Gorodnichenko, Yuriy; Ng, Serena - In: Journal of Monetary Economics 57 (2010) 3, pp. 325-340
whether the exogenous variables are difference or trend stationary. However, even mild departures of the data generating … only when the shocks are mildly persistent, but also when they have near or exact unit roots. Simulations show that these … robust estimators perform well especially when the shocks are highly persistent yet stationary. In such cases, linear …