Branch Rickey’s Equation Fifty Years Later (2008)
Ray C. Fair, Danielle Catambay
NINE: A Journal of Baseball History and Culture - Volume 17, Number 1, Fall 2008
THE SHORT-RUN DEMAND FOR WORKERS AND HOURS (2008)
I. Johnston, J. Sandee, R. H. Strotz, J. Tinbergen, P. J. Verdoorn, Ray C. Fair
This series consists of a number of hitherto unpublished studies, which are introduced by the editors in the belief that they represent fresh contributions to economic science. The term economic...
A Comparison of the Michigan and Fair Models: Further Results (2008)
This chapter examines the equation-by-equation accuracy of the Michigan Quarterly Econometric Model (MQEM) and the Fair model using the method in Fair (1980). Emphasis is placed on examining the...
3 Estimated Tradeoffs Between Unemployment and Inflation (2008)
An important question in macroeconomics is the size of the tradeoff between unemployment and inflation. I have been asked by the organizers of this symposium to consider this question, and so this is...
CHAPTER 6 A Comparison of the Michigan and Fair (2008)
Ray C. Fair, Lewis S. Alexander
This chapter compares the predictive accuracy of the Michigan and Fair models using the method developed in Fair (1980). These models are compared to each other and to an eighth-order autoregressive...
COMPUTATIONAL METHODS FOR MACROECONOMETRIC MODELS (2008)
3. Two stage least squares 146
part of this publication may be reproduced, stored in a retreival system, or transmitted in any form or by any means, electronic, mechanical, photocopy, recording or otherwise, without the prior...
CHAF?-ER SIX On Modeling the Economic Linkages among Countries (2008)
This chapter is concerned with modeling the economic linkages among countries. Although there are by now a number of multicountry macro-econometric models in existence, it seems safe to say with...
The Report of the President’s Commission on Financial Structure and Regula&n [19] (hereafter the Hunt Report) recommends important changes in the regulation, supervision, and operation of all...
Properties of a Multicountry Econometric Model (2008)
A general description of my multicountry econometric model is presented in this paper. A two-country theoretical model is presented first. This model is then used to motivate the specification of the...
THE SHORT-RUN DEMAND FOR WORKERS AND HOURS (2008)
I. Johnston, J. Sandee, R. H. Strotz, J. Tinbergen, P. J. Verdoorn, Ray C. Fair
This series consists of a number of hitherto unpublished studies, which are introduced by the editors in the belief that they represent fresh contributions to economic science. The term economic...
3 Estimating Event Probabilities from Macroeconometric Models Using Stochastic Simulation (2008)
Government policymakers and business planners are interested in knowing
COMPUTING MEDIAN UNBIASED ESTIMATES IN MACROECONOmTRIC MODELS (2008)
A stochastic simulation procedure is proposed in this papa for obtaining median unbiased (Mu) estimates in macroeconometric models. MU estimates are computed for lagged dependent variable (LDV)...
SOURCES OF ECONOMIC FLUCTUATIONS IN THE UNITED STATES* (2008)
There has been much recent discussion ahout the ultimate sources of macroeco-nomic variability. A number ofauthors attribute most of this variability to only B few sowces, sometimes only one....
HOW FAST DO OLD MEN SLOW DOWN? (2008)
Abrtmcr-An important question in the study of aging con-cerns the rate at which people physically deteriorate with age. HOW much, for example. CB ~ be physically expected of, say, a healthy,...
Harvard Economic Service (HES) issued (2008)
M. Dominguez, Ray C. Fair, Matthew D. Shapiro
War the Depression forecastable? After the Crash, how long should it haue taken contemporary forecasters to realize how severe the downturn was going to be? Data assembled by the Harvard and Yale...
November 1990 THE EFFECT OF ECONOMIC EVENTS ON VOTES FOR PRESIDENT: 1988 UPDATE by (2008)
Ray C. Fair, Cowles Foundation
The equation that I have developed explaining votes for president predicted the 1988 election very well, and, as will be seen, updating the equation through the 1988 election has very little effect...
I. Introduction Inflation and Unemployment in a Macroeconometric Model (2008)
The main question of this conference is why there has recently been both
Estimated Age Effects in Baseball (2008)
Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more "full-time" years in the major leagues...
Estimated Age Effects in Baseball (2008)
Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more "full-time" years in the major leagues...
