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Testing for cointegration using the Johansen approach: are we using the corre...
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are... -
Forecasting realized volatility: a Bayesian model-averaging approach (replica...
How to measure and model volatility is an important issue in finance. Recent research uses high-frequency intraday data to construct ex post measures of daily volatility. This... -
On reproducible econometric research (replication data)
Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open-source... -
A semiparametric model for binary response and continuous outcomes under inde...
This paper formulates a likelihood-based estimator for a double-index, semiparametric binary response equation. A novel feature of this estimator is that it is based on density... -
The pervasive absence of compensating differentials (replication data)
We study the relation between individual preferences for job amenities (e.g., type of work, job security) and compensating wage differentials in cross-section. To this end, we... -
Evaluating the dynamic employment effects of training programs in East German...
This study analyzes the employment effects of training in East Germany. We propose and apply an extension of the widely used conditional difference-in-differences estimator....
