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MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data)
We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables... -
ESTIMATING FISCAL LIMITS: THE CASE OF GREECE (replication data)
This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic fiscal limit and sovereign... -
POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PH...
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC)... -
SMOOTH QUANTILE-BASED MODELING OF BRAND SALES, PRICE AND PROMOTIONAL EFFECTS ...
Semiparametric quantile regression is employed to flexibly estimate sales response for frequently purchased consumer goods. Using retail store-level data, we compare the... -
WHO REALLY WANTS TO BE A MILLIONAIRE? ESTIMATES OF RISK AVERSION FROM GAMESHO...
This paper estimates the degree of risk aversion from one of the most popular TV gameshows ever. The format of the show is straightforward; it involves no strategic decision... -
SEMI-PARAMETRIC ESTIMATION OF PROGRAM IMPACTS ON DISPERSION OF POTENTIAL WAGE...
We propose the use of instrumental variables and pairwise matching to identify the average treatment effect on variance in potential outcomes. We show that identifying and... -
A MOMENT-MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY...
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional... -
ROUNDING, FOCAL POINT ANSWERS AND NONRESPONSE TO SUBJECTIVE PROBABILITY QUEST...
We develop a panel data model explaining answers to subjective probabilities about binary events and estimate it using data from the Health and Retirement Study on six such... -
IDENTIFYING THE RESPONSE OF FERTILITY TO FINANCIAL INCENTIVES (replication data)
While using financial incentives to increase fertility has become relatively common, the effects of such policies are difficult to assess. We propose an identification strategy... -
EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN ...
Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update...
