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Time Variation in Macro-Financial Linkages (replication data)
We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We find that the... -
Flexible Estimation of Copulas: An Application to the US Housing Crisis (repl...
Zimmer (?The role of copulas in the housing crisis?, Review of Economics and Statistics 2012; 94: 607-620) provides an interesting case study of the pitfalls of using parametric... -
Endogenous Spatial Regression and Delineation of Submarkets: A New Framework ...
Housing submarkets have been defined by different criteria: (i) similarity in house attributes; (ii) similarity in hedonic prices; and (iii) substitutability of houses. We show... -
A Two-Stage Approach to Spatio-Temporal Analysis with Strong and Weak Cross-S...
An understanding of the spatial dimension of economic and social activity requires methods that can separate out the relationship between spatial units that is due to the effect...
