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Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
Tests of Predictive Ability for Vector Autoregressions Used for Conditional F...
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though... -
Nonlinear Granger Causality: Guidelines for Multivariate Analysis (replicatio...
We propose an extension of the bivariate nonparametric Diks-Panchenko Granger non-causality test to multivariate settings. We first show that the asymptotic theory for the... -
Error Correction Testing in Panels with Common Stochastic Trends (replication...
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
An Extension of the<i>J</i>-Test to a Spatial Panel Data Framework (replicati...
Kelejian (Letters in Spatial and Resources Sciences; 1: 3-11) extended the J-test procedure to a spatial framework. Although his suggested test was computationally simple and... -
On the Empirical Failure of Purchasing Power Parity Tests (replication data)
Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails... -
On nonparametric estimation of a hedonic price function (replication data)
Recently, using mixed data on Canadian housing, Parmeter, Henderson, and Kumbhakar (Journal of Applied Econometrics 2007; 22: 695-699) found that a nonparametric approach for... -
The performance of heteroskedasticity and autocorrelation robust tests: a Mon...
This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and... -
A unified approach to standardized-residuals-based correlation tests for GARC...
In this paper, we propose a unified approach to generating standardized-residuals-based correlation tests for checking GARCH-type models. This approach is valid in the presence... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
Testing chaotic dynamics via Lyapunov exponents (replication data)
We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in... -
Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Comparing shocks and frictions in US and euro area business cycles: a Bayesia...
This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural... -
Monitoring structural change in dynamic econometric models (replication data)
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of... -
A general test for time dependence in parameters (replication data)
A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the... -
Making inferences about the polarization, welfare and poverty of nations: a s...
Stochastic Dominance techniques are adapted and employed to study the extent and progress of Polarization, Welfare and Poverty of 101 nations over the period 1970-1995. The... -
Poverty comparisons with dependent samples (replication data)
Standard inference procedures for poverty comparisons require samples to be independent. For many commonly used income samples, however, this requirement is not fulfilled since... -
Do dropouts suffer from dropping out? Estimation and prediction of outcome ga...
In this paper we describe methods for predicting distributions of outcome gains in the framework of a latent variable selection model. We describe such procedures for Student-t...
