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A discrete-choice model for large heterogeneous panels with interactive fixed...
What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms... -
Estimating the economic costs of organized crime by synthetic control methods...
The economic costs of organized crime have been estimated for the case of southern Italy by Pinotti (Economic Journal 2015; 125, F203?F232, 2015): using synthetic control... -
Fat tails and spurious estimation of consumption-based asset pricing models (...
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Real exchange rate persistence and the excess return puzzle: The case of Swit...
The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation... -
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance... -
Model selection with estimated factors and idiosyncratic components (replicat...
This paper provides consistent information criteria for the selection of forecasting models that use a subset of both the idiosyncratic and common factor components of a big... -
Dynamic spatial autoregressive models with autoregressive and heteroskedastic...
We propose a new class of models specifically tailored for spatiotemporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
The cycle of violence in the Second Intifada: Causality in nonlinear vector a...
We contest Jaeger and Paserman's claim (Jaeger and Paserman , 2008. The cycle of violence? An empirical analysis of fatalities in the Palestinian-Israeli conflict. American... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have... -
Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) (repl...
This paper replicates the results in Schularick and Taylor (American Economic Review 2012; 102(2): 1029-1061; ST hereafter). Specifically, I replicate ST's results in the narrow... -
Economic Transition and Growth: A Replication (replication data)
Phillips and Sul (Journal of Applied Econometrics 2009, 24, 1153-1185) provide an algorithm to identify convergence clubs in a dynamic factor model of economic transition and... -
Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal... -
An Empirical Comparison Between the Synthetic Control Method and HSIAO<i>et a...
We compare two program evaluation methodologies: the synthetic control method and the panel data approach. We apply both methods to estimate the effect of the political and... -
Work Ethic, Social Ethic, no Ethic: Measuring the Economic Values of Modern C...
Benito Arruñad finds evidence of a distinct Protestant social ethic in the ISSP's 1998 Religion II Survey (Economic Journal 2010; 120: 890-918). We replicate Arruñada's results... -
The Robust Relationship Between US Food Aid and Civil Conflict (replication d...
Humanitarian aid has long been considered an important means to reduce hunger and suffering in developing countries. A recent finding by Nunn and Qian (US food aid and civil... -
Joint Bayesian Analysis of Parameters and States in Nonlinear non-Gaussian St...
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non-Gaussian state space model.... -
The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Sur...
We assess professional forecasters' perceptions of the effects of the unconventional monetary policy measures announced by the US Federal Reserve after the collapse of Lehman... -
Have Standard VARS Remained Stable Since the Crisis? (replication data)
Small vector autoregressions are commonly used in macroeconomics for forecasting and evaluating shock transmission. This requires VAR parameters to be stable over the evaluation...