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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), moreExpand
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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 toExpand
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Forecasting Inflation
Timmermann for their very helpful comments on earlier drafts, and to Lu Xu for research assistance. All errors are our sole responsibility.
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Alternative Variance-Ratio Tests Using Ranks and Signs
This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference sequence. Unlike conventional variance-ratioExpand
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The U.S. Treasury yield curve: 1961 to the present
The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is thereforeExpand
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Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. The U.S. Treasury Yield Curve: 1961 to the Present
The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is thereforeExpand
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Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
This paper provides cross-country empirical evidence on term premia. I construct a panel of zero-coupon nominal government bond yields spanning ten industrialized countries and nearly two decades. IExpand
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An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained from fitting this model to U.S. Treasury yieldsExpand
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The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements
Many recent papers have studied movements in stock, bond, and currency prices over short windows of time around macro announcements. This paper adds to the announcement effects literature in twoExpand
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Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minuteExpand
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