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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishesExpand
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Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introducesExpand
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Automatic Lag Selection in Covariance Matrix Estimation
We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a givenExpand
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Asymptotic Inference about Predictive Ability
This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors when there is a long time series of predictions and realizations.Expand
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Hypothesis Testing with Efficient Method of Moments Estimation
Efficient method of moments estimation techniques include many commonly used techniques, including ordinary least squares, two- and three-stage least squares, quasi maximum likelihood, and versionsExpand
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Exchange Rates and Fundamentals
We show analytically that in a rational expectations present‐value model, an asset price manifests near–random walk behavior if fundamentals are I(1) and the factor for discounting futureExpand
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Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
We consider using out of sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearlyExpand
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The Predictive Ability of Several Models of Exchange Rate Volatility
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange ratesExpand
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The Equilibrium Real Funds Rate: Past, Present, and Future
We examine the behavior, determinants, and implications of the equilibrium level of the real federal funds rate, interpreted as the long run or steady state value of the real funds rate. We drawExpand
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A Specification Test for Speculative Bubbles
The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testingExpand
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