NBER Technical Working Papers

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95: The Effect of Insider Trading on Insiders' Reaction to Opportunities to "Waste" Corporate Value

Lucian Bebchuk and Chaim Fershtman

94: Heteroscedasticity Diagnostics Based on "Corrected" Standard Errors

Edward Leamer

93: Sorting Out the Differences Between Signaling and Screening Models

Joseph Stiglitz and Andrew Weiss

92: Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

Robert Cumby and John Huizinga

91: Testing For Common Features

Robert Engle and Sharon Kozicki

90: Spectral Based Testing of the Martingale Hypothesis

Steven Durlauf

89: Implications of Security Market Data for Models of Dynamic Economies

Lars Hansen and Ravi Jagannathan

88: Does Correcting for Heteroskedasticity Help?

Frederic Mishkin

87: Simulated Moments Estimation of Markov Models of Asset Prices

Darrell Duffie and Kenneth Singleton

86: Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors

Lars Hansen and Kenneth Singleton

85: On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach

Benedikt Pötscher and Ingmar Prucha

84: The Ramsey Problem for Congestible Facilities

Richard Arnott and Marvin Kraus

83: A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems

James Stock and Mark Watson

82: The Positive Economics of Methodology

James Kahn, Steve Landsburg and Alan Stockman

81: The Influence Of Probability on Risky Choice: A parametric Examination

Pamela K. Lattimore, Joanna R. Baker and A. Dryden Witte

80: A Simple, Consistent Estimator for Disturbance Components in Financial Models

James Levinsohn and Jeffrey Mackie-Mason

79: Estimation of Polynomial Distributed Lags and Leads with End Point Constraints

Donald Andrews and Ray Fair

78: Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

Ray Fair and John Taylor

77: Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian

Bernard Dumas

76: Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock

Jack Meyer and Robert Rasche

75: The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds

Alex Kane

74: Endogenous Output in an Aggregate Model of the Labor Market

Richard E. Quandt and Harvey Rosen

73: Tests For Unit Roots: A Monte Carlo Investigation

G. Schwert

72: The R&D Master File Documentation

Bronwyn Hall, Clint Cumminq, Elizabeth Laderman and Joy Mundy

71: Smart Money, Noise Trading and Stock Price Behavior

John Campbell and Albert Kyle

70: The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis

Charles Nelson and Chang-Jin Kim

69: The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One

Charles Nelson and Richard Startz

68: Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

Charles Nelson and Richard Startz

67: The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study

John Campbell and Robert Shiller

66: The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation

Andrew Lo and A. Craig MacKinlay

65: Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

Robert Engle, Victor Ng and Michael Rothschild

64: Exchange-Rate Dynamics and Optimal Asset Accumulation Revisited

Maurice Obstfeld

63: Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root

Charles Nelson

62: Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

Kenneth Froot

61: Granger-Causality and Policy Ineffectiveness: A Rejoinder

Willem Buiter

60: Temporal Aggregation and Structural Inference in Macroeconomics

Lawrence Christiano and Martin Eichenbaum

59: Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Andrew Lo

58: Bias in Longitudinal Estimation of Wage Gaps

Gary Solon

57: Testing for Individual Effects in Dynamic Models Using Panel Data

Douglas Holtz-Eakin

56: Sequential Bargaining Under Asymmetric Information

Sanford Grossman and Motty Perry

55: A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

Whitney Newey and Kenneth West

54: Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons

Kenneth West

53: Microeconomic Approaches to the Theory of International Comparisons

Walter Diewert

52: A Fiscal Theory of Hyperdeflations? Some Surprising Monetarist Arithmetic

Willem Buiter

51: Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models

N. Gregory Mankiw and Matthew Shapiro

50: Estimation and Hypothesis Testing with Restricted Spectral Density Matrices: An Application to Uncovered Interest Parity

Danny Quah and Takatoshi Ito

49: Alternative Nonnested Specification Tests of Time Series Investment Models

Ben Bernanke, Henning Bohn and Peter C. Reiss

48: Implementing Causality Tests with Panel Data, with an Example from LocalPublic Finance

Douglas Holtz-Eakin, Whitney Newey and Harvey Rosen

47: Technical Progress in U.S. Manufacturing Sectors, 1948-1973: An Application of Lie Groups

Ryuzo Sato and Thomas M. Mitchell

46: Is There Chronic Excess Supply of Labor? Designing a Statistical Test

Richard E. Quandt and Harvey Rosen