# National Bureau of Economic Research, Inc

# NBER Technical Working Papers

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### 1994

**0153 Assessing Specification Errors in Stochastic Discount Factor Models***by*Lars Peter Hansen & Ravi Jagannathan**0152 The Predictive Ability of Several Models of Exchange Rate Volatility***by*Kenneth D. West & Dongchul Cho**0151 Instrumental Variables Regression with Weak Instruments***by*Douglas Staiger & James H. Stock**0149 Making the Most Out Of Social Experiments: Reducing the Intrinsic Uncertainty in Evidence from Randomized Trials with an Application to the JTPA Exp***by*Nancy Clements & James Heckman & Jeffrey Smith**0129 Asypmtotic Filtering Theory for Univariate Arch Models***by*Daniel B. Nelson & Dean P. Foster**0098 Do Short-Term Managerial Objectives Lead to Under- or Over-Investment in Long-Term Projects***by*Lucian Arye Bebchuk & Lars A. Stole**0085 On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach***by*Benedikt M. Potscher & Ingmar R. Prucha**0084 The Ramsey Problem for Congestible Facilities***by*Richard Arnott & Marvin Kraus

### 1993

**0148 The Mixing Problem in Program Evaluation***by*Charles F. Manski**0147 Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates***by*Leslie E. Papke & Jeffrey M. Wooldridge**0146 A Two-Stage Estimator for Probit Models with Structural Group Effects***by*George J. Borjas & Glenn T. Sueyoshi**0145 Econometric Evaluation of Asset Pricing Models***by*Lars Peter Hansen & John Heaton & Erzo Luttmer**0143 Inventory Models***by*Kenneth D. West**0142 Why Long Horizons: A Study of Power Against Persistent Alternatives***by*John Y. Campbell**0141 Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes***by*Lars Peter Hansen & Jose Alexandre Scheinkman**0140 Estimating Conditional Expectations when Volatility Fluctuates***by*Robert F. Stambaugh**0139 Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model***by*Kenneth D. West & David W. Wilcox**0137 The Cure Can Be Worse than the Disease: A Cautionary Tale Regarding Instrumental Variables***by*John Bound & David A. Jaeger & Regina Baker**0136 Identification of Causal Effects Using Instrumental Variables***by*J.D. Angrist & Guido W. Imbens & D.B. Rubin**0135 On Inflation and Output with Costly Price Changes: A Simple Unifying Result***by*Roland Benabou & Jerzy Konieczny**0134 Bayesian Inference and Portfolio Efficiency***by*Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh**0133 Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates***by*David K. Backus & Stanley E. Zin**0131 Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures***by*Robert J. Shiller

### 1992

**0132 Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model***by*Daniel B. Nelson & Dean P. Foster**0130 Efficient Tests for an Autoregressive Unit Root***by*Graham Elliott & Thomas J. Rothenberg & James H. Stock**0128 A Utility Based Comparison of Some Models of Exchange Rate Volatility***by*Kenneth D. West & Hali J. Edison & Dongchul Cho**0126 Seasonal Unit Roots in Aggregate U.S. Data***by*J. Joseph Beaulieu & Jeffrey A. Miron**0125 The "Window Problem" in Studies of Children's Attainments: A Methodological Exploration***by*Barbara Wolfe & Robert Haveman & Donna Genther & Chong-Bum An**0124 Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns***by*Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark**0122 Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown***by*Graham Elliott & James H. Stock**0121 Deciding Between I(1) and I(0)***by*James H. Stock**0119 Computing Markov Perfect Nash Equilibria: Numerical Implications of a Dynamic Differentiated Product Model***by*Ariel Pakes & Paul McGuire**0090 Spectral Based Testing of the Martingale Hypothesis***by*Steven N. Durlauf**0081 The Influence Of Probability on Risky Choice: A parametric Examination***by*Pamela K. Lattimore & Joanna R. Baker & A. Dryden Witte

