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Conducting inference in semiparametric duration models under inequality restr...
Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by... -
Estimating the discount rate policy reaction function of the monetary authori...
This paper estimates a policy rule that explains the sign and the magnitude of the Federal Reserve's (Fed's) discount rate changes. It sets out a two-sided Type II Tobit model... -
Applied econometrics rankings: 1989-1995 (replication data)
This paper ranks academic institutions by publication activity in applied econometrics over the period 1989-1995. Fourteen leading international journals that publish applied... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Testing the significance of income distribution changes over the 1980s busine...
Using kernel density estimation we describe the distribution of household size-adjusted real income and how it changed over the business cycle of the 1980s in the United States... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the...
