Working Papers

The Department’s formal working paper series is listed below.  A much larger collection of working papers is available from the individual faculty web pages.

2013

“Toxic Asset Bubble and Global Imbalances”
Toan Phan (email, website),  Daisuke Ikeda
Download Paper

2012

“Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form” 
Jonathan Hill (email, website)
Download Paper

“Least Tail-Trimmed Squares for Infinite Variance Autoregressions” 
Jonathan Hill (email, website)
Download Paper

“Robust Score and Portmanteau Tests of Volatility Spillover” 
Jonathan Hill (email, website), Michael Aguilar
Download Paper

“Pension Design with a Large Informal Labor Market: Evidence from Chile”
Clement Joubert (email, website)
Download Paper

“Growth, Corruption & Arab Spring Revolutions”
Toan Phan (email, website),  Lance Kent
Download Paper

“Sovereign Debt Cycles”
Toan Phan (email, website)
Download Paper

“Inferring Monetary Policy Objectives with a Partially Observed State”
Michael Salemi (email, website), Gregory Givens
Download Paper

2011

“How the Design of a Pension System Influences Old Age Poverty and Gender Equity: A Study of Chile’s Private Retirement Account Systems”
Clement Joubert (email, website)
Download Paper

2010

“A New Moment Bound and Weak Laws for Mixingale Arrays without Memory or Heterogeneity
Restrictions, with Applications to Tail-Trimmed Arrays”
Jonathan Hill (email, website)
Download Paper

“Moment Condition Tests for Heavy Tailed Time series” 
Jonathan Hill (email, website), Michael Aguilar
Download Paper

“Stochastically Weighted Average Conditional Moment Tests of Functional Form”
Jonathan Hill (email, website)
Download Paper

“Optimal Provision of Multiple Excludable Public Goods”
Peter Norman (email, website), Hanming Fang
Download Paper, Appendix

“Toward an Efficiency Rationale for the Public Provision of Private Goods”
Peter Norman (email, website), Hanming Fang
Download Paper, Appendix

2009

“Projection-based GEL Score Test for Subsets of Parameters with Possible Weak Identification”
Saraswata Chaudhuri (email, website)
Download Paper

“Estimating the Veteran Effect with Endogenous Schooling when Instruments are Potentially Weak”
Saraswata Chaudhuri (email, website), Elaina Rose
Download Paper

“A New Method of Projection-based Inference in GMM with Weakly Identified Nuisance Parameters”
Saraswata Chaudhuri (email, website), Eric Zivot
Download Paper

“A New Projection-type Split-Sample Score Test in Linear Instrumental Variable Regression”
Saraswata Chaudhuri (email, website), Thomas Richardson, James Robins, Eric Zivot
Download Paper

“The Limits of Exchange Rate as Nominal Anchor: Evidence from the 1999-2005 Ukrainian Experience”
Patrick Conway (email, web site)
Download Paper

“Long-term Interest Rates under Inflation Targeting: The New Zealand Experience”
Richard Froyen (email), Hakan Berument
Download Paper

“Instrument and Target Rules as Specifications of Optimal Monetary Policy”
Richard Froyen (email), Alfred Guender
Download Paper

“Cross-Country Variation in Educational Attainment: Structural Change or Within Industry Skill Upgrading?”
Lutz Hendricks (email, website)
Download Paper

“The Skill Composition of U.S. Cities”
Lutz Hendricks (email, website)
Download Paper

“Student Abilities During the Expansion of U.S. Education, 1950-2000”
Lutz Hendricks (email, website), Todd Schoellman
Download Paper

“Central Limit Theory for Kernel-Self Normalized Tail-Trimmed Sums of Dependent Data with Applications”
Jonathan Hill (email, website)
Download Paper

“Robust Estimation and Inference for Extremal Dependence in Time Series”
Jonathan Hill (email, website)
Download Paper

“Tail and Non-Tail Memory with Applications to Extreme Value and Robust Statistics”
Jonathan Hill (email, website)
Download Paper

“Are There Common Values on BC Timber Sales? A Tail-Index Nonparametric Test”
Jonathan Hill (email, website), A. Schneyerov
Download Paper

“GMM Overidentification Test with First Order Underidentification”
Eric Renault, Prosper Dovonon
Download Paper

“Affine Fractional Stochastic Volatility Models”
Eric Renault, F. Cromte, L. Coutin
Download Paper

“Efficient Derivative Pricing by the Extended Method of Moments”
Eric Renault, P. Gagliardini, C. Gourieroux
Download Paper

“Estimation of Stable Distributions by Indirect Inference”
Eric Renault, René Garcia, David Veredas
Download Paper