Refining the Central Limit Theorem Approximation via Extreme Value Theory, Statistics & Probability Letters 155 (2019), 1 – 7. Spatial Unit Roots. (Joint with MARK
WATSON.) Slides.
This paper proposes a model for, and investigates the consequences of, strong spatial dependence in economic variables. Our approach and findings echo those of the corresponding "unit root" time series literature: We suggest a model for spatial I(1) processes, and establish a Functional Central Limit Theorem that justifies a large sample Gaussian process approximation for such processes. We further generalize the I(1) model to a spatial "local-to-unity" model that exhibits weak mean reversion. We characterize the large sample behavior of regression inference with independent spatial I(1) variables, and establish that spurious regression is as much a problem with spatial I(1) data as it is with time series I(1) data. We also develop asymptotically valid spatial unit root and stationarity tests, as well inference for the local-to-unity parameter. And finally, we consider strategies for valid inference in regressions with persistent (I(1) or local-to-unity) spatial data, such as spatial analogues of first-differencing transformations.
Low-Frequency Analysis of Economic Time Series. (Joint with MARK
WATSON.) Draft chapter for Handbook of Econometrics, Volume 7, edited by S. Durlauf, L.P. Hansen, J.J. Heckman, and R. Matzkin. Forecasts in a Slightly Misspecified Finite Order VAR. (Joint with JAMES STOCK.) Slides.
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/sqrt(T). This local embedding makes the problem asymptotically a normal-normal Bayes problem, resulting in closed-form solutions for the best forecast. When applied to data on 132 U.S. monthly macroeconomic time series, the method is found to improve upon autoregressive forecasts by an amount consistent with the theoretical and Monte Carlo calculations.
Forthcoming and Published Papers A More Robust t-Test. Accepted for publication in the Review of Economis and Statistics. (Previously presented under the title "Inference for the Mean".) Replication files. Link to Stata implementation. Slides. Comprehensive Evidence Implies a Higher Social Cost of CO2, Nature 610 (2022), 687 – 692. (Joint with K. RENNERT, F. ERRICKSON, B. C. PREST, L. RENNELS, R. G. NEWELL, W. PIZER, C. KINGDON, J. WINGENROTH, R. COOKE, B. PARTHUM, D. SMITH, K. CROMAR, D. DIAZ, F. C. MOORE, R. J. PLEVIN, A. E. RAFTERY, H. ŠEVČÍKOVÁ, H. SHEETS, J. H. STOCK, T. TAN, M. WATSON, T. E. WONG and D. ANTHOFF.) Spatial Correlation Robust Inference in Linear Regression and Panel Models. Accepted for publication in the Journal of Business and Economic Statistics. (Joint with MARK
WATSON.) Link to Stata implementation.
Spatial Correlation Robust Inference, Econometrica 90 (2022), 2901 – 2935. Link to Stata implementation. Link to Matlab implementation. Slides. (Joint with MARK
WATSON.) An Econometric Model of International Growth Dynamics for Long-horizon Forecasting, Review of Economics and Statistics 104 (2022), 857 – 876. (Joint with JAMES STOCK and MARK
WATSON.) Appendix and Replication files. Slides. Generalized Local-To-Unity Models, Econometrica 89 (2021), 1825 – 1854. (Joint with LIYU DOU.) Replication files. Slides. Linear Regression with Many Controls of Limited Explanatory Power, Quantitative Economics 12 (2021), 405 – 442. (Joint with CHENCHUAN
LI.) Refining the Central Limit Theorem Approximation via Extreme Value Theory, Statistics & Probability Letters 155 (2019), 1 – 7.
Nearly Weighted Risk Minimal Unbiased Estimation, Journal of Econometrics, 209 (2019), 18 – 34. (Joint with YULONG
WANG.) Replication files. Slides.
Long-Run Covariability, Econometrica 86 (2018), 775 – 804. Mark Watson’s Fisher-Schultz lecture 2016. (Joint with MARK
WATSON.) Appendix and Replication files. Slides.
Low-Frequency Econometrics. In Advances in Economics and Econometrics: Eleventh World Congress of the Econometric Society, Volume II, ed. by B. Honoré, and L. Samuelson, Cambridge University Press (2017), 53 – 94.
(Joint with MARK WATSON.) Replication files. Slides.
Fixed-k Asymptotic Inference about Tail Properties, Journal of the American Statistical Association, 112 (2017), 1334 – 1343. (Joint with YULONG
WANG.) Replication files. Slides.
Credibility of Confidence Sets in Nonstandard Econometric Problems, Econometrica 84 (2016), 2183 – 2213.
(Joint with ANDRIY NORETS.) Supplementary Appendix. Slides.
Measuring Uncertainty about Long-Run Predictions, Review of Economic Studies 83 (2016), 1711 – 1740.
