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International business cycles: World, region, and country-specific factors

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MA Kose, C Otrok… - American Economic Review, 2003 - JSTOR
Page 1. International Business Cycles: World, Region, and Country-Specific Factors
By M. AYHAN KOSE, CHRISTOPHER OTROK, AND CHARLES H. WHITEMAN*
The paper investigates the common dynamic properties of ...
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Integration versus trend stationary in time series

Full text - MIT Libraries
DN DeJong, JC Nankervis, NE Savin… - Econometrica, 1992 - JSTOR
Page 1. Econometrica, Vol. 60, No. 2, (March, 1992), 423-433 NOTES AND COMMENTS
INTEGRATION VERSUS TREND STATIONARITY IN TIME SERIES BY DAVID N. DEJONG,
JOHN C. NANKERVIS, NE SAVIN, AND CHARLES H. WHITEMAN 1 ...
Cited by 436 - Related articles - All 7 versions

The power problems of unit root test in time series with autoregressive errors

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DN DeJong, JC Nankervis, NE Savin… - Journal of …, 1992 - Elsevier
Monte Carlo methods are used to study the size and power of serial-correlation-corrected
versions of the Dickey-Fuller (1979,1981) unit root tests appropriate w.
Cited by 235 - Related articles - All 8 versions

The observable implications of self-fulfilling expectations

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JD Hamilton… - Journal of Monetary Economics, 1985 - Elsevier
Cited by 227 - Related articles - All 6 versions

Reconsidering [] trends and random walks in macroeconomic time series'

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DN DeJong… - Journal of Monetary Economics, 1991 - Elsevier
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A Bayesian approach to dynamic macroeconomics

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DN DeJong, BF Ingram… - Journal of Econometrics, 2000 - Elsevier
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Understanding the evolution of world business cycles

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M Ayhan Kose, C Otrok… - Journal of International …, 2008 - Elsevier
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[BOOK] Linear rational expectations models: a user's guide

CH Whiteman - 1983 - books.google.com
Page 1. Linear Rational Expectations Models A User's Guide Charles H. Whiteman Page 2. Linear
Rational Expectations Models A User's Guide Charles H. Whiteman Page 3. Linear Rational
Expectations Models A llse'r% Guide Page 4. This page intentionally left blank Page 5. ...
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The engine of growth or its handmaiden?

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RG Riezman, CH Whiteman… - Empirical Economics, 1996 - Springer
Page 1. ImIIIIIIEM P IR I CAL Empirical Economics (1996)21:77-110 |
IIEIIIIECONOMICS The Engine of Growth or its Handmaiden? A Time-Series
Assessment of Export-Led Growth RAYMOND G. R1EZMAN AND CHARLES ...
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Supplanting the [] Minnesota'prior:: Forecasting macroeconomic time series using real business cycle model priors

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BF Ingram… - Journal of Monetary Economics, 1994 - Elsevier
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Particulate air pollution in Mexico City: A collaborative research project

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SA Edgerton, X Bian, JC Doran… - Journal of the Air & …, 1999 - Taylor & Francis
Page 1. Edgerton et al. Volume 49 October 1999 Journal of the Air & Waste Management
Association 1221 ISSN 1047-3289 J. Air & Waste Manage. Assoc. 49:1221-1229 Copyright
1999 Air & Waste Management Association TECHNICAL PAPER ...
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Bayesian leading indicators: measuring and predicting economic conditions in Iowa

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C Otrok… - International Economic Review, 1998 - JSTOR
... As an economist, Charles Whiteman has perfected the use of phrases like 'predictive distributions,'
'asymmetric linear loss function' and 'Bayesian vector autoregression.' But he doesn't need
five-dollar words to sum up the latest news about Iowa's economy. "Ho-hum," he said. ...
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Bayesian forecasting

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J Geweke… - Handbook of Economic Forecasting, 2006 - Elsevier
Abstract Bayesian forecasting is a natural product of a Bayesian approach to inference. The
Bayesian approach in general requires explicit formulation of a model, and conditioning on
known quantities, in order to draw inferences about unknown ones. In Bayesian ...
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A Bayesian approach to calibration

DN DeJong, BF Ingram… - Journal of Business & Economic …, 1996 - JSTOR
Page 1. A Bayesian Approach to Calibration David N. DEJONG Department of Economics,
University of Pittsburgh, Pittsburgh, PA 15260 Beth Fisher INGRAM and Charles H. WHITEMAN
Department of Economics, University of Iowa, Iowa City, IA 52242 ...
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Habit formation: a resolution of the equity premium puzzle?

