This page contains published
and forthcoming papers with links to appendices, data, and computer programs.
All material is copyrighted and is for non-commercial use only.
Measuring
Business Cycles: A Wavelet Analysis of Economic Time Series, Economics Letters, August 2008,
100(2), pp. 208–212.
[Elsevier, SSRN, Computer
programs]
Asset
Prices Under Habit Formation and Reference-Dependent Preferences, Journal of Business and Economic
Statistics, April 2008, 26(2), pp. 131–143.
[PDF
file, American
Statistical Association]
Does
Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow? (with Borja Larrain), Journal of
Financial Economics, January 2008, 87(1), pp. 200–226.
Efficient
Tests of Stock Return Predictability
(with John Y. Campbell), Journal of Financial Economics, July 2006,
81(1), pp. 27–60.
[Elsevier, SSRN, Data, Computer
programs]
·
Implementing the Econometric Methods in
“Efficient Tests of Stock Return Predictability” (with John Y. Campbell), March 2005.
[PDF
file]
A
Consumption-Based Explanation of Expected Stock Returns, Journal of Finance, April 2006, 61(2),
pp. 539–580.
[PDF
file, Blackwell
Publishing, Appendix,
Data]
Asymptotic
Properties of the Hahn-Hausman Test for Weak Instruments (with Jerry Hausman and James H. Stock),
Economics Letters, December 2005, 89(3), pp. 332–342.
[Elsevier]
Testing
for Weak Instruments in Linear IV Regression (with James H. Stock), in D.W.K. Andrews and J.H. Stock,
eds., Identification and Inference for Econometric Models: Essays in Honor
of Thomas Rothenberg,
[PDF
file, Critical
values, Computer
programs]
Asymptotic
Distributions of Instrumental Variables Statistics with Many Weak Instruments (with James H. Stock), in D.W.K. Andrews
and J.H. Stock, eds., Identification and Inference for Econometric Models:
Essays in Honor of Thomas Rothenberg,
[PDF
file]
Luxury
Goods and the Equity Premium
(with Yacine Aït-Sahalia and Jonathan A. Parker), Journal of Finance,
December 2004, 59(6), pp. 2959–3004.
[PDF
file, Blackwell
Publishing, Data]
Estimating
the Elasticity of Intertemporal Substitution When Instruments Are Weak, Review of Economics and Statistics,
August 2004, 86(3), pp. 797–810.
[PDF
file, MIT Press, Data, Computer
programs]
A
Survey of Weak Instruments and Weak Identification in Generalized Method of
Moments (with James H.
Stock and Jonathan H. Wright), Journal of Business and Economic Statistics,
October 2002, 20(4), pp. 518–529.
[PDF
file, American
Statistical Association]
Other Publications
Phanerozoic
Marine Biodiversity Dynamics in Light of the Incompleteness of the Fossil
Record (with Peter J. Lu
and Charles R. Marshall), Proceedings of the National Academy of Sciences,
February 2006, 103(8), pp. 2736–2739.