(Joint with MARK
WATSON.) Supplementary Appendix. Replication files. Slides.
Coverage Inducing Priors in Nonstandard Inference Problems, Journal of the American Statistical Association 111 (2016), 1233 – 1241. (Joint with ANDRIY NORETS.) Supplementary Appendix.
Inference with Few Heterogenous Clusters, Review of Economics and Statistics 98 (2016), 83 – 96.
(Joint with RUSTAM IBRAGIMOV.) Supplementary Appendix. Replication files. Slides.
Nearly Optimal Tests when a Nuisance Parameter is Present Under the Null Hypothesis, Econometrica 83 (2015), 771 – 811. (Joint with GRAHAM ELLIOTT and MARK
WATSON.) Supplementary Appendix. Replication files. Slides.
HAC Corrections for Strongly Autocorrelated Time Series, Journal of Business & Economic Statistics 32 (2014), 311 – 322.
Comments and Rejoinder. Slides.
Pre and Post Break Parameter Inference, Journal of Econometrics 180 (2014), 141 – 157. (Joint
with GRAHAM ELLIOTT.) 2012 working paper version. Slides.
Risk of Bayesian Inference in
Misspecified Models, and the Sandwich Covariance Matrix, Econometrica 81 (2013), 1805 – 1849. Slides.
Low-Frequency Robust Cointegration Testing, Journal of Econometrics 174 (2013), 66 – 81. (Joint
with MARK WATSON.) Slides.
Measuring Prior Sensitivity and Prior Informativeness in Large Bayesian Models,
Journal of Monetary Economics 59 (2012), 581 – 597. Slides.
Efficient Tests under a Weak Convergence
Assumption, Econometrica 79 (2011), 395 – 435. (Formerly circulated under the title "An
Alternative Sense of Asymptotic Efficiency".) Slides.
Efficient
Estimation of the Parameter Path in Unstable Time Series Models, Review
of
Economic Studies 77 (2010), 1508 – 1539. (Joint with PHILIPPE-EMMANUEL
PETALAS.) Supplement. Correction. Slides.
t-statistic
Based Correlation and
Heterogeneity Robust Inference, Journal of Business &
Economic Statistics 28 (2010), 453 – 468. (Joint with RUSTAM IBRAGIMOV.) Supplement. Slides.
Valid Inference in Partially Unstable
GMM
Models, Review
of
Economic Studies 76 (2009), 343 – 365. (Joint
with HONG LI.) Slides.
Testing Models of Low-Frequency
Variability, Econometrica
76 (2008), 979 – 1016. (Joint with MARK
WATSON.) Slides.
The Impossibility of Consistent
Discrimination between I(0) and I(1) Processes, Econometric Theory
24 (2008), 616 – 630. Slides.
A Theory of
Robust Long-Run Variance Estimation, Journal of
Econometrics 141 (2007), 1331 – 1352. (Substantially
different 2004 working paper).
Confidence Sets for the Date
of a Single
Break in Linear Time Series Regressions, Journal of
Econometrics 141 (2007), 1196 – 1218.
(Joint with GRAHAM
ELLIOTT.)
Minimizing the Impact of the
Initial Condition on Testing for Unit Roots, Journal of
Econometrics 135 (2006), 285 – 310. (Joint with
GRAHAM ELLIOTT.) Efficient Tests for General
Persistent Time Variation in
Regression
Coefficients, Review
of
Economic Studies 73 (2006), 907 – 940. Formerly
circulated under the title “Optimally Testing General
Breaking
Processes in Linear Time Series Models”. (Joint
with GRAHAM
ELLIOTT.)
Are
Forecasters Reluctant to Revise their Predictions? Some German
Evidence, Journal of
Forecasting 25 (2006), 401 – 413. (Joint with
GEBHARD KIRCHGÄSSNER.)
Size and Power of Tests for
Stationarity in Highly
Autocorrelated Time
Series, Journal
of
Econometrics 128 (2005), 195 – 213.
Tests for Unit Roots and the
Initial Condition, Econometrica
71
(2003), 1269 – 1286. (Joint with GRAHAM
ELLIOTT.)
Ecological Tax Reform and
Involuntary Unemployment: Simulation Results for Switzerland,
Schweizerische
Zeitschrift für Volkswirtschaft und Statistik 134
(1998), 329 – 359. (Joint with GEBHARD
KIRCHGÄSSNER and MARCEL
SAVIOZ.)
Comment on “HAR Inference: Recommendations for Practice” by E. Lazarus, D. J. Lewis and J. H. Stock, Journal of Business & Economic Statistics 36 (2018), 563 – 564.
Comment on “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend
and Initial Condition” by D. I. Harvey, S. J. Leybourne and A. M. R.
Taylor, Econometric
Theory 25 (2009), 643 –
648.