Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role...

The dependence structure of max-stable random vectors can be characterized by their Pickands dependence function. In many applications, the extremal dependence measure varies with covariates. We develop a flexible, semi-parametric method for the estimation of non-stationary multivariate Pickands...

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h₀ and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...

We propose a macroeconomic model to assess optimal public policy decisions in the face of competing funding demands for climate change action versus traditional welfare-enhancing capital investment. How to properly delineate the costs and benefits of traditional versus adaption-focused...

Exponential smooth transition autoregressive (ESTAR) models have been widely used in the empirical international finance literature. We show that the exponential function used in ESTAR models is ill-suited as a regime weighting function because of two undesirable properties. The first is that it...

Using non-linear methods, this paper finds that existing estimates of government spending multipliers in expansion and recession may yield biased results by ignoring whether government spending is increasing or decreasing. For industrial countries, the problem originates in the fact that,...

Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular threshold in time. In this guide for practitioners,...

This paper investigates how and to what extent nonlinearity, including the zero lower bound on the nominal interest rate, affects the estimates of the natural rate of interest in a dynamic stochastic general equilibrium model with sticky prices and wages. We find that the estimated natural rate...