|
|
|
Details about Kenneth D. West
Access statistics for papers by Kenneth D. West.
Last updated 2009-09-14. Update your information in the RePEc Author Service.
Short-id: pwe16
Jump to Journal Articles Books Edited books Chapters Editor
Working Papers
2009
- Forecast evaluation of small nested model sets
Working Paper Series, European Central Bank 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008)
2007
- Exchange Rate Models Are Not as Bad as You Think
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Chapter (2007)
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2007) View citations Working papers, Wisconsin Madison - Social Systems (2001) 
See also Journal Article in Econometric Reviews (2009)
2006
- Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) View citations
See also Journal Article in Journal of Econometrics (2007)
2005
- Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
NBER Technical Working Papers, National Bureau of Economic Research, Inc
2004
- Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One
NBER Working Papers, National Bureau of Economic Research, Inc View citations
- Exchange Rates and Fundamentals
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working Paper Series, European Central Bank (2003) View citations
See also Journal Article in Journal of Political Economy (2005)
- Land Prices and Business Fixed Investments in Japan
NBER Working Papers, National Bureau of Economic Research, Inc View citations
- Model Uncertainty and Policy Evaluation: Some Theory and Empirics
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working papers, Wisconsin Madison - Social Systems (2004) View citations
See also Journal Article in Journal of Econometrics (2007)
- Monetary Policy and the Volatility of Real Exchange Rates in New Zealand
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2003) View citations
- Taylor Rules and the Deutschmark-Dollar Real Exchange Rate
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Money, Credit and Banking (2006)
- Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
Research Working Paper, Federal Reserve Bank of Kansas City View citations
See also Journal Article in Journal of Econometrics (2006)
2003
- Policy Evaluation in Uncertain Economic Environments
NBER Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working papers, Wisconsin Madison - Social Systems (2003) View citations
See also Journal Article in Brookings Papers on Economic Activity (2003)
2001
- Inference about predictive ability
Working papers, Wisconsin Madison - Social Systems View citations
2000
- Encompassing Tests When No Model Is Encompassing
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working papers, Wisconsin Madison - Social Systems (1999) 
See also Journal Article in Journal of Econometrics (2001)
- On Optimal Instrumental Variables Estimation of Stationary Time Series Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in International Economic Review (2001)
1999
- Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances
Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
Also in Working papers, Wisconsin Madison - Social Systems (1999)
1998
- Regression-Based Tests of Predictive Ability
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working papers, Wisconsin Madison - Social Systems (1997) View citations
See also Journal Article in International Economic Review (1998)
1997
- Business Fixed Investment and the Recent Business Cycle in Japan
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Chapter (1996)
- Inventories
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Chapter (1999)
- On Optimal Instrumental Variables Estimation of Time Series Models
Working papers, Wisconsin Madison - Social Systems
1995
- A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model
NBER Technical Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Journal of Business & Economic Statistics (1996)
- Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Econometrics (1997)
- Automatic Lag Selection in Covariance Matrix Estimation
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working papers, Wisconsin Madison - Social Systems (1992) View citations
See also Journal Article in Review of Economic Studies (1994)
1994
- A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model
Working papers, Wisconsin Madison - Social Systems
Also in Macroeconomics, EconWPA (1994) View citations
See also Journal Article in Journal of Business & Economic Statistics (1996)
- ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY
Macroeconomics, EconWPA View citations
Also in Working papers, Wisconsin Madison - Social Systems (1994) View citations
See also Journal Article in Econometrica (1996)
- An Aggregate Demand - Aggregate Supply Analysis of Japanese Monetary Policy, 1973-1990
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Chapter (1993)
- Asymptotic Inference About Predictive Ability: Additional Appendix
Working papers, Wisconsin Madison - Social Systems
- Asymptotic Inference about Predictive Ability, An Additional Appendix
Macroeconomics, EconWPA
- The Predictive Ability of Several Models of Exchange Rate Volatility
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Working papers, Wisconsin Madison - Social Systems (1993) View citations Working papers, Wisconsin Madison - Social Systems (1993)
See also Journal Article in Journal of Econometrics (1995)
1993
- A utility based comparison of some models of exchange rate volatility
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1992) View citations
See also Journal Article in Journal of International Economics (1993)
- Inventory Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
- Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1993) View citations
1991
- A Comparison of the Behavior of Japanese and U.S. Inventories
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in International Journal of Production Economics (1992)
- Sources of Cycles in Japan, 1975-1987
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Journal of the Japanese and International Economies (1992)
- The Sources of Fluctuations in Aggregate Inventories and GNP
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in The Quarterly Journal of Economics (1990)
1989
- Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Journal of Finance (1988)
- On the Interpretation of Near Random-Walk Behavior in GNP
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in American Economic Review (1988)
- Order Backlogs and Production Smoothing
NBER Working Papers, National Bureau of Economic Research, Inc View citations
1988
- A Specification Test for Speculative Bubbles
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in The Quarterly Journal of Economics (1987)
- Dividend Innovations and Stock Price Volatility
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Econometrica (1988)
- Evidence From Seven Countries on Whether Inventories Smooth Aggregate Output
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Engineering Costs and Production Economics (1990)
- Integrated Regressors and Tests of the Permanent Income Hypothesis
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Monetary Economics (1988)
- The Insensitivity of Consumption to News About Income
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Monetary Economics (1988)
1986
- A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Econometrica (1987)
- A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of International Economics (1987)
- Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Journal of Econometrics (1986)
- Targeting Nominal Income: A Note
NBER Working Papers, National Bureau of Economic Research, Inc View citations
See also Journal Article in Economic Journal (1986)
1985
- A Variance Bounds Test of the Linear Quardractic Inventory Model
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Journal of Political Economy (1986)
Journal Articles
2009
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
Econometric Reviews, 2009, 28, (5), 441-467 
See also Working Paper (2007)
2007
- Approximately normal tests for equal predictive accuracy in nested models
Journal of Econometrics, 2007, 138, (1), 291-311 View citations
See also Working Paper (2006)
- Comment on Argia M. Sbordone "Inflation persistence: Alternative interpretations and policy implications"
Journal of Monetary Economics, 2007, 54, (5), 1340-1343
- Model uncertainty and policy evaluation: Some theory and empirics
Journal of Econometrics, 2007, 136, (2), 629-664 View citations
Also in Proceedings, 2005 (2005) View citations
See also Working Paper (2004)
2006
- An Editors' Comment on "Lessons from the JMCB Archive" by B.D. McCullough, Kerry Anne McGeary, and Teresa D. Harrison
Journal of Money, Credit and Banking, 2006, 38, (4), 1109
- Taylor Rules and the Deutschmark: Dollar Real Exchange Rate
Journal of Money, Credit and Banking, 2006, 38, (5), 1175-1194 View citations
See also Working Paper (2004)
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Journal of Econometrics, 2006, 135, (1-2), 155-186 View citations
See also Working Paper (2004)
2005
- Exchange Rates and Fundamentals
Journal of Political Economy, 2005, 113, (3), 485-517 View citations
Also in Proceedings, 2003, (Mar) (2003) View citations
See also Working Paper (2004)
2004
- Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor Is Near 1
American Economic Review, 2004, 94, (2), 119-125 View citations
2003
- Policy Evaluation in Uncertain Economic Environments
Brookings Papers on Economic Activity, 2003, 34, (2003-1), 235-322 View citations
See also Working Paper (2003)
2002
- Comments on 'The state of macroeconomic forecasting'
Journal of Macroeconomics, 2002, 24, (4), 495-497
- Efficient GMM estimation of weak AR processes
Economics Letters, 2002, 75, (3), 415-418 View citations
- Generalized Method of Moments and Macroeconomics
Journal of Business & Economic Statistics, 2002, 20, (4), 460-69 View citations
2001
- Assessing simple policy rules: a view from a complete macroeconomic model (commentary)
Review, 2001, (Jul), 83-112
- Encompassing tests when no model is encompassing
Journal of Econometrics, 2001, 105, (1), 287-308 View citations
See also Working Paper (2000)
- Forecasting and empirical methods in finance and macroeconomics
Journal of Econometrics, 2001, 105, (1), 1-3
- On Optimal Instrumental Variables Estimation of Stationary Time Series Models
International Economic Review, 2001, 42, (4), 1043-50 View citations
See also Working Paper (2000)
- Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters
Journal of Business & Economic Statistics, 2001, 19, (1), 29-33 View citations
1998
- Regression-Based Tests of Predictive Ability
International Economic Review, 1998, 39, (4), 817-40 View citations
See also Working Paper (1998)
- Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
International Economic Review, 1998, 39, (4), 811-15
1997
- Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
Journal of Econometrics, 1997, 76, (1-2), 171-191 View citations
See also Working Paper (1995)
1996
- A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model
Journal of Business & Economic Statistics, 1996, 14, (3), 281-93 View citations
See also Working Paper (1995) Working Paper (1994)
- Asymptotic Inference about Predictive Ability
Econometrica, 1996, 64, (5), 1067-84 View citations
See also Working Paper (1994)
- Inflation and growth: in search of a stable relationship - commentary
