CR Nelson… - 1988 - nber.org
When the instrumental variable is a poor one, in the sense of being weakly correlated with
the variable it proxies, the small sample distribution of the IV estimator is concentrated
around a value that is inversely related to the feedback in the system and which is often ...
CM Turner, R Startz… - Journal of Financial Economics, 1989 - Elsevier
Abstract We examine a variety of models in which the variance of a portfolio's excess return
depends on a state variable generated by a first-order Markov process. A model in which the
state is known to economic agents is estimated. It suggests that the mean excess return ...
SJ Lundberg… - The American Economic Review, 1983 - JSTOR
Do laws forbidding discrimination reduce allocative efficiency? A common thread in
economists' discussions of equal opportunity laws has been a presumption that equal pay
and/or quota constraints placed on firms act as transfer mechanisms which, as a rule, ...
CR Nelson… - 1988 - nber.org
New results on the exact small sample distribution of the instrumental variable estimator are
presented by studying an important special case. The exact closed forms for the probability
density and cumulative distribution functions are given. There are a number of surprising ...
MJ Kim, C Nelson… - 1991 - nber.org
Recent research based on variance ratios and multiperiod-return autocorrelations
concludes that the stock market exhibits mean reversion in the sense that a return in excess
of the average tends to be followed by partially offsetting returns in the opposite direction. ...
R Startz - The Quarterly Journal of Economics, 1989 - qje.oxfordjournals.org
Abstract A general equilibrium macroeconomic model based on monopolistic competition is
presented. The model exhibits a traditional multiplier in the short run, but due to free entry,
the multiplier disappears in the long run. By construction all agents are fully rational. The ...
E Zivot, R Startz… - International Economic Review, 1998 - JSTOR
We investigate confidence intervals and inference for the instrumental variables model with
weak instruments. Confidence intervals based on inverting the LM, LR, and Anderson-Rubin
statistics perform far better than the Wald. Performance of the LM and LR statistics is ...
M Dueker… - Review of Economics and Statistics, 1998 - MIT Press
We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology
based on joint estimates of the fractional orders of integration of a cointegrating vector and
its parent series. Previous cointegration tests relied on a two-step testing procedure and ...
S Lundberg, R Startz… - Journal of Public Economics, 2003 - Elsevier
Evidence from several countries reveals a substantial drop in household consumption
around the age of retirement that is difficult to explain with life-cycle models. Using food
consumption data from more than 550 households from the Panel Study of Income ...
CJ Kim, CR Nelson… - Journal of Empirical Finance, 1998 - Elsevier
Previous work reported that heteroskedasticity did not affect the sampling distribution of the
variance ratio, or had assumed that the investigator knew a priori the pattern of
heteroskedasticity. This paper uses the Gibbs sampling approach in the context of a three ...
S Lundberg… - Journal of Labor Economics, 1998 - JSTOR
A model of the ''new growth theory''type is applied to the persistence of racial income
differentials in the presence of community segregation. When community human capital
affects human capital accumulation by individuals, differences between groups can persist ...
R Startz - Journal of Monetary Economics, 1979 - Elsevier
Abstract Traditionally, monetary theory assumes money bears zero interest. More recently, it
has been recognized that banks implicitly pay interest through providing free services. In this
paper, the implicit interest rate is estimated from two different sources. Implicit interest ...
CJ Kim, J Piger… - Journal of Econometrics, 2008 - Elsevier
Following Hamilton [1989. A new approach to the economic analysis of nonstationary time
series and the business cycle. Econometrica 57, 357–384], estimation of Markov regime-
switching regressions typically relies on the assumption that the latent state variable ...
R Startz - Journal of Financial Economics, 1982 - Elsevier
Abstract Forward rates in the term structure of interest contain predictions of future spot rates
plus (possibly) term premia. Realized spot rates contain predicted spot rates plus forecast
errors. Under rational expectations forecast errors are not predictable. By forecasting spot ...
R Startz - The Review of Economics and Statistics, 1989 - JSTOR
The life cycle\ permanent income hypothesis suggests that optimization by consumers
should cause marginal utility to approximate a random walk. As a consequence, purchases
of nondurable goods also approximately follow a random walk and purchases of durable ...
MJ Kim, CR Nelson, R Startz… - 1988 - emh.org
The paper re-examines the empirical evidence for mean-reverting behaviour in stock prices.
Comparison of data before and after World War II shows that mean reversion is entirely a pre-
war phenomenon. Using randomization methods to calculate significance levels, we find ...
