In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt is allowed to have nonparametric autocorrelation, and smoothing is used in...

Building on previous studies on perceptions of inequality, welfare and risk we investigate the structure of individuals' rankings of uncertain prospects in terms of risk and their relationship to individual preferences. We examine three interlinked propositions that are fundamental to the...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

The size and strength of the Royal Navy experienced a punctuated evolution into the largest and most powerful Navy in the world by 1815. Most historians tend to represent its superiority in conflicts at sea as an indication of several factors that would be conceptualized by economists as...

Uncertainty appears to jump up after major shocks like the Cuban Missile crisis, the assassination of JFK, the OPEC I oil-price shock, and the 9/11 terrorist attacks. This paper offers a structural framework to analyze the impact of these uncertainty shocks. I build a model with a time-varying...

I document how the organizational form of a mutual fund aects its investment strategies. I show that centralized funds tilt their portfolios to hard information com- panies whereas decentralized funds tilt their portfolios to soft information companies. I also show that the investments of...

The recent slowdown in the growth of productivity in the U.S. has attracted considerable attention. The deceleration has been attributed to many factors, including a slowdown in the growth of capital intensity and the stock of R&D, changes in the sectoral composition of output, dramatic rises in...

This article focuses on the effects of double-counting and expensing on the measured returns to R&D. The contribution of research and development (R&D) to economic growth has been measured in two general ways. The first is to compute total factor productivity in a growth accounting framework and...

Support for many R&D and technology policies relies on empirical evidence that R&D ‘spills over’ between firms. But there are two countervailing R&D spillovers: positive effects from technology spillovers and negative effects from business stealing by product market rivals. We develop a...