Selected Bibliography:
- Advertising and Aggregate Consumption: An Analysis of Causality (with C. W. J. Granger and R. Schmalensee) Econometrica 48, 1980, 1149-1168.
- On the Relative Worth of Recent Macroeconomic Forecasts,
International Journal of Forecasting 4, 1983, 363-376.
- Linear Versus Nonlinear Macroeconomies: A Statistical Test (with D.
Patterson), International Economic Review 30, 1989, 685-704.
- Shrinkage Estimation with General Loss Functions: An Application of
Stochastic Dominance Theory, International Economic Review 31, 1990,
301-14.
- A New Technique for Postsample Model
Selection and Validation Journal of Economic Dynamics and Control 22, 1998, 647-65.
download implementing software as zip file
- An Elementary Method For Detecting And Modeling
Regression Parameter Variation Across Frequencies
With An Application To Testing The Permanent Income Hypothesis (With H. Tan)
Macroeconomic Dynamics 3(1), 1999.
download implementing software as self-extracting archive
- On the Inherent Nonlinearity of Frequency Dependent
Time Series Relationships (With H. Tan) {In Nonlinear Time Series Analysis of Economic and
Financial Data (ed. P. Rothman) Kluwer Academic Publishers: Norwell, 1999, 129-142.}
- Are Technology Shocks Nonlinear? (with S. Altug and D. Patterson)
Macroeconomic Dynamics 3,
1999, 506-533.
- A Nonlinear Time Series Workshop (with D. Patterson), 2000, Kluwer:Norwell.
- Statistically Significant Postsample Forecasting Improvements: How Much Out-of-Sample Data
is Likely Necessary? International Journal of Forecasting 19, 2003, 229-39.
- Evaluating the Effectiveness of State-Switching Models For U.S. Real
Output (with D. Patterson) Journal of Business and Economic Statistics 24(3), 2006, 266-77. download implementing
software, "A NonLinear Toolkit,"
as self-extracting archive
- Growth May Be Good for the Poor, But Decline is Disastrous: On the Non-Robustness of the Dollar-Kraay "Growth is Good for the Poor" Result
International Review of Economics and Finance 17, 2008, 333-338.
- A Simple Test for Regression Parameter Instability Economic Inquiry 22, 1984, 253-268.
Recent Papers:
- Sensitivity Analysis of OLS Multiple Regression Inference with
Respect to Possible Linear Endogeneity in the Explanatory Variables (with C. Parmeter) Econometrics 2020. (in press)
-
All Fluctuations Are Not Created Equal: the Differential Roles of Transitory Versus Persistent
Changes in Driving Historical Monetary Policy” (with R. Verbrugge and K.P. Tsang) Oxford Economic Papers 2020. (in press)
(Earlier version entitled "Frequency Dependence in a Real-Time Monetary Policy Rule".)
- Marching to the beat of your own drum: Lack of cardiac linkage in Autism Spectrum Disorder (with Julie Dunsmore,
Yu Zhou, Deanna Swain, Reina Factor,Alleyne Broomell, Jonathan Waldron, Martha Ann Bell, and Angela Scarpa), Biological Psychology 144, 2019, 37-45.
-
Side by Side: Modeling Dyadic Physiological Linkage in Strangers
(with A. Scarpa, J. C. Waldron, Y. Zhou, D. M. Swain, J.C. Dunsmore, and M. A. Bell) Emotion June 12, 2017.
http://dx.doi.org/10.1037/emo0000340.
Technical Appendix
- Subset-Continuous-Updating GMM Estimators
for Dynamic Panel Data Models (with A. Sun) Econometrics 4, 2016, 47.
- When is it Justifiable
to Ignore Explanatory Variable Endogeneity in a Regression Model? (with C. Parmeter) Economic Letters (2015, in press).
- Sensitivity Analysis for Inference in 2SLS/GMM Estimation with Possibly-Flawed
Instruments (with C. Parmeter)) Empirical Economics (2015, in press).
- Re-Examining the Impact of Housing
Wealth and Stock Wealth on Retail Sales: Does Persistence in Wealth Changes Matter? (with Guo Li)
Journal of Housing Economics 26 109-118.
- Comparing the Effectiveness of Traditional vs. Mechanized Identification Methods in Post-Sample Forecasting for a Macroeconomic Granger Causality Analysis
(with H. Ye and J. Guerard) International Journal of Forecasting (2015, in press).
- Credible Granger-Causality Inference with Modest Sample Lengths: a Cross-Sample
Validation Approach Econometrics 2, 2014, 72-91.
- Origins of Conditional Heteroscedasticity in Time Series
Korean Economic Review 28(1), 2012, 5-25.
- On the Granger Causality Between Median Inflation and Price
Dispersion (with H. Ye) Applied Economics 44, 2012, 4221-4238.
- Motives for Giving: A Re-analysis of Two Classic Public Goods Experiments
(with S. Ball and C. Eckel) Southern Economic Journal 77, 2010, 115-26.
- "Long Memory" Versus Fractional Integration in a Time Series: Implications for
Modeling (with D. Patterson) Macroeconomic Dynamics 14, 2010, 59 - 87.
-
A Test of the GARCH(1,1) Specification For Daily Stock Returns (with D. Patterson) Macroeconomic Dynamics 14, 2010, 137-144.
- To Difference or Not to Difference: A Monte Carlo Investigation of
Inference in Vector Autoregression Models. (With R. Verbrugge) International Journal of Data Analysis Techniques and
Strategies1(3), 2009, 242-274.
- Assessing the Credibility of Instrumental Variables Inference with Imperfect Instruments via
Sensitivity Analysis. Journal of Applied Econometrics 24, 2009, 325-337.
- Frequency Dependence in Regression Model Coefficients: An Alternative
Approach for Modeling Nonlinear Dynamic Relationships. (With R. Verbrugge) Econometric Reviews 28, 2009, 4-20.
- A New Bispectral Test for Nonlinear Serial
Dependence. (With E. Rusticelli, E. B. Dagum, and D. M. Patterson) Econometric Reviews 28, 2009, 279-293.
Links to Working Papers:
Current Research Interests:
- Nonlinear time series analysis
- Statistical evaluation of macroeconomic forecasts
- Optimally biased expectations
- Nonparametric small-sample inference with dependent observations
- Econometric analysis of data from laboratory economic experiments
- Econometric analysis of economic growth data
- Analysis of IV estimation using flawed instruments
- Frequency dependence in regression coefficients
- Validation of nonlinear time series models
- Weak trends as a source of apparent "long memory" in time series
- Spurious regression in weakly trending data
Contact Information: