NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Mathematical and Quantitative Methods: Econometric Modeling


2014
w20303 Frank Schorfheide
Dongho Song
Amir Yaron

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

w20276 Arun G. Chandrasekhar
Matthew O. Jackson

Tractable and Consistent Random Graph Models

w20055 Marco Del Negro
Marc P. Giannoni
Frank Schorfheide

Inflation in the Great Recession and New Keynesian Models

w20022 Ariel Pakes
Behavioral and Descriptive Forms of Choice Models

w19792 Xu Cheng
Zhipeng Liao
Frank Schorfheide

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities


2013
w19712 Frank Schorfheide
Dongho Song

Real-Time Forecasting with a Mixed-Frequency VAR

w19693 S. Borağan Aruoba
Luigi Bocola
Frank Schorfheide

Assessing DSGE Model Nonlinearities

w19684 Efstathios Avdis
Jessica A. Wachter

Maximum likelihood estimation of the equity premium

w19617 Alexander Karaivanov
Robert M. Townsend

Dynamic Financial Constraints: Distinguishing Mechanism Design from Exogenously Incomplete Regimes

w19567 Steven L. Scott
Hal R. Varian

Bayesian Variable Selection for Nowcasting Economic Time Series

w19565 Frank Schorfheide
Kenneth I. Wolpin

To Hold Out or Not to Hold Out

w19506 Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor

Sovereigns versus Banks: Credit, Crises, and Consequences

w19457 Roger E.A. Farmer
Vadim Khramov

Solving and Estimating Indeterminate DSGE Models

w19414 Òscar Jordà
Alan M. Taylor

The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy

w19355 Joshua D. Angrist
Òscar Jordà
Guido Kuersteiner

Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited

w19248 S. Borağan Aruoba
Pablo Cuba-Borda
Frank Schorfheide

Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries

w19103 Robin L. Lumsdaine
Rogier J.D. Potter van Loon

Wall Street vs. Main Street: An Evaluation of Probabilities

w19037 Eugenio S. A. Bobenrieth
Juan R. A. Bobenrieth
Brian D. Wright

Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices.

w19035 Liran Einav
Jonathan D. Levin

The Data Revolution and Economic Analysis

w18995 Geert Bekaert
Marie Hoerova

The VIX, the Variance Premium and Stock Market Volatility

w18983 Martin M. Andreasen
Jesús Fernández-Villaverde
Juan Rubio-Ramírez

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

w18870 Ulrich Mueller
Mark W. Watson

Measuring Uncertainty about Long-Run Prediction

w18850 Patrick Bajari
Chenghuan Sean Chu
Denis Nekipelov
Minjung Park

A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications

w18797 Robert E. Hall
Fiscal Stability of High-Debt Nations under Volatile Economic Conditions


2012
w18467 Domenico Giannone
Michele Lenza
Giorgio E. Primiceri

Prior Selection for Vector Autoregressions

w18391 Francis X. Diebold
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

w18382 Charles Engel
Nelson C. Mark
Kenneth D. West

Factor Model Forecasts of Exchange Rates

w18247 Kenneth D. West
Econometric Analysis of Present Value Models When the Discount Factor Is near One

w18222 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

Prediction Markets for Economic Forecasting

w18181 John H. Cochrane
Continuous-Time Linear Models

w18132 Joseph A. Clougherty
Michal Grajek

International Standards and International Trade: Empirical Evidence from ISO 9000 Diffusion

w18063 Robert Novy-Marx
Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars

w18046 Torben G. Andersen
Nicola Fusari
Viktor Todorov

Parametric Inference and Dynamic State Recovery from Option Panels

w17998 Domenico Ferraro
Kenneth S. Rogoff
Barbara Rossi

Can Oil Prices Forecast Exchange Rates?

w17906 Jon Faust
Abhishek Gupta

Posterior Predictive Analysis for Evaluating DSGE Models

w17890 Peter Arcidiacono
Patrick Bayer
Federico A. Bugni
Jonathan James

Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration

w17791 Daniel F. Waggoner
Tao Zha

Confronting Model Misspecification in Macroeconomics


2011
w17621 Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor

When Credit Bites Back: Leverage, Business Cycles, and Crises

w17273 Till Stowasser
Florian Heiss
Daniel McFadden
Joachim Winter

"Healthy, Wealthy and Wise?" Revisited: An Analysis of the Causal Pathways from Socio-economic Status to Health

w17196 Alberto Bisin
Andrea Moro
Giorgio Topa

The Empirical Content of Models with Multiple Equilibria in Economies with Social Interactions

