specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into …

Many users of structural VAR models are primarily interested in learning about the shape of structural impulse response …

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …

all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out …

distribution of VAR impulse response estimators is undermined by the estimator’s bias. A natural conjecture is that impulse … hence potentially more reliable in small samples than VAR-based estimators. We show that - contrary to this conjecture - LP … are typically less accurate and wider on average than suitably constructed VAR-based intervals. Bootstrapping the LP …

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions …

apparent lack of higher power at long horizons suggests that previous findings of increasing long-horizon predictability are … studies, the test provides only weak evidence of exchange rate predictability and no evidence of increasing long …-horizon predictability. Many of the differences in results can be traced to the implementation of the test …