Estimated Age Effects in Baseball (2008)
Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more "full-time" years in the major leagues...
Estimated Age Effects in Baseball (2008)
Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more "full-time" years in the major leagues...
This paper uses a multicountry econometric model to estimate what the inflation costs would have been had German monetary policy reduced European unemployment in the 1982:1–1990:4 period. A...
Estimates of the Effectiveness of Monetary Policy (2007)
This paper examines various interest rate rules, including rules derived by solving optimal control problems, for their ability to dampen economic fluctuations caused by random shocks. A tax rate...
Estimates of the Effectiveness of Monetary Policy (2007)
This paper examines various interest rate rules, including rules derived by solving optimal control problems, for their ability to dampen economic fluctuations caused by random shocks. A tax rate...
Explaining the Labor Force Participation of Women 20-24 (2007)
Ray C. Fair, Diane J. Macunovich
Between the mid 1960s and the late 1970s there was a remarkable rise in the labor force participation of women and then a leveling off that has persisted through the mid 1990s. This paper attempts to...
This paper evaluates the type of exchange rate equations that are part of the multicountry economtric model in Fair (1994). Two equations are analyzed— one estimated for the dollar/yen rate and one...
Is There Empirical Support for the (2007)
This paper argues that the basic model of the ‘modern ’ view of macroeconomics appears to be a poor approximation of the actual economy. 1
A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best? (2007)
This paper examines the performances of the past five Federal Reserve chairmen using optimal control techniques and a macroeconometric model. Each chairman is evaluated in two ways. The first way is...
A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best? (2007)
This paper examines the performances of the past five Federal Reserve chairmen using optimal control techniques and a macroeconometric model. Each chairman is evaluated in two ways. The first way is...
A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best? (2007)
This paper examines the performances of the past five Federal Reserve chairmen using optimal control techniques and a macroeconometric model. Each chairman is evaluated in two ways. The first way is...
A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best? (2007)
This paper examines the performances of the past five Federal Reserve chairmen using optimal control techniques and a macroeconometric model. Each chairman is evaluated in two ways. The first way is...
Policy Effects in the Post Boom U.S. Economy (2005)
The paper analyzes the question why the U.S. economy in the 2000:4--2004:3 period was sluggish in light of the large expansionary fiscal and monetary policies that took place. The answer does not...
Policy Effects in the Post Boom U.S. Economy (2005)
The paper analyzes the question why the U.S. economy in the 2000:4--2004:3 period was sluggish in light of the large expansionary fiscal and monetary policies that took place. The answer does not...
Policy Effects in the Post Boom U.S. Economy (2005)
The paper analyzes the question why the U.S. economy in the 2000:4--2004:3 period was sluggish in light of the large expansionary fiscal and monetary policies that took place. The answer does not...
Policy Effects in the Post Boom U.S. Economy (2005)
The paper analyzes the question why the U.S. economy in the 2000:4--2004:3 period was sluggish in light of the large expansionary fiscal and monetary policies that took place. The answer does not...
Estimates of the Effectiveness of Monetary Policy (2005)
Journal of Money, Credit, and Banking - Volume 37, Number 4, August 2005
Natural Concepts in Macroeconomics (2005)
Ragnar Frisch proposed in 1936 a procedure for estimating natural variable values by modifying what are now called structural macroeconometric models. This paper shows that Frisch’s procedure can...
Bootstrapping Macroeconometric Models (2003)
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
Bootstrapping Macroeconometric Models (2003)
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
Bootstrapping Macroeconometric Models (2003)
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
Bootstrapping Macroeconometric Models (2003)
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
Shock Effects on Stocks, Bonds and Exchange Rates (2003)
Tick data and newswire searches are used to find events that led to large and rapid changes in a stock future, a bond future, and three exchange rate futures. Knowledge of these events may be useful...
College Football Rankings and Market Efficiency (2003)
The results in this paper show that various college football ranking systems have useful independent information for predicting the outcomes of games. Optimal weights for the systems are estimated,...
On Modeling the Effects of Inflation Shocks (2002)
A popular model in the literature postulates an interest rate rule, a NAIRU price equation, and an aggregate demand equation in which aggregate demand depends on the real interest rate. In this model...
On Modeling the Effects of Inflation Shocks (2002)
A popular model in the literature postulates an interest rate rule, a NAIRU price equation, and an aggregate demand equation in which aggregate demand depends on the real interest rate. In this model...
