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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10013100207
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - 2012
all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …
Persistent link: https://www.econbiz.de/10014167514
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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
Kilian, Lutz - 2009
A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...
Persistent link: https://www.econbiz.de/10013158882
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Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
Kilian, Lutz - 2014
widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of … that energy prices should be ordered last in recursively identified VAR models. In this paper, we propose a formal test of …
Persistent link: https://www.econbiz.de/10012708607
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Nonlinearities in the Oil Price-Output Relationship
Kilian, Lutz; Vigfusson, Robert J. - 2011
responses are based on censored oil price VAR models which recently have been shown to be invalid. Other studies are based on …
Persistent link: https://www.econbiz.de/10014184997