### 1991

**0117 Sources of Identifying Information in Evaluation Models***by*Joshua D. Angrist & Guido W. Imbens**0116 A Note on the Time-Elimination Method For Solving Recursive Dynamic Economic Models***by*Casey B. Mulligan & Xavier Sala-i-Martin**0115 Instrumental Variables Estimation of Average Treatment Effects in Econometrics and Epidemiology***by*Joshua D. Angrist**0114 Eastern Data and Western Attitudes***by*Edward E. Leamer**0113 Workings of a City: Location, Education, and Production***by*Roland Benabou**0112 Rational Frenzies and Crashes***by*Jeremy Bulow & Paul Klemperer**0111 Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation***by*Ray C. Fair**0110 The Optimality of Nominal Contracts***by*Scott Freeman & Guido Tabellini**0109 The Independence Axiom and Asset Returns***by*Larry G. Epstein & Stanley E. Zin**0108 Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement***by*Robert J. Hodrick**0107 Randomization and Social Policy Evaluation***by*James J. Heckman**0106 The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds***by*Danny Quah**0105 Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series***by*James H. Stock**0104 Financial Intermediation and Monetary Policies in the World Economy***by*Vittorio Grilli & Nouriel Roubini**0103 A Theory of Workouts and the Effects of Reorganization Law***by*Robert Gertner & David Scharfstein**0102 Measures of Fit for Calibrated Models***by*Mark W. Watson**0101 On the Optimality of Reserve Requirements***by*Richard D. Cothren & Roger N. Waud**0100 Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots***by*John Y. Campbell & Pierre Perron**0099 Standard Risk Aversion***by*Miles S. Kimball**0097 Bargaining and the Division of Value in Corporate Reorganization***by*Lucian Arye Bebchuk & Howard F. Chang**0096 The Effects of Insider Trading on Insiders' Choice Among Risky Investment Projects***by*Lucian Arye Bebchuk & Chaim Fershtman**0095 The Effect of Insider Trading on Insiders' Reaction to Opportunities to "Waste" Corporate Value***by*Lucian Arye Bebchuk & Chaim Fershtman**0094 Heteroscedasticity Diagnostics Based on "Corrected" Standard Errors***by*Edward E. Leamer**0088 Does Correcting for Heteroskedasticity Help?***by*Frederic S. Mishkin**0078 Full Information Estimation and Stochastic Simulation of Models with Rational Expectations***by*Ray C. Fair & John B. Taylor**0075 The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds***by*Alex Kane

### 1990

**0093 Sorting Out the Differences Between Signaling and Screening Models***by*Joseph Stiglitz & Andrew Weiss**0092 Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions***by*Robert E. Cumby & John Huizinga**0091 Testing For Common Features***by*Robert F. Engle & Sharon Kozicki**0089 Implications of Security Market Data for Models of Dynamic Economies***by*Lars Peter Hansen & Ravi Jagannathan**0087 Simulated Moments Estimation of Markov Models of Asset Prices***by*Darrell Duffie & Kenneth J. Singleton**0062 Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data***by*Kenneth A. Froot

### 1989

**0083 A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems***by*James H. Stock & Mark W. Watson**0082 The Positive Economics of Methodology***by*James A. Kahn & Steve Landsburg & Alan C. Stockman**0080 A Simple, Consistent Estimator for Disturbance Components in Financial Models***by*James A. Levinsohn & Jeffrey K. MacKie-Mason**0079 Estimation of Polynomial Distributed Lags and Leads with End Point Constraints***by*Donald W.K. Andrews & Ray C. Fair**0077 Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian***by*Bernard Dumas**0076 Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock***by*Jack Meyer & Robert H. Rasche**0074 Endogenous Output in an Aggregate Model of the Labor Market***by*R)chard E. Quandt & Harvey S. Rosen**0050 Estimation and Hypothesis Testing with Restricted Spectral Density Matrices: An Application to Uncovered Interest Parity***by*Danny Quah & Takatoshi Ito**0048 Implementing Causality Tests with Panel Data, with an Example from LocalPublic Finance***by*Douglas Holtz-Eakin & Whitney K. Newey & Harvey S. Rosen**0040 Flexible Functional Forms and Global Curvature Conditions***by*W. Erwin Diewert & T.J. Wales

