Working Paper
What the Iran War Teaches Us about the Price Elasticity of Oil Supply
This paper draws on evidence from the 2026 Iran War to assess the validity of estimates of the short-run price elasticity of oil supply reported in the literature.
August 06, 2026
Working Paper
Structural Estimation with Unstructured Data
Standard macroeconomic data do not cleanly separate the systematic and nonsystematic components of monetary policy. This paper shows that incorporating unstructured text data into the structural estimation of a DSGE model can sharpen this distinction.
July 31, 2026
Working Paper
xtcipsunb: The CIPS Panel Unit Root Test for Unbalanced Panel Data
This paper develops and demonstrates the command xtcipsunb, which implements the cross-sectionally augmented panel unit root test (CIPS) from Pesaran (2007) and Pesaran, Smith and Yamagata (2013) for unbalanced panels.
July 07, 2026
Working Paper
Semiparametric Local Projections
This paper proposes a semiparametric local projection estimator of nonlinear impulse response functions for a broad class of structural dynamic models relevant for applied macroeconomics, including models with nonlinearly transformed regressors, state dependent coefficients and nonlinear interactions between shocks and state variables.
June 30, 2026
Dallas Fed Economics
U.S. housing: Unaffordable to buy, but wealth-building to own
A home is not only a place to live. It is a long-lived asset whose value reflects the housing service it provides over time and the return buyers require, given interest rates and risk. The ongoing combination of high house price-to-rent ratios and strained affordability suggests housing remains a macroeconomic vulnerability, though financial conditions appear more resilient than before the housing bust and subsequent Global Financial Crisis of 2008.
May 19, 2026
Working Paper
Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks
This paper proposes mean group and pooled estimators of impulse responses based on mixed-frequency auxiliary distributed lag (DL), autoregressive distributed lag (ARDL) or vector autoregressive distributed lag (VARDL) estimating equations.
February 17, 2026
Dallas Fed Economics
Real-time house price model shows U.S. housing market firming
House prices matter to more than just individual homebuyers and sellers. They are closely tied to consumer spending, business investment and the broader path of the economy.
January 15, 2026
Working Paper
Weak Instrument Bias in Impulse Response Estimators
This paper approximates the finite-sample distribution of impulse response function (IRF) estimators that are just-identified with a weak instrument using the conventional local-to-zero asymptotic framework.
January 12, 2026
Working Paper
Lags, Leave-Outs and Fixed Effects
To avoid endogeneity, financial economists often construct regressors and/or instruments using values from other observations, with lagged and leave-out variables being common examples. This paper examines the use of such variables in common settings with fixed effects and shows that it can induce bias and distort inference.
September 23, 2025
Working Paper
Analysis of Multiple Long-Run Relations in Panel Data Models
This paper proposes a novel methodology that filters out the short-run dynamics using sub-sample time averages as deviations from their full-sample counterpart, and estimates the number of long-run relations and their coefficients using eigenvalues and eigenvectors of the pooled covariance matrix of these sub-sample deviations.
June 05, 2025