We investigate whether fluctuations in U.S. inflation rates are better described by infrequently occurring large shocks or by frequently occurring small shocks. We estimate a model that encompasses the two hypotheses within the framework of non-Gaussian state-space models. Our results indicate...

We investigate asymmetries in the conditional mean dynamics of U.S. GNP. Because the statistical evidence on nonlinearities in the conditional mean could be influenced by the presence of outliers or by a failure to model conditional heter oske dasticity, we explicitly account for outliers by...

This paper contributes to the empirical literature that tests the implications of risk sharing across regions or countries. Rather than test the null of full insurance, the estimation method produces a parameter that measures the fraction of the annuity value of individual income that...