“Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle” with Ming Lo [pdf]
“Time Variation of CAPM Betas across Market Volatility Regimes for Book-to-Market and Momentum Portfolios” with Azamat Abdymomunov [pdf]
“Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?” with Jeremy Piger and Pao-Lin Tien [pdf]
“Inventory Mistakes and the Great Moderation” with Aarti Singh [pdf] [slides]
“The Asymmetric Business Cycle” with Jeremy Piger [pdf] [data.xls] [note] [code]
“Bootstrap Tests of Stationarity” with Tara Sinclair [pdf]
“Likelihood-Based Confidence Sets for the Timing of Structural Breaks” with Yunjong Eo [pdf]
“The Two Interpretations of the Beveridge-Nelson Decomposition” [pdf]
“The Changing Transmission Mechanism of U.S. Monetary Policy” with Norhana Endut and Pao-Lin Tien [pdf]
“The Adjustment of Prices and the Adjustment of the Exchange Rate” with Charles Engel [NBER Working Paper #8550] [pdf]
Work in Progress
“Fiducial Distribution Confidence Intervals for Threshold Models with an Application to Credit Crises” with Luiggi Donayre and Yunjong Eo
“Inflation in the G7: Mind the Gap?” with Jeremy Piger and Robert Rasche
“Cointegration Analysis with Unobserved Components Models” with Tara Sinclair
“Macroeconomic Fundamentals and Stock Return Predictability” with Ryan Compton
“Maximum Likelihood Estimation of Nonlinear, Non-Gaussian State-Space Models Using a Multistage Adaptive Particle Filter” with Thomas King
Miscellanea
“A New Fed-Treasury Accord” [pdf]
“Practical Computation of the Model-Free Business Cycle” with Jeremy Piger [pdf] [data.xls]
“A Note on Constraining AR(2) Parameters in Estimation” [pdf]
Working Papers