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Econometric Regime Shifts and the US Subprime Bubble (replication data)
Using aggregate quarterly data for the period 1975:Q1-2010:Q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly... -
IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
RARE SHOCKS, GREAT RECESSIONS (replication data)
We estimate a DSGE (dynamic stochastic general equilibrium) model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student's... -
CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data)
We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables... -
PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS (repli...
In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically,... -
ESTIMATING FISCAL LIMITS: THE CASE OF GREECE (replication data)
This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic fiscal limit and sovereign... -
SALES, INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS (repl...
We use Bayesian time-varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced-form and structural correlations between... -
POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PH...
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC)... -
RETURN TO EXPERIENCE AND INITIAL WAGE LEVEL: DO LOW WAGE WORKERS CATCH UP? (r...
This paper estimates the relationship between initial wage and return to experience. We use a Mincer-like wage model to non-parametrically estimate this relationship allowing... -
CHILD MENTAL HEALTH AND EDUCATIONAL ATTAINMENT: MULTIPLE OBSERVERS AND THE ME...
We examine the effect of survey measurement error on the empirical relationship between child mental health and personal and family characteristics, and between child mental... -
DOES CORESIDENCE IMPROVE AN ELDERLY PARENT'S HEALTH? (replication data)
It is generally believed that intergenerational coresidence by elderly parents and adult children provides old-age security for parents. Although such coresidence is still the... -
IDENTIFYING CAUSAL MECHANISMS (PRIMARILY) BASED ON INVERSE PROBABILITY WEIGHT...
This paper demonstrates the identification of causal mechanisms of a binary treatment under selection on observables, (primarily) based on inverse probability weighting; i.e. we... -
SMOOTH QUANTILE-BASED MODELING OF BRAND SALES, PRICE AND PROMOTIONAL EFFECTS ...
Semiparametric quantile regression is employed to flexibly estimate sales response for frequently purchased consumer goods. Using retail store-level data, we compare the... -
WHO REALLY WANTS TO BE A MILLIONAIRE? ESTIMATES OF RISK AVERSION FROM GAMESHO...
This paper estimates the degree of risk aversion from one of the most popular TV gameshows ever. The format of the show is straightforward; it involves no strategic decision... -
HOW BELIEFS ABOUT HIV STATUS AFFECT RISKY BEHAVIORS: EVIDENCE FROM MALAWI (re...
This paper examines how beliefs about own HIV status affect decisions to engage in risky sexual behavior, as measured by having extramarital sex and/or multiple sex partners.... -
SEMI-PARAMETRIC ESTIMATION OF PROGRAM IMPACTS ON DISPERSION OF POTENTIAL WAGE...
We propose the use of instrumental variables and pairwise matching to identify the average treatment effect on variance in potential outcomes. We show that identifying and... -
Forecasting interest rates with shifting endpoints (replication data)
We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time-varying mean or... -
MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARK...
This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical...