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Spotting the Danger Zone: Forecasting Financial Crises With Classification Tr...
This paper introduces classification tree ensembles (CTEs) to the banking crisis forecasting literature. I show that CTEs substantially improve out-of-sample forecasting... -
Global Credit Risk: World, Country and Industry Factors (replication data)
We investigate the dynamic properties of systematic default risk conditions for firms in different countries, industries and rating groups. We use a high-dimensional nonlinear... -
Skewness Risk and Bond Prices (replication data)
This paper uses extreme value theory to study the implications of skewness risk for nominal loan contracts in a production economy. Productivity and inflation innovations are... -
Wild Bootstrap Inference for Wildly Different Cluster Sizes (replication data)
The cluster robust variance estimator (CRVE) relies on the number of clusters being sufficiently large. Monte Carlo evidence suggests that the rule of 42 is not true for... -
Subjective Well‐Being and Income: A Re‐Examination of Satiation Using the Reg...
A methodological challenge in testing Easterlin's paradox, which states that increasing income fails to boost happiness beyond a satiation point, lies in the determination of... -
Estimation and Solution of Models with Expectations and Structural Changes (r...
In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about... -
Penalized Quantile Regression with Semiparametric Correlated Effects: An Appl...
This paper proposes new ?1?penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. Existing... -
Forecasting With the Standardized Self‐Perturbed Kalman Filter (replication d...
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (Electronics Letters 1992; 28: 558-559) for the... -
Differences Between Classical and Bayesian Estimates for Mixed Logit Models: ...
The mixed logit model is widely used in applied econometrics. Researchers typically rely on the free choice between the classical and Bayesian estimation approach. However,... -
Transitions at Different Moments in Time: A Spatial Probit Approach (replicat...
This paper adopts a spatial probit approach to explain interaction effects among cross-sectional units when the dependent variable takes the form of a binary response variable... -
Conventional Monetary Policy Transmission During Financial Crises: An Empiric...
This paper studies the effects of a conventional monetary policy shock in the USA during times of high financial stress. The analysis is carried out by introducing a smooth... -
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at t...
Appropriate real-time forecasting models for the US retail price of gasoline yield substantial reductions in the mean-squared prediction error (MSPE) at horizons up to 2 years... -
Absenteeism, Gender and the Morbidity–Mortality Paradox (replication data)
Women are, on average, more often absent from work for health reasons than men, but live longer. This conflicting pattern suggests that the gender absenteeism gap arises partly... -
Does online availability increase citations? A replication study of McCabe an...
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Does Social Media Increase Labour Productivity?
Social media applications such as wikis, blogs or social networks are being increasingly applied in firms. These applications can be used for external communication and internal...
