-
Exact computation of GMM estimators for instrumental variable quantile regres...
We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a... -
Bayesian model comparison for time‐varying parameter VARs with stochastic vol...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC)... -
Intergenerational mobility: New evidence from consumption data (replication d...
The intergenerational persistence of consumption describes the extent to which children inherit the living standards of their parents. Evidence on this parameter is scarce due... -
Genetic distance, trade, and the diffusion of development (replication data)
The determinants of countries' long-term income differences feature prominently in the literature. Spolaore and Wacziarg (The diffusion of development, Quarterly Journal of... -
A kink that makes you sick: The effect of sick pay on absence (replication data)
We exploit a regression kink design to estimate the elasticity of the duration of sickness absence with respect to replacement rate. Elasticity is a central parameter in... -
Private debt overhang and the government spending multiplier: Evidence for th...
Using state-dependent local projections and historical US data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In... -
Measuring the diffusion of housing prices across space and over time: Replica...
Brady (Journal of Applied Econometrics, 2011, 26(2), 213-231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the... -
Self-employment among women: Do children matter more than we previously thoug...
This paper presents an estimation approach that addresses the problems of sample selection and endogeneity of fertility decisions when estimating the effect of young children on... -
Policy uncertainty and aggregate fluctuations (replication data)
This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt, and (iv) monetary policy.... -
Time series copulas for heteroskedastic data (replication data)
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first-order Markov series, and then extend them to... -
Improving Markov switching models using realized variance (replication data)
This paper proposes a class of models that jointly model returns and ex post variance measures under a Markov switching framework. Both univariate and multivariate return... -
Increasing the credibility of the twin birth instrument (replication data)
Twin births are an important instrument for the endogenous fertility decision. However, twin births are not exogenous either as dizygotic twinning is correlated with maternal... -
Identification issues in the public/private wage gap, with an application to ...
This paper reviews some of the standard assumptions that are imposed in order to estimate the average public/private wage gap and that are mainly related to the possible... -
A multilevel factor model: Identification, asymptotic theory and applications...
This paper studies a multilevel factor model with global and country factors. The global factors affect all individuals, whereas the country factors affect only those within... -
Comparing cross-country estimates of Lorenz curves using a Dirichlet distribu...
Chotikapanich and Griffiths (Journal of Business and Economic Statistics, 2002, 20(2), 290-295) introduced the Dirichlet distribution to the estimation of Lorenz curves. This... -
A generalized focused information criterion for GMM (replication data)
This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than... -
Realized extreme quantile: A joint model for conditional quantiles and measur...
We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile... -
Normalized CES supply systems: Replication of Klump, McAdam, and Willman (200...
The analysis of Klump, McAdam, and Willman (Review of Economics and Statistics, 2007, 89, 183-192) is replicated using alternative software. Their results are verified... -
Binary response panel data models with sample selection and self‐selection (r...
We consider estimating binary response models on an unbalanced panel, where the outcome of the dependent variable may be missing due to nonrandom selection, or there is... -
Business, housing, and credit cycles (replication data)
We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the...
