Details about Kenneth D. West

E-mail:
Homepage:	http://www.ssc.wisc.edu/~kwest/index.html
Phone:	608 262-0033
Postal address:	Department of Economics University of Wisconsin 1180 Observatory Drive Madison, WI 53706-1393 USA
Workplace:	Economics Department, University of Wisconsin-Madison, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Kenneth D. West.

Last updated 2009-09-14. Update your information in the RePEc Author Service.

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Working Papers

2009

1. 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

2. 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)
3. 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

4. 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

5. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
   NBER Technical Working Papers, National Bureau of Economic Research, Inc

2004

6. 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
7. 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)
8. Land Prices and Business Fixed Investments in Japan
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
9. 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)
10. 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
11. 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)
12. 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

13. 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

14. Inference about predictive ability
    Working papers, Wisconsin Madison - Social Systems View citations

2000

15. 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)
16. 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

17. 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

18. 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

19. 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)
20. Inventories
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1999)
21. On Optimal Instrumental Variables Estimation of Time Series Models
    Working papers, Wisconsin Madison - Social Systems

1995

22. 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)
23. 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)
24. 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

25. 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)
26. 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)
27. 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)
28. Asymptotic Inference About Predictive Ability: Additional Appendix
    Working papers, Wisconsin Madison - Social Systems
29. Asymptotic Inference about Predictive Ability, An Additional Appendix
    Macroeconomics, EconWPA
30. 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

31. 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)
32. Inventory Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
33. 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

34. 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)
35. 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)
36. 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

37. 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)
38. 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)
39. Order Backlogs and Production Smoothing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1988

40. 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)
41. Dividend Innovations and Stock Price Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1988)
42. 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)
43. 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)
44. 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

45. 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)
46. 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)
47. 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)
48. 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

49. 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

1. 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

2. 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)
3. Comment on Argia M. Sbordone "Inflation persistence: Alternative interpretations and policy implications"
   Journal of Monetary Economics, 2007, 54, (5), 1340-1343
4. 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

5. 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
6. 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)
7. 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

8. 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

9. 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

10. 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

11. Comments on 'The state of macroeconomic forecasting'
    Journal of Macroeconomics, 2002, 24, (4), 495-497
12. Efficient GMM estimation of weak AR processes
    Economics Letters, 2002, 75, (3), 415-418 View citations
13. Generalized Method of Moments and Macroeconomics
    Journal of Business & Economic Statistics, 2002, 20, (4), 460-69 View citations

2001

14. Assessing simple policy rules: a view from a complete macroeconomic model (commentary)
    Review, 2001, (Jul), 83-112
15. Encompassing tests when no model is encompassing
    Journal of Econometrics, 2001, 105, (1), 287-308 View citations
    See also Working Paper (2000)
16. Forecasting and empirical methods in finance and macroeconomics
    Journal of Econometrics, 2001, 105, (1), 1-3
17. 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)
18. Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters
    Journal of Business & Economic Statistics, 2001, 19, (1), 29-33 View citations

1998

19. Regression-Based Tests of Predictive Ability
    International Economic Review, 1998, 39, (4), 817-40 View citations
    See also Working Paper (1998)
20. Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
    International Economic Review, 1998, 39, (4), 811-15

1997

21. 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

22. 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)
23. Asymptotic Inference about Predictive Ability
    Econometrica, 1996, 64, (5), 1067-84 View citations
    See also Working Paper (1994)
24. Inflation and growth: in search of a stable relationship - commentary
    Proceedings, 1996, (May), 150-152

1995

25. 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

26. Automatic Lag Selection in Covariance Matrix Estimation
    Review of Economic Studies, 1994, 61, (4), 631-53 View citations
    See also Working Paper (1995)
27. 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
28. Estimation and inference in the linear-quadratic inventory model
    Journal of Economic Dynamics and Control, 1994, 18, (3-4), 897-908 View citations

1993

29. 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

30. 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)
31. Erratum
    Journal of Monetary Economics, 1992, 29, (2), 337-337
32. 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

33. 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)
34. 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

35. Estimation of linear rational expectations models, in the presence of deterministic terms
    Journal of Monetary Economics, 1989, 24, (3), 437-442 View citations

1988

36. Asymptotic Normality, When Regressors Have a Unit Root
    Econometrica, 1988, 56, (6), 1397-1417 View citations
37. 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)
38. Dividend Innovations and Stock Price Volatility
    Econometrica, 1988, 56, (1), 37-61 View citations
    See also Working Paper (1988)
39. 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)
40. 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)
41. 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

42. A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
    Econometrica, 1987, 55, (3), 703-08 View citations
    See also Working Paper (1986)
43. A Specification Test for Speculative Bubbles
    The Quarterly Journal of Economics, 1987, 102, (3), 553-80 View citations
    See also Working Paper (1988)
44. A note on the power of least squares tests for a unit root
    Economics Letters, 1987, 24, (3), 249-252 View citations
45. 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)
46. Hypothesis Testing with Efficient Method of Moments Estimation
    International Economic Review, 1987, 28, (3), 777-87 View citations

1986

47. 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)
48. Comment
    Econometric Reviews, 1986, 5, (2), 273-278
49. 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)
50. Targeting Nominal Income: A Note
    Economic Journal, 1986, 96, (384), 1077-83 View citations
    See also Working Paper (1986)

1983

51. A note on the econometric use of constant dollar inventory series
    Economics Letters, 1983, 13, (4), 337-341 View citations

Books

2008

1. 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

1. NBER International Seminar on Macroeconomics 2004, vol 1
   MIT Press Books, The MIT Press

Chapters

2008

1. Comment on "Real Variables, Nonlinearity, and European Real Exchange Rates"
   A chapter in NBER International Seminar on Macroeconomics 2008, 2008
2. 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

3. 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

4. Forecast Evaluation
   Elsevier View citations

2003

5. 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

6. Inventories
   Chapter 13 in Handbook of Macroeconomics, 1999, vol. 1, Part B, pp 863-923
   See also Working Paper (1997)

1996

7. 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

8. 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

1. Journal of Money, Credit and Banking
   Blackwell Publishing