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 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...

The authors develop a Bayesian approach to calibration which enables the incorporation of uncertainty regarding the parameters of the theoretical model under investigation. Their procedure involves the specification of prior distributions over parameter values, which in turn induce distributions...

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 paper describes a relative entropy procedure for imposing restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a set of...

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...