Kasa, Kenneth, Walker, Todd B., Whiteman, Charles H.
This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals...
Forecasting Using Relative Entropy (2005)
Robertson, John C., Tallman, Ellis W. (Ellis William), 1958-, Whiteman, Charles H.
Journal of Money, Credit, and Banking - Volume 37, Number 3, June 2005
A Generalized Volatility Bound for Dynamic Economies (2003)
Christopher Otrok, B. Ravikumar, Charles H. Whiteman
We develop a generalization of the Hansen-Jagannathan (1991) volatility bound that (i) version of the bound. This generalization enables us to judge whether models match important aspects of the data...
International Business Cycles: World, Region, (2003)
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions, and the world. We employ a Bayesian dynamic latent factor model to estimate common...
Bayesian Cross Hedging: (2003)
F. Douglas Foster, Charles H. Whiteman
Following Lence and Hayes (1994), we study the problem faced by an Iowa farmer who wishes to hedge a soybean harvest using Chicago futures contracts. A time-series model for spot and futures prices...
Forecasting Using Relative Entropy (2003)
John C. Robertson, Ellis W. Tallman, Charles H. Whiteman
The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for...
The authors thank Logical Information Machines for their extensive data support. Discussions (2002)
F. Douglas Foster, Charles H. Whiteman
This paper studies the performance of the Foster-Whiteman (1999) procedure for using a Bayesian predictive distribution for the future price of an asset to compute the price of a European option on...
Christopher Otrok, B. Ravikumar, Charles H. Whiteman
We use recent statistical tests, based on a 'distance' between the model and the Hansen- Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models with time-separable...
General-to-Specific Procedures for Fitting a Data-Admissible, Theory-Inspired, (2001)
Jon Faust, Charles H. Whiteman
We characterize the LSE approach by its implications for reduced-form modeling and structural interpretations. Much of what has come to be associated with the LSE methodology involves the approach to...
Board of Governors of the Federal Reserve System (1999)
Jon Faust, Charles H. Whiteman
: We characterize the LSE approach by its implications for reduced-form modeling and structural interpretations. Much of what has come to be associated with the LSE methodology involves the approach...
International Business Cycles: World, Region, and Country-Specific Factors (1999)
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
: The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions and the world. We employ a Bayesian dynamic latent factor model to estimate common...
Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa (1999)
Christopher Otrok, Charles H. Whiteman
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by...
William Roberds, Charles H. Whiteman
Numerous studies have documented a "predictability smile" in the postwar term structure of interest rates: spreads between long rates and short rates predict subsequent movements in short rates...
A Bayesian Approach to Dynamic Macroeconomics (1997)
David N. Dejong, Beth F. Ingram, Charles H. Whiteman
We propose and implement a coherent statistical framework for combining theoretical and empirical models of macroeconomic activity. The framework is Bayesian, and enables the formal yet probabilistic...
Understanding the Evolution of World Business Cycles
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
This paper studies the changes in world business cycles during 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic...
The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function.
DeJong, David N, Whiteman, Charles H
The debate over whether the expected present value of dividends adequately describes stock prices hinges in part on whether dividends are trend-stationary or integrated processes: it does not if...
Forecasting Using Relative Entropy.
Robertson, John C, Tallman, Ellis W, Whiteman, Charles H
The paper describes a relative entropy procedure for imposing restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some...
Asset Prices in a Time Series Model with Perpetually Disparately Informed, Competitive Traders
Kenneth Kasa, Todd B. Walker, Charles H. Whiteman
This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals...
Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation
Otrok, Christopher, Ravikumar, B., Whiteman, Charles H.
We conduct Monte Carlo experiments to examine whether the Hansen and Jagannathan (1991) bound is a useful device for evaluating asset pricing models. Specifically, we use recently developed...
International Business Cycles: World, Region, and Country-Specific Factors
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
The paper investigates the common dynamic properties of business-cycle fluctuations across countries, regions, and the world. We employ a Bayesian dynamic latent factor model to estimate common...