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C Otrok, B Ravikumar… - Journal of Monetary Economics, 2002 - Elsevier
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The temporal stability of dividends and stock prices: Evidence from the likelihood function

DN Dejong… - The American Economic Review, 1991 - JSTOR
Page 1. The Temporal Stability of Dividends and Stock Prices: Evidence from the
Likelihood Function By DAVID N. DEJONG AND CHARLES H. WHITEMAN* The
debate over whether the expected present value of dividends ...
Cited by 69 - Related articles - Get it from MIT Libraries - All 6 versions

A daily view of yield spreads and short-term interest rate movements

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W Roberds, D Runkle… - Journal of Money, Credit and …, 1996 - JSTOR
Page 1. WILLIAM ROBERDS DAVID RUNKLE CHARLES H. WHITEMAN A Daily
View of Yield Spreads and Short-Term Interest Rate Movements IT IS WIDELY
APPRECIATED that forecasting interest rates is difficult, and the ...
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Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile

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W Roberds… - Journal of Monetary Economics, 1999 - Elsevier
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[PDF] Keynesian impulses versus Solow residuals: identifying sources of business cycle fluctuations

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DN DeJong, BF Ingram… - Journal of Applied …, 2000 - Citeseer
Page 1. Keynesian Impulses Versus Solow Residuals: Identifying Sources of Business
Cycle Fluctuations David N. DeJong * , Beth F. Ingram ** , and Charles H. Whiteman **
First Version: May 1995 This Revision: June 1999 Abstract@ ...
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[PDF] Risk Aversion Versus Intertemporal Substitution

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CJ Neely, A Roy… - Journal of Business and Economic Statistics, 2001 - ASA
Page 1. Risk Aversion Versus Intertemporal Substitution: A Case Study of Identi' cation Failure
in the Intertemporal Consumption Capital Asset Pricing Model Christopher J. Neely Federal
Reserve Bank of St. Louis, St. Louis, MO 63102 (neely@stls.frb.org) ...
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General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model …

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J Faust… - Carnegie-Rochester Conference Series on Public …, 1997 - Elsevier
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The case for trend‐stationarity is stronger than we thought

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DN DeJong… - Journal of Applied Econometrics, 1991 - Wiley Online Library
Page 1. JOURNAL OF APPLIED ECONOMETRICS, VOL. 6, 413-421 (1991) THE CASE
FOR TREND-STATIONARITY IS STRONGER THAN WE THOUGHT DAVID N. DEJONG
Department of Economics, University of Piitsburgh AND ...
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[BOOK] Understanding the evolution of world business cycles

[PDF] from eabcn.org
MA Kose, C Otrok… - 2005 - books.google.com
Page 1. Working Paper A INTERNATIONAL MONETARY FUND Page 2. INTERNATIONAL
MONETARY FUND Page 3. WP/05/211 Understanding the Evolution of World Business Cycles
M. Ayhan Kose, Christopher Otrok, and Charles H. Whiteman Page 4. ...
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Analytical policy design under rational expectations

CH Whiteman - Econometrica: Journal of the Econometric Society, 1986 - JSTOR
Page 1. Econometrica, Vol. 54, No. 6 (November, 1986), 1387-1405 ANALYTICAL
POLICY DESIGN UNDER RATIONAL EXPECTATIONS BY CHARLES H. WHITEMAN'
The formulation of optimal policy in linear rational expectations ...
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Spectral utility, Wiener-Hopf techniques, and rational expectations

