
Causal ordering and ‘The bank lending channel’ (replication data)
The bank lending channel implies the Federal Reserve can influence real income by controlling the level of intermediated loans. Using the notion of causality developed by Simon... 
A general dependence test and applications (replication data)
We describe a test, based on the correlation integral, for the independence of a variable and a vector that can be used with serially dependent data. Monte Carlo simulations... 
Intertemporal substitution in import demand and habit formation (replication ...
To study nondurable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a twogood version of the lifecycle model in which we... 
Optimal univariate inflation forecasting with symmetric stable shocks (replic...
Monthly inflation in the United States indicates nonnormality in the form of either occasional big shocks or marked changes in the level of the series. We develop a univariate... 
Excess capacity: a permanent characteristic of US airlines? (replication data)
This paper examines the permanence of excess capacity in the US airline industry. To avoid the problems with the standard engineering measure of capacity utilization, load... 
Ethnic wage differences in Malaysia: parametric and semiparametric estimation...
Parametric and semiparametric estimated wage equations, which correct for sample selection bias, are used to assess the returns to eduction and extent of ethnic discrimination... 
A comparison of parametric and semiparametric estimates of the effect of spou...
Health insurance in the USA for most of the nonaged population is provided as a fringe benefit that is received by an adult family member as part of his or her compensation... 
Testing the predictive value of subjective labour supply data (replication data)
Empirical implementation of labour supply theories is usually based on actual hours of work. This requires strong assumptions on the impact of labour demand. To avoid these... 
Individual demands from household aggregates: time and age variation in the c...
This paper uses nonparametric regression with smoothness induced by imposition of a roughness penalty to estimate timedependent relationships between age and intakes of... 
Semiparametric analysis of German EastWest migration intentions: facts and t...
EastWest migration in Germany peaked at the beginning of the 1990s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyse... 
Semiparametric estimation and consumer demand (replication data)
This paper considers the implementation of semiparametric methods in the empirical analysis of consumer demand. The application is to the estimation of the Engel curve... 
Intrahousehold resource allocation in rural Pakistan: a semiparametric analys...
We estimate semiparametric Engel curves for rural Pakistan using a large household survey. This allows us to obtain consistent estimates of the effects of household size and... 
The age profile of mobility measures: an application to earnings in West Germ...
This paper develops a technique for estimating ageprofiles of earnings mobility using conditional kernel density estimation and establishes their statistical properties. Both... 
Robustness tests of the augmented Solow model (replication data)
This paper demonstrates some techniques for testing the robustness of crosssection and panel data regressions, and applies them to the influential augmented Solow growth model.... 
An analysis of technology, productivity, and regulatory distortion in the int...
The purpose of this paper is to provide the first comprehensive firm level analysis of cost structures and production in the interstate pipeline industry during the transition... 
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the... 
Stylized facts of daily return series and the hidden Markov model (replicatio...
In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of... 
Substitution, risk aversion, taste shocks and equity premia (replication data)
This paper gauges the relative contribution of risk aversion, intertemporal substitution and taste shocks on postwar monthly US equity premia. The timevarying consumption,... 
A threshold errorcorrection model for intraday futures and index returns (re...
Indexfutures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated... 
Identifying the source of dynamics in disaggregated import data (replication ...
This paper uses Kennan's (1988) model to separately identify supplyside and demandside dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply...