Unpublished
Appendices to Published Papers
These appendices contain material that was omitted from some published
papers to save space. Note that some files are large because they have been
created by scanning in printed copy.
Additional Appendix to "Forecast Comparisons for Small Nested Model
Sets," (with Kirstin Hubrich; forthcoming; Journal
of Applied Econometrics).
Additional Appendix1 and to Additional Appendix 2 to "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of
Instruments," (with Ka-fu Wong and Stanislav Anatolyev;Econometric Reviews 28 (5)
(2009), 441-467).
Additional Appendix to "Approximately Normal Tests for Equal Predictive
Accuracy in Nested Models," (with Todd E. Clark), Journal of
Econometrics, 138(1) (2007), 291-311.
Additional Appendix to " Using Out-of-Sample Mean Squared Prediction
Errors to Test the Martingale Difference Hypothesis," (with Todd E. Clark;
Journal of Econometrics 135(1-2) (2006), 155-186).
Additional Appendix to "Exchange Rates and Fundamentals," (with
Charles Engel; Journal of Political Economy 113(2) (2005),
485-517).
Additional Appendix to "Encompassing Tests When No Model is
Encompassing," (Journal of Econometrics 105 (2001),
287-308).
Additional Appendix to "Tests of Forecast Encompassing When Forecasts
Depend on Estimated Regression Parameters" (Journal of Business and
Economic Statistics 19 (2001), 29-33).
Additional Appendix to "Regression Based Tests of Predictive
Ability," (with Michael W. McCracken; International Economic Review
39 (1998), 817-840).
Additional Appendix to "Asymptotic Inference About Predictive
Ability," (Econometrica 64
(1996), 1067-1084).
Additional Appendix to "A Comparison of Alternative Instrumental
Variables Estimators of A Dynamic Linear Model," (with David W. Wilcox; Journal
of Business and Economic Statistics 14 (1996), 281-293).
Additional Appendix to "The Predictive Ability of Several Models of
Exchange Rate Volatility," (with Dongchul
Cho; Journal of Econometrics 69(1995), 367-391).
Additional Appendix to "Automatic Lag Selection in Covariance Matrix
Estimation," (with Whitney K. Newey; Review
of Economic Studies 61 (1994), 631-654).
Additional Appendix to "A Utility Based Comparison of Some Models of
Exchange Rate Volatility" (with Hali J. Edison
and Dongchul Cho; Journal of International
Economics 35(1993), 23-46).
Additional Appendix to "An Aggregate Demand - Aggregate Supply Analysis
of Japanese Monetary Policy, 1973-1990" (161-188 in Japanese Monetary
Policy, K. Singleton (ed.), Chicago: University of Chicago Press (1993)).
Additional Appendix to "Sources of Cycles in Japan, 1975-1987" (Journal
of the Japanese and International Economies 6 (1992), 71-98).
Additional Appendix to "The Sources of Fluctuations in Aggregate Inventories
and GNP" (Quarterly Journal of Economics CV (1990),
939-972).
Additional Appendix to "Evidence from Seven Countries on Whether
Inventories Smooth Aggregate Output" (Engineering Costs and Production
Economics19 (1990), 85-90).