The dynamic factor model of Stock and Watson (2005) and the FAVAR model of Boivin (2009) include both observable and unobservable factors, and they estimate the model by using an iterative procedure. This paper presents a two-step procedure.

This paper considers alternative two-step estimators and their small sample properties for the seemingly unrelated regression (SUR) model with non-nested missing observations. A Monte Carlo experiment indicates that alternative estimators have more profound differences in their efficiency,...

This article investigates the consequences of labor-market search for the theory of hedonic wages. The authors find that the introduction of search has surprising consequences for the theory of hedonic wages. In particular, they demonstrate that the equilibrium distribution of wage and nonwage...

Recent empirical studies of the hybrid Phillips curve draw conflicting conclusions about the relative role of forward-looking behavior and the role of marginal cost as the driving force. It is difficult to identify the source of the conflicting results in past studies because of differences in...

This paper analyzes the relative efficiency of a competitive equilibrium against Cournot oligopoly and monopoly equilibria when firms have diverse private information about the stochastic market demand. When firms have information of the same precision, the competitive equilibrium yields a...