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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... -
Analysing incomplete individual employment histories using indirect inference...
In this paper we apply the Indirect Inference method to estimate the parameters of a semi-Markov transition model when the data are subject to a complex form of censoring. There... -
Estimating a nonlinear rational expectations commodity price model with unobs...
This paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process, the harvest of an agricultural commodity, generates a... -
Estimation of equilibrium wage distributions with heterogeneity (replication ...
Equilibrium search models generalize the one-sided models used earlier by endogenizing the wage offer distribution. Attempts to estimate versions of these equilibrium n search... -
Real-time pricing of electricity for residential customers: Econometric analy...
Under real-time pricing, a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs, and announces this... -
Cyclical output, cyclical unemployment, and Okun's coefficient: A new approac...
Estimates of Okun's coefficient are obtained using new estimates of cyclical GNP and cyclical unemployment rates for the post-war USA. Empirical estimates of the coefficient are... -
A class of binary response models for grouped duration data (replication data)
This paper explores the relationship between conventional models for binary response such as the probit and logit, and the proportional hazard (PH) and related specifications... -
Japan's financial deregulation and linkage of the Gensaki and Euroyen deposit...
This paper examines whether Japan's financial deregulation weakened the linkage between the Euroyen and Gensaki markets. It defines and analyses the linkage of the two markets... -
Forecasting exchange rates using feedforward and recurrent neural networks (r...
In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step...
