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Estimation of Treatment Effects without an Exclusion Restriction: with an App...
The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP)... -
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIR...
This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low-frequency variable... -
LONG-RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION (replicati...
This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price... -
DURATION DEPENDENCE VERSUS UNOBSERVED HETEROGENEITY IN TREATMENT EFFECTS: SWE...
The effect of a treatment on the hazard rate of a duration outcome may depend on the elapsed time since treatment. In addition, treatment effects may be heterogeneous across... -
Forecasting with Medium and Large Bayesian VARS (replication data)
This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases factor... -
An alternative measure of intergenerational income mobility based on a random...
We propose an alternative measure of the degree to which income status is transmitted from one generation to another. Our indicator of intergenerational income mobility is based... -
Is God in the details? A reexamination of the role of religion in economic gr...
Barro and McCleary (2003, Religion and economic growth across countries. American Journal of Sociology 68: 760-781) is a key research contribution in the new literature... -
Multivariate high-frequency-based volatility (HEAVY) models (replication data)
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESIST...
We derive a quantity-based structural gravity equation system in which both trade flows and error terms are cross-sectionally correlated. This system can be estimated using... -
A simple, flexible estimator for count and other ordered discrete data (repli...
This paper examines a flexible way to model empirically discrete data outcomes using hazard rate decompositions. It presents a general data-generating mechanism based on... -
The impact of data revisions on the robustness of growth determinants-a note ...
Ciccone and Jaroci-ski (American Economic Journal: Macroeconomics 2010; 2: 222-246) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small data... -
Estimation of sample selection models with spatial dependence (replication data)
We consider the estimation of a sample selection model that exhibits spatial autoregressive errors (SAE). Our methodology is motivated by a two-step strategy where in the first... -
Stochastic monotonicity in intergenerational mobility tables (replication data)
The aim of this paper is to test for stochastic monotonicity in intergenerational socio-economic mobility tables. In other words, we question whether having a parent from a high... -
Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Stock market expectations of Dutch households (replication data)
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other... -
Measuring and interpreting expectations of equity returns (replication data)
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our... -
Eliciting probabilistic expectations with visual aids in developing countries...
Eliciting subjective probability distributions in developing countries is often based on visual aids such as beans to represent probabilities and intervals on a sheet of paper... -
Measuring consumer uncertainty about future inflation (replication data)
We introduce a survey-based measure of uncertainty about future inflation, asking consumers for density forecasts across inflation outcomes. Consumers are willing and able to...
