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Analysis of upstream, downstream and common firm shocks using a large factor-...
We provide all necessary code files to create networks using two different approaches as explained in the paper, as well as codes to compare and display the networks. Because of... -
Multiple structural breaks in interactive effects panel data models (replicat...
This dataset contains the data and instructions on how to replicate the results in the paper "Multiple structural breaks in interactive effects panel data models", by Jan... -
Exploiting news analytics for volatility forecasting: replication data
Data and replication information for "Exploiting news analytics for volatility forecasting" by Simon Tranberg Bodilsen and Asger Lunde; published in Journal of Applied... -
Panel treatment effects measurement – Factor or linear projection modelling? ...
Data used in the empirical application on Germany reunification in "Panel treatment effects measurement – Factor or linear projection modelling?" -
Nonlinearities in macroeconomic tail risk through the lens of big data quanti...
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in... -
US fiscal policy shocks: Proxy-SVAR overidentification via GMM (replication d...
Using external instruments one can recover the effects of individual shocks without fully identifying a VAR. We show that fully or almost fully instrumenting a VAR--that is,... -
The efficacy of ability proxies for estimating the returns to schooling: A fa...
Replication data and programs for "The efficacy of ability proxies for estimating the returns to schooling: A factor model-based evaluation" -
Exploring skill distribution tails through stochastic dominance (replication ...
Provided are the Current Population Survey (CPS) data used in the replication work, as well an explanation on how to obtain the relevant American Community Survey (ACS) data in... -
Sectoral slowdowns in the UK: Evidence from transmission probabilities and ec...
This folder contains MATLAB and R software and data to accompany the paper "Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages" by... -
Employment reconciliation and nowcasting (replication data)
We construct a latent employment estimate for the U.S. which both reconciles the information from separate payroll and household surveys, and incorporates the preliminary data... -
Revisiting the effect of growing up in a recession on attitudes towards redis...
Giuliano and Spilimbergo (2014) show that individuals who experienced a recession when young are more likely to favor redistribution in the short and long run. We revisit their... -
Subspace shrinkage in conjugate Bayesian vector autoregressions (replication ...
For the empirical exercise we use quarterly macroeconomic data for the US, obtained from the FRED-QD database (https://research.stlouisfed.org/econ/mccracken/fred-databases/).... -
The Employment Effects of the Minimum Wage: A Selection Ratio Approach to Mea...
Replication files for David Slichter, "The Employment Effects of the Minimum Wage: A Selection Ratio Approach to Measuring Treatment Effects,” Journal of Applied Econometrics,...
