Jeremy Piger

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Empirical studies of bilateral foreign direct investment (FDI) activity show substantial differences in specifications with little agreement on the set of included covariates. We use Bayesian statistical techniques that allow one to select from a large set of candidates those variables most likely to be determinants of FDI activity. The variables with(More)
Following Hamilton (1989), estimation of Markov regime-switching regressions typically relies on the assumption that the latent state variable controlling regime change is exogenous. We relax this assumption and develop a parsimonious model of endogenous Markov regime-switching. Inference via maximum likelihood estimation is possible with relatively minor(More)
Using a Bayesian model comparison strategy, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real(More)
We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated(More)
The authors acknowledge with thanks the support of the National Science Foundation under grants SES-9818789 and SBR-9711301 and the Van Voorhis and Ensley endowments at the University of Washington. Thanks also to Charles Engel, Chang-Jin Kim, Chris Murray, Jeremy Piger, Simon Potter, Adrian Raftery, Richard Startz and Mark Wohar for helpful comments, but(More)
This paper investigates regime switching in the response of U.S. output to a monetary policy action. We find substantial, statistically significant, time variation in this response, and that this time variation corresponds to “high response” and “low response” regimes. We then investigate whether the timing of the regime shifts are consistent with three(More)
The “business cycle” is a fundamental, yet elusive concept in macroeconomics. In this paper, we consider the problem of measuring the business cycle. First, we argue for the ‘output-gap’ view that the business cycle corresponds to transitory deviations in economic activity away from a permanent or “trend” level. Then, we investigate the extent to which a(More)
This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. Markovswitching in each component captures two types of asymmetry: Shifts in(More)