Proceedings, 1996, (May), 150-152
1995
- The predictive ability of several models of exchange rate volatility
Journal of Econometrics, 1995, 69, (2), 367-391 View citations
See also Working Paper (1994)
1994
- Automatic Lag Selection in Covariance Matrix Estimation
Review of Economic Studies, 1994, 61, (4), 631-53 View citations
See also Working Paper (1995)
- Comments: Rational bubbles during Poland's hyperinflation: Implications and empirical evidence by M. Funke, S. Hall and M. Sola
European Economic Review, 1994, 38, (6), 1282-1285
- Estimation and inference in the linear-quadratic inventory model
Journal of Economic Dynamics and Control, 1994, 18, (3-4), 897-908 View citations
1993
- A utility-based comparison of some models of exchange rate volatility
Journal of International Economics, 1993, 35, (1-2), 23-45 View citations
See also Working Paper (1993)
1992
- A comparison of the behavior of Japanese and US inventories
International Journal of Production Economics, 1992, 26, (1-3), 115-122 View citations
See also Working Paper (1991)
- Erratum
Journal of Monetary Economics, 1992, 29, (2), 337-337
- Sources of cycles in Japan, 1975-1987
Journal of the Japanese and International Economies, 1992, 6, (1), 71-98 
See also Working Paper (1991)
1990
- Evidence from seven countries on whether inventories smooth aggregate output
Engineering Costs and Production Economics, 1990, 19, (1-3), 85-90 View citations
See also Working Paper (1988)
- The Sources of Fluctuations in Aggregate Inventories and GNP
The Quarterly Journal of Economics, 1990, 105, (4), 939-71 View citations
See also Working Paper (1991)
1989
- Estimation of linear rational expectations models, in the presence of deterministic terms
Journal of Monetary Economics, 1989, 24, (3), 437-442 View citations
1988
- Asymptotic Normality, When Regressors Have a Unit Root
Econometrica, 1988, 56, (6), 1397-1417 View citations
- Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation
Journal of Finance, 1988, 43, (3), 639-56 View citations
See also Working Paper (1989)
- Dividend Innovations and Stock Price Volatility
Econometrica, 1988, 56, (1), 37-61 View citations
See also Working Paper (1988)
- Integrated regressors and tests of the permanent-income hypothesis
Journal of Monetary Economics, 1988, 21, (1), 85-95 View citations
See also Working Paper (1988)
- On the Interpretation of Near Random-walk Behavior in GNP
American Economic Review, 1988, 78, (1), 202-09 View citations
See also Working Paper (1989)
- The insensitivity of consumption to news about income
Journal of Monetary Economics, 1988, 21, (1), 17-33 View citations
See also Working Paper (1988)
1987
- A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Econometrica, 1987, 55, (3), 703-08 View citations
See also Working Paper (1986)
- A Specification Test for Speculative Bubbles
The Quarterly Journal of Economics, 1987, 102, (3), 553-80 View citations
See also Working Paper (1988)
- A note on the power of least squares tests for a unit root
Economics Letters, 1987, 24, (3), 249-252 View citations
- A standard monetary model and the variability of the deutschemark-dollar exchange rate
Journal of International Economics, 1987, 23, (1-2), 57-76 View citations
See also Working Paper (1986)
- Hypothesis Testing with Efficient Method of Moments Estimation
International Economic Review, 1987, 28, (3), 777-87 View citations
1986
- A Variance Bounds Test of the Linear Quadratic Inventory Model
Journal of Political Economy, 1986, 94, (2), 374-401 View citations
See also Working Paper (1985)
- Comment
Econometric Reviews, 1986, 5, (2), 273-278
- Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons
Journal of Econometrics, 1986, 33, (3), 367-385 View citations
See also Working Paper (1986)
- Targeting Nominal Income: A Note
Economic Journal, 1986, 96, (384), 1077-83 View citations
See also Working Paper (1986)
1983
- A note on the econometric use of constant dollar inventory series
Economics Letters, 1983, 13, (4), 337-341 View citations
Books
2008
- NBER International Seminar on Macroeconomics 2006
NBER Books, National Bureau of Economic Research, Inc
Also in NBER Books, National Bureau of Economic Research, Inc (2006)
Edited books
2006
- NBER International Seminar on Macroeconomics 2004, vol 1
MIT Press Books, The MIT Press
Chapters
2008
- Comment on "Real Variables, Nonlinearity, and European Real Exchange Rates"
A chapter in NBER International Seminar on Macroeconomics 2008, 2008
- Introduction to "NBER International Seminar on Macroeconomics 2006"
A chapter in NBER International Seminar on Macroeconomics 2006, 2008, pp 1-5 
Also in A chapter in NBER International Seminar on Macroeconomics 2004, 2006, pp 1-16 (2006)
2007
- Exchange Rate Models Are Not As Bad As You Think
A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2007, pp 381-441 View citations
See also Working Paper (2007)
2006
- Forecast Evaluation
Elsevier View citations
2003
- Interest Rates and Exchange Rates in the Korean, Philippine, and Thai Exchange Rate Crises
A chapter in Managing Currency Crises in Emerging Markets, 2003, pp 11-36 View citations
1999
- Inventories
Chapter 13 in Handbook of Macroeconomics, 1999, vol. 1, Part B, pp 863-923 
See also Working Paper (1997)
1996
- Business Fixed Investment and the Recent Business Cycle in Japan
A chapter in NBER Macroeconomics Annual 1996, Volume 11, 1996, pp 277-344 View citations
See also Working Paper (1997)
1993
- An Aggregate Demand -- Aggregate Supply Analysis of Japanese Monetary Policy,1973-1990
A chapter in Japanese Monetary Policy, 1993, pp 160-188 
See also Working Paper (1994)
Editor
- Journal of Money, Credit and Banking
Blackwell Publishing
|
|
|