Advances in Using Vector Autoregressions to Estimate Structural Magnitudes, forthcoming, Econometric Theory. Coauthored with Christiane Baumeister. This paper surveys recent advances in drawing structural conclusions from vector autoregressions, providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock. Replication code.

Structural Vector Autoregressions with Imperfect Identifying Information, American Economic Association Papers and Proceedings, May 2022, 112, pp. 466-470. Coauthored with Christiane Baumeister. Prepared for the AEA Papers & Proceedings. The problem of identification is often the core challenge of empirical economic research. The traditional approach to identification is to bring in additional information in the form of identifying assumptions, such as restrictions that certain magnitudes have to be zero. In this paper we suggest that what are usually thought of as identifying assumptions should more generally be described as information that the analyst had about the economic structure before seeing the data. Such information is most naturally represented as a Bayesian prior distribution over certain features of the economic structure. replication code

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Setting the Record Straight, coauthored with Christiane Baumeister. A recent paper by Kilian and Zhou (2019) mischaracterizes our 2019 paper in American Economic Review and much of the related literature. They misstate our contribution to the literature on identification, mischaracterize the role of prior information about supply elasticity in our analysis, inaccurately describe the relation between structural elasticities and the impacts of shocks, and mischaracterize the literature on supply elasticity. Our purpose in this paper is to set the record straight. Download data and code to replicate.

Measuring Labor-Force Participation and the Incidence and Duration of Unemployment, Review of Economic Dynamics, forthcoming. Coauthored with Hie Joo Ahn. The underlying data from which the U.S. unemployment rate, labor-force participation rate, and duration of unemployment are calculated contain numerous internal contradictions. This paper catalogs these inconsistencies and proposes a unified reconciliation. We find that the usual statistics understate the unemployment rate and the labor-force participation rate by about two percentage points on average and that the bias in the latter has increased over time. The BLS estimate of the average duration of unemployment substantially overstates the true duration of uninterrupted spells of unemployment and misrepresents what happened to average durations during the Great Recession and its recovery. Online appendix here. Revised data series developed in the paper available here. Also available are data and code for complete replication.

Measuring Global Economic Activity, Journal of Applied Econometrics, April/May 2021, 36(3), pp. 293-303. A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has substantive consequences of which users of the index had been unaware prior to this paper. This paper further evaluates this and alternative measures in terms of treatment of trends, coherence with world output, and ability to predict commodity prices. I conclude that measures derived from world industrial production offer a better indicator of global real economic activity. Nontechnical summary. Replication data and code. Presentation slides. Updated data on the world industrial production index developed by Baumeister and Hamilton, AER 2019 and on nominal and real shipping costs.

Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions, Journal of International Money and Finance, 2020, volume 109, article 102250. Coauthored with Christiane Baumeister. This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions. We also review available tools to solve these problems. For illustration we use Dahlhaus and Vasishtha's (2019) study of the effects of a U.S. monetary contraction on capital flows to emerging markets. We explain why sign restrictions alone are not enough to allow us to answer the question and suggest alternative approaches that could be used.

Heterogeneity and Unemployment Dynamics Journal of Business and Economic Statistics), July 2020, 38(3), pp. 554-569, coauthored with Hie Joo Ahn. See data and code to replicate (figure and table numbers in code files refer to NBER working paper version).

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks, American Economic Review 109 (May 2019): 1873-1910. Coauthored with Christiane Baumeister. See Econbrowser for a short summary of the paper. Working paper version here. Data and code to replicate: results from baseline model, results from Kilian (AER, 2009), and results from Kilian and Murphy (2012). Updated data on: (1) world industrial production index; (2) series for oil supply shocks; (3) series for oil demand shocks; (4) full data set with links to original sources.

Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations, Journal of Monetary Economics 100 (December 2018): 48-65. Coauthored with Christiane Baumeister. Received the 2020 Best Paper Award from the Journal of Monetary Economics. Working paper version here. Online appendix here and data and code to implement here.

Why You Should Never Use the Hodrick-Prescott Filter, Review of Economics and Statistics 100 (December 2018): 831-843. Working paper version here. Data and code to replicate are available in Matlab, RATS, Stata, and R.

Robust Bond Risk Premia, Review of Financial Studies 31 (February 2018): 399-448. Coauthored with Michael Bauer. Working paper version here. Data and code to replicate here.

The Equilibrium Real Funds Rate: Past, Present and Future, IMF Economic Review 64 (November 2016): 660-707. Coauthored with Ethan Harris, Jan Hatzius and Kenneth West. Working paper version here. See Econbrowser for a short summary of the paper.

Macroeconomic Regimes and Regime Shifts, Handbook of Macroeconomics, Volume 2A, pp. 163-201, edited by Harald Uhlig and John Taylor, Amsterdam: Elsevier, 2016. Working paper version here.

Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information, Econometrica, 83 (September 2015): 1963-1999. Coauthored with Christiane Baumeister. Working paper version here. Data and code to implement here. Video of a lecture presentation of the research here and slides from that lecture here.

