IN THIS SUPPLEMENT, we provide several supporting results that are used in the main paper. In Section S.1, we provide a general local expected-utility result for mixture-averse preferences that nests Proposition 1 in the main paper as a special case. In Section S.2, we establish the relationship between mixture-averse preferences and several prominent non-expected-utility theories, including rank-dependent utility, betweenness, disappointment aversion, and cautious expected utility. Section S.3 describes the implications of preference for diversification for insurance demand, and discusses how preference for diversification is equivalent to risk aversion for either rank-dependent utility or any preference that is quasiconcave in probabilities. Section S.4 establishes the existence of a value function for the optimal risk attitude representation. Proofs are contained in Section S.5.

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Supplement to "Risk Preferences and the Macroeconomic Announcement Premium"

This zip file contains the replication files for the manuscript.

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Supplement to "Risk Preferences and the Macroeconomic Announcement Premium"

IN THIS SUPPLEMENT, we provide details of the proofs omitted in the main text and the appendices of the paper. In Section S.1, we prove the equivalence between the Arrow– Debreu setup and the sequential market setup in the two-period model. Section S.2 contains details of the certainty equivalent functionals of dynamic preferences that Theorems 1 and 2 allow for and the associated A-SDF. Section S.3 provides details of the continuous time model in Section 5 of the paper.

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Supplement to "Alternative Asymptotics for Cointegration Tests in Large VARs"

This zip file contains all MATLAB files used in the Monte Carlo analysis. It also contains supplementary material for Onatski and Wang (2017). The appendix is lined up with sections in the main text to make it easy to locate the required proofs.

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Supplement to "A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models"

This zip file contains the replication files for the manuscript as well as three online appendices with material not found within the manuscript.

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Supplement to "Uncertainty Shocks in a Model of Effective Demand: Comment"

This zip file has the replication files for the comment.

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Supplement to "Uncertainty Shocks in a Model of Effective Demand: Comment"

This supplement extends our analysis along three dimensions. One, it provides additional analytical results that show how the specification of the preference shock in recursive, Epstein and Zin (1991), preferences affects equilibrium outcomes. Two, it explores the implications of using a risk premium shock instead of a preference shock and additively separable preferences in consumption and leisure. Three, it conducts further sensitivity analysis on the parameters.

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