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CH Whiteman - Journal of Economic Dynamics and Control, 1985 - Elsevier
Purely classical, frequency-domain methods are useful for solving linear-quadratic dynamic
rational expectations models. To illustrate this, generic scalar and.
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Lucas on the quantity theory: hypothesis testing without theory

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CH Whiteman - The American Economic Review, 1984 - JSTOR
Page 1. Lucas on the Quantity Theory: Hypothesis Testing without Theory By
CHARLES H. WHITEMAN* In a recent paper, Robert Lucas presents "Two Illustrations
of the Quantity Theory of Money." His intriguing illustrations ...
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[CITATION] Trends and cycles as unobserved components in US real GNP: A Bayesian perspective

DN DeJong… - Proceedings of the American Statistical Association, 1989
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Asset prices in a time series model with perpetually disparately informed, competitive traders

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K Kasa, TB Walker… - … manuscript, Department of …, 2007 - papers.ssrn.com
Page 1. CAEPR Working Paper #2006-010 Asset Prices in a Time Series Model with Perpetually
Disparately Informed, Competitive Traders Kenneth Kasa Simon Fraser University Todd B. Walker
Indiana University Bloomington Charles H. Whiteman University of Iowa ...
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Monetary aggregates as monetary targets: A Statistical Investigation

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W Roberds… - Journal of Money, Credit and Banking, 1992 - JSTOR
Page 1. WILLIAM ROBERDS CHARLES H. WHITEMAN Monetary Aggregates as
Monetary Targets: A Statistical Investigation Prompted in part by the sharp decline
in Ml velocity in the early 1980s, much recent empirical literature ...
Cited by 14 - Related articles - All 6 versions

The forecasting attributes of trend‐and difference‐stationary representations for macroeconomic time series

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DN DeJong… - Journal of Forecasting, 1994 - Wiley Online Library
Page 1. Journal of Forecasting, Vol. 13, 279-297 (1994) The Forecasting Attributes of Trend-
and Difference-Stationary Representations for Macroeconomic Time Series DAVID N. DEJONG
University of Pittsburgh, USA and CHARLES H. WHITEMAN University of lo wa, U. S. A. ...
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An application of Bayesian option pricing to the soybean market

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FD Foster… - American journal of agricultural …, 1999 - ajae.oxfordjournals.org
Page 1. New Information-Based Econometric Methods in Agricultural Economics (Arnold Zellner,
University ofChicago, presiding) AN ApPLICATION OF BAYESIAN OPTION PRICING TO THE
SOYBEAN MARKET F. DOUGLAS FOSTER AND CHARLES H. WmTEMAN ...
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[CITATION] Bayesian dynamic factor models for large datasets: measuring and forecasting macroeconomic data

C Otrok, P Silos… - University of Iowa unpublished manuscript, 2003
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Generalized safety first and a new twist on portfolio performance

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MR Haley… - Econometric Reviews, 2008 - Taylor & Francis
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Bayesian cross hedging: an example from the soybean market

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FD Foster… - Australian Journal of Management, 2002 - aum.sagepub.com
Page 1. – 95 – Bayesian Cross Hedging: An Example From the Soybean Market
by F. Douglas Foster † Charles H. Whiteman § Abstract: Following Lence and Hayes
(1994a), we study the problem faced by an Iowa farmer who ...
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Modeling stock prices without knowing how to induce stationarity

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DN DeJong… - Econometric Theory, 1994 - Cambridge Univ Press
Page 1. Econometric Theory, 10, 1994, 701-719. Printed in the United States of America.
MODELING STOCK PRICES WITHOUT KNOWING HOW TO INDUCE STATIONARITY DAVID
N. DE JONG University of Pittsburgh CHARLES H. WHITEMAN University of Iowa ...
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Estimating moving average parameters: Classical pileups and Bayesian posteriors

