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Factor-Based Identification-Robust Interference in IV Regressions (replicatio...
Robust methods for instrumental variable inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power... -
Econometric Methods for Modelling Systems With a Mixture of<i>i</i>(1) and<i>...
This paper considers structural models with both I(1) and I(0) variables. The structural shocks associated with either set of variables could be permanent or transitory. We... -
Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models (r...
This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the... -
Forecasting interest rates with shifting endpoints (replication data)
We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or... -
THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINE...
A new estimator is proposed for linear triangular systems, where identification results from the model errors following a bivariate and diagonal GARCH(1,1) process with... -
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION (replication data)
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly... -
FORECASTING DISCONNECTED EXCHANGE RATES (replication data)
The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper... -
EVALUATING REAL-TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR (repl...
This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular,... -
Temporal aggregation of an ESTAR process: some implications for purchasing po...
Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally... -
Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Modelling low income transitions (replication data)
We examine the determinants of low income transitions using first-order Markov models that control for initial conditions effects (those found to be poor in the base year may be... -
Does peer ability affect student achievement? (replication data)
Empirical analysis of peer effects on student achievement has been open to question because of the difficulties of separating peer effects from other confounding influences.... -
GO-GARCH: a multivariate generalized orthogonal GARCH model (replication data)
Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of... -
A theoretical comparison between integrated and realized volatility (replicat...
In this paper we provide both qualitative and quantitative measures of the precision of measuring integrated volatility by realized volatility for a fixed frequency of... -
Modelling and forecasting level shifts in absolute returns (replication data)
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic... -
Bridging the gap between the distribution of realized (ECU) volatility and AR...
This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket... -
New frontiers for arch models (replication data)
In the 20 years following the publication of the ARCH model, there has been a vast quantity of research uncovering the properties of competing volatility models. Wide-ranging... -
Time irreversibility and EGARCH effects in US stock index returns (replicatio...
In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models.... -
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte...
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant... -
Estimating quadratic variation using realized variance (replication data)
This paper looks at some recent work on estimating quadratic variation using realized variance (RV)?that is, sums of M squared returns. This econometrics has been motivated by...