NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Kenneth D. West

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Working Papers

September 2012Factor Model Forecasts of Exchange Rates
with Charles Engel, Nelson C. Mark: w18382
July 2012Econometric Analysis of Present Value Models When the Discount Factor Is near One
w18247

Published: West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97. citation courtesy of

December 2008Forecast Evaluation of Small Nested Model Sets
with Kirstin Hubrich: w14601

Published: Kirstin Hubrich & Kenneth D. West, 2010. "Forecast evaluation of small nested model sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 574-594. citation courtesy of

August 2007Exchange Rate Models Are Not as Bad as You Think
with Charles Engel, Nelson C. Mark: w13318

Published: Exchange Rate Models Are Not As Bad As You Think, Charles Engel, Nelson C. Mark, Kenneth D. West. in NBER Macroeconomics Annual 2007, Volume 22, Acemoglu, Rogoff, and Woodford. 2008

May 2007Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
with Ka-fu Wong, Stanislav Anatolyev: w13134

Published: Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor and Francis Journals, vol. 28(5), pages 441-467. citation courtesy of

Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
with Ka-fu Wong, Stanislav Anatolyev: t0338

Published: "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments,” (with Ka-fu Wong and Stanislav Anatolyev), Econometric Reviews 28 (5) (2009), 441-467.

August 2006Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
with Todd Clark: t0326
January 2005Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
with Todd E. Clark: t0305
December 2004Taylor Rules and the Deutschmark-Dollar Real Exchange Rate
with Charles Engel: w10995

Published: Engel, Charles & West, Kenneth D., 2006. "Taylor Rules and the Deutschmark: Dollar Real Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1175-1194, August. citation courtesy of

November 2004Land Prices and Business Fixed Investments in Japan
with Nobuhiro Kiyotaki: w10909

Published: Klein, L.R. (ed.) Long Run Growth and Short Run Stabilization: Essays in Memory of Albert Ando. Cheltenham: Edward Elgar, 2006.

Model Uncertainty and Policy Evaluation: Some Theory and Empirics
with William A. Brock, Steven N. Durlauf: w10916

Published:

August 2004Exchange Rates and Fundamentals
with Charles Engel: w10723

Published:

February 2004Monetary Policy and the Volatility of Real Exchange Rates in New Zealand
w10280

Published: Kenneth West, 2003. "Monetary policy and the volatility of real exchange rates in New Zealand," New Zealand Economic Papers, Taylor and Francis Journals, vol. 37(2), pages 175-196. citation courtesy of

Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One
with Charles Engel: w10267

Published: Engel, Charles and Kenneth D. West. "Accounting For Exchange-Rate Variability In Present-Value Models When Discount Factor Is Nearly 1," American Economic Review, 2004, v94(2,May), 119-125.

October 2003Policy Evaluation in Uncertain Economic Environments
with William A. Brock, Steven N. Durlauf: w10025

Published: Brock, William A., Steven N. Durlauf and Kenneth D. West. "Policy Evaluation In Uncertain Economic Environments," Brookings Papers on Economic Activity, 2003, v2003(1), 235-322. citation courtesy of

June 2000Encompassing Tests When No Model Is Encompassing
t0256

Published: West, Kenneth D. "Tests For Forecast Encompassing When Forecasts Depend On Estimated Regression," Journal of Business and Economic Statistics, 2001, v19(1,Jan), 29-33.

January 2000On Optimal Instrumental Variables Estimation of Stationary Time Series Models
t0249

Published: West, Kenneth D. "On Optimal Instrumental Variables Estimation Of Stationary Time Series Models," International Economic Review, 2001, v42(4,Nov), 1043-1050.

March 1998Regression-Based Tests of Predictive Ability
with Michael W. McCracken: t0226

Published: International Economic Review, Vol. 39 (1998): 817-840.

December 1997Inventories
with Valerie A. Ramey: w6315

Published:

  • Ramey, Valerie A. & West, Kenneth D., 1999. "Inventories," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 13, pages 863-923 Elsevier.
  • Handbook of Macroeconomics, Taylor, John and Michael Woodford, eds., Amsterdam: North Holland, 1999, Vol.1B

April 1996Business Fixed Investment and the Recent Business Cycle in Japan
with Nobuhiro Kiyotaki: w5546

Published: Business Fixed Investment and the Recent Business Cycle in Japan, Nobuhiro Kiyotaki, Kenneth D. West. in NBER Macroeconomics Annual 1996, Volume 11, Bernanke and Rotemberg. 1996

July 1995Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
t0183

Published: West, Kenneth D. "Another Heteroskedasticity- And Autocorrelation-Consistent Covariance Matrix Estimator," Journal of Econometrics, 1997, v76(1&2,Jan/Feb), 171-191.

March 1995A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model
with David W. Wilcox: t0176

Published: West, Kenneth D. and David W. Wilcox. "A Comparison Of Alternative Instrumental Variables Estimators Of A Dynamic Linear Model," Journal of Business and Economic Statistics, 1996, v14(3,Jul), 281-293.

