Published Papers

All papers are PDF files.

“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).

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

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

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

“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.

“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 of 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.