This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg, and Stock (1996), the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models....

Whilst point estimates for mean reversion in real exchange rates suggest reasonable (but long) half lives to shocks, it still remains uncomfortable that models without any mean reversion at all are often compatible with individual country pair data from the floating period. Studies with data...

This paper computes the asymptotic distribution of five residuals-based tests for the null of no cointegration under a local alternative when the tests are computed using both OLS and GLS detrended variables. The local asymptotic power of the tests is shown to be a function of Brownian Motion...

Various hypothesis have been offered as explanations for the decline in U.S. output volatility during the mid-1980s: "better policy," "good luck," technological change, and the presence of non-convexities in the firms' cost function. We find evidence of multiple breaks in manufacturing for...

In situations where theory specifies a potential cointegrating vector amongst integrated variables, it is often required that one test for a unit root in the constructed cointegrating vector. Although it is common to simply employ a univariate test for a unit root for this test, it is known that...

This paper is a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response functions in the presence of high persistence. Monte Carlo results show that Kilian (1998a), Wright (2000), Gospodinov (2004), and Pesavento and Rossi (2005) have...

This paper compares five residuals-based tests for the null of no cointegration to identify which unit root test should be used when testing for cointegration. The tests are compared in terms of power and size distortions. The asymptotic distribution of the tests under the local alternative is...