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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 2021-01-01. Update your information in the RePEc Author Service.

Short-id: pwe16


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Working Papers

2018

  1. A Skeptical View of the Impact of the Fed’s Balance Sheet
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
  2. Some Evidence on Secular Drivers of U.S. Safe Real Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2017) Downloads View citations (27)

    See also Journal Article Some Evidence on Secular Drivers of US Safe Real Rates, American Economic Journal: Macroeconomics, American Economic Association (2019) Downloads View citations (43) (2019)

2015

  1. The Equilibrium Real Funds Rate: Past, Present and Future
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (132)
    See also Journal Article The Equilibrium Real Funds Rate: Past, Present, and Future, IMF Economic Review, Palgrave Macmillan (2016) Downloads View citations (130) (2016)

2012

  1. Econometric Analysis of Present Value Models When the Discount Factor Is near One
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article Econometric analysis of present value models when the discount factor is near one, Journal of Econometrics, Elsevier (2012) Downloads View citations (7) (2012)
  2. Factor Model Forecasts of Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
    See also Journal Article Factor Model Forecasts of Exchange Rates, Econometric Reviews, Taylor & Francis Journals (2015) Downloads View citations (81) (2015)

2009

  1. Forecast evaluation of small nested model sets
    Working Paper Series, European Central Bank Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads

    See also Journal Article Forecast evaluation of small nested model sets, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (34) (2010)

2007

  1. Exchange Rate Models Are Not as Bad as You Think
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (344)
    See also Chapter Exchange Rate Models Are Not as Bad as You Think, NBER Chapters, National Bureau of Economic Research, Inc (2008) Downloads View citations (137) (2008)
  2. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working papers, Wisconsin Madison - Social Systems (2001) Downloads View citations (2)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (6)

    See also Journal Article Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, Econometric Reviews, Taylor & Francis Journals (2009) Downloads View citations (11) (2009)

2006

  1. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) Downloads View citations (6)

    See also Journal Article Approximately normal tests for equal predictive accuracy in nested models, Journal of Econometrics, Elsevier (2007) Downloads View citations (1323) (2007)

2005

  1. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)

2004

  1. 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 Downloads View citations (63)
  2. Exchange Rates and Fundamentals
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (18)

    See also Journal Article Exchange Rates and Fundamentals, Journal of Political Economy, University of Chicago Press (2005) Downloads View citations (630) (2005)
  3. Land Prices and Business Fixed Investments in Japan
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Chapter Land Prices and Business Fixed Investment in Japan, Chapters, Edward Elgar Publishing (2006) Downloads (2006)
  4. Model Uncertainty and Policy Evaluation: Some Theory and Empirics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    Also in Working papers, Wisconsin Madison - Social Systems (2004) Downloads View citations (25)

    See also Journal Article Model uncertainty and policy evaluation: Some theory and empirics, Journal of Econometrics, Elsevier (2007) Downloads View citations (94) (2007)
  5. Monetary Policy and the Volatility of Real Exchange Rates in New Zealand
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2003) Downloads View citations (27)

    See also Journal Article Monetary policy and the volatility of real exchange rates in New Zealand, New Zealand Economic Papers, Taylor & Francis Journals (2003) Downloads View citations (27) (2003)
  6. Taylor Rules and the Deutschmark-Dollar Real Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article Taylor Rules and the Deutschmark: Dollar Real Exchange Rate, Journal of Money, Credit and Banking, Blackwell Publishing (2006) Downloads View citations (152) (2006)
  7. Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (17)
    See also Journal Article Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis, Journal of Econometrics, Elsevier (2006) Downloads View citations (339) (2006)

2003

  1. Policy Evaluation in Uncertain Economic Environments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (179)
    Also in Working papers, Wisconsin Madison - Social Systems (2003) Downloads View citations (185)

    See also Journal Article Policy Evaluation in Uncertain Economic Environments, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2003) Downloads View citations (179) (2003)