On Modeling the Effects of Inflation Shocks (2002)
A popular model in the literature postulates an interest rate rule, a NAIRU price equation, and an aggregate demand equation in which aggregate demand depends on the real interest rate. In this model...
On Modeling the Effects of Inflation Shocks (2002)
A popular model in the literature postulates an interest rate rule, a NAIRU price equation, and an aggregate demand equation in which aggregate demand depends on the real interest rate. In this model...
Risk Aversion and Stock Prices (2002)
This paper uses data on companies that have been in the S&P 500 index since 1957 to examine whether risk aversion has decreased since 1995. The evidence suggests that it has not. There is no...
Bootstrapping Macroeconometric Models (2001)
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
Testing the NAIRU model for the United States (2000)
This paper tests, using U.S. data, the dynamics implied by the NAIRU view of the relationship between inflation and the unemployment rate. The results are somewhat sensitive to the measure of...
Estimated, Calibrated, and Optimal Interest Rate Rules (2000)
Estimated, calibrated, and optimal interest rate rules are examined for their ability to dampen economic fluctuations caused by random shocks. A tax rate rule is also considered. The results show...
Estimated Stabilization Costs of the EMU (1998)
A multicountry econometric model and stochastic simulation are used to estimate the stabilizntion costs of the European Monetary Union (EMU). A measure of the variability of output and other...
Principios de microeconomía / Karl E. Case, Ray C. Fair (1997)
Case, Karl E, Fair, Ray C, González Ruíz, Angel Carlos
Traducción de: Principles of microeconomics
Principios de macroeconomía / Karl E. Case, Ray C. Fair (1997)
Case, Karl E, Fair, Ray C, Mercado González, Enríque
Traducción de: Principles of macroeconomics
Principles of microeconomics / Karl E. Case, Ray C. Fair, Thomas M. Beveridge (1994)
Case, Karl E, Fair, Ray C, Beveridge, Thomas M
Incluye bibliografía e índice
Library of Congress Cataloging-in-Publication Data (1994)
This book is printed on acid-free paper, and its binding materials have been chosen for strength and durability.
Library of Congress Cataloging-in-Publication Data (1994)
This book is printed on acid-free paper, and its binding materials have been chosen for strength and durability.
Fundamentos de economía / K.E. Case, Ray C. Fair; tr. por Pilar Mascaró Sacristán. (1993)
Traducción de: Principles of economics
Fundamentos de economía / Karl E. Case, Ray C. Fair (1993)
Traducción de: Principles of economics
The Informational Content of Ex Ante Forecasts (1989)
Ray C. Fair, Robert J. Shiller
Abstract--The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and...
This article updates through the 1992 election the equatiun originally presented in
A theory of extramarital affairs (1978)
In this paper a model is deseloped that explains the allocation OF an individual’s tirnc among work and two types of leisure activities: time spent with spouse, and time spent with paramour. Data...
Disequilibrium in Housing Models (1972)
The housing and mortgage markets have long been considered to be markets that may not always be in equilibrium, and many econometric models of the housing and mortgage markets have tried in one way...
A short-run forecasting model of the United States economy / Ray C. Fair (1971)
Incluye bibliografía
Sales Expectations and Short-Run Production Decisions,” The Southern Economic Journal, XXXVli (1971)
Because firms are likely to try to smooth production relative to sales, current produc-tion decisions should depend in part upon expected future sales. Unfortunately, the one extensive empirical...
Natural Concepts in Macroeconomics
Ragnar Frisch proposed in 1936 a procedure for estimating natural variable values by modifying what are now called structural macroeconometric models. This paper shows that Frisch’s procedure can...
Branch Rickey’s Equation Fifty Years Later
Ray C. Fair, Danielle Catambay
This paper analyzes Branch Rickey's 1954 equation in a regression context. The results for 1934--1953 are consistent with Rickey's conclusions, and the equation holds up well when extended 51 years....
College Football Rankings and Market Efficiency
The results in this paper show that various college football ranking systems have useful independent information for predicting the outcomes of games. Optimal weights for the systems are estimated,...
Risk Aversion and Stock Prices
This paper uses data on companies that have been in the S&P 500 index since 1957 to examine whether risk aversion has decreased since 1995. The evidence suggests that it has not. There is no evidence...
Testing for a New Economy in the 1990s
This paper examines how much structural change there was in the U.S. economy in the last half of the 1990s. The results are consistent with the hypothesis that there was only one major structural...
