Published Papers

All papers are PDF files.

Some Evidence on Secular Drivers of US Safe Real Rates, (with Kurt G. Lunsford), American Economic Journal: Macroeconomics 11(4), 2019, 113-139.

A Skeptical View of the Impact of the Fed's Balance Sheet, (with David Greenlaw, James D. Hamilton and Ethan Harris), forthcoming, Proceedings of the US Monetary Policy Forum, 2018.

Adjusting for Bias in Long Horizon Regressions Using R, (with Zifeng Zhao), 65-80 in Handbook of Statistics vol. 41: Conceptual Econometrics Using R, H. D. Vinod and C. R. Rao (eds.), Amsterdam: Elsevier.

Hansen and Sargent's 'Recursive Models of Dynamic Linear Economies': A Review Essay, Journal of Economic Literature 55(1), 2017, 173-181.

The Equilibrium Real Funds Rate: Past, Present and Future, (with James D. Hamilton, Ethan S. Harris and Jan Hatzius), IMF Economic Review 64 (2016), 660-707

A Comparison of Some Out-of-Sample Tests of Predictability in Iterated Multi-Step-Ahead Forecasts, (with Pablo M. Pincheira), Research in Economics 70 (2016), 304-319.

Regressor and Disturbance Have Moments of All Orders, Least Squares Estimator Has None, (with Zifeng Zhao), Statistics and Probability Letters 115 (2016), 54-59.

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.