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Neighbourhood effects and housing demand (replication data)
In this paper, we estimate a model of housing demand with neighbourhood effects. We exploit special features of the national sample of the American Housing Survey and properties... -
Incentive effects in the demand for health care: a bivariate panel count data...
This paper contributes in three dimensions to the literature on health care demand. First, it features the first application of a bivariate random effects estimator in a count... -
Testing long-run PPP with infinite-variance returns (replication data)
This paper investigates the long-run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy-tailed stochastic processes. More... -
Evaluating interval forecasts of high-frequency financial data (replication d...
A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing... -
Retesting Fair's (1978) model on infidelity (replication data)
Modern econometrics stresses the diagnostic testing of estimated models as an important part of the model-building process. In a survey article published in this journal (Pagan... -
Individual heterogeneity and censoring in panel data estimates of tobacco exp...
A panel of households is used to test the rational addiction model of Becker et al. (1994). These data raise problems of measurement errors, censoring, and unobservable... -
Long-range dependence in Spanish political opinion poll series (replication d...
This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration,... -
Evidence on agglomeration economies, diseconomies, and growth (replication data)
Conventional urban economic analysis suggests that a local economy's size is closely related to a number of features, including levels of human capital and the availability of... -
A structural model of aggregate US job flows: another look (replication data)
A recent article (Collard et al., 2002) published in this journal presented a structural model of aggregate job flows. Unrestricted estimation of the model yields parameter... -
Precautionary motives and portfolio decisions (replication data)
This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households'... -
Are differences in firm size transitory or permanent? (replication data)
An Erratum for this article has been published in Journal of Applied Econometrics 18(2) 2003, 249 Previous empirical work on corporate growth rates using cross-section or... -
Testing the capital asset pricing model efficiently under elliptical symmetry...
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically... -
GO-GARCH: a multivariate generalized orthogonal GARCH model (replication data)
Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of... -
Modelling and forecasting level shifts in absolute returns (replication data)
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic... -
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte...
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant... -
Alcohol abuse and employment: a second look (replication data)
Based on data from the 1988 Alcohol Supplement of the National Health Interview Survey, Mullahy and Sindelar (1996) (M&S) find, for both men and women, that alcohol abuse... -
Geographic poverty traps? A micro model of consumption growth in rural China ...
How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural... -
A segment-level hazard approach to studying household purchase timing decisio...
The increasing availability of customer-level data and the willingness of marketers to customize the timing of their offers to consumers makes the accurate segment-level... -
Labour market institutions and employment in France (replication data)
The purpose of this paper is to use individual data to study how the minimum wage and the welfare system combine to affect employment in France. Using the 1997 Labour Force... -
This is what the leading indicators lead (replication data)
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy...