Monetary aggregates as monetary targets: a statistical investigation
Charles H. Whiteman, William Roberds
Monetary policy - United States
Another hole in the ozone layer: changes in FOMC operating procedure and the term structure
William Roberds, David Runkle, Charles H. Whiteman
Open market operations ; Vector autoregression
William Roberds, Charles H. Whiteman
Recent studies have documented the existence of a "predictability smile" in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in...
Forecasting using relative entropy
John C. Robertson, Ellis W. Tallman, Charles H. Whiteman
The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for...
More unsettling evidence on the perfect markets hypothesis
David N. DeJong, Charles H. Whiteman
Forecasting ; Stock market
Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa.
Otrok, Christopher, Whiteman, Charles H
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by...
A Daily View of Yield Spreads and Short-Term Interest Rate Movements.
Roberds, William, Runkle, David, Whiteman, Charles H
Daily data on short-term interest rates are used to show how changes in Federal Reserve operating procedures have affected the term structure. Yield spreads were helpful in predicting short-term...
Monetary Aggregates as Monetary Targets: A Statistical Investigation.
Roberds, William, Whiteman, Charles H
In this paper, the authors analyze statistical properties of the monetary base, M1, and M2 for the postwar U.S. data record. The authors are specifically interested in answering three policy-related...
A new investigation of the impact of wage and price controls
originally appeared in the Federal Reserve Bank of Minneapolis Quarterly Review, Spring 1978
The power problems of unit root test in time series with autoregressive errors
DeJong, David N., Nankervis, John C., Savin, N. E., Whiteman, Charles H.
Neely, Christopher J, Roy, Amlan, Whiteman, Charles H
Is the risk-aversion parameter in the intertemporal consumption capital asset pricing model "small" as stated by Hansen and Singleton or is its reciprocal--the intertemporal elasticity of...
A Bayesian Approach to Calibration.
DeJong, David N, Ingram, Beth Fisher, Whiteman, Charles H
The authors develop a Bayesian approach to calibration which enables the incorporation of uncertainty regarding the parameters of the theoretical model under investigation. Their procedure involves...
Estimating Moving Average Parameters: Classical Pileups and Bayesian Posteriors.
DeJong, David N, Whiteman, Charles H
The authors analyze posterior distributions of the moving average parameter in the first-order case and sampling distributions of the corresponding maximum likelihood estimator. Sampling...
Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation
Christopher Otrok, B. Ravikumar, Charles H. Whiteman
We use recent statistical tests, based on a 'distance' between the model and the Hansen-Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models with time-separable...
Keynesian impulses versus Solow residuals: identifying sources of business cycle fluctuations
David N. DeJong, Beth F. Ingram, Charles H. Whiteman
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity shocks. The parameters of...
The Case for Trend-Stationarity Is Stronger Than We Thought.
DeJong, David N, Whiteman, Charles H
In DeJong and Whiteman (1991a), the authors concluded that 11 of the 14 macroeconomic time-series originally studied by Nelson and Plosser (1982) supported trend-stationarity. Phillips (1991)...
Keynes vs. Prescott and Solow: Identifying Sources of Business Cycle Fluctuations
David N. DeJong, Beth F. Ingram, Charles H. Whiteman
Who was closer to the source of business cycle fluctuations--Keynes or Prescott and Solow? Two types of business-cycle impulses which have been associated with their names -- marginal efficiency of...
Cyclical Implications of the Variable Utilization of Physical and Human Capital
David N. DeJong, Beth F. Ingram, Yi Wen, Charles H. Whiteman
We develop a business cycle model in which consumption goods, physical capital, and human capital are produced in separate sectors. An important feature of the model is that human and machine inputs...
Baynesian Leading Indicators: Measuring and Predicting Economic Conditions
Christopher Otrok, Charles H. Whiteman
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by...
Another hole in the ozone layer: changes in FOMC operating procedure and the term structure
William Roberts, David Runkle, Charles H. Whiteman
Open market operations ; Vector autoregression ; Monetary policy - United States
John Faust, Charles H. Whiteman
We characterize the LSE approach by its implications for reduced-form modeling and structural interpretations. Much of what has come to be associated with the LSE methodology involves the approach to...
Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era
Lewis, Kurt F., Whiteman, Charles H.
The track record of a sixteen-year history of density forecasts of state tax revenue in Iowa is studied, and potential improvements sought through a search for better performing “priors” similar...