J. Huston McCulloch

Professor Emeritus, Economics
The Ohio State University

Vita (PDF format)

Adaptive Learning and Adaptive Least Squares

Taylor Rule 'Perils' and Constant Gain Learning July 17, 2025
Entrenched Inflation Report (updated monthly)
Adaptive Least Squares: Recursive Least Squares with Constant Noise-to-Signal Ratio Aug. 9, 2024
State Estimation with Stable Errors and Whisker Particles July 31, 2020
"Adaptive Least Squares Estimation of the Time-Varying Taylor Rule"
Learning About Stock Volatility:
The Local Scale Model with Homoskedastic Innovations
GAUSS program ALS.
Estimates a linear regression by Adaptive Least Squares, estimating signal/noise parameter by ML.
GAUSS program ACH.
Estimates Local Scale Model by ML.

Macroeconomics

"The Optimum Quantity of Money and the Zero Lower Bound," Cato Journal 38 (Spg./Sum. 2018): 428-445.
"Misesian Insights for Modern Macroeconomics" Quarterly Journal of Austrian Economics 17 (Spring 2014): 3-18.
"Misintermediation and Macroeconomic Fluctuations" Journal of Monetary Economics 8 (1981): 103-115.
"The Monte Carlo Cycle in Business Activity" Economic Inquiry 13 (1975): 303-321.

     Term Structure of Interest Rates

US Real Term Structure of Interest Rates with implicit forward inflation rates.

"A Reexamination of Traditional Hypotheses about the Term Structure: A Comment" Journal of Finance 48 (1993): 779-89.

The Monotonicity of the Term Premium: A Closer Look" Journal of Financial Economics 18 (1987).

"The Tax-Adjusted Yield Curve" Journal of Finance 30 (1975): 811-830.

"An Estimate of the Liquidity Premium" Journal of Political Economy 83 (1975): 95-119.

"Measuring the Term Structure of Interest Rates" Journal of Business 44 (1971): 19-31.

"The Inflation Premium Implicit in the U.S. Real and Nominal Term Structures of Interest Rates," with Levis A. Kochin, Ohio State University Working Paper No. 98-12, revised 9/2000.

McCulloch-Kwon U.S. Term Structure Data, with OSU Economics WP # 93-6.

Stable Distributions

It's not right to pick only what you like, but to take all of the evidence... -- Richard P. Feynman

State Estimation with Stable Errors and Whisker Particles July 31, 2020

"Extended Neyman Smooth Goodness-of-Fit Tests, Applied to Competing Heavy-Tailed Distributions" with E. Richard Percy, Jr.
J. Econometrics 172 (2013: 275-282.

"Estimation of Risk Neutral Measures using the Generalized Two-Factor Log-Stable Option Pricing Model" with Seung-Hwan Lee, March 2008.

"The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty,", June 2003.

"Estimation of the Bivariate Stable Spectral Representaiton by the Projection Method", Computational Economics 16 (2000): 47-62.

"Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks," with Prasad V. Bidarokota, Journal of Applied Econmetrics, 13,: 659-670 (1998).

"Linear Regression with Stable Disturbances," in R. Adler, R. Feldman, and M.S. Taqqu, eds., A Practical Guide to Heavy Tails. Birkhaeuser, Boston, 1998.

"Numerical Approximation of the Symmetric Stable Distribution and Density," in R. Adler, R. Feldman, and M.S. Taqqu, eds., A Practical Guide to Heavy Tails. Birkhaeuser, Boston, 1998.

"Measuring Tail Thickness to Estimate the Stable Index α: A Critique", Journal of Business & Economic Statistics 15 (1997): 74-81

"Financial Applications of Stable Distributions" Handbook of Statistics Vol. 14 (1996), Ch. 13.

"On the Parametrization of the Afocal Stable Distributions," Bulletin of the London Mathematical Society 28 (1996): 651-655.

"Simple Consistent Estimators of Stable Distribution Parameters," Communications in Statistics - Simulation and Computation 15 (1986): 1109-36.

"Interest Risk-Sensitive Deposit Insurance Premia: Stable ACH Estimates," Journal of Banking and Finance 9 (1985): 137-156.

"Continuous Time Processes with Stable Increments," Journal of Business 51 (1978): 601-619.

     Skew-Stable Investment Opportunity Set Webpage, 1999.

   McCulloch-Panton Skew-Stable Fractile Density Table (439 KB), as documented in JHM and Don B. Panton, "Precise Tabulation of the Maximally-Skewed Stable Distributions and Densities," Computational Statistics and Data Analysis vol. 23 (Jan. 1997), pp. 307-320. Corrected precisions per Geoff Robinson noted 9/26/05.

ON-LINE SOFTWARE

In GAUSS, most formerly at American University GAUSS Archive but now linked directly here.

STABOPT Computes log-Stable Option values by method of "The Risk-Neutral Measure under Log-Stable Uncertainty," linked above.

SMSTRG Symmetric stable regression package. (JHM, "Linear Regression with Stable Disturbances," in R. Adler, R. Feldman, and M.S. Taqqu, eds., A Practical Guide to Heavy Tails (Birkhaeuser, Boston, 1998.)

STAB Stable distribution parameter estimates by quantile method (JHM, "Simple Consistent Estimators of Stable Distribution Parameters", Commun. in Statist., 1986, 1109-36.