2001

  1. Inference about predictive ability
    Working papers, Wisconsin Madison - Social Systems Downloads View citations (12)

2000

  1. Encompassing Tests When No Model Is Encompassing
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in Working papers, Wisconsin Madison - Social Systems (1999) Downloads

    See also Journal Article Encompassing tests when no model is encompassing, Journal of Econometrics, Elsevier (2001) Downloads View citations (9) (2001)
  2. On Optimal Instrumental Variables Estimation of Stationary Time Series Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article On Optimal Instrumental Variables Estimation of Stationary Time Series Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2001) View citations (9) (2001)

1999

  1. 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) Downloads View citations (1)

1998

  1. Regression-Based Tests of Predictive Ability
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (164)
    Also in Working papers, Wisconsin Madison - Social Systems (1997) Downloads View citations (15)

    See also Journal Article Regression-Based Tests of Predictive Ability, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (165) (1998)

1997

  1. Inventories
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (63)
    See also Chapter Inventories, Handbook of Macroeconomics, Elsevier (1999) Downloads View citations (2) (1999)
  2. On Optimal Instrumental Variables Estimation of Time Series Models
    Working papers, Wisconsin Madison - Social Systems Downloads

1996

  1. Business Fixed Investment and the Recent Business Cycle in Japan
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (31)
    See also Chapter Business Fixed Investment and the Recent Business Cycle in Japan, NBER Chapters, National Bureau of Economic Research, Inc (1996) Downloads View citations (29) (1996)

1995

  1. A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Working papers, Wisconsin Madison - Social Systems (1994)
    Macroeconomics, University Library of Munich, Germany (1994) Downloads View citations (1)

    See also Journal Article A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (23) (1996)
  2. Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator, Journal of Econometrics, Elsevier (1997) Downloads View citations (42) (1997)
  3. Automatic Lag Selection in Covariance Matrix Estimation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working papers, Wisconsin Madison - Social Systems (1992) View citations (11)

    See also Journal Article Automatic Lag Selection in Covariance Matrix Estimation, The Review of Economic Studies, Review of Economic Studies Ltd (1994) Downloads View citations (1642) (1994)

1994

  1. ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY
    Macroeconomics, University Library of Munich, Germany Downloads View citations (11)
    Also in Working papers, Wisconsin Madison - Social Systems (1994) View citations (19)

    See also Journal Article Asymptotic Inference about Predictive Ability, Econometrica, Econometric Society (1996) Downloads View citations (923) (1996)
  2. Asymptotic Inference About Predictive Ability: Additional Appendix
    Working papers, Wisconsin Madison - Social Systems View citations (6)
    Also in Macroeconomics, University Library of Munich, Germany (1994) Downloads View citations (6)
  3. The Predictive Ability of Several Models of Exchange Rate Volatility
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in Working papers, Wisconsin Madison - Social Systems (1993)
    Working papers, Wisconsin Madison - Social Systems (1993) View citations (5)

    See also Journal Article The predictive ability of several models of exchange rate volatility, Journal of Econometrics, Elsevier (1995) Downloads View citations (164) (1995)

1993

  1. 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.) Downloads View citations (149)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (1992) Downloads View citations (17)

    See also Journal Article A utility-based comparison of some models of exchange rate volatility, Journal of International Economics, Elsevier (1993) Downloads View citations (200) (1993)
  2. Inventory Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
  3. 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 Downloads View citations (11)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1993) View citations (9)

1991

  1. A Comparison of the Behavior of Japanese and U.S. Inventories
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article A comparison of the behavior of Japanese and US inventories, International Journal of Production Economics, Elsevier (1992) Downloads View citations (1) (1992)
  2. An Aggregate Demand - Aggregate Supply Analysis of Japanese Monetary Policy, 1973-1990
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Chapter An Aggregate Demand–Aggregate Supply Analysis of Japanese Monetary Policy, 1973–1990, NBER Chapters, National Bureau of Economic Research, Inc (1993) Downloads View citations (2) (1993)
  3. Sources of Cycles in Japan, 1975-1987
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Sources of cycles in Japan, 1975-1987, Journal of the Japanese and International Economies, Elsevier (1992) Downloads View citations (4) (1992)

1989

  1. The Sources of Fluctuations in Aggregate Inventories and GNP
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article The Sources of Fluctuations in Aggregate Inventories and GNP, The Quarterly Journal of Economics, President and Fellows of Harvard College (1990) Downloads View citations (30) (1990)

1988

  1. Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (103)
  2. Evidence From Seven Countries on Whether Inventories Smooth Aggregate Output
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article Evidence from seven countries on whether inventories smooth aggregate output, Engineering Costs and Production Economics, Elsevier (1990) Downloads View citations (4) (1990)

1987

  1. Integrated Regressors and Tests of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article Integrated regressors and tests of the permanent-income hypothesis, Journal of Monetary Economics, Elsevier (1988) Downloads View citations (20) (1988)
  2. On the Interpretation of Near Random-Walk Behavior in GNP
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article On the Interpretation of Near Random-walk Behavior in GNP, American Economic Review, American Economic Association (1988) Downloads View citations (26) (1988)
  3. Order Backlogs and Production Smoothing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  4. The Insensitivity of Consumption to News About Income
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
    See also Journal Article The insensitivity of consumption to news about income, Journal of Monetary Economics, Elsevier (1988) Downloads View citations (43) (1988)

1986

  1. A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (231)
    See also Journal Article A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA) (2014) Downloads View citations (9) (2014)
  2. A Specification Test for Speculative Bubbles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article A Specification Test for Speculative Bubbles, The Quarterly Journal of Economics, President and Fellows of Harvard College (1987) Downloads View citations (220) (1987)
  3. A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article A standard monetary model and the variability of the deutschemark-dollar exchange rate, Journal of International Economics, Elsevier (1987) Downloads View citations (29) (1987)
  4. Dividend Innovations and Stock Price Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (79)
    See also Journal Article Dividend Innovations and Stock Price Volatility, Econometrica, Econometric Society (1988) Downloads View citations (172) (1988)
  5. Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons, Journal of Econometrics, Elsevier (1986) Downloads View citations (14) (1986)
  6. Targeting Nominal Income: A Note
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    See also Journal Article Targeting Nominal Income: A Note, Economic Journal, Royal Economic Society (1986) Downloads View citations (25) (1986)

1985

  1. A Variance Bounds Test of the Linear Quardractic Inventory Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article A Variance Bounds Test of the Linear Quadratic Inventory Model, Journal of Political Economy, University of Chicago Press (1986) Downloads View citations (101) (1986)

Journal Articles

2019

  1. Introduction
    Journal of Money, Credit and Banking, 2019, 51, (S1), 5-5 Downloads
  2. Some Evidence on Secular Drivers of US Safe Real Rates
    American Economic Journal: Macroeconomics, 2019, 11, (4), 113-39 Downloads View citations (43)
    See also Working Paper Some Evidence on Secular Drivers of U.S. Safe Real Rates, NBER Working Papers (2018) Downloads View citations (4) (2018)

2018

  1. Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice”
    Journal of Business & Economic Statistics, 2018, 36, (4), 560-562 Downloads

2017

  1. Hansen and Sargent's Recursive Models of Dynamic Linear Economies: A Review Essay
    Journal of Economic Literature, 2017, 55, (1), 173-81 Downloads

2016

  1. A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts
    Research in Economics, 2016, 70, (2), 304-319 Downloads View citations (11)
  2. Regressor and disturbance have moments of all orders, least squares estimator has none
    Statistics & Probability Letters, 2016, 115, (C), 54-59 Downloads
  3. The Equilibrium Real Funds Rate: Past, Present, and Future
    IMF Economic Review, 2016, 64, (4), 660-707 Downloads View citations (130)
    See also Working Paper The Equilibrium Real Funds Rate: Past, Present and Future, NBER Working Papers (2015) Downloads View citations (132) (2015)

