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Econometric software reliability: EViews, LIMDEP, SHAZAM and TSP (replication...
This dataset has no description
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Detecting periodically collapsing bubbles: a Markov-switching unit root test ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset... -
A Monte Carlo study of the forecasting performance of empirical SETAR models ...
In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the... -
Estimating the Natural Rate of Unemployment and Testing the Natural Rate Hypo...
How should one measure the natural rate of unemployment? This paper proposes a systems procedure as an alternative to NAIRU. The natural rate is treated as an unobserved state... -
Unit roots in the presence of abrupt governmental interventions with an appli...
This paper considers econometric issues related to time-series data that have been subject to abrupt governmental interventions. The motivating example for this study is the... -
Small sample properties of LIML and jackknife IV estimators: experiments with...
Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We find... -
Jackknife instrumental variables estimation (replication data)
Two-stage-least-squares (2SLS) estimates are biased towards the probability limit of OLS estimates. This bias grows with the degree of over-identification and can generate... -
Causal ordering and ‘The bank lending channel’ (replication data)
The bank lending channel implies the Federal Reserve can influence real income by controlling the level of intermediated loans. Using the notion of causality developed by Simon... -
A general dependence test and applications (replication data)
We describe a test, based on the correlation integral, for the independence of a variable and a vector that can be used with serially dependent data. Monte Carlo simulations... -
Intertemporal substitution in import demand and habit formation (replication ...
To study non-durable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a two-good version of the lifecycle model in which we... -
Optimal univariate inflation forecasting with symmetric stable shocks (replic...
Monthly inflation in the United States indicates non-normality in the form of either occasional big shocks or marked changes in the level of the series. We develop a univariate... -
Excess capacity: a permanent characteristic of US airlines? (replication data)
This paper examines the permanence of excess capacity in the US airline industry. To avoid the problems with the standard engineering measure of capacity utilization, load... -
Ethnic wage differences in Malaysia: parametric and semiparametric estimation...
Parametric and semiparametric estimated wage equations, which correct for sample selection bias, are used to assess the returns to eduction and extent of ethnic discrimination... -
A comparison of parametric and semiparametric estimates of the effect of spou...
Health insurance in the USA for most of the non-aged population is provided as a fringe benefit that is received by an adult family member as part of his or her compensation... -
Testing the predictive value of subjective labour supply data (replication data)
Empirical implementation of labour supply theories is usually based on actual hours of work. This requires strong assumptions on the impact of labour demand. To avoid these... -
Individual demands from household aggregates: time and age variation in the c...
This paper uses non-parametric regression with smoothness induced by imposition of a roughness penalty to estimate time-dependent relationships between age and intakes of... -
Semiparametric analysis of German East-West migration intentions: facts and t...
East-West migration in Germany peaked at the beginning of the 1990s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyse... -
Semiparametric estimation and consumer demand (replication data)
This paper considers the implementation of semiparametric methods in the empirical analysis of consumer demand. The application is to the estimation of the Engel curve... -
Intrahousehold resource allocation in rural Pakistan: a semiparametric analys...
We estimate semiparametric Engel curves for rural Pakistan using a large household survey. This allows us to obtain consistent estimates of the effects of household size and...