CR Nelson… - Journal of Econometrics, 2007 - Elsevier
In many econometric models the asymptotic variance of a parameter estimate depends on
the value of another structural parameter in such a way that the data contain little information
about the former when the latter is close to a critical value. This paper introduces the zero- ...
Abstract: Race and ethnicity play a central role in understanding the structure of inequality in
the United States. In this paper, we focus on the economic chasm between black and white
America and on what economic theory can contribute to our understanding of both ...
R Startz - The Quarterly Journal of Economics, 1983 - qje.oxfordjournals.org
Abstract Regulations prohibiting the payment of explicit interest on demand deposits are
gradually being eased. As banks switch from payment in the form of free services to explicit
interest, both the level of money demand and the response of money demand to market ...
R Startz, CR Nelson… - Discussion Papers in Economics at the …, 1999 - Citeseer
Abstract It is now well known that standard asymptotic inference techniques for instrumental
variable estimation perform very poorly in the presence of weak instruments. Specifically,
standard asymptotic techniques give spuriously small standard errors, leading ...
R Startz - The American Economic Review, 1984 - JSTOR
Two schools of macroeconomic thought compete today. The Keynesian school attempts to
analyze each sector of the economy using the usual tools of optimizing models, but
produces general equilibrium descriptions of a macroeconomy which are rarely Pareto ...
R Startz, E Zivot… - 2003 - econ.washington.edu
Abstract It is now well known that standard asymptotic inference techniques for instrumental
variable estimation may perform very poorly in the presence of weak instruments. In some
circumstances, standard asymptotic techniques give spuriously small standard errors, ...
Abstract: This paper presents several related economic models that explore the
relationships between imperfect information, racial income disparities, and segregation. The
use of race as a signal arises here, as in models of statistical discrimination, from ...
A Basistha… - The Review of Economics and Statistics, 2008 - MIT Press
Abstract Standard estimates of the NAIRU or natural rate of unemployment are subject to
considerable uncertainty. We show in this paper that using multiple indicators to extract an
estimated NAIRU cuts in half uncertainty as measured by variance and gives a 33% ...
J Ma, C Nelson… - 2006 - papers.ssrn.com
Abstract: This paper shows that the Zero-Information-Limit-Condition (ZILC) formulated by
Nelson and Startz (2006) holds in the GARCH (1, 1) model. As a result, the GARCH estimate
tends to have too small a standard error relative to the true one when the ARCH ...
CJIN KIM, JM Piger… - Journal of Money, Credit and …, 2007 - Wiley Online Library
This paper investigates the dynamic relationship between permanent and transitory
components of post-war US business cycles. We specify a time-series model for real GNP
and consumption in which the two share a common stochastic trend and transitory ...
S Lundberg… - … Papers in Economics at the University …, 1992 - econpapers.repec.org
Related works: Working Paper: On the Persistence of Racial Inequality (1992) Working
Paper: On the Persistence of Racial Inequality (1994) Working Paper: On the Persistence of Racial
Inequality (1994) Journal Article: On the Persistence of Racial Inequality (1998) This item ...
R Startz - Economics Letters, 1983 - Elsevier
R Startz - Journal of Economic Growth, 1998 - Springer
GDP growth typically vibrates with modest variation around a mean of a few percent per
year, but periodically, mean growth undergoes a major shift, vibrating thereafter around a
new level. I present a transmission mechanism with nonlinear dynamics that ...
A Chen… - University of Washington, Seattle, WA, 2002 - econ.washington.edu
Executive Summary This paper examines the relationship between the film's total gross
revenues and properties such as genre, presence of top dramatic talent, MPAA rating, and
release date, and others. Using this model, we aim to answer several questions. ...
R Startz - Journal of Monetary Economics, 1984 - Elsevier
Abstract Do increases in the real money supply increase appreciably the productive capacity
of the economy? Previous studies have estimated the output elasticity of real money to be
between 0.02 and 1.0. Applying these estimates to the typical annual growth of real ...
R Startz - Journal of Business and Economic Statistics, 2008 - ASA
Binary Autoregressive Moving Average (BARMA) models provide a modeling technology for
binary time series analogous to the classic Gaussian ARMA models used for continuous
data. BARMA models mitigate the curse of dimensionality found in long lag Markov ...
R Startz - Journal of Econometrics, 1983 - Elsevier
Abstract A simple econometric test for rational expectations in the case in which
unobservable, rationally expected variables appear in a structural equation is presented.
Using McCallum's instrumental variable estimator as a base, a test for rational ...