2015

  1. Factor Model Forecasts of Exchange Rates
    Econometric Reviews, 2015, 34, (1-2), 32-55 Downloads View citations (81)
    See also Working Paper Factor Model Forecasts of Exchange Rates, NBER Working Papers (2012) Downloads View citations (20) (2012)

2014

  1. A factor model for co-movements of commodity prices
    Journal of International Money and Finance, 2014, 42, (C), 289-309 Downloads View citations (56)
  2. A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    Applied Econometrics, 2014, 33, (1), 125-132 Downloads View citations (9)
    Also in Econometrica, 1987, 55, (3), 703-08 (1987) Downloads View citations (8393)

    See also Working Paper A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix, NBER Technical Working Papers (1986) Downloads View citations (231) (1986)
  3. Editors' Introduction
    Journal of Money, Credit and Banking, 2014, 46, (S2), 1-1 Downloads

2013

  1. Introduction
    NBER International Seminar on Macroeconomics, 2013, 9, (1), 1 - 4 Downloads
  2. Special Issue Editors' Introduction
    Journal of Money, Credit and Banking, 2013, 45, (s2), 1-1 Downloads
    Also in Journal of Money, Credit and Banking, 2013, 45, (s2), 1-1 (2013) Downloads
    Journal of Money, Credit and Banking, 2013, 45, (s1), 1-1 (2013) Downloads
    Journal of Money, Credit and Banking, 2013, 45, 1-1 (2013) Downloads

2012

  1. Comment
    NBER International Seminar on Macroeconomics, 2012, 8, (1), 400 - 401 Downloads
  2. Econometric analysis of present value models when the discount factor is near one
    Journal of Econometrics, 2012, 171, (1), 86-97 Downloads View citations (7)
    See also Working Paper Econometric Analysis of Present Value Models When the Discount Factor Is near One, NBER Working Papers (2012) Downloads View citations (7) (2012)
  3. Editor's Introduction October 2011
    Journal of Money, Credit and Banking, 2012, 44, (s1), 1-1 Downloads
    Also in Journal of Money, Credit and Banking, 2012, 44, 1-1 (2012) Downloads

2011

  1. Comment
    NBER International Seminar on Macroeconomics, 2011, 7, (1), 299 - 302 Downloads
  2. Comment
    Journal of Business & Economic Statistics, 2011, 30, (1), 34-35 Downloads

2010

  1. Editor's Introduction
    Journal of Money, Credit and Banking, 2010, 42, (s1), 1-1 Downloads
  2. Forecast evaluation of small nested model sets
    Journal of Applied Econometrics, 2010, 25, (4), 574-594 Downloads View citations (34)
    See also Working Paper Forecast evaluation of small nested model sets, Working Paper Series (2009) Downloads View citations (5) (2009)
  3. Global Interest Rates, Currency Returns, and the Real Value of the Dollar
    American Economic Review, 2010, 100, (2), 562-67 Downloads View citations (34)
  4. Introduction
    NBER International Seminar on Macroeconomics, 2010, 6, (1), 1 - 4 Downloads

2009

  1. Editor's Introduction
    Journal of Money, Credit and Banking, 2009, 41, (s1), 1-1 Downloads
  2. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    Econometric Reviews, 2009, 28, (5), 441-467 Downloads View citations (11)
    See also Working Paper Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, NBER Working Papers (2007) Downloads (2007)

