Taylor Rules and the Deutschmark-Dollar Real Exchange Rate (2006)
Engel, Charles., West, Kenneth D. (Kenneth David)
Journal of Money, Credit, and Banking - Volume 38, Number 5, August 2006
An Editors' Comment on "Lessons from the JMCB Archive" (2006)
Lam, Pok-sang., Lucas, Deborah., Ogaki, Masao, 1958-, West, Kenneth D. (Kenneth David)
Journal of Money, Credit, and Banking - Volume 38, Number 4, June 2006
Taylor Rules and the Deutschmark Dollar Real Exchange Rate (2006)
Engel, Charles, West, Kenneth D.
The authors explore the link between an interest rate rule for monetary policy and the behavior of the real exchange rate. The interest rate rule, in conjunction with some standard assumptions,...
Watson, Mark W., West, Kenneth D. (Kenneth David)
Journal of Money, Credit, and Banking - Volume 37, Number 3, June 2005
West, Kenneth D. (Kenneth David)
Journal of Money, Credit, and Banking - Volume 36, Number 4, August 2004
Policy Evaluation in Uncertain Economic Environments (2003)
Brock, William A., Durlauf, Steven N., West, Kenneth D. (Kenneth David)
Brookings Papers on Economic Activity - 2003, 1
Tests For Forecast Encompassing When Forecasts Depend On Estimated Regression Parameters (2001)
Kenneth West University, Kenneth D. West
This paper presents analytical and simulation results on the properties of two tests for forecast encompassing, allowing throughout for dependence of the forecasts on estimated regression parameters....
West, Kenneth D. (Kenneth David)
36, A11 p. :
Inventory models and backlog costs : an empirical investigation (1983)
West, Kenneth D. (Kenneth David)
Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 1983.
Inventory models and backlog costs : an empirical investigation (1983)
West, Kenneth D. (Kenneth David)
Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 1983.
Typescript.
Dividend Innovations and Stock Price Volatility.
A standard efficient markets model states that a stock price equals the expected present discounted valu e of its dividends, with a constant discount rate. This is shown to i mply that the variance...
Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
Todd E. Clark, Kenneth D. West
We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly...
Taylor Rules and the Deutschmark-Dollar Real Exchange Rate
Charles Engel, Kenneth D. West
We explore the link between an interest rate rule for monetary policy and the behavior of the real exchange rate. The interest rate rule, in conjunction with some standard assumptions, implies that...
Charles Engel, Kenneth D. West
Nominal exchange rates in low-inflation advanced countries are nearly random walks. Engel and West (2003a) offer an explanation for this in the context of models in which the exchange rate is...
Monetary Policy and the Volatility of Real Exchange Rates in New Zealand
The relationship between interest rates and exchange rates is puzzling and poorly understood. But under some standard assumptions, interest rates can be adjusted to smooth real exchange rate...
Land Prices and Business Fixed Investments in Japan
Nobuhiro Kiyotaki, Kenneth D. West
Japan has seen episodes in which boom and bust in land prices is accompanied by boom and bust in business fixed investment. We develop a model that includes land in the production function. We show...
Model Uncertainty and Policy Evaluation: Some Theory and Empirics
William A. Brock, Steven N. Durlauf, Kenneth D. West
This paper explores ways to integrate model uncertainty into policy evaluation. We first describe a general framework for the incorporation of model uncertainty into standard econometric...
On Optimal Instrumental Variables Estimation of Stationary Time Series Models.
In many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use...
Approximately normal tests for equal predictive accuracy in nested models
Todd E. Clark, Kenneth D. West
Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces...
A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate
This paper uses a novel teat to see whether the Herse (1985) and Woo (1985) models are consistent with the variability of the deutschemark - dollar exchange rate 1974-1984. The answer, perhaps...
A Specification Test for Speculative Bubbles
The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing...
A Variance Bounds Test of the Linear Quardractic Inventory Model
This paper develops and applies a novel test of the Holt, et al.(1961) linear quadratic inventory model. It is shown that a central property of the model is that a certain weighted sum of variances...
Integrated Regressors and Tests of the Permanent Income Hypothesis
James H. Stock, Kenneth D. West
We use recent research on estimation and testing in the presence of unit roots to argue that Hall's (1978) t and F tests of whether consumption is predicted by lagged income, or by lags of...
On the Interpretation of Near Random-Walk Behavior in GNP
It is shown that GNP will have an autoregressive root very close to unity in a variant of Taylor's (1980a,b) overlapping wage contracts model, for stylized versions of simple money supply rules and...
Order Backlogs and Production Smoothing
Empirical examination of some aggregate manufacturing data suggests that order backlogs may help explain two puzzling facts: (1) the variability of production appears to be greater than that of...
Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation
This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter (1981) and Shiller (1981a). It appears that neither small sample bias,...
The Sources of Fluctuations in Aggregate Inventories and GNP
A simple real linear-quadratic inventory model is used to determine how cost and demand shocks interacted to cause fluctuations in aggregate GNP and inventories in the U.S., 1947-1986. Cost shocks...
Taylor Rules and the Deutschmark: Dollar Real Exchange Rate
Engel, Charles, West, Kenneth D.
We explore the link between an interest rate rule for monetary policy and the behavior of the real exchange rate. The interest rate rule, in conjunction with some standard assumptions, implies that...
Journal of Money, Credit and Banking
Pok-Sang Lam, Deborah Lucas, Masao Ogaki, Kenneth D. West
Papers published in Journal of Money, Credit and Banking
Dividend Innovations and Stock Price Volatility
This paper establishes an inequality that may be used to test the null hypothesis that a stock price equals the expected present discounted value of its dividend stream, with a constant discount...
West, Kenneth D., G. Elliott, C. Granger, A. Timmermann
This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number...
Policy Evaluation in Uncertain Economic Environments
William A. Brock, Steven N. Durlauf, Kenneth D. West
This paper develops a general framework for economic policy evaluation. Using ideas from statistical decision theory, it argues that conventional approaches fail to appropriately integrate...
Kenneth D. West, David W. Wilcox
Econometric models
Regression-Based Tests of Predictive Ability.
West, Kenneth D, McCracken, Michael W
The authors develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a...
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction.
Policy Evaluation in Uncertain Economic Environments
William A. Brock, Steven N. Durlauf, Kenneth D. West
This paper develops a general framework for economic policy evaluation. Using ideas from statistical decision theory, it argues that conventional approaches fail to appropriately integrate...
Policy Evaluation in Uncertain Economic Environments
William A. Brock, Steven N. Durlauf, Kenneth D. West
This paper develops a general framework for economic policy evaluation. Using ideas from statistical decision theory, it argues that conventional approaches fail to appropriately integrate...
Exchange rates and fundamentals.
Charles Engel, Kenneth D. West
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well...
Automatic Lag Selection in Covariance Matrix Estimation.
Newey, Whitney K, West, Kenneth D
The authors propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a...
Asymptotic Inference about Predictive Ability.
This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors when there is a long time series of predictions and realizations....
Asymptotic Normality, When Regressors Have a Unit Root.
Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right hand side variables....
Generalized Method of Moments and Macroeconomics.
Hansen, Bruce E, West, Kenneth D
We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a...
Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters.
This article presents analytical and simulation results on the properties of two tests for forecast encompassing allowing throughout for dependence of the forecasts on estimated regression...
A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model.
West, Kenneth D, Wilcox, David W
Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, the authors compare two parameterizations of a commonly used instrumental variables estimator...
Hypothesis Testing with Efficient Method of Moments Estimation.
Newey, Whitney K, West, Kenneth D
Efficient method of moments estimation techniques include many commonly used techniques, including ordinary least squares, two- and three-stage least squares, quasi maximum likelihood, and versions...
A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model
Kenneth D. West, David W. Wilcox
Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982))...
ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY
This paper develops procedures for inference about the moments of smooth functions of out of sample predictions and prediction errors, when there is a long time series of predictions and...
Asymptotic Inference about Predictive Ability, An Additional Appendix
smooth functions of out of sample predictions and prediction errors, when there is a long time series of predictions and realizations, and each prediction is based on regression parameters estimated...
Inflation and growth: in search of a stable relationship - commentary
Inflation (Finance)
Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
Todd E. Clark, Kenneth D. West
We consider using out of sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly...
A utility based comparison of some models of exchange rate volatility
Kenneth D. West, Hali J. Edison, Dongchul Cho
Econometric models ; Foreign exchange rates
Exchange rates and fundamentals
Charles Engel, Kenneth D. West
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well...
Assessing simple policy rules: a view from a complete macroeconomic model (commentary)
Macroeconomics ; Econometric models
Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances
Ramey, Valerie A., West, Kenneth D., J. B. Taylor, M. Woodford
We review and interpret recent work on inventories, emphasizing empirical and business cycle aspects. We begin by documenting two empirical regularities about inventories. The first is the well-known...
The Sources of Fluctuations in Aggregate Inventories and GNP.
A simple real linear-quadratic inventory model is used to determine how cost and demand shocks interacted to cause fluctuations in aggregate inventories and GNP in the United States, 1947-86. Cost...
Targeting Nominal Income: A Note
This paper compares nominal income and monetary targets in a standard aggregate demand - aggregate supply framework. If the desirability of policies is measured by their effect on the unconditional...
