We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...

Starting with Tinbergen (1962), quantifying the effects of regional trade agreements (RTAs) on international trade flows has always been among the most popular topics in the trade literature. Also not surprisingly, to estimate the effects of RTAs, most researchers and policy analysts have relied...

We propose a Generalized Poisson-Pseudo Maximum Likelihood (G-PPML) estimator that relaxes the PPML estimator's assumption that the dependent variable's conditional variance is proportional to its conditional mean. Instead, we employ an iterated Generalized Method of Moments (iGMM) to estimate...

We propose a simple and flexible reduced-form econometric approach to estimate gravity models in the short and the long run. The theoretical lens for interpreting our methods amends the canonical Lucas-Prescott adjustment formulation to allow for time-interval-varying...