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IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
SALES, INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS (repl...
We use Bayesian time-varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced-form and structural correlations between... -
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)... -
IDENTIFYING CAUSAL MECHANISMS (PRIMARILY) BASED ON INVERSE PROBABILITY WEIGHT...
This paper demonstrates the identification of causal mechanisms of a binary treatment under selection on observables, (primarily) based on inverse probability weighting; i.e. we... -
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... -
MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARK...
This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical... -
CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS (repl...
Decision makers often observe point forecasts of the same variable computed, for instance, by commercial banks, IMF and the World Bank, but the econometric models used by such... -
WHO BENEFITS FROM JOB CORPS? A DISTRIBUTIONAL ANALYSIS OF AN ACTIVE LABOR MAR...
Using recently developed econometric techniques to estimate quantile treatment effects (QTE) and experimental data, we examine the impact of Job Corps on earnings distribution.... -
STRATEGIC ASSET ALLOCATION FOR LONG-TERM INVESTORS: PARAMETER UNCERTAINTY AND...
We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative... -
MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO ...
Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a... -
ENJOYING THE QUIET LIFE UNDER DEREGULATION? NOT QUITE (replication data)
Most empirical studies in the banking literature assume that the alternative profit function is linearly homogeneous in input prices. We show that such an assumption is... -
DIVORCE LAW REFORMS AND DIVORCE RATES IN THE USA: AN INTERACTIVE FIXED-EFFECT...
This paper estimates the effects of unilateral divorce laws on divorce rates in the USA from a panel of state-level divorce rates. We use the interactive fixed-effects model to... -
FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERA...
This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and... -
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF I...
We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures... -
INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data)
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques,...
