This paper attempts to understand the forces that have lead to persistent racial wage inequality by developing a dynamic model of statistical discrimination that accounts for the transmission of earnings across generations. The parameters of this model are then estimated using data from the 1970...

This is the speech that Professor Granger gave at Nobel Prize Awards 2004

Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze...

While economists have long been interested in effects of health and human capital on productivity, less attention has been paid to the influence of time use. We investigate the productivity effects of the single largest use of time--sleep. Because sleep influences performance on memory...

This study examines evidence of structural breaks in models of predictable components in stock returns related to state variables such as the lagged dividend yield, Treasury bill rate, term spread and default premium. We examine a large set of size-and-industry-sorted profolios of US stocks as...

The paper studies whether immigration affects the probability of high school graduation of American-born minorities. Since both the costs and the benefits of education are likely to rise due to immigration, the direction of the impact is ambiguous. The paper uses pooled 1980 and 1990 Census data...

In order to construct prediction intervals without the combersome--and typically unjustifiable--assumption of Gaussianity, some form of resampling is necessary. The regression set-up has been well-studies in the literature but time series prediction faces additional difficulties. The paper at...

Previous estimates of the effect of unemployment on crime commonly omit determinants of criminal behavior that vary with the business cycle, creating correlation between unemployment rates and the residuals in aggregate crime regressions. In this paper, we employ several strategies that attempt...

Recent work in econometrics has provided large bandwidth asymptotic theory for taper-based studentized estimates of the mean, in the context of nonparametric estimation for serially correlated time series data. These taper-based statistics can be viewed as estimates of the spectral density at...

We evaluate whether driving restrictions improve air quality.  While Milan's restriction decreases overall air pollution, there is a significant behavioral response that attenuates the effect.  Our study expoits the natural experiment created by an unanticipated court injunction suspending...