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Journal Article
Why economic data should be handled with care : the case of the suspiciously slow growth statistic

An abstract for this article is not available.
Economic Review , Volume 69 , Issue Jul , Pages 12-13

Journal Article
Tracking the economy with the purchasing managers' index

The purchasing managers' index is a widely watched but virtually untested indicator of manufacturing activity. This article examines how well the index lives up to its billing as a leading indicator. The author also explores whether the index supplies information about the economy beyond that already provided by other indicators.
Quarterly Review , Volume 16 , Issue Aut

Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the implied correlations from two currency trios with markedly different characteristics over two forecast horizons (one month and three months) against a set of alternative correlation forecasts based on time-series data. ; For the correlations in the USD/DEM/ JPY currency trio, we find that the ...
Research Paper , Paper 9730

Using cluster analysis as a tool for economic and financial analysis

Research Paper , Paper 9132

Identification of a linear system from inexact data: a three variable example

Research Paper , Paper 8703

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
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
Seeing isn't always believing

Cross Sections , Volume 10 , Issue Win , Pages 16-19

Working Paper
Small sample properties of generalized method of moments based Wald tests

Working Paper Series, Macroeconomic Issues , Paper 94-12

Working Paper
Small sample bias in GMM estimation of covariance structures

Working Paper Series, Macroeconomic Issues , Paper 94-8



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