On-line
Appendices to Published Papers
Programs to compute bias in time series regressions (see my paper "Approximate Bias in Time Series Regression"):
Bias_code (zip file with programs and documentation)
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.
On-line Appendix 1 and On-line Appendix 2 to "Some Evidence on Secular Drivers of US Safe Real
Rates," (with Kurt G. Lunsford), American
Economic Journal: Macroeconomics 11(4), 2019, 113-139.
On-line Appendix to "A Factor Model for Co-movements of
Commodity," (with Ka-fu Wong; Journal of International Money and Finance
42 (2014), 289-309.).
On-line Appendix to "Factor Model Forecasts of Exchange Rates,"
(with Charles Engel and Nelson Mark; forthcoming; Econometric Reviews).
On-line Appendix to "Forecast Comparisons for Small Nested Model
Sets," (with Kirstin Hubrich; Journal of Applied Econometrics 25(4) (2010), 574-594).
On-line Appendix1 and to On-line 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).
On-line Appendix to "Approximately Normal Tests for Equal Predictive
Accuracy in Nested Models," (with Todd E. Clark), Journal of
Econometrics, 138(1) (2007), 291-311.
On-line 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).
On-line Appendix to "Exchange Rates and Fundamentals," (with
Charles Engel; Journal of Political Economy 113(2) (2005),
485-517).
On-line Appendix to "Encompassing Tests When No Model is
Encompassing," (Journal of Econometrics 105 (2001),
287-308).
On-line Appendix to "Tests of Forecast Encompassing When Forecasts
Depend on Estimated Regression Parameters" (Journal of Business and
Economic Statistics 19 (2001), 29-33).
On-line Appendix to "Regression Based Tests of Predictive
Ability," (with Michael W. McCracken; International Economic Review
39 (1998), 817-840).
On-line Appendix to "Asymptotic Inference About Predictive
Ability," (Econometrica 64
(1996), 1067-1084).
On-line 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).
On-line Appendix to "The Predictive Ability of Several Models of
Exchange Rate Volatility," (with Dongchul Cho; Journal of Econometrics 69(1995),
367-391).
On-line Appendix to "Automatic Lag Selection in Covariance Matrix
Estimation," (with Whitney K. Newey; Review of Economic Studies 61
(1994), 631-654).
On-line 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).
On-line 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)).
On-line Appendix to "Sources of Cycles in Japan, 1975-1987" (Journal
of the Japanese and International Economies 6 (1992), 71-98).
On-line Appendix to "The Sources of Fluctuations in Aggregate Inventories
and GNP" (Quarterly Journal of Economics CV (1990),
939-972).
On-line Appendix to "Evidence from Seven Countries on Whether
Inventories Smooth Aggregate Output" (Engineering Costs and Production
Economics19 (1990), 85-90).