The spurious regression phenomenon in least squares occurs for a wide range of data
generating processes, such as driftless unit roots, unit roots with drift, long memory, trend …

This paper examines the role of aggregate productivity and money supply shocks in
determining the relationship between inflation and the distribution of relative commodity …

We investigate empirically how industrialized countries and US states share consumption
risk at horizons between 1 and 30 years. US federal states share about 50% of their …

This paper develops a simple sequential multiple‐horizon non‐causation test strategy for
trivariate VAR models (with one auxiliary variable). We apply the test strategy to a rolling …

Many rational expectations models state that an economic variable is determined as the
present value of future variables. These restrictions have traditionally been tested on VARs …

Most econometric methods for testing the proposition of long-run monetary neutrality rely on
the assumption that money and real output do not cointegrate, a result that is usually …

We examine the relationship between inflation and unemployment in the long run, using
quarterly US data from 1952 to 2010. Using a band-pass filter approach, we find strong …

In this article we test the purchasing power parity (PPP) hypothesis during the recent floating
exchange rate period, using quarterly data for 21 OECD countries. In doing so, we use the …

This paper investigates the long-run neutrality of money using quarterly data of South Korea
and Taiwan and the methodology of King and Watson (1997); particular attention is given to …

The Fisher and Seater [Fisher, ME and Seater, JJ, 1993. Long run neutrality and
superneutrality in an ARIMA framework. American Economic Review 83, 402–415.] …