Nikolay Gospodinov

Curriculum Vitae (CV)

Recent Working Papers

• Deconstructing the Yield Curve (with R. K. Crump), August 2023

• Consistent Specification Testing with Irrelevant Instruments (with P. Dovonon), October 2023

• Specification Testing for Conditional Moment Restrictions Under Local Identification Failure (with P. Dovonon), June 2023

• Sparse Trend Estimation (with R. K. Crump and H. Wieman), January 2023

Selected Recent Publications

• Inference in Conditional Vector Error-Correction Models with Small Signal-to-Noise Ratio (with A. Maynard and E. Pesavento), Advances in Econometrics (2023), Essays in Honor of Joon Y. Park: Econometric Theory (eds. Y. Chang, S. Lee and J. I. Miller), volume 45A, 295–318

• On the Factor Structure of Bond Returns (with R. K. Crump), Econometrica (2022), 90, 295–314
  Supplementary Material and MATLAB Codes 

• Long-Horizon Stock Valuation and Return Forecasts Based on Demographic Projections (with C. Chen, A. Maynard and E. Pesavento),  Journal of Empirical Finance (2022), 68, 190–215
  Online Appendix

• Capital Share Risk in U.S. Asset Pricing: A Reappraisal (with C. Robotti), Journal of Finance (2021), Replications and Comments
  Earlier Version and MATLAB Codes

• Common Pricing across Asset Classes: Empirical Evidence Revisited (with C. Robotti), Journal of Financial Economics (2021), 140, 292–324
  Online Appendix

• Generalized Aggregation of Misspecified Models: With an Application to Asset Pricing (with E. Maasoumi), Journal of Econometrics (2021), 222, 451–467

• Too Good to Be True? Fallacies in Evaluating Risk Factor Models (with R. Kan and C. Robotti), Journal of Financial Economics (2019), 132, 451–471  
  MATLAB Codes

• Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models (with R. Kan and C. Robotti), Econometric Reviews (2018), 37, 695–718
  Online Appendix

• Spurious Inference in Reduced-Rank Asset-Pricing Models (with R. Kan and C. Robotti), Econometrica (2017), 85, 1613–1628
  Supplementary Material and MATLAB Codes

• Simulated Minimum Distance Estimation of Dynamic Models with Errors-in-Variables (with I. Komunjer and S. Ng), Journal of Econometrics (2017), 200, 181–193
  MATLAB Codes

• Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors (with R. Kan and C. Robotti), Review of Financial Studies (2014), 27, 2139–2170
  Online Appendix and MATLAB Codes

• A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains (with D. Lkhagvasuren), Journal of Applied Econometrics (2014), 29, 843–859
  Online Appendix and MATLAB Codes

• Commodity Prices, Convenience Yields, and Inflation (with S. Ng), Review of Economics and Statistics (2013), 95, 206–219
  PDF file of the paper with Online Appendix
  Data and MATLAB Codes

• Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (with R. Kan and C. Robotti), Journal of Econometrics (2013), 173, 108–125
  Online Appendix and MATLAB Codes

• Local GMM Estimation of Time Series Models with Conditional Moment Restrictions (with T. Otsu), Journal of Econometrics (2012), 170, 476–490

• Specification Testing in Models with Many Instruments (with S. Anatolyev),  Econometric Theory (2011), 27, 427–441
  Additional Simulation Results

• Modeling Financial Return Dynamics via Decomposition (with S. Anatolyev), Journal of Business & Economic Statistics (2010), 28, 232–245
  Results for Quarterly Data 

• Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions, Journal of Business & Economic Statistics (2010), 28, 1–12

Book

• Methods for Estimation and Inference in Modern Econometrics (with S. Anatolyev), Chapman and Hall/CRC Press (2011)

Notes and Blogs

• An Update on Bond Market Dynamics, Macroblog (May 2023)

• Is There a Global Factor in U.S. Bond Yields?, Macroblog (May 2021)

• The Persistent Compression of the Breakeven Inflation Curve (with R. K. Crump and D. Volker), Liberty Street Economics (March 2021)

• Carry Factors: Characteristics and Informational Content (with I. Jamali), Notes from the Vault (March 2019)

- see also The Role of Commodity Prices in Forecasting U.S. Core Inflation

• Good Models, Bad Models, Notes from the Vault (January 2018)

• Risk-On/Risk-Off in the Long Run, Notes from the Vault (November 2017)

- see also Asset Co-Movements: Features and Challenges

• Are Long-Term Inflation Expectations Declining? Not So Fast, Says Atlanta Fed (with P. Tkac and B. Wei), Macroblog (January 2016)

- see also Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models (with B. Wei)

- see also A Note on Extracting Inflation Expectations from Market Prices of TIPS and Inflation Derivatives (with B. Wei)

Link to Atlanta Fed Working Papers