SYMSTB Symmetric Stable Distribution and Density approximation (JHM, "Numerical Approximation of the Symmetric Stable Distribution and Density," in Adler et al.)
RNDSSTA, RNDSTA. Stable distribution random number generators.

RNDKMSTA Long-Cycle stable distribution random number generator using the GAUSS 3.6+ rndKMu RNG.

STABMED. Roughly estimates stable distribution parameters by matching sample kurtosis and skewness to Monte Carlo median values.

In MATLAB

STABRND.M Stable distribution random number generator

In VS FORTRAN, at StatLib

SYMSTB
An R-compatible version is now available at Rmetrics.

Other stable distribution software on John Nolan's Page.

Nolan's program STABLE.EXE computes general stable cdf and pdf, and performs general stable ML.
DLLs for Nolan's program are available for a modest charge via Robust Analysis, Inc.
Mathematica version of Nolan's program, with Online graphic demo.

Bank Deposit Insurance

"Government Deposit Insurance and the Diamond-Dybvig Model," Geneva Papers on Risk and Insurance Theory 23 (1998): 139-149.

"Banking without Tax-Backed Deposit Insurance," Federal Reserve Bank of St. Louis Review, 25 (Jan./Feb. 1993): 18-21.

"Bank Regulation and Deposit Insurance," Journal of Business 59 (1986): 79-85.

"Interest Risk-Sensitive Deposit Insurance Premia: Stable ACH Estimates," Journal of Banking and Finance 9 (1985): 137-156.

Mortgages

"Risk Characteristics and Underwriting Standards for Price Level Adjusted Mortgages Versus Other Mortgage Instruments" Housing Finance Review 5 (1986): 65-97.

"PLAMS: Affordable Mortgages from Inflation-Proof Deposits" Federal Home Loan Bank of Cincinnati Quarterly Review 1982 (3): 2-6.

Utility Theory

"The Austrian Theory of the Marginal Use and of Ordinal Marginal Utility," Zeitschrift für Nationalökonomie 37 (1977): 249-280.

"An Austrian Proof of the Quasi-Concavity of Preferences: The Case of Two Independent Goods" with Jeffrey D. Smith. Boston College Working Paper, 1979.

Other Austrian materials

"The Austrian Theory of the Trade Cycle"
by Ludwig von Mises
Translated by David O'Mahoney and J. Huston McCulloch

History of Economic Thought
"Hegel, Marx, and Mises: The Hegelian Foundations of Dialectical Materialism" Working paper, 1977.

Industrial Organization

"PQ-Nash Duopoly: A Computational Characterization", May 2010.

"Is Antitrust Beneficial? Increasing Returns to Scale with Sunk Costs," March 1993.

Labor Economics

"An Economic Analysis of the Volunteer Military," in Studies Prepared for the President's Commission on an All-Volunteer Armed Force, GPO, November 1970.

"The Effect of a Minimum Wage Law in the Labour-Intensive Sector," Canadian Journal of Economics VII (1974): 316-19.

Time Series Econometrics

State Estimation with Stable Errors and Whisker Particles July 31, 2020

"Moment Ratio Estimation of Autoregressive/Unit Root Processes and Autocorrelation-Consistent Standard Errors," (unabridged version). Published, Computational Statistics and Data Analysis 100 (Aug. 2016): 712-733. DOI: 10.1016/j.csda.2015.07.003
"Signal Extraction Can Generate Volatility Clusters from IID Shocks"
with Prasad V. Bidarkota
Paper for 9th International Conference on Computing in Economics and Finance
Seattle, July 11-12, 2003
PDF format
"Generating Serially Uncorrelated Forecasts of Inflation by Estimating the Order of Integration Directly"
with Jeffrey A. Stec
(formerly "Proxying Inflation Forecasts with Fuller/Roy-Type Median Unbiased Near Unit Root Coefficient Estimates")
Paper for 6th International Conference on Computing in Economics and Finance
Barcelona, July 6-8, 2000
WORD format
Bidarkota-McCulloch Inflation Forecast Data (48 KB)

Equity Markets

"A Further Equity Premium Puzzle"
Paper for January 2000 Econometric Society Meetings, Boston
Asset Pricing I session, Jan. 9, 8:00 AM
WORD format

National Debt

"An Improved Balanced Budget Amendment"
The Independent Review 17 (Fall 2012): 219-25.

Social Security

"Let's Not Save Social Security"
Column in the Toledo Blade, 3/12/99, revised with 2000 figures.
"Double Delusion"
Letter to Wall St. Journal, 3/18/99.

Course Materials

Econ 520
Econ 640
Econ 641
Econ 821

Miscellaneous

Global Warming
Some Archaeological Outliers
"Banish the Dread Ohiomander!"
Newly rewritten in response to the 2012 Voters First Ohio proposal
Selected Letters to Editors
"A Statistical Model of Smallpox Vaccine Dilution"
by J. Huston McCulloch and James R. Meginniss
Boulder High School 1963 45th Reunion

Mail to: mcculloch.2@osu.edu

Retired from Economics Department
Ohio State University

Department Home Page
Personal Home Pages
Dept. of Finance, OSU Fisher School of Business

Return to top of this page.
If you have trouble accessing this page, contact J. Huston McCulloch at mcculloch.2@osu.edu.
Page revised 7/17/25.

This page received 7514 visits, 11/1/04 - 12/26/05.
Annoying free hitcounter removed, 12/26/05.