Estimated Age Effects in Athletic Events and Chess
Rates of decline are estimated using record bests by age for chess and for various track and field, road running, and swimming events. Using a fairly flexible functional form, the estimates show...
Predicting Electoral College Victory Probabilities from State Probability Data
A method is proposed in this paper for predicting Electoral College victory probabilities from state probability data. A "ranking" assumption about dependencies across states is made that greatly...
Policy Effects in the Post Boom U.S. Economy
The paper analyzes the question why the U.S. economy in the 2000:4-2004:3 period was sluggish in light of the large expansionary fiscal and monetary policies that took place. The answer does not...
The Effect of Economic Events on Votes for President: 1992 Update
This paper updates through the 1992 election the equation originally presented in Fair (1978) explaining votes for president. Conditional predictions of the 1996 election are also made.
Testing the Standard View of the Long-Run Unemployment-Inflation Relationship
The results in this paper, based on estimating and testing price equations for 30 countries, do not support the standard view of the long-run relationship between unemployment and inflation. They...
Estimates of the Effectiveness of Monetary Policy
This paper examines various interest rate rules, as well as policies derived by solving optimal control problems, for their ability to dampen economic fluctuations caused by random shocks. A tax rate...
Bootstrapping Macroeconometric Models
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
The Great Gatsby: Yale, Princeton, Columbia, Harvard, Oxford
Where did Fitzgerald get the idea of having Clay's Economics reside in Nick Carraway's library?
Estimation of Polynomial Distributed Lags and Leads with End Point Constraints
Andrews, Donald W.K., Fair, Ray C.
This paper considers the use of the Polynomial Distributed Lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed,...
Estimated Age Effects in Baseball
Age effects in baseball are estimated in this paper using a nonlinear fixed-effects regression. The sample consists of all players who have played 10 or more "full-time" years in the major leagues...
Inference in Econometric Models with Structural Change
This paper extends the classical Chow (1960) test for structural change in linear regression models to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald,...
Effects of the Changing U.S. Age Distribution on Macroeconomic Equations
Ray C. Fair, Kathryn M. Dominguez
The effects of the changing U.S. age distribution on various macroeconomic equations are examined in this paper. The equations include consumption, money demand, housing investment, and labor force...
The Informational Content of Ex Ante Forecasts
Ray C. Fair, Robert J. Shiller
The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller...
Estimated Inflation Costs Had European Unemployment Been Reduced in the 1980s by Macro Prices
This paper uses a multicountry econometric model to estimate what the inflation costs would have been if macropolicies had reduced European unemployment in the 1982:1-1990:4 period. A "non-NAIRU"...
This paper evaluates a particular set of equations for the dollar/yen and dollar/mark exchange rates. The forecasts from the equations dominate both forecasts from the random walk model and forecasts...
The Cowles Commission Approach, Real Business Cycle Theories, and New Keynesian Economics
The Cowles Commission approach is reviewed and compared to the approaches of real business cycle (RBC) theorists and new Keynesian economists. It is argued that RBC models are not tested in a serious...
A Comparison of the Michigan and Fair Models: Further Results
This paper examines the equation-by-equation accuracy of the Michigan and Fair model using the method in Fair (1980). Emphasis is placed on examining the possible misspecification of the equations....
Forecasting the Depression: Harvard Versus Yale
Ray C. Fair, Matthew D. Shapiro, Kathryn M. Dominguez
Was the Depression forecastable? After the Crash, how long did it take contemporary economic forecasters to realize how severe the downturn was going to be? How long should it have taken them to come...
Interest Rate and Exchange Rate Determination
It is well known that modeling exchange rates is difficult. Meese and Rogoff's (1983) results show that a random walk model performs as well as or better than a variety of structural models, where...
International Evidence on the Demand for Money
One of the current questions in the literature on the demand for money is whether the adjustment of actual to desired money holdings is in nominal or real terms. This paper describes a simple...
The Effect of Economic Events on Votes for President: 1984 Update
In previous work I have developed an equation explaining votes for president in the United States that seems to have a remarkable predictive ability. The purpose of this paper is to update this...
Econometric Modeling as Information Aggregation
Ray C. Fair, Robert J. Shiller
The information contained in the forecasts from two econometric models can be compared by regressing the actual change in the variable forecasted on the two forecasts of the change. We do such...
