Nikolay Gospodinov
Research Economist and Senior Adviser, Federal Reserve Bank of Atlanta
Research Economist and Senior Adviser, Federal Reserve Bank of Atlanta
Associate Editor: Journal of Econometrics, Journal of Business & Economic Statistics, Econometric Reviews
Recent Working Papers
A Jackknife Variance Estimator for Panel Regressions (with R. K. Crump and I. Lopez Gaffney)
A Simple Diagnostic for Time-Series and Panel-Data Regressions (with R. K. Crump and I. Lopez Gaffney)
A Uniformly Valid Test for Instrument Exogeneity (with P. Dovonon)
A Consistent Speci fication Testing with Irrelevant Instruments (with P. Dovonon)
Selected Recent Publications
Deconstructing the Yield Curve (with R. K. Crump), Review of Financial Studies (2024), forthcoming
Sparse Trend Estimation (with R. K. Crump and H. Wieman), Review of Economics and Statistics (2024), forthcoming
Specification Testing for Conditional Moment Restrictions Under Local Identification Failure (with P. Dovonon), Quantitative Economics (2024), 15, 849-891
On the Factor Structure of Bond Returns (with R. K. Crump), Econometrica (2022), 90, 295–314
Supplementary Material and MATLAB Codes
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
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
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)
Link to Atlanta Fed Working Papers