecast Optimality Tests in the Presence of Instabilities
Working Papers, Duke University, Department of Economics View citations (9)
- Out-of-Sample Forecast Tests Robust to Window Size Choice
Working Papers, Duke University, Department of Economics View citations (10)
- What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?
Working Papers, Duke University, Department of Economics View citations (99)
See also Journal Article What Is the Importance of Monetary and Fiscal Shocks in Explaining U.S. Macroeconomic Fluctuations?, Journal of Money, Credit and Banking, Blackwell Publishing (2011) View citations (91) (2011)
2010
- Can Exchange Rates Forecast Commodity Prices?
Scholarly Articles, Harvard University Department of Economics View citations (415)
Also in Working Papers, University of Washington, Department of Economics (2009) View citations (8)
2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (48)
Working Papers, Duke University, Department of Economics (2010) View citations (424)
NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (52)
Working Papers, Duke University, Department of Economics (2008) View citations (73)
See also Journal Article Can Exchange Rates Forecast Commodity Prices?, The Quarterly Journal of Economics, President and Fellows of Harvard College (2010) View citations (426) (2010)
- Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?
Working Papers, Duke University, Department of Economics View citations (60)
Also in Working Papers, Duke University, Department of Economics (2008) View citations (12)
- Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Working Papers, Duke University, Department of Economics View citations (3)
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (33)
Working Papers, Duke University, Department of Economics (2009) View citations (6)
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009) View citations (6)
Working Papers, Duke University, Department of Economics (2007) View citations (30)
- Testing for Weak Identification in Possibly Nonlinear Models
Working Papers, Duke University, Department of Economics
See also Journal Article Testing for weak identification in possibly nonlinear models, Journal of Econometrics, Elsevier (2011) View citations (17) (2011)
- Understanding Models' Forecasting Performance
Working Papers, Duke University, Department of Economics View citations (2)
See also Journal Article Understanding models' forecasting performance, Journal of Econometrics, Elsevier (2011) View citations (34) (2011)
2009
- Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?
Working Papers, Duke University, Department of Economics View citations (2)
- Model Selection in Unstable Environments
2009 Meeting Papers, Society for Economic Dynamics
- Predicting Agri-Commodity Prices: an Asset Pricing Approach
Working Papers, University of Washington, Department of Economics View citations (2)
2008
- Forecast Comparisons in Unstable Environments
Working Papers, Duke University, Department of Economics View citations (13)
See also Journal Article Forecast comparisons in unstable environments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (331) (2010)
- Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
Working Papers, Duke University, Department of Economics View citations (5)
2007
- Information Criteria for Impulse Response Function Matching Estimation
2007 Meeting Papers, Society for Economic Dynamics View citations (29)
2006
- Detecting and Predicting Forecast Breakdowns
Working Papers, Duke University, Department of Economics View citations (4)
Also in Working Paper Series, European Central Bank (2006) View citations (6)
UCLA Economics Working Papers, UCLA Department of Economics (2005) View citations (8)
See also Journal Article Detecting and Predicting Forecast Breakdowns, The Review of Economic Studies, Review of Economic Studies Ltd (2009) View citations (118) (2009)
- Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
Working Papers, Duke University, Department of Economics
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 (19) (2007)
2005
- Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Data, University Library of Munich, Germany View citations (6)
Also in International Finance, University Library of Munich, Germany (2005) View citations (8)
See also Journal Article ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY, Macroeconomic Dynamics, Cambridge University Press (2006) View citations (141) (2006)
- Expectations Hypotheses Tests and Predictive Regressions at Long Horizons
Working Papers, Duke University, Department of Economics View citations (1)
- How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
Working Papers, Duke University, Department of Economics View citations (2)
See also Journal Article How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (83) (2006)
- Monitoring and Forecasting Currency Crises
Working Papers, Duke University, Department of Economics View citations (2)
See also Journal Article Monitoring and Forecasting Currency Crises, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (7) (2008)
2004
- Do Technology Shocks Drive Hours Up or Down?
