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Testing distributional assumptions: A GMM aproach (replication data)
We consider testing distributional assumptions by using moment conditions. A general class of moment conditions satisfied under the null hypothesis is derived and connected to... -
Factor analysis of permanent and transitory dynamics of the US economy and th...
We analyze dynamics of the permanent and transitory components of the US economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture... -
Reconciling the evidence of Card and Krueger (1994) and Neumark and Wascher (...
We employ the original Card and Krueger (American Economic Review 1994; 84: 772-793) and Neumark and Wascher (American Economic Review 2000; 90: 1362-1396) data together with... -
How to use interaction terms in BMA: Reply to Crespo Cuaresma's comment on Ma...
Jesus Crespo Cuaresma (How different is Africa? A comment on Masanjala and Papageorgiou. Journal of Applied Econometrics, 2011) shows that the results in Masanjala and... -
Evaluating density forecasts: forecast combinations, model mixtures, calibrat...
This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of sharpness. This was motivated... -
Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Stocks, bonds, money markets and exchange rates: measuring international fina...
Understanding the complexity of the financial transmission process across various assets-domestically as well as within and across asset classes-requires the simultaneous... -
How different is Africa? A comment on Masanjala and Papageorgiou (replication...
Masanjala and Papageorgiou (Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging, Journal of Applied... -
Modelling and forecasting multivariate realized volatility (replication data)
This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for... -
Modeling and forecasting short-term interest rates: The benefits of smooth re...
In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is... -
The rate of learning-by-doing: estimates from a search-matching model (replic...
We construct and estimate by maximum likelihood a job search model where wages are set by Nash bargaining and idiosyncratic productivity follows a geometric Brownian motion. The... -
Jackknife instrumental variables estimation: replication and extension of ang...
I replicate most of the results in Angrist, Imbens, and Krueger (Journal of Applied Econometrics 1999; 14: 57-67), point to a possible error in and re-estimate Model 3, and... -
Why are gasoline prices sticky? A test of alternative models of price adjustm...
Macroeconomic models of business cycles rely on the assumption that firms adjust prices infrequently to generate the short-run non-neutrality of money documented by the monetary... -
Decision making under risk in Deal or No Deal (replication data)
We analyse the choices of 399 contestants in the Australian version of the television game show Deal or No Deal. We calculate risk aversion bounds for each contestant, revealing... -
Forecast encompassing tests and probability forecasts (replication data)
We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast... -
Models of stochastic choice and decision theories: why both are important for...
We select a menu of seven popular decision theories and embed each theory in five models of stochastic choice, including tremble, Fechner and random utility model. We find that... -
Time-varying yield curve dynamics and monetary policy (replication data)
Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time-varying structural vector autoregression. The monetary policy shocks... -
What are the effects of fiscal policy shocks? (replication data)
We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government... -
Health and work of the elderly: subjective health measures, reporting errors ...
This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously... -
Compensatory inter vivos gifts (replication data)
Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the...
