Research‎ > ‎


Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson filter” Review of Economics and Statistics (forthcoming) with Gunes Kamber and Benjamin Wong

Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?” with Irina Panovska

Testing Stationarity with Unobserved Components Models” Macroeconomic Dynamics with Irina Panovska and Tara Sinclair

Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks” Quantitative Economics with Yunjong Eo

State-Dependent Effects of Fiscal Policy” Studies in Nonlinear Dynamics & Econometrics with Steve Fazzari and Irina Panovska

Reproducing Business Cycle Features: Do Nonlinear Dynamics Really Matter?Studies in Nonlinear Dynamics & Econometrics with Jeremy Piger and Pao-Lin Tien

The Asymmetric Business CycleReview of Economics and Statistics with Jeremy Piger

“Changes in U.S. Inflation Persistence,” Studies in Nonlinear Dynamics & Econometrics with Kyu Ho Kang and Chang-Jin Kim

“The Slow Adjustment of Aggregate Consumption to Permanent Income,” Journal of Money, Credit, and Banking

“Detecting Shift-Contagion in Currency and Bond Markets,” Journal of International Economics with Toni Gravelle and Maral Kichian 
  • arbz_msm.opt (GAUSS program. Replicates results for Argentian/Brazil case in Table 2)
  • gsd_ms.opt (GAUSS program. Replicates results for Germany/Sweden case in Table 2)
  • bond.txt (bond yield data file)
  • fx.txt (exchange rate data file)

“Nonlinearity and the Permanent Effects of Recessions,” Journal of Applied Econometrics with Chang-Jin Kim and Jeremy Piger

“Is There A Positive Relationship between Stock Market Volatility and the Equity Premium?” Journal of Money, Credit, and Banking with Chang-Jin Kim and Charles R. Nelson
  • vf_pru_a.opt (GAUSS program. Replicates column 1 of Table 3a in paper)
  • vf_pru_b.opt (GAUSS program. Replicates column 1 of Table 3b in paper)
  • vf_fru_a.opt (GAUSS program. Replicates column 1 of Table 4a in paper)
  • vf_fru_b.opt (GAUSS program. Replicates column 1 of Table 4b in paper)
  • vwxs2000.txt (data file)

“Why Are Unobserved Component and Beveridge-Nelson Trend-Cycle Decompositions of GDP So Different?” Review of Economics and Statistics with Charles R. Nelson and Eric Zivot
  • uc_ur.opt (GAUSS program. Replicates Table 4 in paper)
  • arima212.opt (GAUSS program. Replicates Table 2 in paper. The arima212.dta output file from this program can be used in the calculation of the BN decomposition using bn.prg)
  • bn.prg (GAUSS program. Replicates Figure 2 in paper. Makes use of state-space approach to calculating the BN decomposition discussed in Morley (2002))
  • lngdpq.txt (data file)
  • R code by Matthew Zahn available here

“Does an Intertemporal Tradeoff Between Risk and Return Explain Mean Reversion in Stock Prices?” Journal of Empirical Finance with Chang-Jin Kim and Charles R. Nelson