2007

  1. Approximately normal tests for equal predictive accuracy in nested models
    Journal of Econometrics, 2007, 138, (1), 291-311 Downloads View citations (1323)
    See also Working Paper Approximately Normal Tests for Equal Predictive Accuracy in Nested Models, NBER Technical Working Papers (2006) Downloads View citations (15) (2006)
  2. Comment on Argia M. Sbordone "Inflation persistence: Alternative interpretations and policy implications"
    Journal of Monetary Economics, 2007, 54, (5), 1340-1343 Downloads View citations (2)
  3. Editor's Introduction
    Journal of Money, Credit and Banking, 2007, 39, (s1), 1-1 Downloads
  4. Model uncertainty and policy evaluation: Some theory and empirics
    Journal of Econometrics, 2007, 136, (2), 629-664 Downloads View citations (94)
    Also in Proceedings, 2005 (2005) Downloads View citations (1)

    See also Working Paper Model Uncertainty and Policy Evaluation: Some Theory and Empirics, NBER Working Papers (2004) Downloads View citations (26) (2004)

2006

  1. 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 Downloads
  2. Taylor Rules and the Deutschmark: Dollar Real Exchange Rate
    Journal of Money, Credit and Banking, 2006, 38, (5), 1175-1194 Downloads View citations (152)
    See also Working Paper Taylor Rules and the Deutschmark-Dollar Real Exchange Rate, NBER Working Papers (2004) Downloads View citations (10) (2004)
  3. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
    Journal of Econometrics, 2006, 135, (1-2), 155-186 Downloads View citations (339)
    See also Working Paper Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis, Research Working Paper (2004) Downloads View citations (17) (2004)

2005

  1. Exchange Rates and Fundamentals
    Journal of Political Economy, 2005, 113, (3), 485-517 Downloads View citations (630)
    Also in Proceedings, 2003, (Mar) (2003) Downloads View citations (25)

    See also Working Paper Exchange Rates and Fundamentals, NBER Working Papers (2004) Downloads View citations (11) (2004)

2004

  1. Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor Is Near 1
    American Economic Review, 2004, 94, (2), 119-125 Downloads View citations (61)

2003

  1. Monetary policy and the volatility of real exchange rates in New Zealand
    New Zealand Economic Papers, 2003, 37, (2), 175-196 Downloads View citations (27)
    See also Working Paper Monetary Policy and the Volatility of Real Exchange Rates in New Zealand, NBER Working Papers (2004) Downloads View citations (7) (2004)
  2. Policy Evaluation in Uncertain Economic Environments
    Brookings Papers on Economic Activity, 2003, 34, (1), 235-322 Downloads View citations (179)
    See also Working Paper Policy Evaluation in Uncertain Economic Environments, NBER Working Papers (2003) Downloads View citations (179) (2003)

2002

  1. Comments on 'The state of macroeconomic forecasting'
    Journal of Macroeconomics, 2002, 24, (4), 495-497 Downloads
  2. Efficient GMM estimation of weak AR processes
    Economics Letters, 2002, 75, (3), 415-418 Downloads View citations (10)
  3. Generalized Method of Moments and Macroeconomics
    Journal of Business & Economic Statistics, 2002, 20, (4), 460-69 View citations (37)

2001

  1. Assessing simple policy rules: a view from a complete macroeconomic model (commentary)
    Review, 2001, 83, (Jul), 83-112 Downloads
  2. Encompassing tests when no model is encompassing
    Journal of Econometrics, 2001, 105, (1), 287-308 Downloads View citations (9)
    See also Working Paper Encompassing Tests When No Model Is Encompassing, NBER Technical Working Papers (2000) Downloads View citations (3) (2000)
  3. Forecasting and empirical methods in finance and macroeconomics
    Journal of Econometrics, 2001, 105, (1), 1-3 Downloads
  4. On Optimal Instrumental Variables Estimation of Stationary Time Series Models
    International Economic Review, 2001, 42, (4), 1043-50 View citations (9)
    See also Working Paper On Optimal Instrumental Variables Estimation of Stationary Time Series Models, NBER Technical Working Papers (2000) Downloads View citations (1) (2000)
  5. Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters
    Journal of Business & Economic Statistics, 2001, 19, (1), 29-33 View citations (54)

