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The relationship between wage growth and wage levels (replication data)
We estimate the covariance between the permanent component of wages and a random coefficient on experience in models both with potential experience and with actual experience.... -
Aggregation is not the solution: the PPP puzzle strikes back (replication data)
Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of... -
Comovements and heterogeneity in the euro area analyzed in a non-stationary d...
This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this... -
A re-examination of the stationarity of inflation (replication data)
In a recent examination of the integrated nature of inflation, Culver and Papell (Journal of Applied Econometrics, 1997) applied a range of unit root and stationarity tests to... -
Testing for cointegration using the Johansen approach: are we using the corre...
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are... -
Forecasting realized volatility: a Bayesian model-averaging approach (replica...
How to measure and model volatility is an important issue in finance. Recent research uses high-frequency intraday data to construct ex post measures of daily volatility. This... -
On reproducible econometric research (replication data)
Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open-source... -
A semiparametric model for binary response and continuous outcomes under inde...
This paper formulates a likelihood-based estimator for a double-index, semiparametric binary response equation. A novel feature of this estimator is that it is based on density... -
The pervasive absence of compensating differentials (replication data)
We study the relation between individual preferences for job amenities (e.g., type of work, job security) and compensating wage differentials in cross-section. To this end, we... -
Evaluating the dynamic employment effects of training programs in East German...
This study analyzes the employment effects of training in East Germany. We propose and apply an extension of the widely used conditional difference-in-differences estimator.... -
Steady-state priors for vector autoregressions (replication data)
Bayesian priors are often used to restrain the otherwise highly over-parametrized vector autoregressive (VAR) models. The currently available Bayesian VAR methodology does not... -
Risk of catastrophic terrorism: an extreme value approach (replication data)
This paper models the stochastic behavior of large-scale terrorism using extreme value methods. We utilize a unique dataset composed of roughly 26,000 observations. These data... -
On portfolio optimization: How and when do we benefit from high-frequency dat...
We examine how the use of high-frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise... -
On the effect of prior assumptions in Bayesian model averaging with applicati...
We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of... -
Assessing the prudence of economic forecasts in the EU (replication data)
We estimate the EU Commission loss preferences for major economic forecasts of 12 Member States. Based on a recently proposed method by Elliott, Komunjer and Timmermann (2005)... -
Feasible estimation of firm-specific allocative inefficiency through Bayesian...
Both the theoretical and empirical literature on the estimation of allocative and technical inefficiency has grown enormously. To minimize aggregation bias, ideally one should... -
Boosting diffusion indices (replication data)
In forecasting and regression analysis, it is often necessary to select predictors from a large feasible set. When the predictors have no natural ordering, an exhaustive... -
Consumer price evaluations through choice experiments (replication data)
We collect experimental choice data and estimate preferences for mobile phones with a special focus on measuring consumer price evaluations when consumers face difficult choice... -
Bayesian estimation of random-coefficients choice models using aggregate data...
This article discusses the use of Bayesian methods for estimating logit demand models using aggregate data. We analyze two different demand systems: independent samples and... -
Modeling category-level purchase timing with brand-level marketing variables ...
Purchase timing of households is usually modeled at the category level. However, many potential explanatory variables are observed at the brand level. To explain interpurchase...