w17150 Òscar Jordà
Alan M. Taylor

Performance Evaluation of Zero Net-Investment Strategies

w17090 Lieven Baele
Geert Bekaert
Seonghoon Cho
Koen Inghelbrecht
Antonio Moreno

Macroeconomic Regimes

w16951 Eric M. Leeper
Todd B. Walker
Shu-Chun Susan Yang

Foresight and Information Flows

w16949 Erik Snowberg
Justin Wolfers
Eric Zitzewitz

How Prediction Markets Can Save Event Studies

w16906 Hui Chen
Scott Joslin

Generalized Transform Analysis of Affine Processes and Applications in Finance

w16781 Frank Schorfheide
Estimation and Evaluation of DSGE Models: Progress and Challenges

w16725 Jon Faust
Simon Gilchrist
Jonathan H. Wright
Egon Zakrajsek

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

w16704 Bruce A. Blonigen
Jeremy Piger

Determinants of Foreign Direct Investment


2010
w16593 Anup Malani
Julian Reif

Accounting for Anticipation Effects: An Application to Medical Malpractice Tort Reform

w16567 Òscar Jordà
Moritz Schularick
Alan M. Taylor

Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons

w16566 Joshua Angrist
Ivan Fernandez-Val

ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework

w16469 Francis X. Diebold
Georg Strasser

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

w16223 Monica Billio
Mila Getmansky
Andrew W. Lo
Loriana Pelizzon

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

w16207 Charles F. Manski
Policy Analysis with Incredible Certitude

w16016 John DiNardo
David S. Lee

Program Evaluation and Research Designs

w15794 Joshua Angrist
Jörn-Steffen Pischke

The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics

w15743 Jan J. J. Groen
Paolo A. Pesenti

Commodity prices, commodity currencies, and global economic developments


2009
w15539 Daniel L. Millimet
Rusty Tchernis

Estimation of Treatment Effects Without an Exclusion Restriction: with an Application to the Analysis of the School Breakfast Program

w15506 Jaroslav Borovička
Lars Peter Hansen
Mark Hendricks
José A. Scheinkman

Risk Price Dynamics

w15241 Liran Einav
Amy Finkelstein
Jonathan Levin

Beyond Testing: Empirical Models of Insurance Markets

w15179 James J. Heckman
Petra E. Todd

A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples

w15047 Raymond Kan
Cesare Robotti
Jay Shanken

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

w14995 Jeffrey E. Harris
Sandra G. Sosa-Rubi

Impact of "Seguro Popular" on Prenatal Visits in Mexico, 2002-2005: Latent Class Model of Count Data with a Discrete Endogenous Variable

w14896 Guido W. Imbens
Better LATE Than Nothing: Some Comments on Deaton (2009) and Heckman and Urzua (2009)

w14872 Frank Schorfheide
Keith Sill
Maxym Kryshko

DSGE Model-Based Forecasting of Non-modelled Variables

w14870 S. Boragan Aruoba
Frank Schorfheide

Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs

w14860 Bryan S. Graham
Guido W. Imbens
Geert Ridder

Complementarity and Aggregate Implications of Assortative Matching: A Nonparametric Analysis

w14849 John B. Taylor
Volker Wieland

Surprising Comparative Properties of Monetary Models: Results from a New Data Base

w14782 John F. Cogan
Tobias Cwik
John B. Taylor
Volker Wieland

New Keynesian versus Old Keynesian Government Spending Multipliers

w14685 Lucas W. Davis
Lutz Kilian

Estimating the Effect of a Gasoline Tax on Carbon Emissions

w14666 Jesse Rothstein
Student sorting and bias in value added estimation: Selection on observables and unobservables


2008
w14601 Kirstin Hubrich
Kenneth D. West

Forecast Evaluation of Small Nested Model Sets

w14529 Domenico Giannone
Michele Lenza
Lucrezia Reichlin

Business Cycles in the Euro Area

w14430 V. V. Chari
Patrick J. Kehoe
Ellen R. McGrattan

Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?

w14414 Liran Einav
Amy Finkelstein
Mark R. Cullen

Estimating Welfare in Insurance Markets Using Variation in Prices

w14322 James H. Stock
Mark W. Watson

Phillips Curve Inflation Forecasts

w14284 Han Hong
Bruce Preston

Bayesian Averaging, Prediction and Nonnested Model Selection

w14215 Stephanie Schmitt-Grohe
Martin Uribe

What's News in Business Cycles

w14169 Jon Faust
Jonathan H. Wright

Efficient Prediction of Excess Returns

w14071 Kenneth S. Rogoff
Vania Stavrakeva

The Continuing Puzzle of Short Horizon Exchange Rate Forecasting

w14117 Ariel Pakes
Theory and Empirical Work on Imperfectly Competitive Markets

w14108 Maria Elena Bontempi
Jacques Mairesse

Intangible Capital and Productivity: An Exploration on a Panel of Italian Manufacturing Firms

w13901 Yu-Chin Chen
Kenneth Rogoff
Barbara Rossi

Can Exchange Rates Forecast Commodity Prices?

