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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... -
The impact of HIV/AIDS on human capital investment in Sub‐Saharan Africa: New...
The risk of AIDS-related mortality increased dramatically throughout the 1990s. This paper updates previous work by Fortson (2011) to examine the impact of mortality risk on... -
Ranking intersecting distribution functions (replication data)
Second-degree dominance has become a widely accepted criterion for ordering distribution functions according to social welfare. However, it provides only a partial ordering, and... -
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... -
Estimating household consumption insurance (replication data)
Blundell, Pistaferri, and Preston (American Economic Review, 2008, 98(5), 1887-1921) report an estimate of household consumption insurance with respect to permanent income... -
No‐arbitrage priors, drifting volatilities, and the term structure of interes...
We use a Bayesian vector autoregression with stochastic volatility to forecast government bond yields. We form the conjugate prior from a no-arbitrage affine term structure... -
Measurement of factor strength: Theory and practice (replication data)
This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The estimator is based on the number of statistically... -
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... -
Understanding women's wage growth using indirect inference with importance sa...
The goal of this work is to investigate the effects of time out of the labor market for childcare on women's lifecycle wage growth. We develop a dynamic lifecycle model of human... -
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... -
Measurement error in earnings data: Replication of Meijer, Rohwedder, and Wan...
Meijer, Rohwedder, and Wansbeek (MRW, Journal of Business & Economic Statistics, 2012) developed methods for prediction of a single earnings figure per worker from mixture... -
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... -
When are instruments generated from geographic characteristics in bilateral r...
In their highly influential paper, Does Trade Cause Growth,? Frankel and Romer estimate a trade equation to predict bilateral trade shares, which are in turn aggregated to... -
Counterfactual analysis under partial identification using locally robust ref...
Structural models that admit multiple reduced forms, such as game-theoretic models with multiple equilibria, pose challenges in practice, especially when parameters are set... -
How far can we forecast? Statistical tests of the predictive content (replica...
We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h?. The forecast may result from a survey of forecasters or... -
Testing monotonicity of conditional treatment effects under regression discon...
Researchers are often interested in the relationship between treatment effects and observed individual heterogeneity. This paper proposes the first nonparametric monotonicity... -
Combining shrinkage and sparsity in conjugate vector autoregressive models (r...
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models. But at the same time, they introduce the restriction that each equation... -
Measuring global economic activity (replication data)
A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has...
