• Publications
  • Influence
Instrumental Variables Regression with Weak Instruments
This paper develops asymptotic distribution theory for instrumental variable regression when the partial correlation between the instruments and a single included endogenous variable is weak, here
Macroeconomic Forecasting Using Diffusion Indexes
This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal
Forecasting Using Principal Components From a Large Number of Predictors
This article considers forecasting a single time series when there are many predictors (N) and time series observations (T). When the data follow an approximate factor model, the predictors can be
Efficient Tests for an Autoregressive Unit Root
This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances. A family of tests is
A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more
A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMS
Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using
Forecasting Output and Inflation: The Role of Asset Prices
This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output growth. We first review the large literature on this topic, focusing on the past
EFFICIENT TESTS FOR AN AUTOREGRESSIVE UNIT ROOT BY GRAHwA ELLIOrr, THOMAS
The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series under various trend specifications. We propose a family
Why Has U.S. Inflation Become Harder to Forecast?
Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting inflation is a key job for economists at the Federal Reserve Board. This paper
GMM WITH WEAK IDENTIFICATION
This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to
...
1
2
3
4
5
...