DN DeJong… - Journal of Business & Economic Statistics, 1993 - JSTOR
Page 1. Journal of Business & Economic Statistics, July 1993, Vol. 11, No. 3 Estimating Moving
Average Parameters: Classical Pileups and Bayesian Posteriors David N. DeJong Department
of Economics, University of Pittsburgh, Pittsburgh, PA 15260 ...
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Bayesian Prediction, Entropy, and Option Pricingx

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FD Foster… - Australian Journal of Management, 2006 - aum.sagepub.com
Page 1. – 181 – Bayesian Prediction, Entropy, and Option Pricing by F. Douglas Foster †
Charles H. Whiteman § Abstract: This paper studies the performance of the
Foster-Whiteman (1999) procedure for using a Bayesian predictive ...
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[PDF] The Regional Economic Impact of the University of Iowa

[PDF] from uiowa.edu
K Backhaus… - Iowa City: Institute for Economic …, 1994 - tippie.uiowa.edu
Page 1. THE REGIONAL ECONOMIC IMPACT OF THE UNIVERSITY OF IOWA Kara Backhaus
and Charles H. Whiteman Institute for Economic Research Suite W230, Pappajohn Business
Administration Building University of Iowa Iowa City, IA 52242 July 29, 1994 ...
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[CITATION] Bayesian prediction under asymmetric linear loss: Forecasting state tax revenues in Iowa

CH Whiteman - Forecasting, Prediction and Modeling in Statistics and …, 1996
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[PDF] Asset Pricing with Heterogeneous Beliefs: A Frequency-Domain Approach

[PDF] from sfu.ca
K Kasa, TB Walker… - Unpublished Paper, 2004 - sfu.ca
Page 1. Asset Pricing with Heterogeneous Beliefs: A Frequency-Domain Approach
Kenneth Kasa Department of Economics Simon Fraser University E-mail:
kkasa@sfu.ca May, 2004 Abstract. Asset prices appear to be excessively ...
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Stochastic discount factor models and the equity premium puzzle

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C Otrok, B Ravikumar… - 2001 - mpra.ub.uni-muenchen.de
One view of the equity premium puzzle is that in the standard asset-pricing model with time-
separable preferences, the volatility of the stochastic discount factor, for plausible values of
risk aversion, is too low to be consistent with consumption and asset return data. We adopt ...
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[CITATION] Analyzing VARs with Monetary Business Cycle Model Priors

D DeJong, BF Ingram… - Proceedings of the American Statistical …, 1993
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[CITATION] Are output fluctuations transitory? A Bayesian perspective

DN DeJong… - 1990 - Working paper
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[CITATION] Econometric policy evaluation under rational expectations

TH Turner… - Quarterly Review, 1981 - econpapers.repec.org
By Thomas H. Turner and Charles H. Whiteman; Econometric
policy evaluation under rational expectations.
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[CITATION] Unit root tests or coin tosses for time series with autoregressive errors

DN DeJong, JC Nankervis, NE Savin… - University of Iowa, Dept of …, 1989
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[CITATION] More unsettling evidence on the perfect markets hypothesis

DN DeJong… - Economic Review, 1992 - econpapers.repec.org
By David N. DeJong and Charles H. Whiteman; More unsettling
evidence on the perfect markets hypothesis.
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[CITATION] Bayesian inference in dynamic equilibrium models: An application to the rational expectations model of the term structure

DN DeJong… - Bayesian Analysis in Statistics and Econometrics: …, 1996
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Evaluating asset‐pricing models using the Hansen–Jagannathan bound: a Monte Carlo investigation

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C Otrok, B Ravikumar… - Journal of Applied …, 2002 - Wiley Online Library
Skip to Main Content. ...
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[PDF] Keynes vs. Prescott and Solow: Identifying sources of business cycle fluctuations

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D DeJong, B Ingram… - Iowa macroeconmics Workshop, …, 1995 - idheap.ch
Abstract Who was closer to the source of business cycle fluctuations--Keynes or Prescott
and Solow? Two types of business-cycle impulses which have been associated with their
names--marginal efficiency of investment shocks (Keynes) and technology shocks ( ...
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Multiple equilibria in a simple asset pricing model

