While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

We propose serial correlation robust asymptotic confidence bands for the receiver operating characteristic (ROC) curves estimated by quasi-maximum likelihood in the binormal model. Our simulation experiments confirm that this new method performs fairly well in finite samples. The conventional...

We propose a generalized ordered response model that nests the popular Carlson-Parkin (CP) method to quantify household in flation expectations while explicitly control for cross-sectional heterogeneity in the threshold parameters and the variance. By matching qualitative and quantitative data...

Transportation plays a central role in facilitating economic activities across sectors and between regions, and is thus essential to business cycle research. Using four coincident indicators representing different aspects of the transportation sector that include an index of transportation...

We develop a monthly output index of the U.S. Transportation sector over 1980:1-2002:4 covering air, rail, water, truck, transit and pipeline activities. Separate indexes for freight and passenger are also constructed. Our total transportation output index matches very well with the annual...

We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider recent Bayesian approaches developed by Chao and Phillips (1998, CP), Geweke (1996),...

Self-assessed health status conditioned by several objective measures of health and socio-demographic characteristics are used to measure health inequality. We compare the quality of health and health inequality among different racial/ethnic groups as well as across 10 economic development...

We develop a Markov Chain Monte Carlo (MCMC) algorithm for estimating nested logit models in a Bayesian framework. Appropriate "heating target" and reparameterization techniques are adopted for fast mixing. For illustrative purposes, we have implemented the algorithm on two real-life examples...

This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the...