Published
papers:
1. Testing
Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle,
International Economic Review 46(1), February 2005, 61-92.
2. Optimal Tests for Nested Model
Selection with underlying Parameter Instability, Econometric Theory
21(5), October 2005, 962-990. (Matlab
codes)
3. Confidence intervals for
half-life deviations from Purchasing Power Parity, Journal of Business
and Economic Statistics 23(4), October 2005, 432-442. (Matlab
codes) (Additional
figures)
4. Do Technology Shocks
Drive Hours Up or Down?, with E. Pesavento, Macroeconomic Dynamics 9(4),
September 2005, 478-488. (Gauss
Codes)
5. Recursive Predictability
Tests for Real-Time Data, with A. Inoue, Journal
of Business and Economic Statistics 23(3), July 2005, 336-345. (Matlab
Codes)
6. Small sample confidence
intervals for multivariate IRF at long horizons with E. Pesavento,
Journal of Applied Econometrics 21(8), December 2006, 1135-1155. (Additional appendix) (Matlab Codes)
7. Are Exchange Rates Really
Random Walks? Some Evidence Robust to Parameter Instability Macroeconomic
Dynamics 10(1), February 2006, 20-38. (Matlab
codes and Additional
Matlab codes)
8. Impulse Response
Confidence Intervals for Persistent Data: What Have We Learned?, with E.
Pesavento, Journal of Economic Dynamics and
Control 31, 2007, 2398-2412. (Matlab
codes)
9. How stable is the forecasting
performance of the yield curve for output growth?,
with R. Giacomini,
10. Expectations
Hypotheses Tests and Predictive Regressions at Long Horizons, The Econometrics Journal 10(3), October 2007, 1-26. (Matlab codes: Code to implement the
procedure; Replication codes: Monte Carlo & Empirical; Poster for Faro).
11. Monitoring and Forecasting
Currency Crises, with A. Inoue, Journal of Money Credit and Banking, 40(2-3),
March-April 2008, 523-534. Appendix (**)
12. Model Selection for Nested and Overlapping
Non-Linear Dynamic and Possibly Misspecified Models,
with M. Marcellino, Oxford Bulletin
of Economics and Statistics 70(s1), December 2008, 867-893.
13. Detecting and Predicting
Forecast Breakdowns, with R.
Giacomini (Matlab codes: Wald test variance, empirical, some Monte Carlos, maincodes).
The Review of Economic Studies, forthcoming,
July 2009.
14. Forecast
Comparisons in Unstable Environments, with R. Giacomini. Journal of Applied Econometrics, forthcoming.
15. Has Models’
Forecasting Performance Changed Over Time, and When?, with T. Sekhposyan
(additional Appendix).
International Journal of Forecasting,
forthcoming. (Matlab
codes)
16. Can
Exchange Rates Forecast Commodity Prices?, with Y. Chen and K. Rogoff. Quarterly
Journal of Economics, forthcoming (Matlab
codes)
Other
publications:
Comment on “Exchange Rate Models Are Not as Bad
as You Think”, by C. Engel, N. Mark and K.D. West. Prepared for the 2007 NBER Macroeconomics Annual.
“Where
Are Commodity Prices Headed Next? Look at Exchange Rates”, with Y.C. Chen and
K. Rogoff, Vox (www.voxeu.org/index.php?q=node/1631).
An older version of the paper is available as NBER Working Paper w13901, March 2008. Additional table.
Working Papers
(submitted):
Information
Criteria for Impulse Response Function Matching Estimation of DSGE Models,
with A. Hall, A. Inoue, and J. Nason, Duke University Working Paper 2007-04
Identifying the Sources of Instabilities in
Macroeconomic Fluctuations, with A. Inoue (Matlab
codes: Empirical results), Duke
University Working Paper 2008-02
Additional Not-for-Publication
Appendix
Testing
for Weak Identification in Possibly Nonlinear Models, with A. Inoue
What is the
Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic
Fluctuations?, with S. Zubairy
Model Comparisons in Unstable
Environments, with R. Giacomini (Matlab codes)
(*) In case you experience problems in reading the papers because some
characters are not displayed, you should check that you have Adobe Acrobat
installed in your computer and that you optimized its font settings (you may
follow the instructions in http://www.tcisoft.com/techtalk/v30/30ts58.htm).
Most papers are available also as Duke Working Papers at: http://www.econ.duke.edu/working_papers/working_papers.php.
(**) Please
send an email for the codes: the files and data are too big to be posted.