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The dynamic interdependence in the demand of primary and emergency secondary ...
This paper develops an extension of the class of finite mixture models for longitudinal count data to the bivariate case by using a hidden Markov chain approach. The model... -
Does model complexity add value to asset allocation? Evidence from machine le...
This study evaluates the benefits of integrating return forecasts from a variety of machine learning and forecast combination methods into an out-of-sample asset allocation... -
(Un)expected monetary policy shocks and term premia (replication data)
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on... -
Nonparametric tests of tail behavior in stochastic frontier models (replicati...
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded... -
Real estate agents influence on housing search (replication data)
This paper investigates different mechanisms for real estate agents? influence in housing search. Using residential listing data, I find descriptive evidence suggesting an... -
Large devaluations and inflation inequality: Replicating Cravino and Levchenk...
In the aftermath of large devaluations, prices of tradable goods/lower-priced varieties increase significantly more than the prices of nontradables/higher-priced varieties.... -
Common factors of commodity prices (replication data)
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a... -
Individual forecaster perceptions of the persistence of shocks to GDP (replic...
We analyse individual professional forecasters' beliefs concerning the persistence of GDP shocks. Despite substantial apparent heterogeneity in perceptions, with around one half... -
An automated prior robustness analysis in Bayesian model comparison (replicat...
It is well-known that the marginal likelihood, the gold standard for Bayesian model comparison, can be sensitive to prior hyperparameter choices. However, most models require... -
Expanding health insurance for the elderly of the Philippines (replication data)
This paper evaluates a Filipino policy that expanded health insurance coverage of its senior citizens, aged 60 and older, in 2014. We employ an instrumental variables estimator... -
Testing monotonicity of conditional treatment effects under regression discon...
Researchers are often interested in the relationship between treatment effects and observed individual heterogeneity. This paper proposes the first nonparametric monotonicity... -
Combining shrinkage and sparsity in conjugate vector autoregressive models (r...
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models. But at the same time, they introduce the restriction that each equation... -
Measuring global economic activity (replication data)
A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has... -
Time‐varying income elasticities of healthcare expenditure for the OECD and E...
We propose a panel data model for nonstationary variables with interactive fixed effects and coefficients that may vary over time and use it to examine time variation in the... -
Supply flexibility in the shale patch: Evidence from North Dakota (replicatio...
This paper provides new results to the literature, showing that output flexibility in oil production depends on the extraction technology. In particular, constructing a novel... -
Estimation of average treatment effects using panel data when treatment effec...
This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity... -
Mixed causal–noncausal autoregressions with exogenous regressors (replication...
Mixed causal-noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted... -
Common correlated effects estimation of heterogeneous dynamic panel quantile ...
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common... -
Comovements in the real activity of developed and emerging economies: A test ...
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant...