February 1995Automatic Lag Selection in Covariance Matrix Estimation
with Whitney K. Newey: t0144

Published:

  • Review of Economic Studies, 1994, 61, pp 631-653
  • "A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model," (with David Wilcox) Journal of Business and Economic Statistics 14 (1996), pp. 281-293.

January 1994The Predictive Ability of Several Models of Exchange Rate Volatility
with Dongchul Cho: t0152

Published: Journal of Econometrics, vol. 69, (1995), pp. 367-391.

September 1993Inventory Models
t0143

Published: Pesaran, M. and M. Wickens (eds.) Handbook of Applied Econometrics - Volume 1 (Macroeconomics), Oxford: Basil Blackwell, 1995.

July 1993Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model
with David W. Wilcox: t0139

Inventory Cycles and Monetary Policy, ed. Ricardo Fiorito, Springer-Verlagforthcoming 1994

November 1992A Utility Based Comparison of Some Models of Exchange Rate Volatility
with Hali J. Edison, Dongchul Cho: t0128

Published: Journal of International Economics 1993, vol. 35, no.1, pp. 23-46

August 1991An Aggregate Demand - Aggregate Supply Analysis of Japanese Monetary Policy, 1973-1990
w3823

Published: Japanese Monetary Policyedited by Kenneth J. Singleton University of Chicago Press; 1993, pp. 161-189

July 1991A Comparison of the Behavior of Japanese and U.S. Inventories
w3762

Published: International Journal of Production Economics Volume 26, pp.115-222 1992 citation courtesy of

Sources of Cycles in Japan, 1975-1987
w3763

Published:

  • Journal of International and Japanese Economies Volume 6, pp.71-98 1992
  • West, Kenneth D., 1992. "Sources of cycles in Japan, 1975-1987," Journal of the Japanese and International Economies, Elsevier, vol. 6(1), pages 71-98, March. citation courtesy of

June 1989The Sources of Fluctuations in Aggregate Inventories and GNP
w2992

Published: The Quarterly Journal of Economics, Vol. CV, No. 423, pp. 939-971, (November 1990). citation courtesy of

September 1988Integrated Regressors and Tests of the Permanent Income Hypothesis
with James H. Stock: w2359

Published: Stock, James H. and Kenneth D. West. "Integrated Regressors and Tests of the Permanent-Income Hypothesis." Journal of Monetary Economics, Vol. 21, No. 1, pp. 85-96, (January 1988) citation courtesy of

July 1988Evidence From Seven Countries on Whether Inventories Smooth Aggregate Output
w2664

Published: Engineering Costs and Production Economics, 1989. citation courtesy of

May 1988Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation
w2574

Published: The Journal of Finance, Vol. XLIII, No. 3, pp. 639-656, (July 1988). citation courtesy of

September 1987Order Backlogs and Production Smoothing
w2385

Published: From The Economics of Inventory Management, edited by A. Chikan and M.C. Lovell, pp. 305-317. Amsterdam: Elsevier Science Publishers B.V. (North- Holland), 1988.

August 1987On the Interpretation of Near Random-Walk Behavior in GNP
w2364

Published: American Economic Review, Vol. 78, No. 1, March 1988, pp. 202-209. citation courtesy of

May 1987The Insensitivity of Consumption to News About Income
w2252

Published: West, Kenneth D. "The Insensitivity of Consumption to News About Income." Journal of Monetary Economics, Vol. 21, (1988), pp. 17-33. citation courtesy of

December 1986A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate
w2102

Published: Journal of International Economics, Vol. 23, 1987, pp. 57-76. citation courtesy of

November 1986A Specification Test for Speculative Bubbles
w2067

Published: West, Kenneth D. "A Specification Test for Speculative Bubbles," The Quarterly Journal of Economics, Vol. CII, No. 3, August 1987, pp. 553-580. citation courtesy of

April 1986A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
with Whitney K. Newey: t0055

Published: West, Kenneth D. and Whitney K. Newey. Econometrica, Vol. 55, No. 3, May 1987, pp. 703-708.

February 1986Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons
t0054

Published: West, Kenneth D. Journal of Econometrics, Vol. 33, 1986, pp. 367-386.

Dividend Innovations and Stock Price Volatility
w1833

Published: "Dividend Innovations and Stock Price Volatility." Econometrica, Vol. 56, No. 1, pp. 37-61, (January 1988). citation courtesy of

Targeting Nominal Income: A Note
w1835

Published: West, Kenneth D. Economic Journal, Vol. 96, December 1986, pp. 1077-1083. citation courtesy of

March 1985A Variance Bounds Test of the Linear Quardractic Inventory Model
w1581

Published: West, Kenneth D. "A Variance Bounds Test of the Linear Quadratic Inventory Model," Journal of Political Economy, Vol. 94, No. 2, pp. 374-401, April 1986. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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