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Working Paper
Cleaning up the errors in the monthly \"Employment situation\" report: a multivariate state-space approach
This paper examines the underlying state of the labor market, assuming data in the monthly "Employment Situation" are contaminated by measurement error and other transient noise. To better filter out unobserved noise, the methodology exploits correlations among labor-market series. Household employment and labor force have cross-correlated sampling errors; establishment employment and hours-worked may, also. The Kalman filtering procedure also exploits fundamental economic relationships among these series. Error cross-correlations and economic relationships shape a multivariate labor-market ...
Working Paper
Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics
"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in which the analytical unknowns are reformulated as parameters to be estimated." (Hendry (1980) With that in mind, Monte Carlo studies may be divided operationally into three phases: design, simulation, and post-simulation analysis. This paper provides a guide to the last of those three, post-simulation analysis, given the design and simulation of a Monte Carlo study, and uses Pesaran's (1974) study of statistics for testing non-nested hypotheses to illustrate the techniques ...
Journal Article
Price hedonics: a critical review
This paper was presented at the conference "Economic Statistics: New Needs for the Twenty-First Century," cosponsored by the Federal Reserve Bank of New York, the Conference on Research in Income and Wealth, and the National Association for Business Economics, July 11, 2002. The main objective of this paper is to make a start in the evaluation of price hedonics. The author describes the hedonic model and reviews its main uses, because the credibility of price hedonics depends in part on the current state of academic research. This is a brief overview. The author then turns to some of the ...
Journal Article
New measures of commercial bank credit and bank nondeposit funds
Journal Article
Opportunity Zones: Understanding the Background and Potential Impact in Northeastern Illinois
This article offers a primer on: Opportunity Zones, highlighting the designation process for census tracts in northeastern Illinois; Qualified Opportunity Funds (QOF) ? the vehicle that will facilitate investment in designated areas; and finally, how QOFs will help facilitate the goals of the Chicago Metropolitan Agency for Planning?s ON TO 2050 Plan.
Working Paper
Lessons from the latest data on U.S. productivity
Productivity growth is carefully scrutinized by macroeconomists because it plays key roles in understanding private savings behaviour, the sources of macroeconomic shocks, the evolution of international competitiveness and the solvency of public pension systems, among other things. However, estimates of recent and expected productivity growth rates suffer from two potential problems: (i) recent estimates of growth trends are imprecise, and (ii) recently published data often undergo important revisions. This paper documents the statistical (un)reliability of several measures of aggregate ...
Working Paper
A reconsideration of the properties of the generalized method moments in asset pricing models
This paper tests the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) on simulated data from a consumption based asset pricing model. In finite samples the estimates of the coefficient of relative risk aversion and the discount parameter are strongly biased due to the unusual shape of the GMM criterion function for the model and the GMM test statistics perform poorly. In fact, the finite sample properties of the test statistics suggest the rejection results achieved by applying GMM to representative agent asset pricing models with real data (Hansen and Singleton ...