In this paper, the authors analyze statistical properties of the monetary base, M1, and M2 for the postwar U.S. data record. The authors are specifically interested in answering three policy-related questions. First, to what extent do these monetary aggregates contain information useful for...

The debate over whether the expected present value of dividends adequately describes stock prices hinges in part on whether dividends are trend-stationary or integrated processes: it does not if dividends are trend-stationary; it does if they are integrated. This paper argues that classical...

This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by Markov chain Monte Carlo methods, and coincident and leading indicators are computed by using...

Is the risk-aversion parameter in the intertemporal consumption capital asset pricing model "small" as stated by Hansen and Singleton or is its reciprocal--the intertemporal elasticity of substitution--small, as stated by Hall? We attribute the disparate estimates of this fundamental parameter...

In DeJong and Whiteman (1991a), the authors concluded that 11 of the 14 macroeconomic time-series originally studied by Nelson and Plosser (1982) supported trend-stationarity. Phillips (1991) criticizes this inference, claiming that their procedure is biased against integration, and that their...

The authors analyze posterior distributions of the moving average parameter in the first-order case and sampling distributions of the corresponding maximum likelihood estimator. Sampling distributions 'pile up' at unity when the true parameter is near unity; hence, if one were to difference such...