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).