Evidence From Seven Countries on Whether Inventories Smooth Aggregate Output
Casual examination of annual postwar data on inventories and aggregate output for seven developed countries -- Canada, France, West Germany, Italy, Japan, United Kingdom, United States -- suggests...
The Insensitivity of Consumption to News About Income
This paper uses a variance bounds test to see whether consumption is too sensitive to news about income to be consistent with a standard permanent income model, under the maintained hypothesis that...
A Comparison of the Behavior of Japanese and U.S. Inventories
This paper compares the cyclical and secular behavior of Japanese and U.S. inventories at the aggregate and sectoral level, 1967-1987. While, as is well known, U.S. inventories are sharply...
Sources of Cycles in Japan, 1975-1987
A simple real model is used to decompose movements of aggregate inventories and output in Japan during 1975 to 1987 to three components, one due to cost shocks, one due to demand shocks, and one due...
An Aggregate Demand - Aggregate Supply Analysis of Japanese Monetary Policy, 1973-1990
An aggregate demand - aggregate supply framework is used to analyze the effects of Japanese monetary policy, 1973:1-1990:8. It is found that money supply shocks contribute relatively little to output...
Business Fixed Investment and the Recent Business Cycle in Japan
Nobuhiro Kiyotaki, Kenneth D. West
To analyze business fixed investment in Japan, which has been unusually volatile in recent years, we develop and apply a loglinear flexible accelerator model. We find that movements in business fixed...
Valerie A. Ramey, Kenneth D. West
We review and interpret recent work on inventories, emphasizing empirical and business cycle aspects. We begin by documenting two empirical regularities about inventories. The first is the well-known...
Policy Evaluation in Uncertain Economic Environments
William A. Brock, Steven N. Durlauf, Kenneth D. West
This paper develops a decision-theoretic approach to policy analysis. We argue that policy evaluation should be conducted on the basis of two factors: the policymaker's preferences, and the...
Exchange Rates and Fundamentals
Charles Engel, Kenneth D. West
We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future...
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
Kenneth D. West, Ka-fu Wong, Stanislav Anatolyev
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection...
Exchange Rate Models Are Not as Bad as You Think
Charles Engel, Nelson C. Mark, Kenneth D. West
Standard models of exchange rates, based on macroeconomic variables such as prices, interest rates, output, etc., are thought by many researchers to have failed empirically. We present evidence to...
This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses...
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Whitney K. Newey, Kenneth D. West
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes...
A Utility Based Comparison of Some Models of Exchange Rate Volatility
Kenneth D. West, Hali J. Edison, Dongchul Cho
When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion...
Kenneth D. West, David W. Wilcox
We evaluate some aspects of the finite sample distribution of an instrumental variables estimator of a first order condition of the Holt et al. (1960) linear quadratic inventory model. We find that...
Econometric aspects of recent research on inventory models are surveyed. The discussion emphasizes issues relevant to instrumental variables estimation of a first order condition of the Holt et al....
The Predictive Ability of Several Models of Exchange Rate Volatility
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates...
Automatic Lag Selection in Covariance Matrix Estimation
Kenneth D. West, Whitney K. Newey
We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given...
A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model
Kenneth D. West, David W. Wilcox
Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982))...
Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression...
Regression-Based Tests of Predictive Ability
Kenneth D. West, Michael W. McCracken
We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of...
On Optimal Instrumental Variables Estimation of Stationary Time Series Models
In many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use...
Encompassing Tests When No Model Is Encompassing
This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive...
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces...
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
Kenneth D. West, Ka-fu Wong, Stanislav Anatolyev
We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection...
Forecast Evaluation of Small Nested Model Sets
Kirstin Hubrich, Kenneth D. West
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures...
Forecast evaluation of small nested model sets.
Kirstin Hubrich, Kenneth D. West
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures...
NBER International Seminar on Macroeconomics 2004
Richard H. Clarida, Jeffrey Frankel, Francesco Giavazzi, Kenneth D. West
NBER International Seminar on Macroeconomics 2004
Richard H. Clarida, Jeffrey A. Frankel, Francesco Giavazzi, Kenneth D. West
The NBER International Seminar on Macroeconomics brings together leading American and European economists to discuss a broad range of current issues in global macroeconomics. An international...
Front matter, table of contents, abstracts
Richard H. Clarida, Jeffrey A. Frankel, Francesco Giavazzi, Kenneth D. West
Introduction to "NBER International Seminar on Macroeconomics 2004"
Richard H. Clarida, Jeffrey A. Frankel, Francesco Giavazzi, Kenneth D. West
Forecast evaluation of small nested model sets.
Kirstin Hubrich, Kenneth D. West
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures...