Published Papers

All papers are PDF files.

Factor Model Forecasts of Exchange Rates, (with Charles Engel and Nelson C. Mark), Econometric Reviews 34(1-2), (2015), 32-55.

 

A Factor Model for Co-movements of Commodity Prices, (with Ka-Fu Wong), Journal of International Money and Finance 42 (2014), 289-309.

 

Housing, Monetary Policy, and the Recovery, (with Michael E. Feroli, Ethan S. Harris and Amir Sufi), Proceedings of the US Monetary Policy Forum, 2012 (2012), 3-52.

 

Econometric Analysis of Present Value Models When the Discount Factor Is near One, Journal of Econometrics 171 (2012), 86-97.

 

Global Interest Rates, Currency Returns and the Real Value of the Dollar, (with Charles Engel), American Economic Review Papers and Proceedings, (2010), 562-567.

 

Oil and the Macroeconomy: Lessons for Monetary Policy, (with Ethan S. Harris, Bruce C. Kasman, and Matthew D. Shapiro), 3-73 in Proceedings of the US Monetary Policy Forum, 2009 (2010).

 

Forecast Comparisons for Small Nested Model Sets, (with Kirstin Hubrich), Journal of Applied Econometrics 25(4) (2010), 574-594.

 

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.

 

Heteroskedasticity andAutocorrelation Corrections, 6-12 in New Palgrave Dictionary of Economics, Vol. 4, L. Blume and S. Durlauf (eds.), New York: Palgrave MacMillan.

 

Exchange Rate Models Are Not As Bad As You Think, (with Charles Engel and Nelson C. Mark), 381-443 in NBER Macroeconomics Annual, 2007, D. Acemoglu, K. Rogoff and M. Woodford (eds.), Chicago: University of Chicago Press (2007).

 

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models, (with Todd E. Clark), Journal of Econometrics, 138(1) (2007), 291-311.

Model Uncertainty and Policy Evaluation: Some Theory and Empirics, (with William A. Brock and Steven N. Durlauf), Journal of Econometrics 136(2) (2007), 629-664.

 

Forecast Evaluation, 100-134 in Handbook of Economic Forecasting, Vol. 1, G. Elliott, C. Granger and A. Timmerman (eds), Amsterdam: Elsevier (2006).

 

Taylor Rules and the Deutchemark-Dollar Real Exchange Rate, (with Charles Engel), Journal of Money, Credit and Banking 38(5) (2006), 1175-1194.

 

Land Prices and Business Fixed Investment in Japan, (with Nobuhiro Kiyotaki), 303-337 in L. R. Klein (ed.) Long Run Growth and Short Run Stabilization: Essays in Memory of Albert Ando, Cheltenham: Edward Elgar (2006).

 

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.

 

Exchange Rates and Fundamentals, (with Charles Engel), Journal of Political Economy 113(2) (2005), 485-517.

 

Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One,(with Charles Engel), American Economic Review Papers and Proceedings (2004), 119-125.

 

Monetary Policy and the Volatility of Real Exchange Rates in New Zealand, New Zealand Economic Papers 37(2) (2003), 175-196.

 

Policy Evaluation in Uncertain Economic Environments, (with William A. Brock and Steven N. Durlauf), Brookings Papers on Economic Activity (2003), 235-302.

 

Generalized Method of Moments and Macroeconomics,(with Bruce E. Hansen), Journal of Business and Economic Statistics 20 (2002), 460-469.

 

Efficient GMM Estimation of Weak AR Processes, Economics Letters 75 (2002), 415-418.

 

Interest Rates and Exchange Rates in the Korean, Philippine and Thai Exchange Rate Crises, (with Dongchul Cho), 11-30 in M. Dooley and J. Frankel (eds) Managing Currency Crises in Emerging Markets, Chicago: University of Chicago Press (2003).

 

Inference About Predictive Ability, (with Michael W. McCracken), 299-321 in M. Clements and D. Hendry (eds) Companion to Economic Forecasting, Oxford: Blackwell (2002).

 

Encompassing Tests When No Model is Encompassing, Journal of Econometrics 105 (2001), 287-308.

 

Optimal Instrumental Variables Estimation of Stationary Time Series Models, International Economic Review 42 (2001), 1043-1050.

 

Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters, Journal of Business and Economic Statistics 19 (2001), 29-33.

 

The Effect of Monetary Policy in Exchange Rate Stabilization in Post-Crisis Korea, (with Dongchul Cho), 255-286 in The Korean Crisis: Before and After, Seoul: Korean Development Institute (2000).

 

Inventories, 863-923 in Handbook of Macroeconomics, vol. I, J. Taylor and M. Woodford (eds) (with Valerie A. Ramey), Amsterdam: Elsevier Science (1999).

Regression Based Tests of Predictive Ability, (with Michael W. McCracken), International Economic Review 39 (1998), 817-840.

 

Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator, Journal of Econometrics 76 (1997), 171-191.

 

Business Fixed Investment and the Recent Business Cycle in Japan,(with Nobuhiro Kiyotaki), 277-323 in NBER Macroeconomics Annual, 1996, B. Bernanke and J. Rotemberg (eds.), Cambridge: MIT Press (1996).

Asymptotic Inference About Predictive Ability, Econometrica 64 (1996), 1067-1084.

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.

 

The Predictive Ability of Several Models of Exchange Rate Volatility, (with Dongchul Cho), Journal of Econometrics 69 (1995), 367-391.

 

Inventory Models, 188-220 in Handbook of Applied Econometrics - Volume I (Macroeconometrics), M. Pesaran and M Wickens (eds), Oxford: Basil Blackwell (1995).

 

Automatic Lag Selection in Covariance Matrix Estimation, (with Whitney K. Newey) Review of Economic Studies 61 (1994), 631-654.

Estimation and Inference in the Linear-Quadratic Inventory Model,( with David W. Wilcox), Journal of Economics Dynamics and Control 18 (1994), 897-908.

Some Evidence on the Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadratic Inventory Model, (with David W. Wilcox), 253-282 in Inventory Cycles and Monetary Policy, R. Fiorito (ed.), Berlin: Springer-Verlag (1994).

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.

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).

The Kalman Filter, 557-558 in The New Palgrave Dictionary of Money and Finance, Vol. 2, P. Newman, M. Milgate, J. Eatwell (eds).

Sources of Cycles in Japan, 1975-1987, Journal of the Japanese and International Economies 6 (1992), 71-98.

A Comparison of the Behavior of U.S. and Japanese Inventories International Journal of Production Economics 26 (1992), 115-222.

 

The Sources of Fluctuations in Aggregate Inventories and GNP, Quarterly Journal of Economics CV (1990), 939-972.

Unit Root Tests, 705-707 in Encyclopedia of Business Cycles, Panics, Crises, and Depressions, D. Glasner (ed.), New York: Garland Publishing (1997).

Evidence from Seven Countries on Whether Inventories Smooth Aggregate Output, Engineering Costs and Production Economics 19 (1990), 85-90.

Estimation of Linear Rational Expectations Models, in the Presence of Deterministic Terms, Journal of Monetary Economics 24 (1989), 437-442.

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation, Journal of Finance 43 (1988), 639-656.

 

Asymptotic Normality, When Regressors Have a Unit Root, Econometrica 56 (1988), 1397-1418.

On the Interpretation of Near Random Walk Behavior in GNP, American Economic Review 78 (1988), 202-209.

Integrated Regressors and Tests of the Permanent Income Hypothesis, (with James H. Stock), Journal of Monetary Economics 21 (1988), 85-95.

The Insensitivity of Consumption to News About Income, Journal of Monetary Economics 21 (1988), 17-33.

Order Backlogs and Production Smoothing, 305-318 in The Economics of Inventory Management, A. Chikan and M. Lovell (eds.), Amsterdam: Elsevier (1988).

A Note on the Power of Least Squares Tests for a Unit Root, Economics Letters 24 (1987), 249-252.

Dividend Innovations and Stock Price Volatility, Econometrica 56 (1988), 37-61.

A Standard Monetary Model and the Variability of the Deutschemark-Dollar Exchange Rate, Journal of International Economics 23 (1987), 57-76.

Hypothesis Testing with Efficient Method of Moments Estimation, (with Whitney K. Newey), International Economic Review 28 (1987), 777-786.

A Specification Test for Speculative Bubbles, Quarterly Journal of Economics CII (1987), 553-580.

A Simple, Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, (with Whitney K. Newey), Econometrica 55 (1987), 703-708.

Targeting Nominal Income: A Note, Economic Journal 96 (1986), 1077-1083.

Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons, Journal of Econometrics 33 (1986), 367-386.

A Variance Bounds Test of the Linear Quadratic Inventory Model, Journal of Political Economy 94 (1986), 374-401.

A Note on the Econometric Use of Constant Dollar Inventory Series, Economics Letters 13 (1983), 337-341.