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The shale revolution and shifting crude dynamics (replication data)
Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from... -
Estimation of a dynamic stochastic frontier model using likelihood‐based appr...
This paper considers a panel stochastic production frontier model that allows the dynamic adjustment of technical inefficiency. In particular, we assume that inefficiency... -
Regional output growth in the United Kingdom: More timely and higher frequenc...
Output growth estimates for regions of the UK are currently published at an annual frequency only, released with a long delay, and offer limited historical coverage. To improve... -
The effect of oil supply shocks on US economic activity: What have we learned...
Estimated responses of real oil prices and US gross domestic product (GDP) to oil supply disruptions vary widely. We show that most variation is attributable to differences in... -
Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a... -
Interval censored regression with fixed effects (replication data)
This paper considers identification and estimation of a fixed-effects model with an interval-censored dependent variable. In each time period, the researcher observes the...