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TB Walker… - Economics Letters, 2007 - Elsevier
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[PDF] Smoothed Safety First and the Holding of Assets

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MR Haley, HJ Paarsch… - 2009 - vinci.cs.uiowa.edu
Page 1. Smoothed Safety First and the Holding of Assets M. Ryan Haley∗ Department of
Economics University of Wisconsin – Oshkosh 800 Algoma Blvd. Oshkosh, WI 54901, USA +1
920 424 7150 (telephone) +1 920 424 7413 (facsimile) haley@uwosh.edu ...
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[PDF] Robustifying shiller: Do stock prices move enough to be justified by subsequent changes in dividends

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KF Lewis… - 2006 - economics.sas.upenn.edu
Page 1. ROBUSTIFYING SHILLER: DO STOCK PRICES MOVE ENOUGH TO BE
JUSTIFIED BY SUBSEQUENT CHANGES IN DIVIDENDS? KURT F. LEWIS AND
CHARLES H. WHITEMAN† Abstract. This paper studies the ...
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[CITATION] World business cycles

RG Riezman… - Working Papers, 1991 - ideas.repec.org
... A Time-Series Assessment of Export-Led Growth," Empirical Economics, Springer, vol.
21(1), pages 77-110. Other versions: Raymond Riezman & Charles Whiteman & Peter
M. Summers, 1996. "The Engine of Growth or Its Handmaiden? ...
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[CITATION] Worldwide persistence, business cycles, and economic growth

RG Riezman… - Working Papers, 1990 - ideas.repec.org
Downloadable! No abstract is available for this item.
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[CITATION] Understanding the Evolution of World Business Cycles

K Ayhan, C Otrok… - 2005 - IMF Working Paper WP/05/211
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[CITATION] Rejoinder to Hendry

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J Faust… - Carnegie-Rochester Conference Series …, 1997 - ideas.repec.org
Downloadable (with restrictions)! No abstract is available for this item.
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[PDF] Bayesian Prediction, Entropy, and Option Pricing in the US Soybean Market, 1993-1997

[PDF] from unsw.edu.au
FD Foster… - University of Iowa manuscript, 2002 - wwwdocs.fce.unsw.edu.au
Page 1. Bayesian Prediction, Entropy, and Option Pricing In the US Soybean Market,
1993-19971 F. Douglas Foster Professor of Finance, University of New South Wales
Charles H. Whiteman Director, Economic Research Institute ...
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[CITATION] What to do when the crystal ball is cloudy: Conditional and unconditional forecasting in Iowa

C Otrok… - Proceedings of the National Tax Association, 1998
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[CITATION] Monetary aggregates as monetary targets: a statistical investigation

CH Whiteman… - Working Paper, 1990 - econpapers.repec.org
By Charles H. Whiteman and William Roberds; Monetary aggregates
as monetary targets: a statistical investigation.
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International business cycles: world, region, and country-specific factors. The American Economic Review 93 (4

MA Kose, C Otrok… - 2003 - Citeseer
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Abstract: The
paper investigates the common dynamic properties of business cycle fluctuations across countries,
regions, and the world. We employ a Bayesian dynamic latent factor model to estimate ...
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[PDF] Heterogeneous Beliefs and Tests of Present Value Models

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K Kasa, TB Walker… - Unpublished manuscript, 2010 - sfu.ca
Page 1. . HETEROGENEOUS BELIEFS AND TESTS OF PRESENT VALUE MODELS KENNETH
KASA, TODD B. WALKER, AND CHARLES H. WHITEMAN Abstract. This paper develops a
dynamic asset pricing model with persistent heterogeneous beliefs. ...
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On robustness

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DN DeJong… - Journal of Monetary Economics, 1991 - Elsevier
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[CITATION] Endogenous Term Premia and anomalies in the Term Structure of Interest Rates: Explaining the Predictability Smile, Federal Reserve Bank of Atlanta

W Roberds… - 1996 - Working Paper 96-11
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[CITATION] Commentary [on Grayham E

