This paper constructs tests for martingale time variation in regression coefficients in
the regression model yt = xt′βt + ut, where βt is k×1, and Σβ is the covariance matrix of
Δβt. Under the null there is no time variation, so Ho: Σβ = 0; under the...
This paper considers tests of the parameter on endogenous variables in an instru-
mental variables regression model. The focus is on determining tests that have some
optimal power properties. We start by considering a model with normally distrib-
uted errors...
We compare the powers of five tests of the coefficient on a single endogenous
regressor in instrumental variables regression. Following Moreira (2003), all tests are
implemented using critical values that depend on a statistic which is sufficient under the...
The volatility of economic activity in most G7 economies has moderated over the past 40 years.
Also, despite large increases in trade and openness, G7 business cycles have not become more
synchronized. After documenting these facts, we interpret G7 output...
The 2001 recession differed from other recent recessions in its cause, severity, and scope.
This paper documents the performance of professional forecasters and forecasts based on
leading indicators as the recession unfolded. Professional forecasters found...
This paper uses forecast combination methods to forecast output growth in a
seven-country quarterly economic data set covering 1959 – 1999, with up to 73 predictors
per country. Although the forecasts based on individual predictors are unstable over time
an...
We consider both frequentist and empirical Bayes forecasts of a single time series using a linear
model with T observations and K orthonormal predictors. The frequentist formulation considers
estimators that are equivariant under permutations (reorderings)...