R Startz - The American Economic Review, 1981 - JSTOR
The resurgent neoclassical school in macroeconomics has, in its simpler characterizations,
asserted three hypotheses about the economy. First, the short-run expectationsaugmented
Phillips curve is vertical. Second, the real rate of interest is independent of anticipated ...
S Lundberg… - Journal of Population Economics, 2007 - Springer
Abstract We present several economic models of racial segregation and income inequality.
The use of race as a signal arises from imperfect information about the return to transactions
with particular agents. In a search framework, signaling supports not simply a ...
A Basistha… - 2004 - papers.ssrn.com
Abstract: Standard estimates of the NAIRU or natural rate of unemployment are subject to
considerable uncertainty. We show in this paper that using multiple indicators to extract an
estimated NAIRU cuts in half uncertainty as measured by variance. The inclusion of an ...
R Startz - The New Macroeconomics: Imperfect Markets and …, 1995 - books.google.com
New Keynesian economics is a counter-revolution against the ascendancy of the'rational
expectations' and'new classical'schools which dominated macroeconomic research through
much of the late 1970s and the 1980s. The New Keynesian approach uses the standard ...
A Basistha… - Journal of Applied Econometrics, 2004 - Wiley Online Library
We identify two major changes in the dynamics of the federal funds rate in the 1990s. We
model the desired rate in a two-regime setting, one when the Fed makes no change and the
other when the Fed is moving the desired rate to a new level. We find that the 1990s saw a ...
[CITATION] Marriage and the Retirement Consumption Puzzle
S Lundberg, R Startz… - 2000 - University of Washington working …
CJ Kim, J Piger… - 2001 - papers.ssrn.com
Abstract: This paper investigates the relationship between permanent and transitory
components of US recessions in an empirical model allowing for business cycle asymmetry.
Using a common stochastic trend representation for real GNP and consumption, we divide ...
E Zivot, R Startz… - … in Economics at the University of …, 1997 - ideas.repec.org
We investigate confidence intervals and inference for the instrumental variables model with
weak instruments. Wald-based confidence intervals for a structural parameter perform poorly
in that the probability they reject the null is far greater than their nominal size. We show ...
R Startz - 2003 - papers.ssrn.com
Abstract: Uncertainty about the precise quantitative effect of policy is endemic in economics.
In a classic paper, Brainard showed that in the face of model of multiplier uncertainty optimal
policy is relatively conservative. I extend this work to a dynamic model and show in ...
[CITATION] kPrivate Discrimination and Social Inter% vention in Competitive Labor Markets. lAmerican Economic Review
SJ Lundberg… - June, 1983
JH Frodin… - Journal of Banking & Finance, 1982 - Elsevier
Abstract The authors use the NOW account experience in New England from 1972 to 1978
to estimate the responsiveness of the demand for money to interest payments on checkable
accounts. Such an estimate is important in considering the effects on the demand for ...
[CITATION] Growth States and Sectoral Shocks
R Startz - Manuscript, Department of Economics, University of …, 1994
M Dueker, R Startz… - 1995 - en.scientificcommons.org
Abstract We estimate a multivariate autoregressive fractionally-integrated moving-average
(ARFIMA) model to illustrate a cointegration testing methodology based on joint estimates of
the fractional orders of integration of a cointegrating vector and its parent series. Although ...
M Dueker… - Discussion Papers in Economics at the …, 1993 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
C Satake… - 2003 - econ.washington.edu
Executive Summary: This paper investigates the role of corporate social responsibility
measures in executive compensation by determining if socially responsible CEOs are paid
according to their impact to both financial performance to shareholders and their social ...
BD Jones, CJ Kim… - Working Papers, 2003 - polmeth.wustl.edu
Abstract Studies of development and change in partisan fortunes in the US emphasize
epochs of partisan stability, separated by critical events or turning points. Yet to date we
have no estimates of legislative regimes as they relate to electoral realignments. In this ...
E Zivot, R Startz… - P. Corbae et al, 2006 - books.google.com
It is now well known that standard asymptotic inference techniques for instrumental variable
(IV) estimation may perform very poorly in the presence of weak instruments. In some
circumstances, the failure is of the worst kind: false results are accompanied by reported ...
[CITATION] Interest Bearing Demand Deposits
R Startz - 1978 - Ph. D. diss., MIT
BD Jones, CJ Kim… - Statistical Methodology, 2010 - Elsevier
Studies of development and change in partisan fortunes in the US emphasize epochs of
partisan stability, separated by critical events or turning points. In this paper we study
partisan electoral changes in the US Congress using the method of Markov switching. Our ...
