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Default estimation, correlated defaults, and expert information (replication ...
Capital allocation decisions are made on the basis of an assessment of creditworthiness. Default is a rare event for most segments of a bank's portfolio and data information can... -
npRmpi: A package for parallel distributed kernel estimation in R (replicatio...
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The response of prices, sales, and output to temporary changes in demand (rep...
We determine empirically how automakers accommodate shocks to demand. Using data on production, sales, and transaction prices, we estimate a dynamic profit maximization model of... -
Measuring the diffusion of housing prices across space and over time (replica...
How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring... -
Regime shifts in stock-flow I(2)-I(1) systems: the case of US fiscal sustaina...
In the last two decades, fiscal sustainability has been tested through the use of non-stationary time series analysis. Two different approximations can be found in the... -
Intertemporal consumption choices, transaction costs and limited participatio...
This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the... -
A new poolability test for cointegrated panels (replication data)
This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution... -
Hierarchical Markov normal mixture models with applications to financial asse...
Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new... -
Dynamics of worker flows and vacancies: evidence from the sign restriction ap...
This paper establishes robust dynamic features of the worker reallocation process in the US labor market. I use structural VARs with sign restrictions, which take the form of... -
Default priors and predictive performance in Bayesian model averaging, with a...
Bayesian model averaging (BMA) has become widely accepted as a way of accounting for model uncertainty, notably in regression models for identifying the determinants of economic... -
Estimating intergenerational schooling mobility on censored samples: conseque...
In this paper we estimate the impact of parental schooling on child schooling, focus on the problem that children who are still in school constitute censored observations, and... -
An empirical model of mainframe computer investment (replication data)
This paper introduces a dynamic model of investment decisions in mainframe computer systems. I estimate and test the model using detailed micro data from a company in the... -
Mixed logit models: accuracy and software choice (replication data)
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