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Keywords:Statistics 

Working Paper
Some Monte Carlo results on nonparametric changepoint tests

An examination of the small-sample properties of nonparametric changepoint tests using Monte Carlo analysis to investigate the probabilities of false-positive tests under alternative assumptions about the time-series properties of the underlying process. ; An analysis of whether depositor preference legislation reduced the FDIC's failed-bank resolution costs in 1984-92, and whether nondepositors' responses may have partially undone the intended benefits of such legislation.
Working Papers (Old Series) , Paper 9517

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 ...
International Finance Discussion Papers , Paper 276

Working Paper
Distributions of error correction tests for cointegration

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available ...
International Finance Discussion Papers , Paper 655

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 ...
Working Papers , Paper 1994-010

Journal Article
The impact of reduced inflation estimates on real output and productivity growth

Despite posting their strongest sustained performance in many years, recent measures of output and productivity growth have still fallen short of their 1960-73 averages. Could data-measurement problems affecting the pricing of some services account for the inability of these widely tracked U.S. growth indexes to match their earlier rates?
Current Issues in Economics and Finance , Volume 5 , Issue Jun

Journal Article
A revised picture: has our view of the economy changed?

A discussion of the major statistical changes in the December 1985 benchmark revisions of the National Income and Product Accounts statistics and of their impact on business cycle timing and magnitudes.
Economic Commentary , Issue Apr

Journal Article
Economic statistics: new needs for the twenty-first century - opening remarks

The purpose of this conference was to deepen our understanding of some of the key conceptual issues current facing those charged with measuring the performance of the U.S. economy and other economies around the globe. The speakers discussed recent efforts to improve economic and financial data and explore strategies for meeting the challenges that lay ahead. The conference focused on four key areas: 1) the measurement of intangible capital, 2) the measurement of service sector output, prices and productivity, 3) the measurement of international capital positions and flows, and 4) the use of ...
Economic Policy Review , Issue Sep , Pages 3-4

Speech
The challenges ahead

Remarks at the Center for the New Economy 2010 Economic Conference, San Juan, Puerto Rico.
Speech , Paper 15

Report
Purchasing power parity: three stakes through the heart of the unit root null

A recent influential paper (O'Connell 1998) argues that panel data evidence in favor of purchasing power parity disappears once test procedures are altered to accommodate heterogeneous cross-sectional dependence among real exchange rate innovations. We present evidence to the contrary. First, we modify two extant panel unit root panel unit root tests to eliminate the upward size distortion induced by contemporaneous cross-sectional dependence. Second, we exploit a recently-introduced test, based on SUR techniques, that also remains valid in the presence of cross-sectional dependence. Using ...
Staff Reports , Paper 80

Working Paper
The disappearing January blip and other state employment mysteries

Working Papers , Paper 9403

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