The Production Smoothing Model Is Alive and Well
Monthly data in physical units for seven industries are used to examine the production smoothing hypothesis. The results strongly support this hypothesis. Significant effects of expected future sales...
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is...
Inflationary Expectations and Price Setting Behavior
This paper tests for the existence of expectational effects in very disaggregate price equations. Price equations are estimated using monthly data for each of 40 products. The dynamic specification...
How Fast Do Old Men Slow Down?
This study uses data on men's track and field and road racing records by age to estimate the rate at which men slow down with age. For most of the running events (400 meters through the half...
Estimates of the Effectiveness of Monetary Policy.
This paper examines various interest rate rules, as well as policies derived by solving optimal control problems, for their ability to dampen economic fluctuations caused by random shocks. A tax rate...
A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best?
This paper examines the performances of the past five Federal Reserve chairmen using optimal control techniques and a macroeconometric model. Each chairman is evaluated in two ways. The first way is...
Evaluating Inflation Targeting Using a Macroeconometric Model
This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing...
Interpreting the Predictive Uncertainty of Elections
This paper provides an interpretation of the uncertainty that exists at the beginning of the day of an election as to who will win. It is based on the theory that there are a number of possible...
Presidential and Congressional Vote-share Equations
Three vote-share equations are estimated and analyzed in this paper, one for presidential elections, one for on-term House elections, and one for mid-term House elections. The sample period is...
A Multicountry Econometric Model (Revised)
A multi-country econometric model is presented in this paper. The theoretical basis of the model is discussed in Fair (l979a), and the present paper is an empirical extension of this work. The model...
Estimated Output, Price, Interest Rate, and Exchange Rate Linkages amongCountries
This paper provides quantitative estimates of the output, price, interest rate, and exchange rate linkages among a number of countries. The econometric model that is used for this purpose is...
Estimated Effects of Relative Prices on Trade Shares
Estimated effects of relative prices on trade shares are presented in this paper for 64 countries. The equations are estimated using pooled time series, cross section data under the assumption that...
A Comment on Feldstein's Fisher-Schultz Lecture
Feldstein argues in his Fisher-Schultz Lecture that he has found, by accounting for inflation and taxes, large and significant rate of return effects on investment. His results are interesting...
Excess Labor and the Business Cycle
This paper compares the Medoff-Fay estimates of labor hoarding during troughs, which are based on data from manufacturing plants, with aggregate estimates of excess labor on hand.The two sets of...
Effect of Expected Future Government Deficits on Current Economic Activity
This paper considers that possibility that expected future government deficits directly affect economic decisions, in particular the decisions of the Federal Reserve. Some evidence is presented in...
The Use of Expected Future Variables in Macroeconometric Models
A more sophisticated expectational hypothesis than is traditionally used in the specification of macroeconometric models is tested in this paper. Economic agents are assumed to use a vector of...
Interest Rate and Exchange Rate Determination
Since Meese and Rogoff's (1983) results, the view has become fairly widespread that structural models of exchange rates are not very good. There is, however, somewhat of a dichotomy in the literature...
Optimal Choice of Monetary Policy Instruments in a Macroeconometric Model
This paper uses stochastic simulation and my U.S. econometric model to examine the optimal choice of monetary policy instruments. Are the variances, covariances, and parameters in the model such as...
Forecasting the Depression: Harvard Versus Yale
Ray C. Fair, Matthew D. Shapiro, Kathryn M. Dominguez
Was the Depression forecastable? After the Crash, how long did it take contemporary economic forecasters to realize how severe the downturn was going to be? How long should it Have taken them to come...
International Evidence on the Demand for Money
One of the current questions in the literature on the demand for money is whether the adjustment of actual to desired money holdings is in nominal or real terms. This paper describes a simple...
Sources of Output and Price Variability in a Macroeconometric Model
There has been much recent discussion about the ultimate sources of macroeconomic variability. A number of authors attribute most of this variability to only a few sources, sometimes only one....
VAR Models as Structural Approximations
This paper presents a way of estimating how accurate VAR models are likely to be for answering structural questions. Data are generated from a dynamic deterministic solution of a structural model; a...
The Informational Content of Ex Ante Forecasts
Ray C. Fair, Robert J. Shiller
The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller...
Inflationary Expectations and Price Setting Behavior
This paper tests for the existence of expectational effects in very disaggregate price equations. Price equations are estimated using monthly data for each of 40 products. The dynamic specification...