J Faust… - Mizon's Progressive modeling of, 1995
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[CITATION] Trends and cycles as unobserved components in macroeconomic time series

DN DeJong… - Manuscript(University of Pittsburgh, Pittsburgh, PA), 1991
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[CITATION] Integration Versus Trend-Stationarity in Macroeconomic Time Series

DN DcJong, JC Nankervis, NE Savin… - Department of Economics, University …
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[CITATION] A New Look at Old Evidence: On'Nonmonetary Effects of Financial Crisis in the Propagation of the Great Depression'

S Green… - University of Iowa, April, 1992
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Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM

C Neely, A Roy… - Working Papers, 1999 - ideas.repec.org
Is the risk aversion parameter in the simple intertemporal consumption CAPM “small” as in
Hansen and Singleton (1982, 1983), or is it that its reciprocal, the intertemporal elasticity of
substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of ...
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[BOOK] Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era

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KF Lewis, CH Whiteman… - 2006 - chicagobooth.edu
Page 1. EMPIRICAL BAYESIAN DENSITY FORECASTING IN IOWA AND
SHRINKAGE FOR THE MONTE CARLO ERA KURT F. LEWIS AND CHARLES H.
WHITEMAN † Abstract. The track record of a sixteen-year history of ...
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[CITATION] The Case for Convergence

RG Riezman, R Tamura… - … of the Business and Economic Statistics …, 1993
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[PDF] A new investigation of the impact of wage and price controls

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CH Whiteman - Quarterly Review, 1978 - socionet.org
Page 1. A New Investigation of the Impact of Wage and Price Controls Charles H.
Whiteman Research Assistant Research Department Federal Reserve Bank of
Minneapolis How well do wage and price controls work against inflation? ...
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[CITATION] Problems in Macroeconomic Theory: Solutions to Exercises from Thomas J. Sargent's Macroeconomic Theory, Second Editon

CH Whiteman - 1987 - getcited.org
An academic directory and search engine.
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[PDF] A generalized volatility bound for dynamic economies

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C Otrok, B Ravikumar… - 2002 - Citeseer
Page 1. A Generalized Volatility Bound for Dynamic Economies Christopher Otrok
University of Virginia B. Ravikumar University of Iowa Charles H. Whiteman* University
of Iowa April 2003 Abstract. We develop a generalization ...
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A generalized volatility bound for dynamic economies

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C Otrok, B Ravikumar… - Journal of Monetary Economics, 2007 - Elsevier
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[CITATION] The Macroeconomic Effects of Oil Price Increases: A Critical Review

IRM Bain… - 1982 - Resources for the Future
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[CITATION] The engines of growth in the APEC economies, 1950-1990

RG Riezman, PM Summers… - 1995 - Centre for International Economic …
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[CITATION] ..., Rational expectations econometrics: Boulder[ua], Westview Press, 1991

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CH Whiteman - Journal of economic literature, 1992

[CITATION] Cyclical Implications of the Variable Utilization of Physical and Human Capital

BF Ingram, DN DeJong, CH Whiteman… - Working Papers, 1996 - ideas.repec.org
We develop a business cycle model in which consumption goods, physical
capital and human capital are produced in separate sectors.
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[PDF] Weakening Strong Independence Does Not Account for Anomalies in Experiments

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LASIP Levin… - 2008 - Citeseer
Page 1. Weakening Strong Independence Does Not Account for Anomalies in
Experiments Lindsey A. Schneider. Irwin P. Levin, and Charles H. Whiteman *
University of Iowa February, 2008 This paper reports on laboratory ...
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[CITATION] Journal of Business & Volume 14, Number 1 Economic Statistics January 1996

DN DeJong, BF Ingram, CH Whiteman, JH Stock… - JOURNSL OF BUSINESS …, 1996
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[PDF] Session 1. Historical Overview Ann-Marie Meulendyke" Federal Reserve Tools in the Monetary Policy Process in Recent Decades" Comments: Robert L. Hetzel

