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Party loyalty as habit formation (replication data)
In most democracies, at least two out of any three individuals vote for the same party in sequential elections. This paper presents a model in which vote-persistence is partly... -
On detrending and cyclical asymmetry (replication data)
This paper considers the issue of testing for symmetry of the business cycle. It is demonstrated that findings of symmetry should be interpreted with caution since tests tend to... -
Estimation of sons' intergenerational earnings mobility in the presence of ce...
Based on intergenerational data from the Panel Study of Income Dynamics, I provide estimates of income mobility across generations for men. Special attention is paid to issues... -
Time-varying intercepts and equilibrium analysis: an extension of the dynamic...
Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where... -
Asymmetry in first-price auctions with affiliated private values (replication...
Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are... -
A simple framework for analysing bull and bear markets (replication data)
Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity... -
Computation and analysis of multiple structural change models (replication data)
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple... -
The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Divergence in alternative Hicksian welfare measures: the case of revealed pre...
This paper investigates the divergence between the two Hicksian welfare measures of non-traded amenity improvement associated with housing. First, the Hicksian surplus measures... -
Bridging the gap between the distribution of realized (ECU) volatility and AR...
This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket... -
Time irreversibility and EGARCH effects in US stock index returns (replicatio...
In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models.... -
Estimating quadratic variation using realized variance (replication data)
This paper looks at some recent work on estimating quadratic variation using realized variance (RV)?that is, sums of M squared returns. This econometrics has been motivated by... -
Censored latent effects autoregression, with an application to US unemploymen...
A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond... -
Socio-economic distance and spatial patterns in unemployment (replication data)
This paper examines the spatial patterns of unemployment in Chicago between 1980 and 1990. We study unemployment clustering with respect to different social and economic... -
Crack spread hedging: accounting for time-varying volatility spillovers in th...
Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A... -
Stochastic frontier models with random coefficients (replication data)
The paper proposes a stochastic frontier model with random coefficients to separate technical inefficiency from technological differences across firms, and free the frontier... -
Using R to teach econometrics (replication data)
R, an open-source programming environment for data analysis and graphics, has in only a decade grown to become a de-facto standard for statistical analysis against which many... -
Modelling the trend and seasonals within an AIDS model of the demand for alco...
The argument that is put forward in this paper is that failure to represent stochastic trend and stochastic seasonality in an AIDS model leads to a misspecified and possibly... -
Estimating economic relationships subject to firm- and time-varying equality ...
Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD)... -
Measuring predictability: theory and macroeconomic applications (replication ...
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure...
