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615
2003), “Measuring the Natural Rate of Interest
 Review of Economics and Statistics
"... A key variable for the conduct of monetary policy is the natural rate of interest { the real interest rate consistent with output equaling potential and stable inflation. Economic theory implies that the natural rate of interest varies over time and depends on the trend growth rate of output. In thi ..."
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Cited by 153 (21 self)
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A key variable for the conduct of monetary policy is the natural rate of interest { the real interest rate consistent with output equaling potential and stable inflation. Economic theory implies that the natural rate of interest varies over time and depends on the trend growth rate of output. In this paper we apply the Kalman lter to jointly estimate the natural rate of interest, potential output, and its trend growth rate, and examine the empirical relationship between these estimated unobserved series. We nd substantial variation in the natural rate of interest over the past four decades in the United States. Our natural rate estimates vary about oneforone with changes in the trend growth rate. We show that policymakers ’ mismeasurement of the natural rate of interest can cause a signicant deterioration in macroeconomic stabilization.
Numerical Techniques for Maximum Likelihood Estimation of ContinuousTime Diffusion Processes
, 2002
"... ..."
Testing for Indeterminacy: An Application to U.S. Monetary Policy
, 2003
"... This paper considers a prototypical monetary business cycle model for the U.S. economy, in which the equilibrium is undetermined if monetary policy is `passive'. In previous multivariate studies it has been common practice to restrict parameter estimates to values for which the equilibrium i ..."
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Cited by 135 (5 self)
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This paper considers a prototypical monetary business cycle model for the U.S. economy, in which the equilibrium is undetermined if monetary policy is `passive'. In previous multivariate studies it has been common practice to restrict parameter estimates to values for which the equilibrium is unique. We show how the likelihoodbased estimation of dynamic stochastic general equilibrium models can be extended to allow for indeterminacies and sunspot fluctuations. We construct
Threshold Effects in NonDynamic Panels: Estimation, Testing and Inference
 JOURNAL OF ECONOMETRICS
, 1999
"... Threshold regression methods are developed for nondynamic panels with individualspecific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixedeffects transformations. A nonstandard asymptotic theory of inference is developed which allows construct ..."
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Cited by 125 (3 self)
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Threshold regression methods are developed for nondynamic panels with individualspecific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixedeffects transformations. A nonstandard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15year sample of 565 US firms to test whether financial constraints affect investment decisions.
Threshold autoregression with a unit root
 Econometrica
, 2001
"... This paper develops an asymptotic theory of inference for an unrestricted tworegime threshold autoregressive Ž TAR. model with an autoregressive unit root. We find that the asymptotic null distribution of Wald tests for a threshold are nonstandard and different from the stationary case, and suggest ..."
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Cited by 109 (1 self)
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This paper develops an asymptotic theory of inference for an unrestricted tworegime threshold autoregressive Ž TAR. model with an autoregressive unit root. We find that the asymptotic null distribution of Wald tests for a threshold are nonstandard and different from the stationary case, and suggest basing inference on a bootstrap approximation. We also study the asymptotic null distributions of tests for an autoregressive unit root, and find that they are nonstandard and dependent on the presence of a threshold effect. We propose both asymptotic and bootstrapbased tests. These tests and distribution theory allow for the joint consideration of nonlinearity Ž thresholds. and nonstationary Žunit roots.. Our limit theory is based on a new set of tools that combine unit root asymptotics with empirical process methods. We work with a particular twoparameter empirical process that converges weakly to a twoparameter Brownian motion. Our limit distributions involve stochastic integrals with respect to this twoparameter process. This theory is entirely new and may find applications in other contexts. We illustrate the methods with an application to the U.S. monthly unemployment rate. We find strong evidence of a threshold effect. The point estimates suggest that the threshold effect is in the shortrun dynamics, rather than in the dominate root. While the conventional ADF test for a unit root is insignificant, our TAR unit root tests are arguably significant. The evidence is quite strong that the unemployment rate is not a unit root process, and there is considerable evidence that the series is a stationary TAR process.
Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model,”
 Journal of the American Statistical Association
, 1998
"... This article considers inference about the variance of coefficients in timevarying parameter models with stationary regressors. The Gaussian maximum likelihood estimator (MLE) has a large point mass at 0. We thus develop asymptotically median unbiased estimators and asymptotically valid confidence ..."
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Cited by 97 (7 self)
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This article considers inference about the variance of coefficients in timevarying parameter models with stationary regressors. The Gaussian maximum likelihood estimator (MLE) has a large point mass at 0. We thus develop asymptotically median unbiased estimators and asymptotically valid confidence intervals by inverting quantile functions of regressionbased parameter stability test statistics, computed under the constantparameter null. These estimators have good asymptotic relative efficiencies for small to moderate amounts of parameter variability. We apply these results to an unobserved components model of trend growth in postwar U.S. per capita gross domestic product. The MLE implies that there has been no change in the trend growth rate, whereas the upper range of the medianunbiased point estimates imply that the annual trend growth rate has fallen by 0.9% per annum since the 1950s.
Consistent Model Specification Tests
 Journal of Econometrics
, 1982
"... This paper reviews the literature on tests for the correct specification of the functional form of parametric conditional expectation and conditional distribution models. In particular I will discuss various versions of the Integrated Conditional Moment (ICM) test and the ideas behind them. 1 ..."
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Cited by 92 (13 self)
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This paper reviews the literature on tests for the correct specification of the functional form of parametric conditional expectation and conditional distribution models. In particular I will discuss various versions of the Integrated Conditional Moment (ICM) test and the ideas behind them. 1
Testing for Linearity
 Journal of Economic Surveys
, 1999
"... Abstract. The problem of testing for linearity and the number of regimes in the context of selfexciting threshold autoregressive (SETAR) models is reviewed. We describe leastsquares methods of estimation and inference. The primary complication is that the testing problem is nonstandard, due to th ..."
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Cited by 92 (1 self)
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Abstract. The problem of testing for linearity and the number of regimes in the context of selfexciting threshold autoregressive (SETAR) models is reviewed. We describe leastsquares methods of estimation and inference. The primary complication is that the testing problem is nonstandard, due to the presence of parameters which are only defined under the alternative, so the asymptotic distribution of the test statistics is nonstandard. Simulation methods to calculate asymptotic and bootstrap distributions are presented. As the sampling distributions are quite sensitive to conditional heteroskedasticity in the error, careful modeling of the conditional variance is necessary for accurate inference on the conditional mean. We illustrate these methods with two applications Ð annual sunspot means and monthly U.S. industrial production. We find that annual sunspots and monthly industrial production are SETAR(2) processes. Keywords. SETAR models; Thresholds; Nonstandard asymptotic theory; Bootstrap
Testing When a Parameter Is on the Boundary of the Maintained Hypothesis
 Econometrica
, 2001
"... COWLES FOUNDATION DISCUSSION PAPER NO. 1229 ..."