Testable Implications of Affine-Term-Structure Models, Journal of Econometrics, 178, no. 2 (January 2014): 231-242. Coauthored with Jing Cynthia Wu. Working paper version here.

The Propagation of Regional Recessions Review of Economics and Statistics, 94, no. 4 (November 2012): 935-947. Coauthored with Michael T. Owyang. Working paper version here. Click here for software and data.

Identification and Estimation of Gaussian Affine Term Structure Models, Journal of Econometrics, 168, no. 2 (June 2012): 315-331. Coauthored with Jing Cynthia Wu. Working paper version here. Click here for software to implement these procedures

"Calling Recessions in Real Time," International Journal of Forecasting October-December 2011, vol. 27, no. 4, pp. 1006-1026. Winner of International Journal of Forecasting Best Paper Award for 2010-2011. Working paper version here. Click here for software to implement these procedures

Macroeconomics and ARCH, in Festschrift in Honor of Robert F. Engle, pp. 79-96, edited by Tim Bollerslev, Jeffry R. Russell and Mark Watson, Oxford University Press, 2010. Description of the paper for a general audience here.

Regime-Switching Models, in New Palgrave Dictionary of Economics, 2nd edition, edited by Steven Durlauf and Lawrence Blume, Palgrave McMillan Ltd., 2008.

Normalization in Econometrics, coauthored with Tao Zha and Dan Waggoner . Econometric Reviews, 2007, vol 26, no 2-4, pp. 221-252. Click here to download computer code used in the analysis.

Dating Business Cycle Turning Points, co-authored with Marcelle Chauvet. In Nonlinear Time Series Analysis of Business Cycles, edited by Costas Milas, Philip Rothman, and Dick van Dijk, Elsevier, North Holland, 2006.

Computing Power and the Power of Econometrics, Medium Econometrische Toepessingen, 2006, volume 14, number 2, pp. 32-38.

What Is an Oil Shock? Journal of Econometrics, April 2003, vol. 113, pp. 363-398. A working paper version can be downloaded as can the data and software used in the study.

"A Model for the Federal Funds Rate Target," Journal of Political Economy, October 2002, vol. 110, pp. 1135-1167. Co-authored with Oscar Jorda. A working paper version can be downloaded as can the data and software used in the study.

"On the Interpretation of Cointegration in the Linear-Quadratic Inventory Model," Journal of Economic Dynamics and Control, October 2002, vol. 26, pp. 2037-2049. Working paper version can be downloaded.

Advances in Markov-Switching Models, Co-edited with Baldev Raj. Physica-Verlag, 2002.

"A Parametric Approach to Flexible Nonlinear Inference," Econometrica, May 2001, vol. 69. Working paper version can be downloaded, as can the data and software used in this study.

"Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, Sept.-Oct. 1996, vol. 11, no. 5, (coauthored with Gang Lin). Click here to download data and software

"Specification Testing in Markov-Switching Time-Series Models", Journal of Econometrics, Jan. 1996. Click here to download data and software

"What Do the Leading Indicators Lead?", Journal of Business, Jan. 1996 (coauthored with Gabriel Perez-Quiros). Click here to download data and software.

Time Series Analysis, Princeton Univ. Press, 1994. Click here to order from amazon.com or click here to download data and programs to implement examples from the text. Here is a list of items that have updated or corrected from the earlier printings. If you have other suggestions to add to this list, please let me know. Click on pictures at right to order Japanese translation (two-volume set).

"Autoregressive Conditional Heteroskedasticity and Changes in Regime," Journal of Econometrics, September/October 1994 (coathored with Raul Susmel). Click here to download data and software.

"State-Space Models," Handbook of Econometrics, Volume 4, , edited by R. Engle and D. McFadden, North-Holland, 1994. Click here to download data and software.

"Estimation, Inference, and Forecasting of Time Series Subject to Changes in Regime," Handbook of Statistics, Volume 11, edited by G. S. Maddala, C. R. Rao, and H. D. Vinod, North-Holland, 1993.

"A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions," Journal of Business and Economic Statistics, Jan. 1991. Click here to download data and software.

"Analysis of Time Series Subject to Changes in Regime," Journal of Econometrics, July/August 1990. Click here to download data and software.

"A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica , March 1989. Click here to download data and software.

"Rational Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates," Journal of Economic Dynamics and Control, June/Sept. 1988

"A Standard Error for the Estimated State Vector of a State-Space Model," Journal of Econometrics, Dec. 1986

"Kalman Filter Estimation of Unobserved Monthly Expectations of Inflation," Journal of Business and Economic Statistics, April 1986, pp. 147-160, (coauthored with Edwin Burmeister and Kent D. Wall).

"Uncovering Financial Market Expectations of Inflation," Journal of Political Economy, December, 1985, pp. 1224-1241.

"Models of Social Contagion," Journal of Mathematical Sociology, June 1981, pp. 133-160, (coauthored with Lawrence C. Hamilton).

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