We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regimeswitching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is...

Does crime in a neighborhood cause future crime? Without a source of quasi-experimental variation in local crime, we develop an identification strategy that leverages a recently developed test of exogeneity (Caetano (2015)) to select a feasible regression model for causal inference. Using a...

A specification search algorithm is proposed that aims to assist the user in the process of constructing Vector Error Correction Models. The algorithm automates testing the cointegration rank of the system and performs simplifications based on possible weak exogeneity of some variables....