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Confronting Price Endogeneity in a Duration Model of Residential Subdivision ...
Spatial equilibrium implies that distant factors are correlated with local prices through market mechanisms. Using this logic, we develop a novel approach for handling price... -
Testing for Predictability in panels with General Predictors (replication data)
The difficulty of predicting returns has recently motivated researchers to start looking for tests that are either more powerful or robust to more features of the data.... -
Euromind-D: A Density Estimate of Monthly Gross Domestic Product for the Euro...
EuroMInd- D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom-up approach, pooling the density estimates of 11 GDP components, by... -
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequenc...
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state-space representation is... -
Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Mode...
We develop a panel count model with a latent spatio-temporal heterogeneous state process for monthly severe crimes at the census-tract level in Pittsburgh, Pennsylvania. Our... -
The Millennium Peak in Club Convergence: A New Look at Distributional Changes...
This paper proposes an easy-to-use nonparametric indicator for club convergence, or convergence within clusters of countries: it measures whether the modes of the gross domestic... -
Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data (r...
Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the... -
Teacher Quality and Student Achievement: Evidence from a Sample of Dutch Twin...
This paper examines the causal link that runs from classroom quality to student achievement using data on twin pairs who entered the same school but were allocated to different... -
In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area (re...
This paper applies the DSGE-VAR methodology to assess the size of fiscal multipliers in the data and the relative contributions of two transmission mechanisms of government... -
Weak and Strong Cross-Sectional Dependence: A Panel Data Analysis of Internat...
This paper provides an econometric examination of technological knowledge spillovers among countries by focusing on the issue of error cross-sectional dependence, particularly... -
Tests of Predictive Ability for Vector Autoregressions Used for Conditional F...
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though... -
Dynare model code
The file contains the Dynare model code for: W. Roeger, L. Vogel: Horizontal Transfers and Consumption Smoothing in a Monetary Union, JBNS
