Existing methods for constructing confidence bands for multivatiate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been...

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

A well-known puzzle in the international finance literature is that a random walk predicts exchange rates better than economic models (Meese and Rogoff, 1983a, b and 1988). This paper offers a potential explanation for this finding. When exchange rates and fundamentals are highly persistent,...

Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. Commonly used test...

According to the Purchasing Power Parity (PPP) theory, real exchange rate fluctuations are mainly caused by transitory shocks. The theory fits well one empirical feature of the data, namely the short-run volatility of real exchange rates, but also implies that shocks should die away in one to...

Discrete response models are of high interest in economics and econometrics as they encompass treatment effects, social interaction and peer effect models, and discrete games. We study the impact of the structure of information sets of economic agents on the Fisher information of (strategic)...