Serena Ng

TL;DR: Perron et al. as discussed by the authors showed that unit root tests cannot detect a non-stationary component in the realexchange rate even when this component accounts for almost half of its long-horizon forecast error variance.

TL;DR: In this paper, two types of inequality constraints on the shocks are proposed to restrict the sign and possibly magnitude of the shocks during unusual episodes in history, and the correlation between the shocks and variables external to the SVAR.

TL;DR: This paper seeks to better understand what makes big data analysis different, what the authors can and cannot do with existing econometric tools, and what issues need to be dealt with in order to work with the data efficiently.

TL;DR: In this paper, the authors consider the implications of mean shifts in a multivariate setting and show that under the additive outlier type mean shift specification, the intercept in each equation of the vector autoregression (VAR) will be subject to multiple shifts when the break dates of the mean shifts to the univariate series do not coincide.

TL;DR: In this article, the authors show that the least squares estimates obtained from these factor augmented regressions are consistent if the covariance matrix estimator is robust to weak cross-section correlation and heteroskedasticity in the idiosyncratic errors.