NBER Technical Working Papers

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145: Econometric Evaluation of Asset Pricing Models

Lars Hansen, John Heaton and Erzo Luttmer

144: Automatic Lag Selection in Covariance Matrix Estimation

Kenneth West and Whitney Newey

143: Inventory Models

Kenneth West

142: Why Long Horizons: A Study of Power Against Persistent Alternatives

John Campbell

141: Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

Lars Hansen and Jose Scheinkman

140: Estimating Conditional Expectations when Volatility Fluctuates

Robert Stambaugh

139: Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model

Kenneth West and David Wilcox

138: From Each According to His Surplus: Equi-Proportionate Sharing of Commodity Tax Burdens

James Hines, John C. Hlinko and Theodore J.F. Lubke

137: The Cure Can Be Worse than the Disease: A Cautionary Tale Regarding Instrumental Variables

John Bound, David Jaeger and Regina Baker

136: Identification of Causal Effects Using Instrumental Variables

Joshua Angrist, Guido Imbens and D.B. Rubin

135: On Inflation and Output with Costly Price Changes: A Simple Unifying Result

Roland Benabou and Jerzy Konieczny

134: Bayesian Inference and Portfolio Efficiency

Shmuel Kandel, Robert McCulloch and Robert Stambaugh

133: Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates

David Backus and Stanley Zin

132: Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model

Daniel B. Nelson and Dean Foster

131: Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures

Robert Shiller

130: Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg and James Stock

129: Asypmtotic Filtering Theory for Univariate Arch Models

Daniel B. Nelson and Dean Foster

128: A Utility Based Comparison of Some Models of Exchange Rate Volatility

Kenneth West, Hali Edison and Dongchul Cho

127: Average Causal Response with Variable Treatment Intensity

Joshua Angrist and Guido Imbens

126: Seasonal Unit Roots in Aggregate U.S. Data

J. Joseph Beaulieu and Jeffrey Miron

125: The "Window Problem" in Studies of Children's Attainments: A Methodological Exploration

Barbara Wolfe, Robert Haveman, Donna Genther and Chong-Bum An

124: Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

Stephen Cecchetti, Pok-sang Lam and Nelson Mark

123: Specification Testing in Panel Data With Instrumental Variables

Gilbert Metcalf

122: Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown

Graham Elliott and James Stock

121: Deciding Between I(1) and I(0)

James Stock

120: Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability

Maurice Obstfeld

119: Computing Markov Perfect Nash Equilibria: Numerical Implications of a Dynamic Differentiated Product Model

Ariel Pakes and Paul McGuire

118: Identification and Estimation of Local Average Treatment Effects

Joshua Angrist and Guido Imbens

117: Sources of Identifying Information in Evaluation Models

Joshua Angrist and Guido Imbens

116: A Note on the Time-Elimination Method For Solving Recursive Dynamic Economic Models

Casey Mulligan and Xavier Sala-i-Martin

115: Instrumental Variables Estimation of Average Treatment Effects in Econometrics and Epidemiology

Joshua Angrist

114: Eastern Data and Western Attitudes

Edward Leamer

113: Workings of a City: Location, Education, and Production

Roland Benabou

112: Rational Frenzies and Crashes

Jeremy Bulow and Paul Klemperer

111: Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation

Ray Fair

110: The Optimality of Nominal Contracts

Scott Freeman and Guido Tabellini

109: The Independence Axiom and Asset Returns

Larry Epstein and Stanley Zin

108: Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement

Robert Hodrick

107: Randomization and Social Policy Evaluation Revisited

James Heckman

106: The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds

Danny Quah

105: Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series

James Stock

104: Financial Intermediation and Monetary Policies in the World Economy

Vittorio Grilli and Nouriel Roubini

103: A Theory of Workouts and the Effects of Reorganization Law

Robert Gertner and David Scharfstein

102: Measures of Fit for Calibrated Models

Mark Watson

101: On the Optimality of Reserve Requirements

Richard D. Cothren and Roger Waud

100: Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots

John Campbell and Pierre Perron

99: Standard Risk Aversion

Miles Kimball

98: Do Short-Term Managerial Objectives Lead to Under- or Over-Investment in Long-Term Projects

Lucian Bebchuk and Lars Stole

97: Bargaining and the Division of Value in Corporate Reorganization

Lucian Bebchuk and Howard F. Chang

96: The Effects of Insider Trading on Insiders' Choice Among Risky Investment Projects

Lucian Bebchuk and Chaim Fershtman