We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

This paper assesses the small sample properties of Generalized Method of Moments (GMM) based Wald statistics. The analysis is conducted assuming that the data generating process corresponds to (i) a simple vector white noise process and (ii) an equilibrium business cycle model. Our key findings...

We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are compared to the performance of the Dickey-Fuller t and the Box-Pierce Q statistics. Under the null...

Most markets clear through a sequence of sales rather than through a Walrasian auctioneer. Because buyers can decide between buying now or later, rather than only now or never, buyers' current 'willingness to pay' is much more sensitive to price than is the demand curve. A consequence is that...

Standard sufficient conditions for identification in the regression discontinuity design are continuity of the conditional expectation of counterfactual outcomes in the running variable. These continuity assumptions may not be plausible if agents are able to manipulate the running variable. This...

Econometric analyses of treatment response commonly use instrumental variable (IV) assumptions to identify treatment effects. Yet the credibility of IV assumptions is often a matter of considerable disagreement, with much debate about whether some covariate is or is not a "valid instrument" in...

Investigators of social differentials in health outcomes commonly augment incomplete micro data by appending socioeconomic characteristics of residential areas (such as median income in a zip code) to proxy for individual characteristics. However, little empirical attention has been paid to how...

Many economic models imply that ratios, simple differences, or `spreads' of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's and -1's, and contain no unknown parameters. In this paper we develop tests for cointegration that can be applied when some of the...

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...