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Modelling dependence using skew t copulas: Bayesian inference and application...
We construct a copula from the skew t distribution of Sahu et al. (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few... -
Nonparametric estimation of the impact of taxes on female labor supply (repli...
This paper proposes a simple extension of nonparametric estimation methods for nonlinear budget-set models derived in Blomquist and Newey (2002) to censored dependent variables.... -
Revealing the preferences of the US Federal Reserve (replication data)
We use Bayesian methods to estimate changes in US post-war monetary policy in the Smets and Wouters model. We perform the estimations by allowing for a break in monetary policy... -
Improved instrumental variables estimation of simultaneous equations under co...
In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We... -
Estimation of nonlinear models with mismeasured regressors using marginal inf...
We consider the estimation of nonlinear models with mismeasured explanatory variables, when information on the marginal distribution of the true values of these variables is... -
Modelling heterogeneity and dynamics in the volatility of individual wages (r...
This paper presents a model for the heterogeneity and dynamics of the conditional mean and conditional variance of individual wages. A bias-corrected likelihood approach, which...
