This comment points out mismeasurement of three of the variables in the DSGE model in Del Negro, Giannoni, and Schorfheide (2015). These errors began with the model in Smets and Wouters (2007), and they also exist in other models that use the Smets-Wouters model as a benchmark. The...

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...