consistent and asymptotically normally distributed. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

Many economic time series are characterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for impulse response functions and half-lives of nearly non-stationary processes. It is based on...

This paper studies the error in forecasting an autoregressive process with a deterministic component. We show that when the data are strongly serially correlated, forecasts based on a model that detrends the data using OLS before estimating the autoregressive parameters are much less precise...

<b> </b> This paper studies the linkages between housing and consumption in the United States taking into account regional variation. We estimate national and regional housing factors from a comprehensive set of U.S. price and quantity data available at mixed frequencies and over different time...