Sets in Regressions with Highly Serially Correlated Regressors(with James
H. Stock), Revised December 1996. Download Paper.
Bayes Regression With Many Regressors
(with Thomas Knox and James H. Stock), Revised January 2004. Download
Appendix (Theorem Proofs and Data Description) (.pdf).
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
- Implications of Dynamic Factor Models for VAR
Analysis (with James H. Stock), Revised June 2005, Download Paper
Data and Replication Files (.zip).
Changes in the Value of the Numeraire (with
Ricardo Reis), May 2007. Download
- Long-Run Covariability (with Ulrich Müller), January 2017.
Download Paper (.pdf).
Long-Run Covariability Programs and Files (Download this and open ReadMe.txt
Additional Files for (q,q1,q2) = (12,1,6) and (12,7,12) (Do Not Download Unless Necessary -- see ReadMe.txt)
Additional Files for (q,q1,q2) = (18,1,6),(18,1,12), and (18,1,18) (Do Not Download Unless Necessary -- see ReadMe.txt)
Replication files for empirical analysis in paper (Note: 1GB file)
- Identification and Estimation of Dynamic Causal Effects in Macroeconomics (with James Stock), June 2017.