Publications

  • The Impact of Oil Price Shocks on the U.S. Stock Market (with Cheolbeom Park), forthcoming: International Economic Review.
  • Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, forthcoming: American Economic Review.
  • The Economic Effects of Energy Price Shocks, forthcoming: Journal of Economic Literature, December 2008.
  • The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan (with Simone Manganelli), Journal of Money, Credit, and Banking, 40(6), September 2008, 1103-1129.
  • How Useful is Bagging in Forecasting Economic Time Series? A Case Study of U.S. CPI Inflation (with Atsushi Inoue), Journal of the American Statistical Association, 103(482), June 2008, 511-522.
  • Time Series Analysis (with F.X. Diebold and M. Nerlove), in: S. Durlauf and L. Blume (eds.), The New Palgrave Dictionary of Economics, 2nd ed., London: Macmillan, May 2008, 284-298.
  • Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? Review of Economics and Statistics, 90(2), 216-240, May 2008.
  • A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries. Journal of the European Economic Association, 6(1), 78-121, March 2008.
  • Asymptotic and Bootstrap Inference for AR(infinity) Processes with Conditional Heteroskedasticity (with Silvia Goncalves), Econometric Reviews, 26(6), 609-641, November 2007.

  • The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks (with Paul Edelstein), The B.E. Journal of Macroeconomics, 7(1) (Contributions), November 2007. Available at: http://www.bepress.com/bejm/vol7/iss1/art35.
  • Comment on 'On the Fit of New Keynesian Models' by Del Negro, Schorfheide, Smets and Wouters, Journal of Business and Economic Statistics, 25(2), April 2007, 156-159.
  • Quantifying the Risk of Deflation (with Simone Manganelli), Journal of Money, Credit and Banking, 39(2-3), March-April 2007, 561-590.

  • Book Review: 'New Introduction to Multiple Time Series Analysis' by Helmut Luetkepohl, Econometric Theory, 22(5), October 2006, 961-967.

  • Understanding the Effects of Exogenous Oil Supply Shocks, CESifo Forum, 7(2), Summer 2006, 21-27.

  • On the Selection of Forecasting Models (with Atsushi Inoue), Journal of Econometrics, 130(2), February 2006, 273-306.

  • A Practitioner's Guide to Lag Order Selection for VAR Impulse Response Analysis (with V. Ivanov), Studies in Nonlinear Dynamics and Econometrics, 9(1), March 2005, Article 2. Available at: http://www.bepress.com/snde/vol9/iss1/art2

  • Oil and the Macroeconomy since the 1970s (with R.B. Barsky), Journal of Economic Perspectives, 18(4), Fall 2004, 115-134.

  • In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (with A. Inoue), Econometric Reviews, 23(4), November 2004, 371-402.

  • Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form (with S. Goncalves), Journal of Econometrics, 123(1), November 2004, 89-120.

  • The Continuity of the Limit Distribution in the Parameter of Interest is not Essential for the Validity of the Bootstrap (with A. Inoue), Econometric Theory, 19(6), December 2003, 944-961.

  • A Framework for Forecasting and Evaluating Inflation Risks (with S. Manganelli), in: The Economic Outlook for 2004. Proceedings of the 51st Conference on the Economic Outlook, Ann Arbor, MI, November 2003.

  • Why Is It so Difficult to Beat the Random Walk Forecast of Exchange Rates? (with M.P. Taylor), Journal of International Economics, 60(1), May 2003, 85-107.

  • Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: A Monte Carlo Study (with I. Birgean), Econometric Reviews, 21(4), November 2002, 447-474.

  • Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective (with L.E. Ohanian), Macroeconomic Dynamics, 6(5), November 2002, 641-632.

  • Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative (with R.B. Barsky), in B. Bernanke and K. Rogoff (eds.), NBER Macroeconomics Annual 2001, May 2002, 137-183.

  • Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(infinity) Models (with A. Inoue), International Economic Review, 43(2), May 2002, 309-332.

  • Quantifying the Uncertainty about the Half-Life of Deviations from PPP (with T. Zha), Journal of Applied Econometrics, 17(2), April 2002, 107-125.

  • Bootstrapping Autoregressive Processes with Possible Unit Roots (with A. Inoue), Econometrica, 70(1), January 2002, 377-391.

  • Measuring Predictability: Theory and Macroeconomic Applications (with F.X. Diebold), Journal of Applied Econometrics, 16(6), December 2001, 657-669.

  • Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate (with M. Caner), Journal of International Money and Finance, 20(5), October 2001, 639-657.

  • Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order, Journal of Forecasting, 20(3), April 2001, 161-179.

  • How Accurate are Confidence Intervals for Impulse Responses in Large VAR Models? (with P.-L. Chang), Economics Letters, 69(3), December 2000, 299-307.

  • Unit Root Tests are Useful for Selecting Forecasting Models (with F.X. Diebold), Journal of Business and Economic Statistics, 18(3), July 2000, 265-273.

  • Recent Developments in Bootstrapping Time Series (with J. Berkowitz), Econometric Reviews (with a comment by Russell Davidson), 19(1), February 2000, 1-54.

  • Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence (with U. Demiroglu), Journal of Business and Economic Statistics, 18(1), January 2000, 40-50.

  • Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses, Review of Economics and Statistics, 81(4), November 1999, 652-660.

  • Exchange Rates and Monetary Fundamentals: What Do We Learn from Long- Horizon Regressions?, Journal of Applied Econometrics, 14(5), September 1999, 491-510.

  • On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series (with J. Berkowitz and I. Birgean), in T.B. Fomby and C. Hill (eds.): Advances in Econometrics: Applying Kernel and Nonparametric Estimation to Economic Topics, vol. 14, 1999, JAI Press, Connecticut, 77-107.

  • Accounting for Lag Order Uncertainty in Autoregressions: The Endogenous Lag Order Bootstrap Algorithm, Journal of Time Series Analysis, 19(5), September 1998, 531-548.

  • Small-Sample Confidence Intervals for Impulse Response Functions, Review of Economics and Statistics, 80(2), May 1998, 218-230.

  • Confidence Intervals for Impulse Responses Under Departures from Normality, Econometric Reviews, 17(1), February 1998, 1-29.

  • The Effects of Real and Monetary Shocks in a Business Cycle Model with some Sticky Prices (with L.E. Ohanian and A.C. Stockman), Journal of Money, Credit and Banking, 27(4), Pt. 2, November 1995, 1209-1234.