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Endogenous censoring in the mixed proportional hazard model with an applicati...
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment... -
Extreme returns and intensity of trading (replication data)
Asymmetric information models of market microstructure claim that variables such as trading intensity are proxies for latent information on the value of financial assets. We... -
Macroeconomic forecast accuracy in a data‐rich environment (replication data)
The performance of six classes of models in forecasting different types of economic series is evaluated in an extensive pseudo out-of-sample exercise. One of these forecasting... -
Large time‐varying parameter VARs: A nonparametric approach (replication data)
In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic... -
Likelihood evaluation of models with occasionally binding constraints (replic...
Applied researchers interested in estimating key parameters of dynamic stochastic general equilibrium models face an array of choices regarding numerical solution and estimation... -
Measurement error in discrete health facility choice models: An example from ...
We use individual-level health facility choice data from urban Senegal to estimate consumer preferences for facility characteristics related to maternal health services. We find...
