Working Papers

Older Papers:

  1. Confidence Sets in Regressions with Highly Serially Correlated Regressors(with James H. Stock), Revised December 1996. Download Paper.
  2. Empirical Bayes Regression With Many Regressors (with Thomas Knox and James H. Stock), Revised January 2004. Download Paper(pdf),Download Appendix (Theorem Proofs and Data Description) (.pdf).
  3. Optimal Tests for Reduced Rank Time Variation in Regression Coefficients and Level Variation in the Multivariate Local Level Model (with Piotr Eliasz and James H. Stock), Revised October 2004. Download Paper .
  4. Implications of Dynamic Factor Models for VAR Analysis (with James H. Stock), Revised June 2005, Download Paper (.pdf). Download Data and Replication Files (.zip).
  5. Measuring Changes in the Value of the Numeraire (with Ricardo Reis), May 2007. Download Paper (.pdf).


Newer Papers:

  1. Long-Run Covariability (with Ulrich Müller), January, 2017.