The findings in the recent energy economic literature that energy economic variables are non-stationary, heve led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that...

The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships. Recent research, however, shows that the...

We use a vector-autoregression, with parameter estimates corrected for small-sample bias, to decompose US and German unexpected bond returns into three 'news' components: news about future inflation, news about future real interest rates, and news about future excess bond returns (term premia)....

Building on the framework from Cochrane (1992), we construct a bootstrap test for rational stock price bubbles that does not require a detailed specification of an underlying equilibrium model. The test makes use of the fact that if there are no bubbles, the variance of the price-dividend ratio...