Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

We analyze the prices of owner-occupied housing in 97 metropolitan areas between 1980 and 2011. Our tests indicate that price changes exhibit positive serial correlation at the one year intervals, with subsequent reversals of price changes over longer intervals. Consistent with our simple model,...

An exciting development in empirical macroeconometrics is the increasing use of external sources of as-if randomness to identify the dynamic causal effects of macroeconomic shocks. This approach – the use of external instruments – is the time series counterpart of the highly successful...

This paper discusses the estimation of serial correlation in fixed effects models for longitudinal data. Like time series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly used for time series, which are consistent as the length of...

So-called "spurious regression" relationships between random-walk (or strongly autoregressive) variables are generally accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an investigation with such a result, but would likely...

We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

Food Stamps represent nearly $11 billion of personal income in the United States. The coupons that are issued to represent the purchasing power available to recipients are also reserves for the commercial banking system.This study asks how closely these coupons are substitutable for what is...

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests and confidence intervals derived from tests than on estimators. The paper also presents new testing results under "many weak IV asymptotics," which are...

The SVAR and narrative approaches to estimating tax multipliers deliver significantly different results. The former yields multipliers of about 1 percent, whereas the latter produces much larger multipliers of about 3 percent. The SVAR and narrative approaches differ along two important...