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (5)
- 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)
- 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)
2003
- Recursive Predictability Tests for Real-Time Data
Working Papers, Duke University, Department of Economics View citations (4)
See also Journal Article Recursive Predictability Tests for Real-Time Data, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (26) (2005)
2002
- Confidence Intervals for Half-life Deviations from Purchasing Power Parity
Working Papers, Duke University, Department of Economics View citations (16)
See also Journal Article Confidence Intervals for Half-Life Deviations From Purchasing Power Parity, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (108) (2005)
- Optimal Tests for Nested Model Selection with Underlying Parameter Instability
Working Papers, Duke University, Department of Economics View citations (9)
See also Journal Article OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY, Econometric Theory, Cambridge University Press (2005) View citations (116) (2005)
- Testing Long-horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
Working Papers, Duke University, Department of Economics View citations (4)
See also Journal Article TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE-ROGOFF PUZZLE, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2005) View citations (85) (2005)
Journal Articles
2020
- Identifying the sources of model misspecification
Journal of Monetary Economics, 2020, 110, (C), 1-18 View citations (10)
See also Working Paper Identifying the sources of model misspecification, Economics Working Papers (2018) View citations (5) (2018)
2019
- Alternative tests for correct specification of conditional predictive densities
Journal of Econometrics, 2019, 208, (2), 638-657 View citations (58)
See also Working Paper Alternative tests for correct specification of conditional predictive densities, Economics Working Papers (2017) View citations (4) (2017)
- The effects of conventional and unconventional monetary policy on exchange rates
Journal of International Economics, 2019, 118, (C), 419-447 View citations (75)
See also Working Paper The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, Working Papers (2019) View citations (19) (2019)
Chapter The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Chapters, 2018, 419-447 (2018) View citations (16) (2018)
- Vector autoregressive-based Granger causality test in the presence of instabilities
Stata Journal, 2019, 19, (4), 883-899 View citations (29)
See also Working Paper Vector autoregressive-based Granger causality test in the presence of instabilities, MPRA Paper (2019) View citations (29) (2019)
2018
- Uncertainty and deviations from uncovered interest rate parity
Journal of International Money and Finance, 2018, 88, (C), 242-259 View citations (39)
2017
- Implementing tests for forecast evaluation in the presence of instabilities
Stata Journal, 2017, 17, (4), 850-865 View citations (2)
- Macroeconomic uncertainty indices for the Euro Area and its individual member countries
Empirical Economics, 2017, 53, (1), 41-62 View citations (49)
- Rolling window selection for out-of-sample forecasting with time-varying parameters
Journal of Econometrics, 2017, 196, (1), 55-67 View citations (127)
See also Working Paper Rolling window selection for out-of-sample forecasting with time-varying parameters, Economics Working Papers (2016) View citations (1) (2016)
2016
- A Review of Economic Forecasting
Econometrics Journal, 2016, 19, (3), B1-B3
- Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts
Journal of Applied Econometrics, 2016, 31, (3), 507-532 View citations (49)
See also Working Paper Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts, CEPR Discussion Papers (2016) View citations (53) (2016)
- Heterogeneous Consumers and Fiscal Policy Shocks
Journal of Money, Credit and Banking, 2016, 48, (8), 1877-1888 View citations (44)
See also Working Paper Heterogeneous Consumers and Fiscal Policy Shocks, Working Papers (2015) View citations (2) (2015)
- In-Sample Inference and Forecasting in Misspecified Factor Models
Journal of Business & Economic Statistics, 2016, 34, (3), 313-338 View citations (37)
See also Working Paper In-sample Inference and Forecasting in Misspecified Factor Models, CEPR Discussion Papers (2016) View citations (39) (2016)
- Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
Journal of Business & Economic Statistics, 2016, 34, (3), 353-356 View citations (7)
2015
- Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates
Journal of International Money and Finance, 2015, 54, (C), 116-141 View citations (139)
- Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
Annual Review of Economics, 2015, 7, (1), 207-229 View citations (8)
See also Working Paper Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Working Papers (2015) (2015)
- Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions
American Economic Review, 2015, 105, (5), 650-55 View citations (244)
See also Working Paper Macroeconomic uncertainty indices based on nowcast and forecast error distributions, Economics Working Papers (2015) View citations (243) (2015)
2014
- Comment
Journal of Business & Economic Statistics, 2014, 32, (4), 510-514
- Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set
International Journal of Forecasting, 2014, 30, (3), 662-682 View citations (57)
See also Working Paper Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set, Working Papers (2015) (2015)
2013
- Comment
NBER International Seminar on Macroeconomics, 2013, 9, (1), 106 - 116
- Conditional predictive density evaluation in the presence of instabilities
Journal of Econometrics, 2013, 177, (2), 199-212 View citations (34)
See also Working Paper Conditional Predictive Density Evaluation in the Presence of Instabilities, Working Papers (2015) View citations (30) (2015)
- Exchange Rate Predictability
Journal of Economic Literature, 2013, 51, (4), 1063-1119 View citations (379)
See also Working Paper Exchange Rate Predictability, Working Papers (2015) View citations (379) (2015)
2011
- Comment
Journal of Business & Economic Statistics, 2011, 30, (1), 25-29
- Identifying the Sources of Instabilities in Macroeconomic Fluctuations
The Review of Economics and Statistics, 2011, 93, (4), 1186-1204 View citations (74)
- Testing for weak identification in possibly nonlinear models
Journal of Econometrics, 2011, 161, (2), 246-261 View citations (17)
See also Working Paper Testing for Weak Identification in Possibly Nonlinear Models, Working Papers (2010) (2010)
- Understanding models' forecasting performance
Journal of Econometrics, 2011, 164, (1), 158-172 View citations (34)
See also Working Paper Understanding Models' Forecasting Performance, Working Papers (2010) View citations (2) (2010)
- What Is the Importance of Monetary and Fiscal Shocks in Explaining U.S. Macroeconomic Fluctuations?
