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Simple Identification and Specification of Cointegrated Varma Models (replica...
We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the... -
Speculation in the Oil Market (replication data)
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price co-movement among different commodities. We assess whether... -
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (repl...
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing... -
Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting (re...
Factor models have been applied extensively for forecasting when high-dimensional datasets are available. In this case, the number of variables can be very large. For instance,... -
Macroeconomic Forecasting Performance under Alternative Specifications of Tim...
This paper compares alternative models of time-varying volatility on the basis of the accuracy of real-time point and density forecasts of key macroeconomic time series for the... -
Priors and Posterior Computation in Linear Endogenous Variable Models with Im...
In this paper we, like several studies in the recent literature, employ a Bayesian approach to estimation and inference in models with endogeneity concerns by imposing weaker... -
The Contribution of Structural Break Models to Forecasting Macroeconomic Seri...
This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the... -
MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING ...
Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research... -
A TIP OF THE ICEBERG? THE PROBABILITY OF CATCHING CARTELS (replication data)
Reliable estimates of crime detection probabilities could help in designing better sanctions and improve our understanding of the efficiency of law enforcement. For cartels, we... -
MULTIPLE TESTING AND HETEROGENEOUS TREATMENT EFFECTS: RE-EVALUATING THE EFFEC...
The effect of a program or treatment may vary according to observed characteristics. In such a setting, it may not only be of interest to determine whether the program or... -
ROUNDING, FOCAL POINT ANSWERS AND NONRESPONSE TO SUBJECTIVE PROBABILITY QUEST...
We develop a panel data model explaining answers to subjective probabilities about binary events and estimate it using data from the Health and Retirement Study on six such... -
APPLYING BETA-TYPE SIZE DISTRIBUTIONS TO HEALTHCARE COST REGRESSIONS (replica...
This paper extends the literature on modelling healthcare cost data by applying the generalised beta of the second kind (GB2) distribution to English hospital inpatient cost... -
WHO BENEFITS FROM JOB CORPS? A DISTRIBUTIONAL ANALYSIS OF AN ACTIVE LABOR MAR...
Using recently developed econometric techniques to estimate quantile treatment effects (QTE) and experimental data, we examine the impact of Job Corps on earnings distribution.... -
ESTIMATING PERSON-CENTERED TREATMENT (PeT) EFFECTS USING INSTRUMENTAL VARIABL...
This paper builds on the methods of local instrumental variables developed by Heckman and Vytlacil (1999, 2001, 2005) to estimate person-centered treatment (PeT) effects that... -
ESTIMATION OF CENSORED PANEL-DATA MODELS WITH SLOPE HETEROGENEITY (replicatio...
This paper considers estimation of censored panel-data models with individual-specific slope heterogeneity. The slope heterogeneity may be random (random slopes model) or... -
EFFICIENT AGGREGATION OF PANEL QUALITATIVE SURVEY DATA (replication data)
Qualitative business survey data are used widely to provide indicators of economic activity ahead of the publication of official data. Traditional indicators exploit only... -
Categorical semiparametric varying-coefficient models (replication data)
Semiparametric varying-coefficient models have become a common fixture in applied data analysis. Existing approaches, however, presume that those variables affecting the... -
THE RESPONSES OF YOUTH TO A CASH TRANSFER CONDITIONAL ON SCHOOLING: A QUASI-E...
We estimate the effect of cash transfers given to youth conditional on high school attendance on the labor supply decisions and academic performance of youth. We exploit... -
EUCLIDEAN REVEALED PREFERENCES: TESTING THE SPATIAL VOTING MODEL (replication...
In the spatial model of voting, voters choose the candidate closest to them in the ideological space. Recent work by Degan and Merlo in 2009 shows that it is falsifiable on the... -
MEDICAL EXPENDITURE RISK AND HOUSEHOLD PORTFOLIO CHOICE (replication data)
Medical expenses are an increasingly important contributor to household financial risk. We examine the effect of medical expenditure risk on the willingness of Medicare...
