Suchergebnisse

"Although ARCH-related models have proven quite popular in finance, they are less frequently used in macroeconomic applications. In part this may be because macroeconomists are usually more concerned about characterizing the conditional mean rather than the conditional variance of a time series. This paper argues that even if one's interest is in the conditional mean, correctly modeling the conditional variance can still be quite important, for two reasons. First, OLS standard errors can be quite misleading, with a "spurious regression" possibility in which a true null hypothesis is asymptotically rejected with probability one. Second, the inference about the conditional mean can be inappropriately influenced by outliers and high-variance episodes if one has not incorporated the conditional variance directly into the estimation of the mean, and infinite relative efficiency gains may be possible. The practical relevance of these concerns is illustrated with two empirical examples from the macroeconomics literature, the first looking at market expectations of future changes in Federal Reserve policy, and the second looking at changes over time in the Fed's adherence to a Taylor Rule"--National Bureau of Economic Research web site

Arch T. Dotson, professor emeritus of government at Cornell
University, died April 6, 2006, at the age of 85. He had been sound of
mind and body virtually until the end, teaching until his voice was too
weak to be heard. A "country boy" born and bred in Paris,
Kentucky, he worked from his early teens on farms managed by his father.
Arch left for World War II just short of earning his B.A. from
Transylvania College and joined the Army Air Force as a "check
pilot," becoming a jock in every war plane up to the B-29.
Discharged with the rank of major, the GI Bill got him through his Harvard
Ph.D. and a post-doc at the London School of Economics. His entire
academic career was at Cornell, beginning in 1950, as a dedicated teacher,
serving beyond his retirement as a teacher, and, respectively, as director
of Cornell-in-Washington, director of Cornell Abroad, and director of the
Cornell Institute of Public Affairs.