### 1988

**0073 Tests For Unit Roots: A Monte Carlo Investigation***by*G. William Schwert**0072 The R&D Master File Documentation***by*Bronwyn H. Hall & Clint Cumminq & Elizabeth S. Laderman & Joy Mundy**0071 Smart Money, Noise Trading and Stock Price Behavior***by*John Y. Campbell & Albert S. Kyle**0070 The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis***by*Charles R. Nelson & Chang-Jin Kim**0069 The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One***by*Charles R. Nelson & Richard Startz**0068 Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator***by*Charles R. Nelson & Richard Startz**0067 The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study***by*John Y. Campbell & Robert J. Shiller**0066 The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation***by*Andrew W. Lo & A. Craig MacKinlay**0065 Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills***by*Robert F. Engle & Victor Ng & Michael Rothschild**0064 Exchange-Rate Dynamics and Optimal Asset Accumulation Revisited***by*Maurice Obstfeld

### 1987

**0063 Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root***by*Charles R. Nelson**0035 Misperceptions, Moral Hazard, and Incentives in Groups***by*Martin Gaynor

### 1986

**0061 Granger-Causality and Policy Ineffectiveness: A Rejoinder***by*Willem H. Buiter**0060 Temporal Aggregation and Structural Inference in Macroeconomics***by*Lawrence J. Christiano & Martin S. Eichenbaum**0059 Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data***by*Andrew W. Lo**0058 Bias in Longitudinal Estimation of Wage Gaps***by*Gary Solon**0057 Testing for Individual Effects in Dynamic Models Using Panel Data***by*Douglas Holtz-Eakin**0056 Sequential Bargaining Under Asymmetric Information***by*Sanford J. Grossman & Motty Perry**0055 A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix***by*Whitney K. Newey & Kenneth D. West**0054 Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons***by*Kenneth D. West

### 1985

**0053 Microeconomic Approaches to the Theory of International Comparisons***by*W.E. Diewert**0052 A Fiscal Theory of Hyperdeflations? Some Surprising Monetarist Arithmetic***by*Willem H. Buiter**0051 Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models***by*N. Gregory Mankiw & Matthew D. Shapiro**0049 Alternative Nonnested Specification Tests of Time Series Investment Models***by*Ben S. Bernanke & Henning Bohn & Peter C. Reiss**0047 Technical Progress in U.S. Manufacturing Sectors, 1948-1973: An Application of Lie Groups***by*Ryuzo Sato & Thomas M. Mitchell**0046 Is There Chronic Excess Supply of Labor? Designing a Statistical Test***by*Richard E. Quandt & Harvey S. Rosen**0045 Testing the Random Walk Hypothesis: Power versus Frequency of Observation***by*Robert J. Shiller & Pierre Perron**0044 Asset Pricing Theories***by*Michael Rothschild**0043 Error Components in Grouped Data: Why It's Never Worth Weighting***by*William T. Dickens

### 1984

**0042 New Econometric Techniques for Marcoeconomic Policy Evaluation***by*John B. Taylor**0041 Rational Expectations Models with a Continuum of Convergent Solutions***by*Michael Mussa**0039 Data Problems in Econometrics***by*Zvi Griliches**0038 Correcting for Truncation Bias Caused by a Latent Truncation Variable***by*David E. Bloom & Mark R. Killingsworth**0037 Errors in Variables in Panel Data***by*Zvi Griliches & Jerry A. Hausman**0036 Conditional Projection by Means of Kalman Filtering***by*Richard H. Clarida & Diane Coyle**0034 Policy evaluation and design for continuous time linear rational expectations models: some recent development***by*Willem H. Buiter**0033 Consistent Estimation Using Data From More Than One Sample***by*William T. Dickens & Brian A. Ross**0032 Estimating Autocorrelations in Fixed-Effects Models***by*Gary Solon**0020 Saddlepoint Problems in Contifuous Time Rational Expectations Models: A General Method and Some Macroeconomic Ehamples***by*Willem H. Buiter**0017 Econometric Models for Count Data with an Application to the Patents-R&D Relationship***by*Jerry A. Hausman & Bronwyn H. Hall & Zvi Griliches

