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Evaluating density forecasts: forecast combinations, model mixtures, calibrat...
This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of sharpness. This was motivated... -
Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Stocks, bonds, money markets and exchange rates: measuring international fina...
Understanding the complexity of the financial transmission process across various assets-domestically as well as within and across asset classes-requires the simultaneous... -
How different is Africa? A comment on Masanjala and Papageorgiou (replication...
Masanjala and Papageorgiou (Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging, Journal of Applied... -
Modelling and forecasting multivariate realized volatility (replication data)
This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for... -
Modeling and forecasting short-term interest rates: The benefits of smooth re...
In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is... -
The frequency of visiting a doctor: Is the decision to go independent of the ...
In his analysis of the effects of the reform of the German healthcare system, Winkelmann (Journal of Applied Econometrics 2004; 19: 455-472) investigates the number of doctor... -
A comparison of treatment effects estimators using a structural model of AMI ...
We compare the performance of various matching estimators using a novel approach that is feasible in the absence of experimental data. We estimate a structural model of hospital... -
Non-parametric bounds on quantiles under monotonicity assumptions: with an ap...
Within the inferential context of predicting a distribution of potential outcomes P[y(t)] under a uniform treatment assignment t ∈ T, this paper deals with partial... -
Simulation-based tests of forward-looking models under VAR learning dynamics ...
In this paper we propose a simulation-based technique to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when... -
Simulation estimation of two-tiered dynamic panel Tobit models with an applic...
In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood... -
Forecasting large datasets with Bayesian reduced rank multivariate models (re...
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and... -
Conditional Markov chain and its application in economic time series analysis...
Motivated by the great moderation in major US macroeconomic time series, we formulate the regime switching problem through a conditional Markov chain. We model the long-run... -
Biases in approximating log production (replication data)
Most empirical work in economic growth assumes either a Cobb-Douglas production function expressed in logs or a log-approximated constant elasticity of substitution... -
Fertility and female employment dynamics in Europe: the effect of using alter...
We investigate the direct and long-run effects of fertility on employment in Europe, estimating dynamic models of labor supply under different assumptions regarding the... -
How does heterogeneity shape the socioeconomic gradient in health satisfactio...
Individual heterogeneity plays a key role in explaining variation in self-reported health and its socioeconomic gradient. It is hypothesised that the influence of this... -
Job and wage mobility with minimum wages and imperfect compliance (replicatio...
We propose a job search model with minimum wage regulations and imperfect compliance to explain the doubling of the mean and variance of hourly earnings of white males during... -
Estimating the returns to schooling: a likelihood approach based on normal mi...
In this paper we develop likelihood-based methods for statistical inference in a joint system of equations for the choice of length of schooling and earnings. The model for... -
An inflated multivariate integer count hurdle model: an application to bid an...
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain n, n. Our modelling framework is based on a copula... -
Can subjective expectations data be used in choice models? evidence on cognit...
A pervasive concern with the use of subjective data in choice models is that they are biased and endogenous. This paper examines the extent to which cognitive biases plague...