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Endogenous censoring in the mixed proportional hazard model with an applicati...
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment... -
Macroeconomic forecast accuracy in a data‐rich environment (replication data)
The performance of six classes of models in forecasting different types of economic series is evaluated in an extensive pseudo out-of-sample exercise. One of these forecasting... -
Large time‐varying parameter VARs: A nonparametric approach (replication data)
In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic... -
Likelihood evaluation of models with occasionally binding constraints (replic...
Applied researchers interested in estimating key parameters of dynamic stochastic general equilibrium models face an array of choices regarding numerical solution and estimation... -
Decomposing the effects of monetary policy using an external instruments SVAR...
We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward... -
Hidden group patterns in democracy developments: Bayesian inference for group...
We propose a nonparametric Bayesian approach to estimate time-varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme... -
Estimation in a generalization of bivariate probit models with dummy endogeno...
The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common... -
Two applications of wild bootstrap methods to improve inference in cluster‐IV...
Microeconomic data often have within-cluster dependence, which affects standard error estimation and inference. When the number of clusters is small, asymptotic tests can be... -
Tax shocks with high and low uncertainty (replication data)
We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative series by Romer and Romer... -
Exogenous uncertainty and the identification of structural vector autoregress...
We provide necessary and sufficient conditions for the identification (point-identification) of structural vector autoregressions (SVARs) with external instruments considering... -
Mostly harmless simulations? Using Monte Carlo studies for estimator selectio...
We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that... -
Tests of asset pricing with time‐varying factor loads (replication data)
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and... -
Mixed‐frequency models with moving‐average components (replication data)
Temporal aggregation in general introduces a moving-average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are... -
Monetary policy, housing rents, and inflation dynamics (replication data)
In this paper we study the effect of monetary policy shocks on housing rents. Our main finding is that, in contrast to house prices, housing rents increase in response to... -
The demand for season of birth (replication data)
We study the determinants of season of birth for married women aged 20-45 in the USA, using birth certificate and Census data. We also elicit the willingness to pay for season... -
Testing for time variation in the natural rate of interest (replication data)
This paper replicates in a wider sense the unobserved components model of Laubach and Williams (Review of Economics and Statistics, 2003, 85, 1063-1070) to estimate the natural... -
Heterogeneity in risk aversion and risk sharing regressions (replication data)
Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that,... -
The response of asset prices to monetary policy shocks: Stronger than thought...
Standard macroeconomic theory predicts rapid responses of asset prices to monetary policy shocks. Small-scale vector autoregressions (VARs), however, often find sluggish and...
