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Working Paper
An application of operational-subjective statistical methods to rational expectations: comment
Diebold, Francis X. (1988)
Finance and Economics Discussion Series , Paper 6

Working Paper
A reconsideration of the properties of the generalized method moments in asset pricing models
Neely, Christopher J. (1994)
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

Report
Using cluster analysis as a tool for economic and financial analysis
Stuhr, David P.; Korobow, Leon (1991)
Research Paper , Paper 9132

Working Paper
Small sample properties of generalized method of moments based Wald tests
Eichenbaum, Martin S.; Burnside, Craig (1994)
Working Paper Series, Macroeconomic Issues , Paper 94-12

Report
Is implied correlation worth calculating? Evidence from foreign exchange options and historical data
Lopez, Jose A.; Walter, Christian (1997)
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

Journal Article
Book review : Baseball science
Steelman, Aaron (2004-07)
Econ Focus , Volume 8 , Issue Sum , Pages 32-34

Journal Article
North Texas income dip may reflect decline in education
Orrenius, Pia M.; Berman, Anna L. (2006-09)
Southwest Economy , Issue Sep , Pages 10

Speech
Confessions of a data dependent
Fisher, Richard W. (2006)
Remarks before the New York Association for Business Economics, New York, November 2, 2006 ; "Globalization brings new influences into the Fed's navigation calculations to determine the best flight path for the U.S. economy. To determine that course...we must develop a better understanding of the new forces exerting themselves on the aircraft we have been charged with flying. That aircraft no longer flies solely in domestic space, affected soley by domestic factors. Rather, it flies all over the world, requiring more sophisticated navigation instruments to monitor changing global and ...
Speeches and Essays , Paper 59

Working Paper
Lessons from the latest data on U.S. productivity
van Norden, Simon; Jacobs, Jan P. A. M. (2010)
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

Speech
Brief remarks: a speech at the Bureau of Labor Statistics 125th Anniversary Celebration, Washington, D.C., June 26, 2009
Bernanke, Ben S. (2009)
Speech , Paper 469

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