Topics in Time-Series Econometrics and Applied Macroeconomics

将时间序列统计技术应用于宏观经济学，使经济学家能够检验宏观经济数据中是否存在商业周期和其他重要的动态规律。该项目包括时间序列计量经济学和应用宏观经济学四个主题的工作。第一个主题旨在提出计量经济学方法，用于分析暗示多周期条件矩限制的模型。这些方法被应用于分析非线性资产定价模型的含义。第二个主题是构建和测试季节性的结构模型。这一分析应该会加强我们对经济时间序列中观察到的显著季节性成分的来源的理解。第三个主题是扩展耐用品定价模型的类别，并分析这些模型的数量含义。特别关注的是耐用品分配影响资产价格的模型。第四个主题是发展计量经济学方法来分析波动和资产价格的连续时间模型。在其他方面，这些方法和模型有助于我们理解不稳定的信息流，以及衡量的消费中的随时间聚合与偏好中的局部持久性之间的相互作用。

The application of time-series statistical techniques to macroeconomics enables economists to test for the presence of business cycles and other important dynamic regularities in macroeconomic data. This project consists of work on four topics in time-series econometrics and applied macroeconomics. The first topic is aimed at advancing econometric methods for analyzing models that imply multi-period conditional moment restrictions. These methods are applied in analyzing the implications of nonlinear asset pricing models. The second topic is to build and test structural models of seasonality. This analysis should enhance our understanding of the sources of the pronounced seasonal components observed in economic time series. The third topic is to extend the class of models of durable goods pricing and analyze the quantitative implications of these models. Particular attention is focused on models in which the distribution of durable goods influences asset prices. The fourth topic is to develop econometric methods for analyzing continuous time models of fluctuations and asset prices. Among other things, these methods and models aid our understanding of lumpy information flows and the interaction between aggregation- over-time in measured consumption and local durability in preferences.