We investigate the role of sticky wages in accounting for real exchange rate dynamics. Unlike the sticky price economy, government spending shocks play a more important role than technology shocks in explaining the hump-shaped impulse responses of real exchange rates.

In this paper, we supplement the identification results for the mean treatment effect for the treated in the difference-in-differences framework studied by Abadie (2005) by establishing partial identification results for the distribution and quantile of the counterfactual outcome and of the...

The lag selection procedure based on the final prediction error (FPE) is investigated when the additive structure is a priori known in the nonparametric autoregression. The consistency of the lag selection is proved, followed by the finite sample simulation results.