Unpublished Appendices to Published Papers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.
Additional Appendix to "A Factor Model for Co-movements of Commodity," (with Ka-fu Wong; Journal of International Money and Finance 42 (2014), 289-309.).
Additional Appendix to "Factor Model Forecasts of Exchange Rates," (with Charles Engel and Nelson Mark; forthcoming; Econometric Reviews).
Additional Appendix to "Forecast Comparisons for Small Nested Model Sets," (with Kirstin Hubrich; Journal of Applied Econometrics 25(4) (2010), 574-594).
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).