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Wild Bootstrap Inference for Wildly Different Cluster Sizes (replication data)
The cluster robust variance estimator (CRVE) relies on the number of clusters being sufficiently large. Monte Carlo evidence suggests that the rule of 42 is not true for... -
Estimation and Solution of Models with Expectations and Structural Changes (r...
In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about... -
Forecasting With the Standardized Self‐Perturbed Kalman Filter (replication d...
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (Electronics Letters 1992; 28: 558-559) for the... -
Transitions at Different Moments in Time: A Spatial Probit Approach (replicat...
This paper adopts a spatial probit approach to explain interaction effects among cross-sectional units when the dependent variable takes the form of a binary response variable... -
A Social Interactions Model with Endogenous Friendship Formation and Selectiv...
This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social... -
Identifying the Independent Sources of Consumption Variation (replication data)
By representing a system of budget shares as an approximate factor model we determine its rank, i.e.?the number of common functional forms or factors, and we estimate a base of... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous... -
Cost and Preference Heterogeneity in Risky Financial Markets (replication data)
This paper estimates the magnitude of participation costs and preference parameters exploiting information on households? participation decisions in the equities market. A... -
Monetary Policy and the Housing Market: A Structural Factor Analysis (replica...
This paper studies the role of the Federal Reserve's policy in the recent boom and bust of the housing market, and in the ensuing recession. By estimating a structural dynamic... -
Has the Euro-Mediterranean Partnership Affected Mediterranean Business Cycles...
We date turning points of the reference cycle for 19 Mediterranean countries and analyze their structure and interdependencies. Fluctuations are volatile and not highly... -
crs: A PACKAGE FOR NONPARAMETRIC SPLINE ESTIMATION IN R (replication data)
crs is a library for R written by Jeffrey S. Racine (Maintainer) and Zhenghua Nie. This add-on package provides a collection of functions for spline-based nonparametric... -
From market shares to consumer types: Duality in differentiated product deman...
A widely applied method for differentiated product demand estimation, introduced by Berry, Levinsohn and Pakes in 1995, is founded on matching observed and theoretical market... -
Dynamic stochastic copula models: estimation, inference and applications (rep...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with... -
GMM with many weak moment conditions: Replication and application of Newey an...
In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. Econometrica 2009; 77(3): 687-719) propose a new variance estimator for... -
npRmpi: A package for parallel distributed kernel estimation in R (replicatio...
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Dating and forecasting turning points by Bayesian clustering with dynamic str...
The information contained in a large panel dataset is used to date historical turning points and to forecast future ones. We estimate groups of series with similar time series... -
The effect of seasonal adjustment on the properties of business cycle regimes...
We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically,... -
Is gravity linear? (replication data)
Despite the solid theoretical foundation on which the gravity model of bilateral trade is based, empirical implementation requires several assumptions which do not follow... -
Long-run trends in internal migrations in italy: a study in panel cointegrati...
The objective of this paper is to examine the long-run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap... -
How well do Markov switching models describe actual business cycles? The case...
The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs...
