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Keywords:Statistics 

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

Journal Article
Recent revisions to corporate profits: what we know and when we knew it

Initial estimates in the National Income and Product Accounts significantly overstated U.S. corporate profits for the 1998-2000 period. Subsequent revisions reveal that the profitability of the nation's corporate sector in the late 1990s was substantially weaker than "real-time" data indicated. An unexpected surge in employee stock options exercised-and perhaps, in some sectors, firms' inflated statements of profit-may help explain the large downward revisions.
Current Issues in Economics and Finance , Volume 10 , Issue Mar

Working Paper
Small sample bias in GMM estimation of covariance structures

Working Paper Series, Macroeconomic Issues , Paper 94-8

Working Paper
Small sample properties of GMM for business cycle analysis

Working Paper Series, Macroeconomic Issues , Paper 95-3

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 Papers , Paper 11-1

Journal Article
Statistical malpractice

FRBSF Economic Letter

Speech
Comments on current conundra

Remarks to the 2007 Annual Conference of the Investment Adviser Association, Austin, Texas, April 26, 2007 ; "Many options would improve the fiscal fitness of our entitlement system and reduce the need for drastic action elsewhere in the federal budget. But let's be honest. These remedies work only because some people would get less than they are currently slated to receive. Painful as that may be, the question is whether other options would be even more difficult."
Speeches and Essays , Paper 47

Journal Article
Just the facts, ma’am

Crime patterns in the district vary widely, but explaining differences and trends is difficult.
Fedgazette , Volume 21 , Issue Mar , Pages 6-8

Working Paper
Spline methods for extracting interest rate curves from coupon bond prices

Cubic splines have long been used to extract the discount, yield, and forward rate curves from coupon bond data. McCulloch used regression splines to estimate the discount function, and, more recently, Fisher, Nychka, and Zervos used smoothed splines, with the roughness penalty selected by generalized cross-validation, to estimate the forward rate curve. I propose using a smoothed spline but with a roughness penalty that can vary across maturities, to estimate the forward rate curve. This method is tested against the methods of McCulloch and Fisher, Nychka, and Zervos using monthly bond data ...
FRB Atlanta Working Paper , Paper 97-10

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

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