We propose new data-driven smooth tests for a parametric regression function. The smoothing parameter is selected through a new criterion that favors a large smoothing parameter under the null hypothesis. The resulting test is adaptive rate-optimal and consistent against Pitman local...

This paper examines the problem of appropriately specifying and estimating the money demand function in the presence of adaptive expectations and partial adjustment mechanisms. The paper demonstrates the difficulty of interpreting distributed lag reduced form representations of the monetary...

This paper examines a broad set of alternative temporal cross- section specifications of the demand for money as a means of estimating the degree of substitution between demand deposits and other liquid assets. Despite differences in data bases, model specifications and estimation techniques,...

This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band- pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when...

In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very much in the fields of Economics, Econometrics, and...

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...

The essential idea of equilibrium search models of labour market behaviour is that wage policy matters. In contrast, the stylized neoclassical competitive model predicts that firms paying a wage above the competitive equilibrium will disappear; those offering less will attract no workers. The...

We have collected data on the one-year-ahead income expectations of members of American households in our Survey of Economic Expectations (SEE), a module of a national continuous telephone survey conducted at the University of Wisconsin. The income- expectations questions take this form: "What...

The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long- run restrictions implies, in general, a moving-average (MA) component in the...