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Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Markov switching causality and the money-output relationship (replication data)
The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests... -
Nonlinearity in the Fed's monetary policy rule (replication data)
This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that... -
Aggregate vs. disaggregate data analysis—a paradox in the estimation of a mon...
We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was... -
Principal components at work: the empirical analysis of monetary policy with ...
The empirical analysis of monetary policy requires the construction of instruments for future expected inflation. Dynamic factor models have been applied rather successfully to... -
Inefficiency and heterogeneity in Turkish banking: 1990-2000 (replication data)
Recent studies have stressed the importance of privatization and openness to foreign competition for bank efficiency and economic growth. We study bank efficiency in Turkey, an...
