-
Semiparametric estimation and variable selection for single‐index copula mode...
A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single-index copula,... -
Transitory and permanent shocks in the global market for crude oil (replicati...
This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of... -
Revisiting gender identity and relative income within households: A cautionar...
We show that Bertrand et al.'s (QJE, 2015, ) finding of a sharp drop in the relative income distribution within married couples at the point where wives start to earn more than... -
Inferring financial bubbles from option data (replication data)
Financial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series data and assume a... -
Tracking and specialization of high schools: Heterogeneous effects of school ...
We analyze the impact of choosing an elite school on high school graduation in an early tracking system in Flanders (Belgium). Whereas elite schools offer only an academic... -
What time use surveys can (and cannot) tell us about labor supply (replicatio...
The American Time Use Survey (ATUS) accurately measures hours worked on a single day. We propose several estimators of elasticities of weekly labor supply in a linear regression... -
Permutation tests for equality of distributions of functional data (replicati...
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called... -
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful f...
Induced sparsity in the factor loading matrix identifies the factor basis, while rotational identification is obtained ex post by clustering methods closely related to machine... -
How does the financial market update beliefs about the real economy? Evidence...
Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information... -
Endogenous health groups and heterogeneous dynamics of the elderly (replicati...
We propose a methodology to classify individuals into few but meaningful health groups by estimating a panel Markov switching model that exploits rich information from panel... -
Average treatment effects for stayers with correlated random coefficient mode...
Correlated random coefficient (CRC) models provide a useful framework for estimating average treatment effects (ATE) with panel data by accommodating heterogeneous treatment... -
Fixed effects demeaning in the presence of interactive effects in treatment e...
The present paper shows that cross-section demeaning with respect to time fixed effects is more useful than commonly appreciated, in that it enables consistent and... -
Testing for correlation in error‐component models (replication data)
This paper concerns linear models for grouped data with group-specific effects. We construct a portmanteau test for the null of no within-group correlation beyond that induced... -
Testing for overconfidence statistically: A moment inequality approach (repli...
We propose a moment inequality approach to test for the presence of overconfidence using data from ranking experiments where subjects rank themselves relative to other... -
Direct and indirect effects of continuous treatments based on generalized pro...
This paper proposes semi- and nonparametric methods for disentangling the total causal effect of a continuous treatment on an outcome variable into its natural direct effect and... -
The informativeness of estimation moments (replication data)
This paper introduces measures for how each moment contributes to the precision of parameter estimates in generalized method of moments settings. For example, one of the... -
Perceived and actual option values of college enrollment (replication data)
An important feature of postsecondary schooling is the experimentation that accompanies sequential decision making. Specifically, by entering college, a student gains the option... -
Who benefits from privileged peers? Evidence from siblings in schools (replic...
By comparing siblings attending the same school at different points in time, we investigate whether the effect of peer quality on long-term labor market outcomes varies with... -
The evolution of the US family income–schooling relationship and educational ...
We estimate a dynamic model of schooling on two cohorts of the National Longitudinal Survey of Youth and find that, contrary to conventional wisdom, the effects of real (as... -
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...
