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Autoregressive conditional heteroscedasticity in commodity spot prices (repli...
Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected... -
Parametric and semiparametric estimation of sample selection models: an empir...
This paper applies both parametric and semiparametric methods to the estimation of wage and participation equations for married women in Portugal. The semiparametric estimators... -
Quasi-fixed inputs and long-run equilibrium in production: a cointegration an...
This paper proposes a cointegration approach to testing the validity long-run equilibrium in production, where capital and labour are taken as quasi-fixed inputs. Previous... -
An empirical comparison of flexible demand system functional forms (replicati...
This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) effectively globally regular, or (3) asymptotically... -
Bayesian semiparametric estimation of discrete duration models: an applicatio...
This paper proposes a Bayesian estimator for a discrete time duration model which incorporates a non-parametric specification of the unobserved heterogeneity distribution,... -
Measuring the equilibrium effects of unemployment benefits dispersion (replic...
We analyse the impact of unemployment benefits and minimum wages using an equilibrium search model which allows for dispersion of benefits and productivity levels, job-to-job... -
Serially correlated variables in dynamic, discrete choice models (replication...
This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of... -
Loss function-based evaluation of DSGE models (replication data)
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take... -
A dynamic multinomial probit model for brand choice with different long-run a...
In this paper we propose a dynamic multinomial probit model in order to estimate the long-run and short- run effects of marketing mix variables on brand choice. The latent... -
A multivariate latent factor decomposition of international bond yield spread...
A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are... -
Econometric applications of maxmin expected utility (replication data)
Gilboa and Schmeidler (1989) develop a set of axioms for decision making under uncertainty. The axioms imply a utility function and a set of distributions such that the... -
Daily exchange rate behaviour and hedging of currency risk (replication data)
We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach... -
Sequential testing of duration data: the case of the Pennsylvania reemploymen...
Cost considerations and the need to report the results promptly make it desirable to examine data as it accumulates and to terminate an experimental study as soon as definite... -
Uncovering financial markets' beliefs about inflation targets (replication data)
This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter... -
Mixed MNL models for discrete response (replication data)
This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity... -
Near unit roots, cointegration, and the term structure of interest rates (rep...
The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span... -
Tests for multiple forecast encompassing (replication data)
In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts... -
Gender, race, pay and promotion in the British nursing profession: estimation...
We analyse job grading within the UK National Health Service nursing profession, using 1994 survey data. We start from the ordered probit model, for which we develop and apply... -
The cost and technological structure of aluminium smelters worldwide (replica...
A cost model is developed for the estimation of several technological parameters describing the production process of aluminium smelters worldwide. The model is similar to... -
Incomplete information and the time series behaviour of consumption (replicat...
Pischke (1995) uses both microeconomic and macroeconomic US data to test the idea that, within an otherwise standard PIH framework, ignorance by agents of aggregate labour...