[PDF] from stlouisfed.org
M Goodfriend, J Morton, P Wood, B Kasman… - fraser.stlouisfed.org
Page 1. TABLE OF CONTENTS VOLUME 1 Session 1. Historical Overview
Ann-Marie Meulendyke "Federal Reserve Tools in the Monetary Policy Process
in Recent Decades" Comments: Robert L. Hetzel Marvin Goodfriend ...
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NORTH AMERICAN SUMMER MEETING OF THE ECONOMETRIC SOCIETY ANNOUNCEMENT

D Acemoglu, F Alvarez, A Casella, VV Chari… - …, 1999 - Wiley Online Library
The program will include invited lectures and both invited and contributed papers. For
additional information and updated information about the meetings, see announcements in
subsequent issues of Econometrica or on the Internet at the following address: http: rrwww ...
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[CITATION] Trade liberalisation, exports and economic growth: a Bayesian time-series perspective

RG Riezman, PM Summers… - 1995 - Centre for International Economic …
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[CITATION] A study to determine in what subject matter areas the need for printed technical subject matter information is the greatest among teachers of vocational …

CF Whiteman - 1960 - Cornell Univ.
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[PDF] In the Term Structure of Interest Rates: Explaining the Predictability Smile

[PDF] from 199.169.243.129
W Roberds… - 1996 - 199.169.243.129
Page 1. Endogenous Term Premia and Anomalies In the Term Structure of Interest
Rates: Explaining the Predictability Smile William Roberds and Charles H. Whiteman
Federal Reserve Bank of Atlanta Working Paper 96-ll October ...
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[PDF] On the Equity Premium in Stochastic Discount Factor Models

[PDF] from american.edu
C Otrok, B Ravikumar… - 2001 - american.edu
Page 1. On the Equity Premium in Stochastic Discount Factor Models Christopher
Otrok University of Virginia B. Ravikumar Pennsylvania State University Charles H.
Whiteman* University of Iowa September 2001 Abstract One ...
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[CITATION] PANEL DATA

D GILES, ML KING, N KUNITOMO, K LAHIRI… - Journal of …, 1995 - Elsevier
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[CITATION] Trends and Cycles as Unobserved Components in Macroeconomic Time Series: a Bayesian Perspective

DN Dejong… - ADVANCES IN ECONOMETRICS, 1996 - JAI PRESS INC.
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[CITATION] ARNOLD ZELLNER

HJ BIERENS, S CHIB, M DAGENAIS, M DEISTLER… - Journal of econometrics, 1995
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Spectral Implications of Security Market Data for Models of Dynamic Economies

C Otrok, B Ravikumar… - Computing in Economics …, 2001 - ideas.repec.org
Hansen and Jagannathan (1991) proposed a volatility bound for evaluating asset-pricing models
that is a restriction on the volatility of a representative agentÌs intertemporal marginal rate of
substitution (IMRS). We develop a generalization of their bound that (i) incorporates the serial ...
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Modeling Stock Prices without Knowing How to Induce Stationarity

Full text - MIT Libraries
DN DeJong… - Econometric Theory, 1996 - Cambridge Univ Press
Cambridge Journals Online (CJO) is the e-publishing service for over 270 journals published
by Cambridge University Press and is entirely developed and hosted in-house. The platform's
powerful capacity and reliable performance are maintained by a combination of our own expertise ...
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[PDF] Conditional Forecasting Using Relative Entropy

[PDF] from virginia.edu
JC Robertson, EW Tallman… - 2002 - people.virginia.edu
Page 1. Conditional Forecasting Using Relative Entropy John C. Robertson, Ellis
W. Tallman and Charles H. Whiteman * June 2002 ABSTRACT The paper describes
a relative entropy procedure for imposing moment restrictions ...
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Baynesian Leading Indicators: Measuring and Predicting Economic Conditions

C Otrok… - 1996 - papers.ssrn.com
Abstract: This paper designs and implements a Baynesian dynamic latent factor model for a
vector of data describing the Iowa economy. Posterior distributions of parameters and the
latentfactor are analyzed by Markov Chain Monte Carlo methods, and coincident and ...
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