This paper proposes a theoretical explanation to the common empirical results in which different tests for cointegration give different answers. Using local to unity parametrization I compute the analytical power of some tests for the null of no cointegration: The ADF test on the residuals of...

Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and...

Many empirical studies estimate impulse response functions that depend on the state of the economy. Most of these studies rely on a variant of the local projection (LP) approach to estimate the state-dependent impulse response functions. Despite its widespread application, the asymptotic...