The Production Smoothing Model is Alive and Well
Monthly data in physical units for seven industries are used to examine the production smoothing hypothesis. The results strongly support this hypothesis. Significant effects of expected future sales...
Estimated Macroeconomic Effects of Deficit Targeting
Somemacroeconomic effects of deficit targeting are estimated in thispaper using my U.S. econometric model. The response of the economy to realand price shocks is examined in a number of cases. Each...
Estimated Trade-Offs Between Unemployment and Inflation
Three models of price and wage behavior are estimated and tested in this paper. Model 1 is one in which the long-run trade-off between unemployment and inflation is in terms of price levels; Model 2...
Does Monetary Policy Matter? Narrative Versus Structural Approaches
This paper compares results from the narrative approach of Romer and Romer (1989) to those from the structural approach regarding the effects of monetary policy on real output. The results from both...
Econometric Modeling as Information Aggregation
Ray C. Fair, Robert J. Shiller
A forecast produced by an econometric model is a weighted aggregate of predetermined variables in the model. In many models the number of predetermined variables used is very large, often exceeding...
Effects of the Changing U.S. Age Distribution on Macroeconomic Equations
Ray C. Fair, Kathryn M. Dominguez
The effects of the changing U.S. age distribution on various macroeconomic equations are examined in this paper. The equations include consumption, money demand, housing investment, and labor force...
A Comparison of FIML and Robust Estimates of a Nonlinear Macroeconomic Model
The prediction accuracy of six estimators of econometric models are compared. Two of rthe estimators are ordinary least squares (OLS) and full-information maximum likelihood. (FML). The other four...
How inflation and unemployment are related in both the short run and long run is perhaps the key question in macroeconomics. This paper tests various price equations using quarterly U.S. data from...
Evaluating Inflation Targeting Using a Macroeconometric Model
This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing...
On Modeling the Effects of Inflation Shocks
A popular model in the literature postulates an interest rate rule, a NAIRU price equation, and an aggregate demand equation in which aggregate demand depends on the real interest rate. In this model...
Effects of the Changing U.S. Age Distribution on Macroeconomic Equations.
Fair, Ray C, Dominguez, Kathryn M
The effects of the changing U.S. age distribution on various macroeconomic equations are examined in this paper. The equations include consumption, housing-investment, money-demand, and...
Econometrics and Presidential Elections.
This paper discusses an econometric equation that explains votes for president as a function of economic events and incumbency information. The history of the equation is reviewed, the update after...
The Cowles Commission approach, real business cycles theories, and New- Keynesian economics
Ray C. Fair, Arnold Zellner (ary)
Business cycles ; Keynesian economics
Estimated, Calibrated, and Optimal Interest Rate Rules
Estimated, calibrated, and optimal interest rate rules are examined for their ability to dampen economic fluctuations caused by random shocks. A tax rate rule is also considered. The results show...
Estimating Term Structure Equations Using Macroeconomic Variables
This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are formed....
Estimating Exchange Rate Equations Using Estimated Expectations
This paper takes a somewhat different approach from the recent literature in estimating exchange rate equations. It assumes uncovered interest rate parity and models how expectations are formed....
Evaluating Alternative Monetary Policy Rules
This paper examines monetary policy from an optimal control perspective. Three loss functions are minimized for each of three models, and the results are compared. The three loss functions target...
Is Monetary Policy Becoming Less Effective?
This paper estimates the amount by which the effectiveness of monetary policy in changing real output has declined due to the increased size of the federal government debt.
Estimates of the Bias of Lagged Dependent Variable Coefficient Estimates in Macroeconomic Equations
A stochastic-simulation method is proposed in this paper for obtaining median unbiased estimates of lagged dependent variable coefficients in macroeconomic models. Estimated biases for 13 equations...
VAR Models as Structural Approximations
This paper presents a way of estimating how accurate VAR models are likely to be for answering structural questions. Data are generated from a dynamic deterministic solution of a structural model; a...
Optimal Choice of Monetary Policy Instruments in a Macroeconometric Model
It has been nearly twenty years since Poole (1970) wrote his classic article on the optimal choice of monetary policy instruments in a stochastic IS-LM model. Poole assumed that the monetary...
Sources of Output and Price Variability in a Macroeconometric Model
There has been much recent discussion about the ultimate sources of macroeconomic variability. Shiller (1987) surveys this work, where he points out that a number of authors attribute most of output...
