Working Papers

From Princeton, Department of Economics - Econometric Research Program
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368: Multiperiod Competition with Switching Costs: Solution by Lagrange Multipliers

Gregory Chow

367: What Macroeconomists Should Know About Unit Roots as Well: The Bayesian Perspective

Harald Uhlig

366: BVARTEC - Bayesian Vector Auto Regressions with Time Varying Error-Covariances

Harald Uhlig

365: Statistical Estimation and Testing of a Real Business Cycle Model

Gregory Chow

364: Optimal Control Without Solving the Bellman Equations

Gregory Chow

363: A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series

Pierre Perron

362: Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors

S. Nabeya and Pierre Perron

361: Dynamic Optimization Without Dynamic Programming

Gregory Chow

360: Pitfalls and Opportunities: What Macroeconomics should know about unit roots

John Campbell and Pierre Perron

359: Nonstationary and Level Shifts With An Application To Purchasing Power Parity

Timothy Vogelsang and Pierre Perron

358: Specification Testing In Panel Data With Instrumental Variables

Gilbert Metcalf

357: THE MULTIPLIER-ACCELERATOR MODEL IN THE LIGHT OF COINTEGRATION

Gregory Chow

356: CAPITAL FORMATION AND ECONOMIC GROWTH IN CHINA

Gregory Chow

355: THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT

Eric Ghysels and Pierre Perron

354: THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS

Pierre Perron

353: AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS

René Garcia and Pierre Perron

352: EFFICIENT ESTIMATION OF SEMIPARAMETRIC MODELS VIA MOMENT RESTRICTIONS

Whitney Newey

351: LOCALLY EFFICIENT, RESIDUAL-BASED ESTIMATION OF NONLINEAR SIMULTANEOUS EQUATIONS

Whitney Newey

350: FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES

Pierre Perron

349: THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS

Pierre Perron

348: SERIES ESTIMATION OF REGRESSION FUNCTIONALS

Whitney Newey

347: TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN

Pierre Perron

346: THE ASYMPTOTIC VARIANCE OF SEMIPARAMETRIC ESTIMOTORS

Whitney Newey

345: TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY

Pierre Perron

344: SUBGAMES AND THE REDUCED NORMAL FORM

Jeroen Swinkels

343: IMPOSSIBILITY OF STRATEGY-PROOF MECHANISMS FOR ECONOMIES WITH PURE PUBLIC GOODS

Lin Zhou

342: UNIFORM CONVERGENCE IN PROBABILITY AND STOCHASTIC EQUICONTINUITY

Whitney Newey

341: EFFICIENT INSTRUMENTAL VARIABLES ESTIMATION OF NONLINEAR MODELS

Whitney Newey

340: MARKET SOCIALISM AND ECONOMIC DEVELOPMENT IN CHINA

Gregory Chow

339: TEACHING ECONOMICS AND STUDYING; ECONOMIC REFORM IN CHINA

Gregory Chow

338: THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS

Pierre Perron

337: A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT

Pierre Perron

336: TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED

Pierre Perron

334: STOCK PRICES, EARNINGS AND EXPECTED DIVIDENDS

John Campbell and Robert Shiller

328: RATIONAL VERSUS ADAPTIVE EXPECTATIONS IN PRESENT VALUE MODELS

Gregory Chow