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My research focus is empirical macroeconomics and related econometric methodology. Much of my work has involved the analysis of time series data, particularly the problem of measuring business cycles and modeling their dynamics. Issues include: How persistent are shocks to real GDP? How to separate cycle from trend in GDP? Can the end of an expansion and onset of recession be predicted? Has the economy become more stable in recent decades? I also have been interested in the behavior of stock returns at a macro level, in particular the relation with inflation, the impact of surprise changes in volatility, whether there is evidence of mean reversion, and most recently the long term behavior of the equity premium. A third theme in my research has been bias in statistical inference in models that are weakly identified, particularly the problem of weak instruments in the context of regression models with feedback. In every case, the work has only progressed because of the outstanding co-authors I have been so fortunate to work with over the years.
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ABSTRACTS OF PAPERS OF THE AMERICAN CHEMICAL SOCIETY (2019)
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crossref(2017)
Unobserved Components and Time Series Econometricspp.310-330, (2015)
JOURNAL OF MONEY CREDIT AND BANKINGno. 2-3 (2014): 253.0-266.0
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