Kellogg Graduate School of Management
2001 Sheridan Road
Evanston, IL 60201
Information about this author at RePEc
NBER Working Papers and Publications
|January 1993||Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance|
with Victor Zarnowitz
in Business Cycles, Indicators and Forecasting, James H. Stock and Mark W. Watson, editors
|June 1992||Time Nonseparability in Aggregate Consumption: International Evidence|
with George M. Constantinides, Wayne E. Ferson: w4104
We study consumption-based asset pricing models which allow for both habit persistence and durability of consumption goods. using quarterly consumption and asset return data for six countries. We estimate the parameters representing habit persistence or durability. risk version and time preference for each of the countries. We find that time-nonseparable preferences improve the fit of the model. When the nonseparability parameter is statistically significant. its magnitude indicates that the effect of habit persistence dominates the effect of durability in consumption expenditures. However. the international evidence for habit persistence is weaker than it is for the United States. The results indicate that the simple model of time nonseparability does not provide a satisfactory explanatio...
Published: European Economic Review, Vol. 37, no. 5 (1993): 897-920. citation courtesy of
|January 1992||Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance|
with Victor Zarnowitz: w3965
The National Bureau of Economic Research, in co-operation with the American Statistical Association, conducted a regular quarterly survey of professional macroeconomic forecasters for 22 years beginning in 1968. The survey produced a mass of information about characteristics and results of the forecasting process. Many studies have already used some of this material. but this is the first comprehensive examination of all of It, This report addresses several subjects and produces findings on each, as follows: (I) The distributions of error statistics across the forecasters: the dispersion among the individual predictions is often large and it typically increases with forecast horizon, as do the mean absolute (or squared) errors. (2) The role of the time-series properties of the target data:...
Published: Business Cycles, Indicators and Forecasting, edited by James Stock and Mark Watson, Studies in Business Cycles Vol 28, Chicago: University of Chicago Press, 1993
|1989||Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations, 1886-1982|
with Victor Zarnowitz: w2812
We examine the interactions within sets of up to six variables representing output, alternative measures of money and fiscal operations, inflation, interest rate, and indexes of selected leading indicators. Quarterly series are used, each taken with four lags, for three periods: 1949-82. 1919-40, and 1886-1914. The series are in stationary form, as indicated by unit root tests. For the early years, the quality of the available data presents some serious problems. We find evidence of strong effects on output of the leading indexes and the short-term interest rate. The monetary effects are greatly reduced when these variables are included. Most variables depend more on their own lagged values than on any other factors, but this is not true of the rates of change in output and the composite l...
Published: "Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations." From Analyzing Business Cycles: Essays Honoring Geoffrey H. Moore, edited by Philip A. Klein, pp. 177-205. Armonk, NY: M.E. Sharpe, Inc., 1990.