1998

  1. Regression-Based Tests of Predictive Ability
    International Economic Review, 1998, 39, (4), 817-40 View citations (165)
    See also Working Paper Regression-Based Tests of Predictive Ability, NBER Technical Working Papers (1998) Downloads View citations (164) (1998)
  2. Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction
    International Economic Review, 1998, 39, (4), 811-15 View citations (5)

1997

  1. Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
    Journal of Econometrics, 1997, 76, (1-2), 171-191 Downloads View citations (42)
    See also Working Paper Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator, NBER Technical Working Papers (1995) Downloads View citations (9) (1995)

1996

  1. A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model
    Journal of Business & Economic Statistics, 1996, 14, (3), 281-93 View citations (23)
    See also Working Paper A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model, NBER Technical Working Papers (1995) Downloads View citations (2) (1995)
  2. Asymptotic Inference about Predictive Ability
    Econometrica, 1996, 64, (5), 1067-84 Downloads View citations (923)
    See also Working Paper ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY, Macroeconomics (1994) Downloads View citations (11) (1994)
  3. Inflation and growth: in search of a stable relationship - commentary
    Proceedings, 1996, 78, (May), 150-152 Downloads
    Also in Review, 1996, 78, (May), 150-152 (1996) Downloads

1995

  1. The predictive ability of several models of exchange rate volatility
    Journal of Econometrics, 1995, 69, (2), 367-391 Downloads View citations (164)
    See also Working Paper The Predictive Ability of Several Models of Exchange Rate Volatility, NBER Technical Working Papers (1994) Downloads View citations (8) (1994)

1994

  1. Automatic Lag Selection in Covariance Matrix Estimation
    The Review of Economic Studies, 1994, 61, (4), 631-653 Downloads View citations (1642)
    See also Working Paper Automatic Lag Selection in Covariance Matrix Estimation, NBER Technical Working Papers (1995) Downloads View citations (1) (1995)
  2. 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 Downloads View citations (1)
  3. Estimation and inference in the linear-quadratic inventory model
    Journal of Economic Dynamics and Control, 1994, 18, (3-4), 897-908 Downloads View citations (10)

1993

  1. A utility-based comparison of some models of exchange rate volatility
    Journal of International Economics, 1993, 35, (1-2), 23-45 Downloads View citations (200)
    See also Working Paper A utility based comparison of some models of exchange rate volatility, International Finance Discussion Papers (1993) Downloads View citations (149) (1993)

1992

  1. A comparison of the behavior of Japanese and US inventories
    International Journal of Production Economics, 1992, 26, (1-3), 115-122 Downloads View citations (1)
    See also Working Paper A Comparison of the Behavior of Japanese and U.S. Inventories, NBER Working Papers (1991) Downloads (1991)
  2. Erratum
    Journal of Monetary Economics, 1992, 29, (2), 337-337 Downloads
  3. Sources of cycles in Japan, 1975-1987
    Journal of the Japanese and International Economies, 1992, 6, (1), 71-98 Downloads View citations (4)
    See also Working Paper Sources of Cycles in Japan, 1975-1987, NBER Working Papers (1991) Downloads View citations (1) (1991)

1990

  1. Evidence from seven countries on whether inventories smooth aggregate output
    Engineering Costs and Production Economics, 1990, 19, (1-3), 85-90 Downloads View citations (4)
    See also Working Paper Evidence From Seven Countries on Whether Inventories Smooth Aggregate Output, NBER Working Papers (1988) Downloads View citations (10) (1988)
  2. The Sources of Fluctuations in Aggregate Inventories and GNP
    The Quarterly Journal of Economics, 1990, 105, (4), 939-971 Downloads View citations (30)
    See also Working Paper The Sources of Fluctuations in Aggregate Inventories and GNP, NBER Working Papers (1989) Downloads View citations (1) (1989)