w13736 Jean Boivin
Marc Giannoni

Global Forces and Monetary Policy Effectiveness


2007
w13521 Lawrence Christiano
Roberto Motto
Massimo Rostagno

Shocks, Structures or Monetary Policies? The Euro Area and US After 2001

w13449 Torben G. Andersen
Oleg Bondarenko

Construction and Interpretation of Model-Free Implied Volatility

w13397 Jon Faust
Jonathan H. Wright

Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

w13295 George A. Plesko
Estimates of the Magnitude of Financial and Tax Reporting Conflicts

w13228 Liran Einav
Amy Finkelstein
Paul Schrimpf

The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market

w13221 David E. Bloom
David Canning
Günther Fink
Jocelyn E. Finlay

Does Age Structure Forecast Economic Growth?

orrc07-16 Liran Einav
Amy Finkelstein
Paul Schrimpf

The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market

w13026 Daniel S. Hamermesh
Replication in Economics

w12963 Torben G. Andersen
Tim Bollerslev
Dobrislav Dobrev

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications

w12948 Lars Peter Hansen
Beliefs, Doubts and Learning: Valuing Economic Risk

w12930 Andrew Ang
Geert Bekaert
Min Wei

The Term Structure of Real Rates and Expected Inflation


2006
w12797 Laurent E. Calvet
Adlai J. Fisher

Multifrequency Jump-Diffusions: An Equilibrium Approach

w12772 Jean Boivin
Marc Giannoni

DSGE Models in a Data-Rich Environment

t0332 Jean Boivin
Marc Giannoni

DSGE Models in a Data-Rich Environment

w12658 Wayne E. Ferson
Sergei Sarkissian
Timothy Simin

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

w12647 Lawrence J. Christiano
Joshua M. Davis

Two Flaws In Business Cycle Accounting

w12630 Raj Arunachalam
Trevon D. Logan

On the Heterogeneity of Dowry Motives

w12575 Patrick J. Kehoe
How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach

t0326 Kenneth D. West
Todd Clark

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

w12324 James H. Stock
Mark W. Watson

Why Has U.S. Inflation Become Harder to Forecast?

t0325 Alberto Abadie
Guido W. Imbens

On the Failure of the Bootstrap for Matching Estimators

t0324 Richard K. Crump
V. Joseph Hotz
Guido W. Imbens
Oscar A. Mitnik

Nonparametric Tests for Treatment Effect Heterogeneity

w12126 Susan Athey
Philip A. Haile

Empirical Models of Auctions

w12109 Martin Lettau
Stijn Van Nieuwerburgh

Reconciling the Return Predictability Evidence

w12098 Wayne E. Ferson
Andrew F. Siegel

Testing Portfolio Efficiency with Conditioning Information

t0322 David S. Lee
David Card

Regression Discontinuity Inference with Specification Error

w12083 Justin Wolfers
Eric Zitzewitz

Prediction Markets in Theory and Practice

w11939 V. Joseph Hotz
Guido W. Imbens
Jacob A. Klerman

Evaluating the Differential Effects of Alternative Welfare-to-Work Training Components: A Re-Analysis of the California GAIN Program

w11929 Refet Gurkaynak
Justin Wolfers

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk


2005
w11903 Andrew Ang
Joseph Chen

CAPM Over the Long Run: 1926-2001

w11758 Bruce N. Lehmann
The Role of Beliefs in Inference for Rational Expectations Models

w11721 David S. Lee
Training, Wages, and Sample Selection: Estimating Sharp Bounds on Treatment Effects

w11487 Junsoo Lee
John A. List
Mark Strazicich

Nonrenewable Resource Prices: Deterministic or Stochastic Trends?

w11312 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Clara Vega

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

w11285 Jean Boivin
Serena Ng

Understanding and Comparing Factor-Based Forecasts

w11166 Michael Ehrmann
Marcel Fratzscher
Roberto Rigobon

Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission

t0305 Todd E. Clark
Kenneth D. West

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference


2004
w10916 William A. Brock
Steven N. Durlauf
Kenneth D. West

Model Uncertainty and Policy Evaluation: Some Theory and Empirics

w10748 Gautam Gowrisankaran
Matthew F. Mitchell
Andrea Moro

Why Do Incumbent Senators Win? Evidence from a Dynamic Selection Model

w10523 Sangeeta Pratap
Carlos Urrutia

Firm Dynamics, Investment, and Debt Portfolio: Balance Sheet Effects of the Mexican Crisis of 1994

w10506 Ariel Pakes
Michael Ostrovsky
Steve Berry

Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)

