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FURTHER EVIDENCE ON THE SPATIO-TEMPORAL MODEL OF HOUSE PRICES IN THE UNITED S...
Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160-173) use a panel of 49 states over the period 1975-2003 to show that state-level real housing prices are... -
REVERSE REGRESSIONS AND LONG-HORIZON FORECASTING (replication data)
Long-horizon predictive regressions in finance pose formidable econometric problems when estimated using available sample sizes. Hodrick in 1992 proposed a remedy that is based... -
TIME-VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS (repli...
We use a time-varying structural vector autoregression to investigate evolving dynamics of the real exchange rate for the UK, euro area and Canada. We show that demand and... -
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIR...
This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low-frequency variable... -
THE GROWTH AFTERMATH OF NATURAL DISASTERS (replication data)
This paper traces the yearly response of gross domestic product growth-both aggregated and disaggregated into its agricultural and non-agricultural components-to four types of... -
LONG-RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION (replicati...
This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price... -
REAL-TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODE...
We examine how the accuracy of real-time forecasts from models that include autoregressive terms can be improved by estimating the models on lightly revised data instead of... -
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF-LIFE MEASURE OF CONVERGEN...
Evidence of lengthy half-lives for real exchange rates in the presence of a high degree of exchange rate volatility has been considered as one of the most puzzling empirical... -
EURO CORPORATE BOND RISK FACTORS (replication data)
This paper investigates the determinants of credit spread changes in euro-denominated bonds. We adopt a factor model framework, inspired by the credit risk structural approach,... -
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... -
Can subjective expectations data be used in choice models? evidence on cognit...
A pervasive concern with the use of subjective data in choice models is that they are biased and endogenous. This paper examines the extent to which cognitive biases plague... -
Stock market expectations of Dutch households (replication data)
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other... -
Stock Market Crash and Expectations of American Households (replication data)
This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market... -
When Kahneman meets Manski: Using dual systems of reasoning to interpret subj...
To understand how decisions to invest in stocks are taken, economists need to elicit expectations regarding risk-return tradeoff. One of the few surveys which has elicited such... -
Measuring and interpreting expectations of equity returns (replication data)
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our...