1989

  1. Estimation of linear rational expectations models, in the presence of deterministic terms
    Journal of Monetary Economics, 1989, 24, (3), 437-442 Downloads View citations (4)

1988

  1. Asymptotic Normality, When Regressors Have a Unit Root
    Econometrica, 1988, 56, (6), 1397-1417 Downloads View citations (143)
  2. Dividend Innovations and Stock Price Volatility
    Econometrica, 1988, 56, (1), 37-61 Downloads View citations (172)
    See also Working Paper Dividend Innovations and Stock Price Volatility, NBER Working Papers (1986) Downloads View citations (79) (1986)
  3. Integrated regressors and tests of the permanent-income hypothesis
    Journal of Monetary Economics, 1988, 21, (1), 85-95 Downloads View citations (20)
    See also Working Paper Integrated Regressors and Tests of the Permanent Income Hypothesis, NBER Working Papers (1987) Downloads View citations (3) (1987)
  4. On the Interpretation of Near Random-walk Behavior in GNP
    American Economic Review, 1988, 78, (1), 202-09 Downloads View citations (26)
    See also Working Paper On the Interpretation of Near Random-Walk Behavior in GNP, NBER Working Papers (1987) Downloads View citations (4) (1987)
  5. The insensitivity of consumption to news about income
    Journal of Monetary Economics, 1988, 21, (1), 17-33 Downloads View citations (43)
    See also Working Paper The Insensitivity of Consumption to News About Income, NBER Working Papers (1987) Downloads View citations (30) (1987)

1987

  1. A Specification Test for Speculative Bubbles
    The Quarterly Journal of Economics, 1987, 102, (3), 553-580 Downloads View citations (220)
    See also Working Paper A Specification Test for Speculative Bubbles, NBER Working Papers (1986) Downloads View citations (4) (1986)
  2. A note on the power of least squares tests for a unit root
    Economics Letters, 1987, 24, (3), 249-252 Downloads View citations (22)
  3. A standard monetary model and the variability of the deutschemark-dollar exchange rate
    Journal of International Economics, 1987, 23, (1-2), 57-76 Downloads View citations (29)
    See also Working Paper A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate, NBER Working Papers (1986) Downloads View citations (1) (1986)
  4. Hypothesis Testing with Efficient Method of Moments Estimation
    International Economic Review, 1987, 28, (3), 777-87 Downloads View citations (650)

1986

  1. A Variance Bounds Test of the Linear Quadratic Inventory Model
    Journal of Political Economy, 1986, 94, (2), 374-401 Downloads View citations (101)
    See also Working Paper A Variance Bounds Test of the Linear Quardractic Inventory Model, NBER Working Papers (1985) Downloads View citations (2) (1985)
  2. Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons
    Journal of Econometrics, 1986, 33, (3), 367-385 Downloads View citations (14)
    See also Working Paper Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons, NBER Technical Working Papers (1986) Downloads View citations (11) (1986)
  3. Targeting Nominal Income: A Note
    Economic Journal, 1986, 96, (384), 1077-83 Downloads View citations (25)
    See also Working Paper Targeting Nominal Income: A Note, NBER Working Papers (1986) Downloads View citations (25) (1986)

1983

  1. A note on the econometric use of constant dollar inventory series
    Economics Letters, 1983, 13, (4), 337-341 Downloads View citations (28)

Books

2022

  1. NBER International Seminar on Macroeconomics 2021
    NBER Books, National Bureau of Economic Research, Inc

2019

  1. NBER International Seminar on Macroeconomics 2018
    NBER Books, National Bureau of Economic Research, Inc View citations (1)

2016

  1. NBER International Seminar on Macroeconomics 2015
    NBER Books, National Bureau of Economic Research, Inc

2013

  1. NBER International Seminar on Macroeconomics 2012
    NBER Books, National Bureau of Economic Research, Inc View citations (2)

2010

  1. NBER International Seminar on Macroeconomics 2009
    NBER Books, National Bureau of Economic Research, Inc View citations (17)

