In this paper, we propose a parametric spectral estimation procedure for constructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research, and we...

We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott...

We develop and quantitatively implement a dynamic general equilibrium model with labor market matching and endogenous job destruction. The model produces a close match with data on job creation and destruction. Cyclical fluctuations in the job destruction rate serve to magnify the effects of...

In this paper, I analyze the comovement of US prices and output in the postwar period. I use a new set of statistics to characterize the comovement between variables. The statistics capture important information about the dynamics in the system. The estimation procedure does not require...