Working Papers

• Dynamic Indentification of DSGE Models (with I. Komunjer, 11/09) pdf
• Issues in Static Indentification of DSGE Models (with I. Komunjer, 7/09) pdf
• A Factor Analysis of Housing Market Dynamics in the U.S. and the Regions (with E. Moench, 4/09) pdf
• A Factor Analysis of Bond Risk Premia (with Sydney Ludvigson, 07/09) pdf and data Forthcoming, Handbook of Applied Econometrics.
• Dynamic Hierarchical Factor Models (with E. Moench and S. Potter, 12/08) pdf
• Estimation of Panel Data Models with Parameter Heterogeneity When Group Membership is Unknown (with CC Lin 12/08) pdf
• Estimators Persistent and Possibly Non-Stationary Data with Classical Properties (with Yuriy Gorodnichenko, 07/09) pdf
• Estimaton of DSGE Models When the Data are Persistent (with Yuriy Gorodnichenko, Revised 07/09) pdf
• Determining the Number of Factors in Approximate Factor Models, Errata (with J. Bai, 05/ 06. ) pdf
• How Does Housing Afffects Consumption? (with Huntley. Schaller, 1998. ) pdf

Computer Code

• Gauss Code for PT Decomposition (JEDC 2001)
• Gauss Code for MIC and Unit Root Tests (Econometrica 2001)
• Gauss code for Testing Conditional Symmetry (JOE 2001)
• Matlab code for panel unit root and stationarity tests (Econometrica 2004)
• Matlab code for determining the number of factors (Econometrica 2002)
• Matlab code for determining the number of dynamic factors (JBES 2007)
• Matlab code Testing cross-section correlation using spacings (JBES 2006)
• Matlab code Testing Normality and Symmetry (JBES 2005)
• some matlab functions used in the programs