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Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent.... -
Nonlinear dynamics of interest rate and inflation (replication data)
According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply... -
Modelling multi-period inflation uncertainty using a panel of density forecas...
This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic... -
Intergenerational mobility and sample selection in short panels (replication ...
Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be... -
An empirical model of the multi-unit, sequential, clock auction (replication ...
We construct a model of participation and bidding at multi-unit, sequential, clock auctions when bidders have multi-unit demand. We describe conditions sufficient to... -
Identification and estimation of bounds on school performance measures: a non...
This paper identifies and nonparametrically estimates sharp bounds on school performance measures based on test scores that may not be valid for all students. A mixture model... -
Inter-state dynamics of invention activities, 1930–2000 (replication data)
We study the dynamics of the cross-section distribution of patents per capita for the 48 continental US states from 1930 to 2000 using a discrete-state Markov chain. We test for... -
A re-interpretation of the linear quadratic model when inventories and sales ...
Estimation of the linear quadratic model, the workhorse of the inventory literature, traditionally takes inventories and sales to be first-difference stationary series, and the... -
Is there a risk–return trade-off? Evidence from high-frequency data (replicat...
This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and... -
Convergence of productivity: a comment (replication data)
We find that an important programming error was made by Hobijn and Franses (2000) in conducting multivariate stationarity tests. The empirical results in their paper are subject... -
Cannabis, cocaine and jobs (replication data)
This paper uses a dataset collected among inhabitants of Amsterdam, to study the employment effects of the use of cannabis and cocaine. For females no negative effects of drug... -
The Engel curve for alcohol and the rank of demand systems (replication data)
This paper shows that the quadratic shape of the Engel curve for alcohol is induced by preference heterogeneity between drinkers and abstainers in a Japanese data set. With... -
The costs of motherhood: an analysis using matching estimators (replication d...
We estimate the effect of motherhood on wages using matching. We distinguish between net and direct effects. The net effect includes the total wage costs, whereas the direct... -
The effect of household characteristics on living standards in South Africa 1...
This paper examines whether the dismantling of apartheid has resulted in an improvement in the standard of living for the vast majority of South Africans. The study is based on... -
The welfare effects of restricted hospital choice in the US medical care mark...
Managed care health insurers in the USA restrict their enrollees' choice of hospitals to within specific networks. This paper considers the implications of these restrictions. A... -
Age–period–cohort decomposition of aggregate data: an application to US and J...
This paper compares two methods of analyzing aggregate data that is classified by period and age. Because there is a linear relationship among age, period, and cohort, it is not... -
Bayesian analysis of the two-part model with endogeneity: application to heal...
This paper studies the effect of managed care on medical expenditure using a model in which the insurance status is assumed to be endogenous. Insurance plan choice is modeled... -
A dynamic model of contraceptive choice of Spanish couples (replication data)
We propose a simple dynamic stochastic model of sterilization and contraceptive use and we estimate its structural parameters using a sample of married couples from the 1995... -
Health insurance and retirement of married couples (replication data)
Most health insurance in the USA is provided by employers until eligibility for public health insurance (Medicare) begins at age 65. Retiring before 65 exposes workers who lack... -
The emerging market crisis and stock market linkages: further evidence (repli...
This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with...
