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Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local... -
Should we use linearized models to calculate fiscal multipliers? (replication...
We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the... -
Girls and boys: Economic crisis, fertility, and birth outcomes (replication d...
We investigate the impact of an economic downturn on natality and birth weight for newborns when parents prefer sons. We examine South Korea, unexpectedly hit by the Asian... -
Dynamic discrete copula models for high‐frequency stock price changes (replic...
We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has... -
A test of general asymmetric dependence (replication data)
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric... -
Barriers to price convergence (replication data)
This paper uncovers novel empirical patterns in the cross-country price mechanism using a nonlinear factor model and threshold regression analysis based on individual goods... -
Risk‐neutral moment‐based estimation of affine option pricing models (replica...
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option... -
How important are fixed effects and time trends in estimating returns to scho...
A substantial and rapidly growing literature has developed around estimating earnings gains from 2-year college degrees using administrative data. These papers almost... -
Collective decisions, household production, and labor force participation (re...
In this paper, we generalize the collective model of household labor supply with domestic production to allow for the possibility of nonparticipation in the labor market. We... -
Realized networks (replication data)
We introduce LASSO-type regularization for large-dimensional realized covariance estimators of log-prices. The procedure consists of shrinking the off-diagonal entries of the...