[CITATION] Mean Reversion in Stock Prices: A Reappraisal
MJ Kim, C Nelson… - NBER Working Paper, 1990
[CITATION] Private Discrimination and Social Intervention in Competitive Labor Markets"(1983)
SJ Lundberg… - Am. Econ. Rev.
[CITATION] Macroeconomics. 9 th
R Dornbusch, S Fischer… - Mcgraw-Hill
SA Meyer… - Journal of International Money and Finance, 1982 - Elsevier
Abstract Imposing a small number of common, but strong, assumptions allows the varianve
of the ex post forecast error in forward exchange rates to be decomposed into its parts—that
part due to errors in forecasting relative inflation (the 'nominal'error) and that part due to ' ...
R Startz… - Working Papers, 2007 - papers.ssrn.com
Abstract: We develop an unobserved component model in which the short-term interest rate
is composed of a stochastic trend and a stationary cycle. Using the Nelson-Siegel model of
the yield curve as inspiration, we estimate an extremely parsimonious state-space model ...
[CITATION] Macroeconomy
D Rudiger, F Stanley… - 2007 - Economică Publishing House, …
R Startz - Working Papers, 2007 - papers.ssrn.com
Abstract: Are consumers forward-looking? According to the certainty-equivalence version of
the life cycle/permanent income hypothesis, consumption is a function of the expected
present value of income. Using longitudinal data from the PSID, I invert this function and ...
CR Nelson… - Working Papers, 1990 - econpapers.repec.org
Related works: Working Paper: More on the Exact Small Sample Distribution of the Instrumental
Variable Estimator: A Reply to Maddala and Jeong (1990) This item may be available elsewhere
in EconPapers: Search for items with the same title. ... This site is part of RePEc and all ...
C Nelson, R Startz… - Econometric Society World Congress …, 2000 - ideas.repec.org
It is now well known that standard asymptotic inference techniques for instrumental variable
estimation perform very poorly in the presence of weak instruments. Specifically, standard
asymptotic techniques give spuriously small standard errors, leading investigators to ...
R Startz - Discussion Papers in Economics at the University …, 1990 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
CONSUMPTION WITH A POSSIBLY FINIT HORIZON. Richard Startz (). ...
[CITATION] Study guide to accompany Dornbusch and Fischer Macroeconomics
R Startz… - 1994 - McGraw-Hill
Race and ethnicity play a central role in understainding the structure of inequality in the
United States. In this paper, we focus on the economic chasm between black and white
America and what economic theory can contribute to our understanding of both inequality ...
[CITATION] Study Guide to Accompany Macroeconomics
FJ Atkins, R Startz, GR Sparks… - 1993 - McGraw-Hill Ryerson
R Startz - Discussion Papers in Economics at the University of …, 1992 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
JH Frodin… - finance.wharton.upenn.edu
Introduction A central fact of recent American monetary history and monetary theory is that
(narrowly defined) money bears no interest. The money demand equation—formulated with
the implicit assumption that money does not bear interest—is the linchpin of much ...
R Startz - econ.washington.edu
Teaching graduate econometrics means covering three different kinds of subject matter: a
grounding in the theory of econometrics, a long laundry list of available econometric
techniques, and an introduction to the fact that the practice of linking models and data is ...
A Boersch-Supan, S Nisticò, LR Wray, R Startz… - palgrave.com
The aging of the US population, over the decades ahead, will affect our society and
economy and be one of the primary domestic public policy issues. The US Census Bureau
projects the fraction of the elderly in the total population to increase from its 2002 level of ...
R Startz… - Econometric Society 2004 North American …, 2004 - ideas.repec.org
The fact that weak instruments lead to spurious inference is now widely recognized. In this
paper we ask whether spurious inference occurs more generally in weakly identified
models. To distinguish between models where spurious inference will occur from those ...
R Startz - Journal of Monetary Economics, 1981 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Implicit
interest on demand deposits: Reply. Richard Startz (). Journal of Monetary Economics, 1981,
vol. 7, issue 3, pages 403-404. Date: 1981 Track citations by RSS feed. ...
R Startz - 1981 - finance.wharton.upenn.edu
1. Introduction Introduction of the rational expectations hypothesis has produced a minor
boom in new econometric techniques. Because rational expectations forces restrictions on
the stochastic interaction of observable and unobservable variables, estimation and ...
