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Forecasting stock returns with model uncertainty and parameter instability (r...
We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm... -
Predicting interest rates using shrinkage methods, real‐time diffusion indexe...
In the context of predicting the term structure of interest rates, we explore the marginal predictive content of real-time macroeconomic diffusion indexes extracted from a data... -
Comparing econometric methods to empirically evaluate activation programs for...
We test whether different identification strategies give similar results when evaluating activation programs. Budgetary problems at the Dutch unemployment insurance (UI)... -
Multidimensional skills and the returns to schooling: Evidence from an intera...
This paper presents new evidence on returns to schooling based on an interactive fixed-effects framework that allows for multiple unobserved skills with potentially time-varying... -
Is deflation costly after all? The perils of erroneous historical classificat...
I estimate average economic activity during periods of inflation and deflation while accounting for measurement errors in 19th century prices. These measurement errors lead to... -
Endogeneity and non‐response bias in treatment evaluation – nonparametric ide...
This paper proposes a nonparametric method for evaluating treatment effects in the presence of both treatment endogeneity and attrition/non-response bias, based on two... -
Family planning in a life‐cycle model with income risk (replication data)
Several US states have recently restricted the access to abortions. We study fertility intentions and how family planning and abortions are used as mechanisms to control... -
A distributional synthetic control method for policy evaluation (replication ...
We extend the synthetic control method to evaluate the distributional effects of policy intervention in the possible presence of poor matching. The counterfactuals (or... -
Model simplification and variable selection: A replication of the UK inflatio...
In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics, 2001, 16, 255-275. We replicate the results in a narrow sense using the... -
CCE in fixed‐T panels (replication data)
The presence of unobserved heterogeneity and its likely detrimental effect on inference has recently motivated the use of factor-augmented panel regression models. The workhorse... -
To pool or not to pool: What is a good strategy for parameter estimation and ...
This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal... -
Telling tales from the tails: High‐dimensional tail interdependence (replicat...
We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of... -
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy...
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Expected market returns: SVIX, realized volatility, and the role of dividends...
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market... -
Bayesian parametric and semiparametric factor models for large realized covar...
This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood-based estimation. Parametric and nonparametric... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Comovements and asymmetric tail dependence in state housing prices in the USA...
We reexamine the methods used in estimating comovements among US regional home prices and find that there are insufficient moments to ensure a normal limit necessary for... -
Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) wi...
With reference to a stylized theoretical macromodel, Blanchard and Quah (American Economic Review, 1989, 79, 655-673) identify empirical aggregate supply (e.g., productivity)... -
Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that... -
Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that...
