Working Papers

 

A Likelihood Ratio Test of Stationarity Based on a Correlated Unobserved Components Modelwith Irina Panovska and Tara Sinclair


Likelihood-Based Confidence Sets for the Timing of Structural Breakswith Yunjong Eo


State-Dependent Effects of Fiscal Policywith Steven Fazzari and Irina Panovska


The Meta Taylor Rulewith Kevin Lee and Kalvinder Shields


Inflation in the G7: Mind the Gap(s)?with Jeremy Piger and Robert Rasche


Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzlewith Ming Lo


Inventory Mistakes and the Great Moderationwith Aarti Singh


The Changing Transmission Mechanism of U.S. Monetary Policywith Norhana Endut and Pao-Lin Tien


The Adjustment of Prices and the Adjustment of the Exchange Ratewith Charles Engel  [NBER Working Paper #8550]



WORK IN PROGRESS


“Fiducial Distribution Confidence Intervals for Threshold Models with an Application to Credit Crises” with Luiggi Donayre and Yunjong Eo


“Cointegration Analysis with Unobserved Components Models” with Tara Sinclair


“Macroeconomic Fundamentals and Stock Return Predictability” with Ryan Compton


“Maximum Likelihood Estimation of Nonlinear, Non-Gaussian State-Space Models Using a Multistage Adaptive Particle Filter” with Thomas King



MISCELLANEA


A New Fed-Treasury Accord


A Note on Constraining AR(2) Parameters in Estimation