Time-series regressions including non-linear transformations of an integrated variable are not uncommon in various fields of economics. In particular, within the Environmental Kuznets Curve (EKC) literature, where the effect on the environment of income levels is investigated, it is standard...

This paper studies the identification of coefficients in generalized linear predictors where the outcome variable suffers from non-classical measurement errors. Combining a mixture model of data errors with the bounding procedure proposed by Stoye (2007), I derive bounds on the coefficient...

We examine the value of terroir, which refers to the special characteristics of a place that impart unique qualities to the wine produced. We do this by conducting a hedonic analysis of vineyard sales in the Willamette Valley of Oregon to ascertain whether site attributes, such as slope, aspect,...

Based on either Monte Carlo simulations, or several examples based on actual data, I show that the ability of Johansen's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i ) when, in addition to a cointegration relationship,...

I explore whether time-series methods exploiting the long-run equilibrium properties of the housing market might have detected the disequilibrium in U.S. house prices which pre-dated the Great Recession as it was building up. Based on real-time data, I show that a VAR in levels identified as in...

Since World War I, M1 velocity has been, to a close approximation, the permanent component of the short-term nominal rate. This logically implies that, under monetary regimes which cause inflation to be I(0), permanent fluctuations in M1 velocity uniquely reflect, to a close approximation,...

Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...

M1 velocity is, approximately, the permanent component of the short-term rate. This implies that agents-in deciding how much wealth to allocate to non interest bearing M1, as opposed to interest-bearing assets-almost uniquely react to permanent shocks to the opportunity cost, essentially...

We explore the economics and optimal design of "permissioned" distributed ledger technology (DLT) in a credit economy. Designated validators verify transactions and update the ledger at a cost that is derived from a supermajority voting rule, thus giving rise to a public good provision game....

Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...