Elena Pesavento

Associate Professor

Office: Rich 318

Phone: 404-712-9297

Email: epesave@emory.edu

Additional Contact Information

Additional Websites

Research

Areas of Interest:

  • Time Series Analysis and Econometrics, Evaluation and Comparison of Cointegration Tests, Impulse Response Functions for VAR with Local to Unity Roots
  • International Macroeconomics: Modeling of Real Exchange Rates of the PPP Theory
  • Macroeconomics: Inventories and Output Fluctuations

Publications

Selected Publications:

Pesavento, Elena, Herrera, Ana-Maria, and Nikolay Gospodinov, "Unit Roots, Cointegration, and Pretesting in VAR Models," Advances in Econometrics: VAR Models in Macroeconomics -- New Developments and Applications: Essays in Honor of Christopher Sims 32 (2013): 1-35.

Pesavento, Elena, Gospodinov, Nikolay, and Alex Maynard, "Sensitivity of Impulse Responses to Small Low Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks," Journal of Business & Economic Statistics 29:4 (2011): 455-467.

Pesavento, Elena, and Graham Elliott, "Testing the Null of No Cointegration When Covariates are Known to Have a Unit Root," Econometric Theory 25:6 (December 2009): 1829-1850.

Pesavento, Elena, and Alex Herrera, "Oil Price Shocks, Systematic Monetary Policy, and the 'Great Moderation'," Macroeconomic Dynamics 13:1 (February 2009): 107-137.

Pesavento, Elena, Herrera, A., and I. Murtazashvili, "The Comovement in Inventories and In Sales: Higher and Higher," Economics Letters 99:9 (April 2008): 155-158.

Pesavento, Elena, and B. Rossi, "Impulse Response Confidence Intervals with Persistent Data: What Have We Learned?", Journal of Economic Dynamics and Control 31:7 (July 2007): 2398-2412.

Pesavento, Elena, "Residuals Based Tests for the Null of No Cointegration: An Analytical Comparison," Journal of Time Series Analysis 28:1 (January 2007): 111-135.

Pesavento, Elena, and B. Rossi, "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," Journal of Applied Econometrics 21:8 (December 2006): 1135-1155.

Pesavento, Elena, and G. Elliott, "On the Failure of PPP for Bilateral Exchange Rates after 1973," Journal of Money Credit and Banking 38:6 (September 2006): 1405-1430.

Pesavento, Elena, and A. Herrera, "The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment," Journal of Business and Economic Statistics 23:4 (October 2005): 462-472.

Pesavento, Elena, and B. Rossi, "Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure," Macroeconomic Dynamics 9:4 (September 2005): 478-488.

Pesavento, Elena, Elliott, G., and M. Jansson, "Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity," Journal of Business and Economic Statistics 23:1 (January 2005): 34-48.

Pesavento, Elena, "An Analytical Evaluation of the Power of Tests for the Absence of Cointegration," Journal of Econometrics 122:2 (October 2004): 349-384.

For a CV and list of publications, please see Professor Pesavento's Personal Web Page.