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Decomposing economic mobility transition matrices (replication data)
We present a decomposition method for transition matrices to identify forces driving the persistence of economic status across generations. The method decomposes differences... -
Predicting crude oil prices: Replication of the empirical results in “What do...
In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian (Journal of Applied Econometrics, 2010, 25(4),... -
Estimating the effects of the minimum wage in a developing country: A density...
This paper proposes a framework to identify the effects of the minimum wage on the joint distribution of sector and wage in a developing country. I show how the discontinuity of... -
Estimating the distribution of welfare effects using quantiles (replication d...
This paper proposes a framework to model welfare effects that are associated with a price change in a population of heterogeneous consumers. The framework is similar to that of... -
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize... -
Weak-instrument robust inference for two-sample instrumental variables regres...
Instrumental variable (IV) methods for regression are well established. More recently, methods have been developed for statistical inference when the instruments are weakly... -
Sequentially testing polynomial model hypotheses using power transforms of re...
We provide a methodology for testing a polynomial model hypothesis by generalizing the approach and results of Baek, Cho, and Phillips (Journal of Econometrics, 2015, 187,... -
Difference-in-differences when the treatment status is observed in only one p...
This paper considers the difference-in-differences (DID) method when the data come from repeated cross-sections and the treatment status is observed either before or after the... -
A sequential Monte Carlo approach to inference in multiple‐equation Markov‐sw...
Vector autoregressions with Markov-switching parameters (MS-VARs) offer substantial gains in data fit over VARs with constant parameters. However, Bayesian inference for MS-VARs... -
Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space...
The predictive likelihood is useful for ranking models in forecast comparison exercises using Bayesian inference. We discuss how it can be estimated, by means of... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
Modeling Financial Sector Joint Tail Risk in the Euro Area (replication data)
We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is... -
Estimation of Poverty Transition Matrices with Noisy Data (replication data)
This paper investigates measurement error biases in estimated poverty transition matrices. We compare transition matrices based on survey expenditure data to transition matrices... -
How to Identify and Forecast Bull and Bear Markets? (replication data)
Because the state of the equity market is latent, several methods have been proposed to identify past and current states of the market and forecast future ones. These methods... -
Sharp IV Bounds on Average Treatment Effects on the Treated and Other Populat...
In the presence of an endogenous binary treatment and a valid binary instrument, causal effects are point identified only for the subpopulation of compliers, given that the... -
The Early Millennium Slowdown: Replicating the Peersman (2005) Results (repli...
This paper undertakes both a narrow and wide replication of the constant coefficients vector autoregression (VAR) identified with sign restrictions considered by Peersman... -
Forecasting Tail Risks (replication data)
This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data... -
Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand (rep...
Least-squares estimates of the response of gasoline consumption to a change in the gasoline price are biased toward zero, given the endogeneity of gasoline prices. A seemingly... -
Average and Marginal Returns to Upper Secondary Schooling in Indonesia (repli...
This paper estimates average and marginal returns to schooling in Indonesia using a semiparametric selection model. Identification of the model is given by geographic variation... -
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Cho...
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality...
