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Semiparametric estimation and variable selection for single‐index copula mode...
A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single-index copula,... -
Transitory and permanent shocks in the global market for crude oil (replicati...
This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of... -
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful f...
Induced sparsity in the factor loading matrix identifies the factor basis, while rotational identification is obtained ex post by clustering methods closely related to machine... -
Interpretation of point forecasts with unknown directive (replication data)
Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on... -
Did Protestantism promote prosperity via higher human capital? Replicating th...
This paper shows that the Becker-Woessmann reformulation of the Weber thesis-Protestants were more prosperous in 19th-century Prussia because they had higher human capital-is... -
Sparse change‐point VAR models (replication data)
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model... -
Is euro area lowflation here to stay? Insights from a time‐varying parameter ...
We build a time-varying parameter model that jointly explains the dynamics of euro area inflation and inflation expectations. Our goal is to explain the weak inflation during... -
Focused Bayesian prediction (replication data)
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is... -
Unobserved components with stochastic volatility: Simulation‐based estimation...
The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and forecasting... -
Multivariate fractional integration tests allowing for conditional heterosked...
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the... -
Bayesian estimation of the exact affine Stone index demand system: Replicatin...
This paper proposes a Bayesian approach to perform inference in the exact affine Stone index (EASI) demand system that was proposed by Lewbel and Pendakur (2009), while taking... -
Migration in China: To work or to wed? (replication data)
This paper develops a model encompassing both matching and hedonic models, studies its properties, and provides identification and estimation strategies. We bring the model to... -
Efficient minimum distance estimation of Pareto exponent from top income shar...
We propose an efficient estimation method for the income Pareto exponent when only certain top income shares are observable. Our estimator is based on the asymptotic theory of... -
Dynamic shrinkage in time‐varying parameter stochastic volatility in mean mod...
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity... -
Nonlinear effects of government spending shocks in the USA: Evidence from sta...
This paper uses state-level data to estimate the effect of government spending shocks during expansions and recessions. By employing a mixed-frequency framework, we are able to... -
Common correlated effect cross‐sectional dependence corrections for nonlinear...
This paper provides an approach to estimation and inference for nonlinear conditional mean panel data models, in the presence of cross-sectional dependence. We modify Pesaran's... -
Cointegration and control: Assessing the impact of events using time series d...
Control groups can provide counterfactual evidence for assessing the impact of an event or policy change on a target variable. We argue that fitting a multivariate time series... -
Real‐time detection of regimes of predictability in the US equity premium (re...
We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust)... -
Robust political economy correlates of major product and labor market reforms...
The political economy literature has put forward a multitude of hypotheses regarding the drivers of structural reforms, but few, if any, empirically robust findings have emerged...
