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Smoothed binary regression quantiles (replication data)
This paper extends results regarding smoothed median binary regression to general smoothed binary quantile regression, discusses the interpretation of the resulting estimators... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Partially overlapping time series: a new model for volatility dynamics in com...
In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time... -
Projection pursuit regression and disaggregate productivity effects: the case...
Productivity of blast furnaces in India is studied by disaggregating the production process and the utilization process. A dimension-reducing nonparametric approach-projection... -
Health insurance and savings over the life cycle—a semiparametric smooth coef...
Individuals save for future uncertain health care expenses. This is less efficient than pooling health risk through insurance. The provision of comprehensive health insurance... -
Why were changes in the federal funds rate smaller in the 1990s? (replication...
We identify two major changes in the dynamics of the federal funds rate in the 1990s. We model the desired rate in a two-regime setting, one when the Fed makes no change and the... -
A finite-sample hierarchical analysis of wage variation across public high sc...
Using data from both the National Longitudinal Survey of Youth (NLSY) and High School and Beyond (HSB), we investigate if public high schools differ in the production of... -
Party loyalty as habit formation (replication data)
In most democracies, at least two out of any three individuals vote for the same party in sequential elections. This paper presents a model in which vote-persistence is partly... -
On detrending and cyclical asymmetry (replication data)
This paper considers the issue of testing for symmetry of the business cycle. It is demonstrated that findings of symmetry should be interpreted with caution since tests tend to... -
Estimation of sons' intergenerational earnings mobility in the presence of ce...
Based on intergenerational data from the Panel Study of Income Dynamics, I provide estimates of income mobility across generations for men. Special attention is paid to issues... -
Crack spread hedging: accounting for time-varying volatility spillovers in th...
Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A... -
Estimating shocks and impulse response functions (replication data)
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or... -
Descriptive econometrics for non-stationary time series with empirical illust...
Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with... -
Bounds testing approaches to the analysis of level relationships (replication...
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known... -
Small-system modelling of real wages, inflation, unemployment and output per ...
The relationships between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994 are modelled using a cointegrated vector autoregression. There... -
European integration and monetary transmission mechanisms: the case of Italy ...
The focus in this paper is on the monetary transmission mechanism in Italy and how it has changed with the increased independence of the Italian Central Bank and the... -
Modelling UK inflation, 1875-1991 (replication data)
UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological... -
Earnings, unemployment, and housing in Britain (replication data)
This paper models regional earnings and unemployment in the ten regions of Great Britain between 1972 and 1995, paying particular attention to their interaction and to the... -
An I(2) analysis of inflation and the markup (replication data)
An I(2) analysis of Australian inflation and the markup is undertaken within an imperfect competition model. It is found that the levels of prices and costs are best... -
Keynesian impulses versus Solow residuals: identifying sources of business cy...
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity...
