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Average treatment effects for stayers with correlated random coefficient mode...
Correlated random coefficient (CRC) models provide a useful framework for estimating average treatment effects (ATE) with panel data by accommodating heterogeneous treatment... -
Fixed effects demeaning in the presence of interactive effects in treatment e...
The present paper shows that cross-section demeaning with respect to time fixed effects is more useful than commonly appreciated, in that it enables consistent and... -
Who benefits from privileged peers? Evidence from siblings in schools (replic...
By comparing siblings attending the same school at different points in time, we investigate whether the effect of peer quality on long-term labor market outcomes varies with... -
The role of startups for local labor markets (replication data)
There are substantial differences in startup activity across US local labor markets. We study the causes and consequences of these differences. Startup productivity shocks are... -
Multidimensional skills and the returns to schooling: Evidence from an intera...
This paper presents new evidence on returns to schooling based on an interactive fixed-effects framework that allows for multiple unobserved skills with potentially time-varying... -
Is deflation costly after all? The perils of erroneous historical classificat...
I estimate average economic activity during periods of inflation and deflation while accounting for measurement errors in 19th century prices. These measurement errors lead to... -
A distributional synthetic control method for policy evaluation (replication ...
We extend the synthetic control method to evaluate the distributional effects of policy intervention in the possible presence of poor matching. The counterfactuals (or... -
Complementary Bayesian method of moments strategies (replication data)
Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a... -
Comparing predictive accuracy in small samples using fixed‐smoothing asymptot...
We consider fixed-smoothing asymptotics for the Diebold and Mariano (Journal of Business and Economic Statistics, 1995, 13(3), 253-263) test of predictive accuracy. We show that... -
Exchange rate predictability and dynamic Bayesian learning (replication data)
We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive... -
Estimation of average treatment effects using panel data when treatment effec...
This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity... -
Mixed causal–noncausal autoregressions with exogenous regressors (replication...
Mixed causal-noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted... -
Common correlated effects estimation of heterogeneous dynamic panel quantile ...
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant... -
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... -
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... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional...
