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Robust inference under time‐varying volatility: A real‐time evaluation of pro...
In many forecast evaluation applications, standard tests as well as tests allowing for time-variation in relative forecast ability build on... -
The role of precautionary and speculative demand in the global market for cru...
Contemporary structural models of the global market for crude oil jointly specify precautionary and speculative demand shocks as a composite shock, named a storage demand shock.... -
Generalized band spectrum estimation with an application to the New Keynesian...
This paper proposes a new method for estimating linear dynamic structural models. The proposed generalized band spectrum estimator (GBSE) generalizes band spectrum regression to... -
Nowcasting tail risk to economic activity at a weekly frequency (replication ...
This paper focuses on nowcasts of tail risk to GDP growth, with a potentially wide array of monthly and weekly information used to produce nowcasts on a weekly basis. We... -
Identifying factor‐augmented vector autoregression models via changes in shoc...
This study proposes a method to identify factor-augmented vector autoregression models without imposing uncorrelatedness or any timing restrictions among observed and unobserved... -
Small world: Narrow, wide, and long replication of Goyal, van der Leij and Mo...
I undertake a narrow, wide, and long replication of Goyal, van der Leij and Moraga-Gonzélez (2006, https://doi.org/10.1086/500990). Using social network analysis, they show that... -
Measuring real activity using a weekly economic index (replication data)
This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus... -
How to estimate a vector autoregression after March 2020 (replication data)
This paper illustrates how to handle a sequence of extreme observations-such as those recorded during the COVID?19 pandemic-when estimating a vector autoregression, which is the... -
A regularization approach to common correlated effects estimation (replicatio...
Cross-section average-augmented panel regressions introduced by Pesaran (2006) have been a popular empirical tool to estimate panel data models with common factors. However, the... -
Revisiting Sweden's comprehensive school reform: Effects on education and ear...
We revisit a Swedish comprehensive school reform first evaluated by Meghir and Palme (2005). This reform increased years of schooling and abolished tracking. We extend the... -
Early‐life famine exposure, hunger recall, and later‐life health (replication...
We use newly collected individual-level hunger recall information from the China Family Panel Survey to estimate the causal effect of undernourishment on later-life health. We... -
The impact of product and labour market reform on growth: Evidence for OECD c...
We examine the impact of labour and product market reforms on economic growth in 25 OECD countries between 1985 and 2013, and tests whether this impact is conditioned by the... -
The global component of inflation volatility (replication data)
Global developments play an important role for domestic inflation rates. Earlier literature has found that a substantial amount of the variation in a large set of national... -
The dynamic interdependence in the demand of primary and emergency secondary ...
This paper develops an extension of the class of finite mixture models for longitudinal count data to the bivariate case by using a hidden Markov chain approach. The model... -
Does model complexity add value to asset allocation? Evidence from machine le...
This study evaluates the benefits of integrating return forecasts from a variety of machine learning and forecast combination methods into an out-of-sample asset allocation... -
(Un)expected monetary policy shocks and term premia (replication data)
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on... -
Nonparametric tests of tail behavior in stochastic frontier models (replicati...
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded... -
Real estate agents influence on housing search (replication data)
This paper investigates different mechanisms for real estate agents? influence in housing search. Using residential listing data, I find descriptive evidence suggesting an... -
Large devaluations and inflation inequality: Replicating Cravino and Levchenk...
In the aftermath of large devaluations, prices of tradable goods/lower-priced varieties increase significantly more than the prices of nontradables/higher-priced varieties.... -
Common factors of commodity prices (replication data)
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a...
