Applied macroeconomists often compute confidence intervals for impulse responses using
local projections, that is, direct linear regressions of future outcomes on current covariates …

Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide
stylized facts for dynamic stochastic general equilibrium (DSGE) models; yet no workable …

Multivariate simultaneous equations models were used extensively for macroeconometric
analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives …

One puzzling results in the literature on energy consumption-economic growth causality is
the variability of results particularly across sample periods, sample sizes, and model …

This is a book on bootstrap and related resampling methods for temporal and spatial data
exhibiting various forms of dependence. Like the resam pling methods for independent data …

Conditional heteroskedasticity is an important feature of many macroeconomic and financial
time series. Standard residual-based bootstrap procedures for dynamic regression models …

US retail food price increases in recent years may seem large in nominal terms, but after
adjusting for inflation have been quite modest even after the change in US biofuel policies in …

The purpose of this article is to examine the export–output nexus in Japan by taking into
account the time variation in the causal link with bootstrap Granger non-causality test and …

The technique of Monte Carlo (MC) tests [Dwass (1957, Annals of Mathematical Statistics
28, 181–187); Barnard (1963, Journal of the Royal Statistical Society, Series B 25, 294)] …

Rogoff (Journal of Economic Literature 1996; 34: 647–668) describes the 'remarkable
consensus' of 3–5 year half-lives of purchasing power parity deviations among studies using …