w10495 William A. Brock
Steven N. Durlauf

Elements of a Theory of Design Limits to Optimal Policy

w10450 Patrick Bajari
C. Lanier Benkard
Jonathan Levin

Estimating Dynamic Models of Imperfect Competition

w10416 Tamim Bayoumi
Douglas Laxton
Paolo Pesenti

Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assesment


2003
w10137 Hui Huang
John Whalley

The Use of Literature Based Elasticity Estimates in Calibrated Models of Trade-Wage Decompositions: A Calibmetric Approach

w10025 William A. Brock
Steven N. Durlauf
Kenneth D. West

Policy Evaluation in Uncertain Economic Environments

w9895 James J. Heckman
Rosa Matzkin
Lars Nesheim

Simulation and Estimation of Nonaddative Hedonic Models

w9891 Patrick Bajari
Matthew E. Kahn

Estimating Housing Demand with an Application to Explaining Racial Segregation in Cities

w9889 Patrick Bajari
Ali Hortacsu

Are Structural Estimates of Auction Models Reasonable? Evidence from Experimental Data

w9839 Laurent Calvet
Adlai Fisher

Regime-Switching and the Estimation of Multifractal Processes

w9568 Douglas Laxton
Paolo Pesenti

Monetary Rules for Small, Open, Emerging Economies


2001
w8600 Tilak Abeysinghe
Kristin J. Forbes

Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia

w8510 Torben G. Andersen
Luca Benzoni
Jesper Lund

An Empirical Investigation of Continuous-Time Equity Return Models

w8227 Amil Petrin
Quantifying the Benefits of New Products: The Case of the Minivan

w8207 Andrew Ang
Geert Bekaert

Stock Return Predictability: Is it There?

w8098 Ravi Jagannathan
Zhenyu Wang

Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods


2000
t0262 Arild Aakvik
James J. Heckman
Edward J. Vytlacil

Treatment Effects for Discrete Outcomes when Responses to Treatment Vary Among Observationally Identical Persons: An Application to Norwegian ...

t0259 James J. Heckman
Edward J. Vytlacil

Instrumental Variables, Selection Models, and Tight Bounds on the Average Treatment Effect

t0258 William Brock
Steven N. Durlauf

Interactions-Based Models

w7577 Alan M. Taylor
Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price

w7490 Alexei Onatski
James H. Stock

Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy


1999
w7131 Jinyong Hahn
Petra Todd
Wilbert Van der Klaauw

Evaluating the Effect of an Antidiscrimination Law Using a Regression-Discontinuity Design

w7079 M. Ishaq Nadiri
Ingmar R. Prucha

Dynamic Factor Demand Models and Productivity Analysis

w6977 Dennis Epple
Thomas Romer
Holger Sieg

The Tiebout Hypothesis and Majority Rule: An Empirical Analysis

w6926 Yin-Wong Cheung
Menzie D. Chinn

Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys

w6890 Paul Ellickson
Scott Stern
Manuel Trajtenberg

Patient Welfare and Patient Compliance: An Empirical Framework for Measuring the Benefits from Pharmaceutical Innovation


1998
w6845 Francis X. Diebold
Jinyong Hahn
Anthony S. Tay

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

w6844 Peter F. Christoffersen
Francis X. Diebold

How Relevant is Volatility Forecasting for Financial Risk Management?

w6822 Dennis Epple
Holger Sieg

Estimating Equilibrium Models of Local Jurisdictions

w6508 Andrew Ang
Geert Bekaert

Regime Switches in Interest Rates

t0226 Kenneth D. West
Michael W. McCracken

Regression-Based Tests of Predictive Ability


1997
t0217 Peter F. Christoffersen
Francis X. Diebold

Cointegration and Long-Horizon Forecasting

t0215 Francis X. Diebold
Todd A. Gunther
Anthony S. Tay

Evaluating Density Forecasts

w6023 Torben G. Andersen
Tim Bollerslev

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts

w5984 Robin L. Lumsdaine
Eswar S. Prasad

Identifying the Common Component in International Economic Fluctuations


1996
t0192 Francis X. Diebold
Jose A. Lopez

Forecast Evaluation and Combination


1995
w5379 Arturo Estrella
Frederic S. Mishkin

Predicting U.S. Recessions: Financial Variables as Leading Indicators

w5282 Orazio P. Attanasio
Consumer Durables and Inertial Behavior: Estimation and Aggregation of (S,s) Rules


1994
t0169 Francis X. Diebold
Robert S. Mariano

Comparing Predictive Accuracy

t0155 Craig Burnside
Martin Eichenbaum

Small Sample Properties of Generalized Method of Moments Based Wald Tests

t0152 Kenneth D. West
Dongchul Cho

The Predictive Ability of Several Models of Exchange Rate Volatility


1993
t0143 Kenneth D. West
Inventory Models


1991
w3911 Wen-Ling Lin
Robert F. Engle
Takatoshi Ito

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

t0114 Edward E. Leamer
Eastern Data and Western Attitudes


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