### 1983

**0031 Deep Structral Excavation? A Critique of Euler Equation Methods***by*Peter M. Garber & Robert G. King**0030 Pitfalls in the use of Time as an Explanatory Variable in Regression***by*Charles R. Nelson & Heejoon Kang**0029 Optimal and Time-Consistent Polices in Continuous Time Rational Expectations Models***by*Willem H. Buiter**0028 Methods of Solution and Simulation for Dynamic Rational Expectations Models***by*Olivier J. Blanchard**0027 The Effect of Ignoring Heteroscedasticity on Estimates of the Tobit Model***by*Charles Brown & Robert Moffitt**0021 Predetermined and Non-Predetermined Variables in Rational Expectations Models***by*Willem H. Buiter**0011 Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations***by*Maurice Obstfeld & Robert E. Cumby & John Huizinga**0003 Multiple Shooting in Rational Expectations Models***by*David Lipton & James M. Poterba & Jeffrey Sachs & Lawrence H. Summers

### 1982

**0026 Formulation and Estimation of Dynamic Factor Demand Equations Under Non-Static Expectations: A Finite Horizon Model***by*Ingmar R. Prucha & M. Ishaq Nadiri**0025 Smoothness Priors and Nonlinear Regression***by*Robert J. Shiller**0024 Identification in Dynamic Linear Models with Rational Expectations***by*Olivier J. Blanchard**0023 Stochastic Capital Theory I. Comparative Statics***by*William A. Brock & Michael Rothschild & Joseph E. Stiglitz**0022 Using Information on the Moments of Disturbances to Increase the Efficiency of Estimation***by*Thomas E. MaCurdy**0018 On the Estimation of Structural Hedonic Price Models***by*James N. Brown & Harvey S. Rosen

### 1981

**0019 Bliss Points in Mean-Variance Portfolio Models***by*David S. Jones & V. Vance Roley**0016 Welfare Analysis of Tax Reforms Using Household Data***by*Mervyn A. King**0015 Arbitrage and Mean-Variance Analysis on Large Asset Markets***by*Gary Chamberlain & Michael Rothschild**0014 Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics***by*Thomas E. MaCurdy**0013 Macroeconometric Modelling for Policy Evaluation and Design***by*Willem H. Buiter**0012 A Note on the Solution of A Two-Point Boundary Value Problem Frequently Encountered in Rational Expectations Models***by*Willem H. Buiter**0010 Granger-Causality and Stabilization Policy***by*Willem H. Buiter**0009 The Superiority of Contingent Rules over Fixed Rules in Models with Rational Expectations***by*Willem H. Buiter**0002 Issues in Controllability and the Theory of Economic Policy***by*Willem H. Buiter & Mark Gersovitz

### 1980

**0008 Multivariate Refression Models for Paned Data***by*Gary Chamberlain**0007 A Disaggregated Structural Model of the Treasury Securities, Corporate Bond, and Equity Markets: Estimation and Simulation Results***by*V. Vance Roley**0006 The Role of Economic Policy After the New Classical Macroeconomics***by*Willem H. Buiter**0005 Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models***by*Ray C. Fair & John B. Taylor**0004 The Estimation of Distributed Lags in Short Panels***by*Zvi Griliches & Ariel Pakes

### 1979

**0001 A Stochastic Approach to Disequilibrium Macroeconomics***by*Seppo Honkapohja & Takatoshi Ito