The Use of Expected Future Variables in Macroeconometric Models
A more sophisticated expectational hypothesis than is traditionally used in the specification of macroeconometric models is tested in this paper. Economic agents are assumed to use a vector of...
Explaining the Labor Force Participation of Women 20-24
Ray C. Fair, Diane J. Macunovich
Between about the mid 1960s and the late 1970s there was a remarkable rise in the labor force participation of women and then a leveling off that has persisted through the mid 1990s. This paper...
The Great Gatsby: Yale, Princeton, Columbia, Harvard, Oxford
Where did Fitzgerald get the idea of having Clay's Economics reside in Nick Carraway's library?
Inference in Nonlinear Econometric Models with Structural Change.
Andrews, Donald W K, Fair, Ray C
This paper extends the classical test for structural change in line ar regression models (see Chow\1960\) to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald,...
Comparing Information in Forecasts from Econometric Models.
Fair, Ray C, Shiller, Robert J
The information contained in one model's forecast compared to that in another can be assessed from a regression of actual values on predicted values from the two models. The authors do this for...
Forecasting the Depression: Harvard versus Yale.
Dominguez, Kathryn M, Fair, Ray C, Shapiro, Matthew D
Was the Depression forecastable? After the crash, how long should it have taken contempo rary forecasters to realize how severe the downturn was going to be? These questions are addressed by studying...
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations.
A computationally feasible method for the full information maximum-likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is...
Actual Federal Reserve policy behavior and interest rate rules
A popular way to approximate Federal Reserve policy is through the use of estimated interest rate equations, or policy "rules." In these rules, the dependent variable is the interest rate that the...
Estimated tradeoffs between unemployment and inflation
Inflation (Finance) ; Unemployment ; Econometric models
Computing Median Unbiased Estimates in Macroeconometric Models.
A stochastic simulation model is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for the lagged dependent variable (LDV)...
Sources of Economic Fluctuations in the United States.
There has been much recent discussion about the ultimate sources of macroeconomic variability. A number of authors attribute most of this variability to only a few sources, sometimes only one. Altho...
Testing the NAIRU Model for the United States
This paper tests, using U.S. data, the dynamics implied by the NAIRU view of the relationship between inflation and the unemployment rate. The results are somewhat sensitive to the measure of...
How Fast Do Old Men Slow Down?
An important question in the study of aging concerns the rate at which people physically deteriorate with age. How much, for example, can be physically expected of, say, a healthy, non-injured...
Inflationary Expectations and Price Setting Behavior.
This paper tests for the existence of expectational effects in very disaggregate price equations. Price equations are estimated using monthly data for each of forty products. The dynamic...
The Informational Context of Ex Ante Forecasts.
Fair, Ray C, Shiller, Robert J
The informational content of different forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We use the procedure in Fair and Shiller...
International Evidence on the Demand for Money.
One of the current questions in the literature on the demand for money is whethe r the adjustment of actual to desired money holdings is in nominal or real terms. This paper describes a simple...
Testing the Rational Expectations Hypothesis in Macroeconometric Models.
The rational expectations hypothesis is tested by nesting equations without rational expectations within those with rational expectations. This reduces to whether certain variables in an equation are...
Tick data on the S&P 500 futures contract and newswire searches are used to match events to large five minute stock price changes. 58 events that led to large stock price changes are identified...
Shock Effects on Stocks, Bonds, and Exchange Rates
Tick data and newswire searches are used to find events that led to large and rapid changes in a stock future, a bond future, and three exchange rate futures. Knowledge of these events may be useful...
The Great Gatsby: Yale, Princeton, Columbia, Harvard, Oxford
Where did Fitzgerald get the idea of having Clay's Economics reside in Nick Carraway's library?
Is There Empirical Support for the 'Modern' View of Macroeconomics?
This paper argues that the basic model of the 'modern' view of macroeconomics appears to be a poor approximation of the actual economy.
Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations
This paper presents a computationally feasible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty...
Estimates of the Effectiveness of Monetary Policy
This paper examines various interest rate rules, including rules derived by solving optimal control problems, for their ability to dampen economic fluctuations caused by random shocks. A tax rate...
Bootstrapping Macroeconometric Models
This paper outlines a complete bootstrapping approach to the estimation and analysis of macroeconometric models. It combines the bootstrapping literature initiated by Efron (1979) and the stochastic...
