·
This
page lists published and forthcoming papers by subject in reverse chronological
order.
·
This
page also contains links to unpublished appendices, data, and computer
programs.
·
All
material is copyrighted and is for non-commercial use only.
Durability of Output and Expected Stock Returns (with João F. Gomes and Leonid
Kogan), Journal of Political Economy, October 2009, 117(5), 941–986.
[PDF
file, University of Chicago
Press]
·
SIC
industry classification based on the 1987 Benchmark Input-Output Accounts [Excel
spreadsheet]
·
Richard
A. Crowell Memorial Prize, First Prize, PanAgora Asset Management, 2007
A Note on Liquidity Risk
Management (with Markus K. Brunnermeier), American Economic Review: Papers and
Proceedings, May 2009, 99(2), 578–583.
[PDF
file, American Economic
Association]
Asset Prices Under Habit Formation and Reference-Dependent
Preferences, Journal
of Business and Economic Statistics, April 2008, 26(2), 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), 200–226.
Efficient Tests of Stock Return Predictability (with John Y. Campbell), Journal
of Financial Economics, July 2006, 81(1), 27–60.
[SSRN, Elsevier, Appendix,
Data,
Gauss
programs]
A Consumption-Based Explanation of Expected Stock Returns, Journal of Finance, April
2006, 61(2), 539–580.
[PDF
file, Blackwell
Publishing, Appendix,
Data]
Luxury Goods and the Equity Premium (with Yacine Aït-Sahalia and
Jonathan A. Parker), Journal of Finance, December 2004, 59(6),
2959–3004.
[PDF
file, Blackwell
Publishing, Data]
Comment: “Weak Instrument Robust
Tests in GMM and the New Keynesian Phillips Curve”, Journal
of Business and Economic Statistics, July 2009, 27(3), 326–328.
[PDF
file, American
Statistical Association]
Measuring Business Cycles: A Wavelet Analysis of Economic
Time Series, Economics
Letters, August 2008, 100(2), 208–212.
[SSRN, Elsevier, MATLAB
programs]
Asymptotic Properties of the Hahn-Hausman Test for Weak
Instruments (with
Jerry Hausman and James H. Stock), Economics Letters, December 2005,
89(3), 333–342.
[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,
·
Critical
values for the test for weak instruments [Excel spreadsheet]
Asymptotic Distributions of Instrumental Variables Statistics
with Many 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]
Estimating the Elasticity of Intertemporal Substitution When
Instruments Are Weak,
Review of Economics and Statistics, August 2004, 86(3), 797–810.
[PDF
file, MIT Press, Data, Gauss
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), 518–529.
[PDF
file, American
Statistical Association]
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), 2736–2739.