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Regime switching as a test for exchange rate bubbles (replication data)
This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991.... -
Occupational pensions and job mobility in Britain: Estimation of a random-eff...
We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive... -
On a double-threshold autoregressive heteroscedastic time series model (repli...
Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called... -
Parametric and semi-parametric estimation of the binary response model of lab...
This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women.... -
The excess co-movement of commodity prices reconsidered (replication data)
This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models.... -
Panel Estimates of a Two-Tiered Earnings Frontier (replication data)
This paper uses panel data to estimate a two-tiered instead of a one-tiered frontier model. The innovation is to develop a two-step maximum likelihood procedure yielding... -
Incorporating monotonicity and concavity conditions in flexible functional fo...
Empirical economists using flexible functional forms often face the disturbing choice of drawing inferences from an approximation violating properties dictated by theory or... -
Erratum: The likelihood ratio test under nonstandard conditions: Testing the ...
This dataset has no description
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Measuring underlying economic activity (replication data)
Recently, interest in the methodology of constructing coincident economic indicators has been revived by the work of Stock and Watson (1989b). They adopt the framework of the... -
A time series analysis of real wages, consumption and asset returns (replicat...
This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical... -
Money demand revisited: An operational subjective approach (replication data)
This paper proposes a method of data analysis founded on the philosophy and understanding of uncertain knowledge developed by Bruno de Finetti. Specifically, the paper... -
Robust tests of forward exchange market efficiency with empirical evidence fr...
This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work... -
Parametric and semi-parametric modelling of vacation expenditures (replicatio...
We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero... -
Transient fads and the crash of ′87 (replication data)
Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock... -
Measurement of total factor productivity growth and biases in technological c...
This study investigates productivity growth in broad-acre agriculture in Western Australia. Tornqvist indices of three output groups (crops, sheep products and other) and five... -
Analysing inflation by the fractionally integrated ARFIMA-GARCH model (replic...
This paper considers the application of long-memory processes to describing inflation for ten countries. We implement a new procedure to obtain approximate maximum likelihood... -
Money stock targeting and money supply: A closer examination of the data (rep...
In a recent paper Mercenier and Sekkat (1988) use a linear-quadratic model to examine the willingness of a monetary authority in a small open economy to target its exchange... -
Optimal response to a shift in regulatory regime: The case of the US nuclear ...
This paper studies the impact of the March 1979 Three Mile Island (TMI) accident on the regulation of nuclear power plants (NPPs) and its consequences for the operating... -
An investigation of the harvest decision of timber firms in the south-east Un...
In the forestry literature, stochastic extensions of the classic Faustmann model have become the predominant models of optimal harvesting on even-aged timber stands. A recent... -
An empirical model of asset replacement in dairy production (replication data)
Throughout the US dairy farm industry, observed rates of dairy cow replacement consistently exceed the rates prescribed as optimal by dairy economists. We attempt to uncover the...