Tick data on the S&P 500 futures contract and newswire searches are used to match events to large one- to five-minute stock price changes. 69 events that led to large stock price changes are...
Comparing the Predictive Information Content of College Football Rankings
The method in Fair and Shiller (1990) is used in this paper to compare the predictive information content of various college football ranking systems. The results show that a number of systems have...
Risk Aversion and Stock Prices
This paper uses data on companies that have been in the S&P 500 index since 1957 to examine whether risk aversion has decreased since 1995. The evidence suggests that it has not. There is no evidence...
Testing for a New Economy in the 1990s
This paper examines how much structural change there was in the U.S. economy in the last half of the 1990s. The results are consistent with the hypothesis that there was only one major structural...
Evaluating Inflation Targeting Using a Macroeconometric Model
This paper uses a structurally estimated macroeconometric model, denoted the MC model, to evaluate inflation targeting in the United States. Various interest rate rules are tried with differing...
Estimated Effects of the October 1979 Change in Monetary Policy on the 1980 Economy
On October 6. 1979, the Federal Reserve announced what most people interpreted as a change in monetary policy. The purpose of this paper is to estimate the effects of this change on the 1980-81...
The Effect of Economic Events on Votes for President: 1984 Update
In previous work I have developed an equation explaining votes for president in the United States that seems to have a remarkable predictive ability. In this paper the equation is updated through the...
How Fast Do Old Men Slow Down?
This study uses data on men's track and field and road racing records by age to estimate the rate at which men slow down with age. For most of the running events (400 meters through the half...
The Cowles Commission Approach, Real Business Cycle Theories, and New Keynesian Economics
The Cowles Commission approach is reviewed and compared to the approaches of real business cycle (RBC) theorists and new Keynesian economists. It is argued that RBC models are not tested in a serious...
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models
A solution method and an estimation method for nonlinear rational expectations models are presented in this paper. The solution method can be used in forecasting and policy applications and can...
Estimation of Polynomial Distributed Lags and Leads with End Point Constraints
This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed,...
Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation
This paper shows how probability questions can be answered within the context of macroeconometric models by using stochastic simulation. One can estimate, for example, the probability of a recession...
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is...
Tick data on the Standard and Poor's 500 Stock Index (S&P 500) futures contract and newswire searches are used to match events to large 1- to 5-minute stock price changes. Sixty-nine events that led...
How inflation and unemployment are related in both the short run and long run is perhaps the key question in macroeconomics. This paper tests various price equations using quarterly U.S. data from...
The Internet has greatly expanded the way in which large-scale structural macroeconometric models can be used and disseminated. Thisnote describes a site that has been created for this...
Estimating Term Structure Equations Using Macroeconomic Variables
This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are formed....
Estimating Exchange Rate Equations Using Estimated Expectations
This paper takes a somewhat different approach from the recent literature in estimating exchange rate equations. It assumes uncovered interest rate parity and models how expectations are formed....
Analyzing Macroeconomic Forecastability
This paper examines whether recessions and booms are forecastable under the assumption that equity prices, housing prices, import prices, exports, and random shocks are not. Each of the 214...
Possible Macroeconomic Consequences of Large Future Federal Government Deficits
This paper uses a macroeconometric model of the U.S. economy to analyze possible macroeconomic consequences of the large future federal government deficits. The analysis has the advantage of...
There have been a number of recent papers arguing that there has been considerable convergence in macro research and to the good. This paper considers the question whether what has been converged to...
Bootstrapping Macroeconometric Models
This paper outlines a bootstrapping approach to the estimation and analysis of macroeconometric models. It integrates for dynamic, nonlinear, simultaneous equation models the bootstrapping approach...
A Comparison of Five Federal Reserve Chairmen: Was Greenspan the Best?
This paper examines the performances of the past five Federal Reserve chairmen using optimal control techniques and a macroeconometric model. Each chairman is evaluated in two ways. The first way is...
Policy Effects in the Post Boom U.S. Economy
The paper analyzes the question why the U.S. economy in the 2000:4--2004:3 period was sluggish in light of the large expansionary fiscal and monetary policies that took place. The answer does not...
On Modeling the Effects of Inflation Shocks
A popular model in the literature postulates an interest rate rule, a NAIRU price equation, and an aggregate demand equation in which aggregate demand depends on the real interest rate. In this model...