Author pages are created from data sourced from our academic publisher partnerships and public sources.

Publications Influence

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 establishes… Expand

15,367 777- PDF

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 introduces… Expand

1,301 254- PDF

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 given… Expand

2,793 177- PDF

Asymptotic Inference about Predictive Ability

- K. West
- Mathematics
- 1 September 1996

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

1,284 168

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 versions… Expand

1,144 85

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 future… Expand

658 82- PDF

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 linearly… Expand

314 58- PDF

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 rates… Expand

388 28- PDF

The Equilibrium Real Funds Rate: Past, Present, and Future

- J. Hamilton, E. Harris, J. Hatzius, K. West
- Economics
- 1 August 2015

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 draw… Expand

215 27- PDF

A Specification Test for Speculative Bubbles

- K. West
- Economics
- 1 November 1986

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 testing… Expand

462 24- PDF