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Spline Regression in the Presence of Categorical Predictors (replication data)
We consider the problem of estimating a relationship nonparametrically using regression splines when there exist both continuous and categorical predictors. We combine the... -
Replacing Sample Trimming with Boundary Correction in Nonparametric Estimatio...
Two-step nonparametric estimators have become standard in empirical auctions. A drawback concerns boundary effects which cause inconsistencies near the endpoints of the support... -
When Does the Stepping-Stone Work? Fixed-Term Contracts Versus Temporary Agen...
This paper emphasizes differences among short-term contracts in terms of career prospects. Using French data over the 2002-2010 period, we rely on a dynamic model with fixed... -
Combining Matching and Nonparametric Instrumental Variable Estimation: Theory...
We show how instrumental variable and matching estimators can be combined in order to identify a broader array of treatment effects. Instrumental variable (IV) estimators are... -
Gender-Biased Breastfeeding in Egypt: Examining the Fertility Preference Hypo...
Jayachandran and Kuziemko (Why do mothers breastfeed girls less than boys? Evidence and implications for child health in India. Quarterly Journal of Economics 2011; 126(3):... -
A New Utility-Consistent Econometric Approach to Multivariate Count Data Mode...
In the current paper, we propose a new utility-consistent modeling framework to explicitly link a count data model with an event-type multinomial-choice model. The proposed... -
Narrow Replication of ‘A Spatio-Temporal Model of House Prices in the Usa’ Us...
I narrowly replicate Holly et al.'s (Journal of Econometrics 2010; 158(1): 160-173) analysis of the housing market in the USA, using the open source R software instead of the... -
Simple Identification and Specification of Cointegrated Varma Models (replica...
We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the... -
Speculation in the Oil Market (replication data)
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price co-movement among different commodities. We assess whether... -
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (repl...
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing... -
Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting (re...
Factor models have been applied extensively for forecasting when high-dimensional datasets are available. In this case, the number of variables can be very large. For instance,... -
Macroeconomic Forecasting Performance under Alternative Specifications of Tim...
This paper compares alternative models of time-varying volatility on the basis of the accuracy of real-time point and density forecasts of key macroeconomic time series for the... -
Priors and Posterior Computation in Linear Endogenous Variable Models with Im...
In this paper we, like several studies in the recent literature, employ a Bayesian approach to estimation and inference in models with endogeneity concerns by imposing weaker... -
The Contribution of Structural Break Models to Forecasting Macroeconomic Seri...
This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the... -
Analysis of Hospital Production: An Output Index Approach (replication data)
In this study, we develop and implement an output index approach to the estimation of hospital cost functions that reflects the differentiated nature of hospital care. The... -
Regression Discontinuity Applications with Rounding Errors in the Running Var...
Many empirical applications of regression discontinuity (RD) models use a running variable that is rounded and hence discrete, e.g.?age in years, or birth weight in ounces. This... -
Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Cov...
Motivated by the need for a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a... -
A Bayesian Semiparametric Competing Risk Model with Unobserved Heterogeneity ...
This paper generalizes existing econometric models for censored competing risks by introducing a new flexible specification based on a piecewise linear baseline hazard,... -
Unraveling the Relationship Between Presidential Approval and the Economy: A ...
Empirical studies analyzing the determinants of US presidential popularity have delivered quite inconclusive results concerning the role of economic variables by assuming linear... -
Identification and Estimation of Engel Curves with Endogenous and Unobserved ...
When dealing with the estimation of Engel curves, measurement errors in expenditure data and simultaneity are likely sources of endogeneity. In this paper we study...