R Startz - Review, 1999 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
[CITATION] Bar Code: 579948 Card Number: 70865
S Richard… - Policy
[CITATION] Labor and Population Program
[CITATION] Determining United States Spending on Foreign Aid
C Wathne… - 2004
Zusammenfassung: This paper presents several economic models that explore the
relationships between imperfect information, racial income disparities, and segregation. The
use of race as a signal arises here, as in models of statistical discrimination, from ...
Using food-consumption data from the Panel Study of Income Dynamics, 1979-1986 and
1989-1992, this report investigates evidence and potential causes of a substantial drop in
household consumption around the age of retirement.
RA Leone, R Startz… - 1975 - csa.com
ESTIMATES ARE PRESENTED OF COSTS AND THEIR IMPACTS NECESSARY TO MEET
1977 AND 1983 REQUIREMENTS OF THE FEDERAL WATER POLLUTION CONTROL ACT
IN THE PULP AND PAPER INDUSTRY (SIC 2611, 2621, 2631, 2661). HIGHEST COSTS ...
E Gulyás… - Department of Economics, University of Washington, …, 2006 - Citeseer
Abstract: We use the inflation premium—the difference between nominal and real interest
rates—as a proxy for expected inflation in the context of the New Keynesian Phillips Curve.
Using data from inflation-indexed and nominal bonds we estimate a forward-looking ...
R Startz - Econometric Theory, 2005 - Cambridge Univ Press
Teaching graduate econometrics means covering three different kinds of subject matter: a
grounding in the theory of econometrics, a long laundry list of available econometric
techniques, and an introduction to the fact that the practice of linking models and data is ...
R Startz - 經濟硏究, 1990 - dbpia.co.kr
누리미디어에서 제공되는 모든 저작물의 저작권은 원저작자에게 있으며, 누리미디어는 각 저작물의
내용을 보증하거나 책임을 지지 않습니다. 단, 누리미디어에서 제공되는 서지정보는 저작권법에
의해 보호를 받는 저작물로, 사전 허락 없이 임의로 대량 수집하거나 프로그램에 의한 주기적 ...
E Gulyás… - 2005 - papers.ssrn.com
Abstract: We use the inflation premium-the difference between nominal and real interest
rates-as a proxy for expected inflation in the context of the New Keynesian Phillips Curve.
Using data from inflation-indexed and nominal bonds we estimate a forward-looking ...
R Startz… - Journal of Money, Credit and Banking, 2010 - Wiley Online Library
We develop an unobserved component model in which the short-term interest rate is
composed of a stochastic trend and a stationary cycle. Using the Nelson–Siegel model of
the yield curve as inspiration, we estimate an extremely parsimonious state-space model ...
R Startz… - 2009 - papers.ssrn.com
Abstract: This paper develops an informational model of litigation in which court decisions
are a function of legal representation. In this model, resource constraints determine how
much parties expend on legal representation. The allocation of resources across parties ...
CJ Kim, J Piger… - c.federalreserve.gov
Abstract: This paper investigates the relationship between permanent and transitory
components of US recessions in an empirical model allowing for business cycle asymmetry.
Using a common stochastic trend representation for real GNP and consumption, we divide ...
[CITATION] p. XV Introduction and National Income Accounting
S Richard… - Policy
E Wong, K Lucia, S Price… - Journal of International Money and …, 2011 - Elsevier
The term structures of Canada and of the United States, two countries with historically
interdependent economic ties, have been closely linked. We investigate the link between
Canadian and US yield curves and show previously strong correlations between yield ...
R Startz - NBER Working Paper, 1988 - papers.ssrn.com
Abstract: When the instrumental variable is a poor one, in the sense of being weakly
correlated with the variable it proxies, the small sample distribution of the IV estimator is
concentrated around a value that is inversely related to the feedback in the system and ...
T Ho, H Stoll, RE Kihlstrom, JJ Laffont… - Risk - finance.wharton.upenn.edu
Click on the links listed below to see the abstract. Click here for a complete list of abstracts for
this year. Click on the icon beside the title in order to download the full paper in Adobe
Acrobat. (If you do not have the Adobe Reader you can get a free copy from Adobe's ...
[CITATION] Study Guide to Accompany Macroeconomics, Rudiger Dornbusch, Stanley Fischer, Richard Startz
J Rutledge, R Dornbusch, S Fischer… - 1997 - Irwin/McGraw-Hill
R Startz - Crítica a la economía ortodoxa, 2004 - seminaritaifa.org
La Nueva economía keynesiana es una contrarrevolución contra el auge de las escuelas de
las «expectativas racionales» y «nuevos clásicos» que dominaron la investigación
macroeconómica durante gran parte de finales de los años 70 y los 80. El enfoque Nuevo ...
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