**Published & Forthcoming**

**Duration-Driven Returns**, with Niels J. Gormsen, June 2022

Forthcoming, * Journal of Finance *

**The Size–Power Tradeoff in HAR Inference**, with James H. Stock and Daniel J. Lewis, September 2021

Abstract **+** | Online Appendix | Working Paper Version *(with additional results)* | Replication Files

*b*” critical values. We also provide a frontier for the subset of these tests for which the fixed-

*b*distribution is

*t*or

*F*. These frontiers are respectively achieved by the QS kernel and equal-weighted periodogram. The frontiers have simple closed-form expressions, which upon evaluation show that the price paid for restricting attention to tests with

*t*and

*F*critical values is small. The frontiers are derived for the Gaussian multivariate location model, but simulations suggest the qualitative findings extend to stochastic regressors.

* Econometrica* (2021), Vol. 89, No. 5, 2497–2516

**HAR Inference: Recommendations for Practice**, with James H. Stock, Daniel J. Lewis, and Mark W. Watson, October 2018

Abstract **+** | Replication Files

*b*critical values, can substantially reduce size distortions, at only a modest cost in (size-adjusted) power. Empirical practice, however, has not kept up. This article therefore draws on the post-Newey–West/Andrews literature to make concrete recommendations for HAR inference. We derive truncation parameter rules that choose a point on the size-power tradeoff to minimize a loss function. If Newey–West tests are used, we recommend the truncation parameter rule

*S*= 1.3

*T*

^{1/2}and (nonstandard) fixed-

*b*critical values. For tests of a single restriction, we find advantages to using the equal-weighted cosine (EWC) test, where the long run variance is estimated by projections onto Type-II cosines, using ν = 0.4

*T*

^{2/3}cosine terms; for this test, fixed-

*b*critical values are, conveniently,

*t*

_{ν}or

*F*. We assess these rules using first an ARMA/GARCH Monte Carlo design, then a dynamic factor model design estimated using 207 quarterly U.S. macroeconomic time series.

* Journal of Business & Economic Statistics* (2018), Vol. 36, No. 4, 541–559

**Spatial Clustering During Memory Search**, with Jonathan F. Miller, Sean M. Polyn, and Michael J. Kahana, May 2013 *(from a previous life!)*

* Journal of Experimental Psychology: Learning, Memory, and Cognition* (2013), Vol. 39, No. 3, 773–781

**Working Papers & Work in Progress**

**Does the Market Understand Time Variation in the Equity Premium?**, with Mihir Gandhi and Niels J. Gormsen, October 2022

**A New Test of Excess Movement in Asset Prices**, with Ned Augenblick, August 2022

Abstract **+** | Online Appendix | Slides

* Replaces & subsumes “Restrictions on Asset-Price Movements Under Rational Expectations: Theory and Evidence” (previous draft)*

**Horizon-Dependent Risk Pricing: Evidence from Short-Dated Options**, March 2019

**High Valuations and Low Growth: Low-Frequency Evidence in the Time Series and Cross Section**, 2022