2008

  1. NBER International Seminar on Macroeconomics 2006
    NBER Books, National Bureau of Economic Research, Inc View citations (11)

2006

  1. NBER International Seminar on Macroeconomics 2004
    NBER Books, National Bureau of Economic Research, Inc View citations (20)

Edited books

2006

  1. NBER International Seminar on Macroeconomics 2004, vol 1
    MIT Press Books, The MIT Press View citations (3)

Chapters

2012

  1. Introduction to "NBER International Seminar on Macroeconomics 2012"
    A chapter in NBER International Seminar on Macroeconomics 2012, 2012, pp 1-4 Downloads

2011

  1. Comment on "Flexing Your Muscles: Effects of Abandoning Fixed Exchange Rates for Greater Flexibility"
    A chapter in NBER International Seminar on Macroeconomics 2011, 2011, pp 400-401 Downloads

2010

  1. Comment on "Globalization, the Business Cycle, and Macroeconomic Monitoring"
    A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 299-301 Downloads
  2. Introduction to "NBER International Seminar on Macroeconomics 2009"
    A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 1-4 Downloads

2009

  1. Comment on "Real Variables, Nonlinearity, and European Real Exchange Rates"
    A chapter in NBER International Seminar on Macroeconomics 2008, 2009, pp 197-199 Downloads

2008

  1. Exchange Rate Models Are Not as Bad as You Think
    A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 381-441 Downloads View citations (137)
    See also Working Paper Exchange Rate Models Are Not as Bad as You Think, National Bureau of Economic Research, Inc (2007) Downloads View citations (344) (2007)
  2. Introduction to "NBER International Seminar on Macroeconomics 2006"
    A chapter in NBER International Seminar on Macroeconomics 2006, 2008, pp 1-5 Downloads

2006

  1. Forecast Evaluation
    Elsevier Downloads View citations (94)
  2. Introduction to "NBER International Seminar on Macroeconomics 2004"
    A chapter in NBER International Seminar on Macroeconomics 2004, 2006, pp 1-16 Downloads View citations (2)
  3. Land Prices and Business Fixed Investment in Japan
    Chapter 12 in Long-run Growth and Short-run Stabilization, 2006 Downloads
    See also Working Paper Land Prices and Business Fixed Investments in Japan, National Bureau of Economic Research, Inc (2004) Downloads View citations (5) (2004)

2005

  1. Comment on "Globalization and Disinflation: The Efficiency Channel"
    A chapter in NBER International Seminar on Macroeconomics 2005, 2005, pp 200-203 Downloads View citations (3)

2003

  1. 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 11-35 Downloads View citations (13)

1999

  1. Inventories
    Chapter 13 in Handbook of Macroeconomics, 1999, vol. 1, Part B, pp 863-923 Downloads View citations (2)
    See also Working Paper Inventories, National Bureau of Economic Research, Inc (1997) Downloads View citations (63) (1997)

1996

  1. Business Fixed Investment and the Recent Business Cycle in Japan
    A chapter in NBER Macroeconomics Annual 1996, Volume 11, 1996, pp 277-344 Downloads View citations (29)
    See also Working Paper Business Fixed Investment and the Recent Business Cycle in Japan, National Bureau of Economic Research, Inc (1996) Downloads View citations (31) (1996)

1993

  1. An Aggregate Demand–Aggregate Supply Analysis of Japanese Monetary Policy, 1973–1990
    A chapter in Japanese Monetary Policy, 1993, pp 160-188 Downloads View citations (2)
    See also Working Paper An Aggregate Demand - Aggregate Supply Analysis of Japanese Monetary Policy, 1973-1990, National Bureau of Economic Research, Inc (1991) Downloads View citations (1) (1991)

Editor

  1. Journal of Money, Credit and Banking
    Blackwell Publishing
  2. Journal of Money, Credit and Banking
    Blackwell Publishing
 
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