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Comments on Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series
Temporal Sectoral Aggregation
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2015/8/5
Comments on Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series.
Recent Changes in Macro Policy and Its Effects: Some Time Series Evidence
Macro Policy Series Evidence
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2015/8/4
Recent Changes in Macro Policy and Its Effects: Some Time Series Evidence.
Discussion of "The Cross Section and Time Series of Stock and Bond Returns" by Koijen, Lustig & Van Nieuwerburgh
Cross Section Stock and Bond Returns
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2015/7/23
A￠ ne model in which:
ñ 3 priced factors explain the cross section of bond and stock returns:
level, CP, DP
ñ 2 factors explain the time variation in bond and stock returns:
CP, DP
Evidence on Structural Instability in Macroeconomic Time Series Relations
Break tests Forecasting Recursive least squares Structural stability Time- varying parameter
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2014/3/18
An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting t...
Variable Trends in Economic Time Series
Variable Trends Economic Time Series
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2014/3/18
The two most striking historical features of aggregate output are its sustained long run growth and its recurrent fluctuations around this growth path. Real per capita GNP, consu...