NBER Technical Working Papers

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195: Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures

Wouter J. Den Haan and Andrew Levin

194: Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

Francis Diebold and Til Schuermann

193: Instrument Relevance in Multivariate Linear Models: A Simple Measure

John Shea

192: Forecast Evaluation and Combination

Francis Diebold and Jose Lopez

191: On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates

Geert Bekaert, Robert Hodrick and David Marshall

190: Existence of Equilibrium and Stratification in Local and Hierarchical Tiebout Economies with Property Taxes and Voting

Thomas Nechyba

189: On the Validity of Using Census Geocode Characteristics to Proxy Individual Socioeconomic Characteristics

Arline T. Geronimus, John Bound and Lisa J. Neidert

188: A CES Indirect Production Function

Boyan Jovanovic

187: Selection Bias Adjustment in Treatment-Effect Models as a Method of Aggregation

Robert Moffitt

186: Information Theoretic Approaches to Inference in Moment Condition Models

Guido Imbens, Phillip Johnson and Richard H. Spady

185: Instrumental Variables: A Cautionary Tale

James Heckman

184: Randomization as an Instrumental Variable

James Heckman

183: Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Kenneth West

182: Refining Estimates of Marital Status Differences in Mortality at Older Ages

Sanders Korenman, Noreen Goldman and Haishan Fu

181: Conditioning on the Probability of Selection to Control Selection Bias

Joshua Angrist

180: A La Recherche des Moments Perdus: Covariance Models for Unbalanced Panels with Endogenous Death

John Abowd, Bruno Crépon, Francis Kramarz and Alain Trognon

179: One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System

Charles Goodhart, Takatoshi Ito and Richard Payne

178: Non-Parametric Demand Analysis with an Application to the Demand for Fish

Joshua Angrist, Kathryn Graddy and Guido Imbens

177: Small Sample Properties of GMM for Business Cycle Analysis

Lawrence Christiano and Wouter J. Den Haan

176: A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model

Kenneth West and David Wilcox

175: Investment Under Alternative Return Assumptions: Comparing Random Walks and Mean Reversion

Gilbert Metcalf and Kevin Hassett

174: Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Francis Diebold, Lee Ohanian and Jeremy Berkowitz

173: Measuring Volatility Dynamics

Francis Diebold and Jose Lopez

172: Jackknife Instrumental Variables Estimation

Joshua Angrist, Guido Imbens and Alan Krueger

171: Testing for Cointegration When Some of the Contributing Vectors are Known

Michael T. K. Horvath and Mark Watson

170: Natural and Quasi- Experiments in Economics

Bruce Meyer

169: Comparing Predictive Accuracy

Francis Diebold and Roberto Mariano

168: Estimating Multiple-Discrete Choice Models: An Application to Computeri-zzation Returns

Igal Hendel

167: Optimal Prediction Under Asymmetric Loss

Peter Christoffersen and Francis Diebold

166: Accounting for Dropouts in Evaluations of Social Experiments

James Heckman, Jeffrey Smith and Christopher Taber

165: Estimating Deterministic Trends in the Presence of Serially Correlated Errors

Eugene Canjels and Mark Watson

164: Evidence on Structural Instability in Macroeconomic Time Series Relations

James Stock and Mark Watson

163: Continuous Record Asymptotics for Rolling Sample Variance Estimators

Dean Foster and Daniel B. Nelson

162: Asymptotic Filtering Theory for Multivariate ARCH Models

Daniel B. Nelson

161: Asymptotically Optimal Smoothing with ARCH Models

Daniel B. Nelson

160: Reported Income in the NLSY: Consistency Checks and Methods for Cleaningthe Data

Nancy Cole and Janet Currie

159: Interpreting Tests of the Convergence Hypothesis

Andrew Bernard and Steven Durlauf

158: Biases in Twin Estimates of the Return to Schooling: A Note on Recent Research

David Neumark

157: Econometric Mixture Models and More General Models for Unobservables in Duration Analysis

James Heckman and Christopher R. Taber

156: Small Sample Bias in GMM Estimation of Covariance Structures

Joseph Altonji and Lewis M. Segal

155: Small Sample Properties of Generalized Method of Moments Based Wald Tests

Craig Burnside and Martin Eichenbaum

154: When Are Anonymous Congestion Charges Consistent with Marginal Cost Pricing?

Richard Arnott and Marvin Kraus

153: Assessing Specification Errors in Stochastic Discount Factor Models

Lars Hansen and Ravi Jagannathan

152: The Predictive Ability of Several Models of Exchange Rate Volatility

Kenneth West and Dongchul Cho

151: Instrumental Variables Regression with Weak Instruments

Doug Staiger and James Stock

150: Split Sample Instrumental Variables

Joshua Angrist and Alan Krueger

149: Making the Most Out Of Social Experiments: Reducing the Intrinsic Uncertainty in Evidence from Randomized Trials with an Application to the JTPA Exp

Nancy Clements, James Heckman and Jeffrey Smith

148: The Mixing Problem in Program Evaluation

Charles Manski

147: Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates

Leslie Papke and Jeffrey Wooldridge

146: A Two-Stage Estimator for Probit Models with Structural Group Effects

George Borjas and Glenn T. Sueyoshi