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Discussion Paper
Testing for transient bubbles in stock prices
O'Brien, James M. (1987)
Research Papers in Banking and Financial Economics , Paper 98

Report
Generalized canonical regression
Estrella, Arturo (2007)
This paper introduces a generalized approach to canonical regression, in which a set of jointly dependent variables enters the left-hand side of the equation as a linear combination, formally like the linear combination of regressors in the right-hand side of the equation. Natural applications occur when the dependent variable is the sum of components that may optimally receive unequal weights or in time series models in which the appropriate timing of the dependent variable is not known a priori. The paper derives a quasi-maximum likelihood estimator as well as its asymptotic distribution ...
Staff Reports , Paper 288

Working Paper
An analogue model of phase-averaging procedures
Campos, Julia; Ericsson, Neil R.; Hendry, David F. (1987)
This paper considers the statistical and econometric effect that fixed n-period phase-averaging has on time series generated by some simple dynamic processes. We focus on the variance and autocorrelation of the data series and of the disturbance term for levels and difference equations involving the phase-average data. Further, we examine the effect of phase-averaging on the erogeneity of variables in those equations and the implications phase-averaging has for conducting statistical inference. ; To illustrate our analytical results, we investigate claims by Friedman and Schwartz in their ...
International Finance Discussion Papers , Paper 303

Working Paper
On the sensitivity of VAR forecasts to alternative lag structures
Hafer, Rik; Sheehan, Richard G. (1987)
Working Papers , Paper 1987-004

Working Paper
Velocity: a multivariate time-series approach
Bagshaw, Michael L.; Gavin, William T. (1984)
The Federal Reserve announces targets for the monetary aggregates that are implicitly conditioned on an assumption about future velocity for each of the monetary aggregates. In this paper we present explicit models of velocity for constructing rigorous tests to determine whether the behavior of velocity has changed from what was expected when the targets were chosen. We use time-series methods to develop alternative forecasts of velocity. Multivariate time-series models of velocity that include information about past interest rates produce significantly better out-of-sample forecasts than do ...
Working Papers (Old Series) , Paper 8405

Working Paper
On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
Cheung, Yin-Wong; Diebold, Francis X. (1993)
Working Papers , Paper 93-5

Report
A three-factor econometric model of the U.S. term structure
Remolona, Eli M.; Gong, Frank F. (1997)
We estimate and test a model of the U.S. term structure that fits both the time series of interest rates and the cross-sectional shapes of the yield and volatility curves. In the model, three unobserved factors drive a stochastic discount process that prices assets so as to rule out arbitrage opportunities. The resulting bond yields are conveniently affine in the factors. We use monthly zero-coupon yield data from January 1986 to March 1996 and estimate the model by applying a Kalman filter that takes into account the model's no-arbitrage restrictions and using only three maturities at a ...
Research Paper , Paper 9619

Working Paper
A Bayesian vector error corrections model of the U.S. economy
Stark, Tom (1998)
This paper presents a small-scale macroeconometric time-series model that can be used to generate short-term forecasts for U.S. output, inflation, and the rate of unemployment. Drawing on both the Bayesian VAR and vector error corrections (VEC) literature, the author specifies the baseline model as a Bayesian VEC. The author documents the model's forecasting ability over various periods, examines its impulse responses, and considers several reasonable alternative specifications. Based on a root-mean-square-error criterion, the baseline model works best, and the author concludes that this ...
Working Papers , Paper 98-12

Working Paper
Nonparametric estimation of multifactor continuous time interest rate models
Downing, Chris (1999)
This paper studies the finite sample properties of the kernel regression method of Boudoukh et al. (1998) for estimating multifactor continuous-time term structure models. Monte Carlo simulations are employed, with a grid-search technique to find the optimal kernel bandwidth. The estimator exhibits truncation and correlated residuals biases near the boundaries of the data. However, the variance of the estimator is so high that the biases are unlikely to be relevant from a hypothesis testing point of view. The performance of the estimator is also studied under model misspecification. ...
Finance and Economics Discussion Series , Paper 1999-62

Working Paper
Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements
Morin, Norman J. (2006)
Cointegration theory provides a flexible class of statistical models that combine long-run relationships and short-run dynamics. This paper presents three likelihood ratio (LR) tests for simultaneously testing restrictions on cointegrating relationships and on how quickly the system reacts to the deviation from equilibrium implied by the cointegrating relationships. Both the orthogonal complements of the cointegrating vectors and of the vectors of adjustment speeds have been used to define the common stochastic trends of a nonstationary system. The restrictions implicitly placed on the ...
Finance and Economics Discussion Series , Paper 2006-21

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