Journal of Money, Credit and Banking, 2011, 43, (6), 1247-1270 View citations (91)
See also Working Paper What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?, Working Papers (2011) View citations (99) (2011)
2010
- Can Exchange Rates Forecast Commodity Prices?
The Quarterly Journal of Economics, 2010, 125, (3), 1145-1194 View citations (426)
See also Working Paper Can Exchange Rates Forecast Commodity Prices?, Scholarly Articles (2010) View citations (415) (2010)
- Forecast comparisons in unstable environments
Journal of Applied Econometrics, 2010, 25, (4), 595-620 View citations (331)
See also Working Paper Forecast Comparisons in Unstable Environments, Working Papers (2008) View citations (13) (2008)
- Have economic models' forecasting performance for US output growth and inflation changed over time, and when?
International Journal of Forecasting, 2010, 26, (4), 808-835 View citations (75)
2009
- Detecting and Predicting Forecast Breakdowns
The Review of Economic Studies, 2009, 76, (2), 669-705 View citations (118)
See also Working Paper Detecting and Predicting Forecast Breakdowns, Working Papers (2006) View citations (4) (2006)
2008
- Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models*
Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 867-893 View citations (6)
- Monitoring and Forecasting Currency Crises
Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 View citations (7)
See also Working Paper Monitoring and Forecasting Currency Crises, Working Papers (2005) View citations (2) (2005)
2007
- Expectations hypotheses tests at Long Horizons
Econometrics Journal, 2007, 10, (3), 554-579 View citations (22)
- Impulse response confidence intervals for persistent data: What have we learned?
Journal of Economic Dynamics and Control, 2007, 31, (7), 2398-2412 View citations (19)
See also Working Paper Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?, Working Papers (2006) (2006)
2006
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
Macroeconomic Dynamics, 2006, 10, (1), 20-38 View citations (141)
See also Working Paper Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability, Data (2005) View citations (6) (2005)
- How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*
Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 783-795 View citations (83)
See also Working Paper How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?, Working Papers (2005) View citations (2) (2005)
- Small-sample confidence intervals for multivariate impulse response functions at long horizons
Journal of Applied Econometrics, 2006, 21, (8), 1135-1155 View citations (31)
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
- Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
Journal of Business & Economic Statistics, 2005, 23, 432-442 View citations (108)
See also Working Paper Confidence Intervals for Half-life Deviations from Purchasing Power Parity, Working Papers (2002) View citations (16) (2002)
- 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)
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
Econometric Theory, 2005, 21, (5), 962-990 View citations (116)
See also Working Paper Optimal Tests for Nested Model Selection with Underlying Parameter Instability, Working Papers (2002) View citations (9) (2002)
- Recursive Predictability Tests for Real-Time Data
Journal of Business & Economic Statistics, 2005, 23, 336-345 View citations (26)
See also Working Paper Recursive Predictability Tests for Real-Time Data, Working Papers (2003) View citations (4) (2003)
- TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE-ROGOFF PUZZLE
International Economic Review, 2005, 46, (1), 61-92 View citations (85)
See also Working Paper Testing Long-horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle, Working Papers (2002) View citations (4) (2002)
Chapters
2018
- The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
A chapter in NBER International Seminar on Macroeconomics 2018, 2018, pp 419-447 View citations (16)
See also Working Paper The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, Barcelona School of Economics (2019) View citations (19) (2019)
Journal Article The effects of conventional and unconventional monetary policy on exchange rates, Elsevier (2019) View citations (75) (2019)
2013
- Advances in Forecasting under Instability
Elsevier View citations (91)
See also Working Paper Advances in Forecasting Under Instability, Duke University, Department of Economics (2011) View citations (6) (2011)
- Forecasting in macroeconomics
Chapter 17 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 381-408 View citations (3)
2012
- Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"
A chapter in NBER International Seminar on Macroeconomics 2012, 2012, pp 106-116
2008
- Comment on "Exchange Rate Models Are Not As Bad As You Think"
A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 453-470 View citations (3)
Software Items
2024
- TVPREG: Stata module to perform parameter path estimation in unstable environments
Statistical Software Components, Boston College Department of Economics
2020
- GCROBUSTVAR: Stata module to compute a VAR-based Granger-causality Test in the Presence of Instabilities
Statistical Software Components, Boston College Department of Economics
2017
- FOREC_INSTAB: Stata module to perform forecast comparison and forecast rationality tests
Statistical Software Components, Boston College Department of Economics
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