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Model simplification and variable selection: A replication of the UK inflatio...
In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics, 2001, 16, 255-275. We replicate the results in a narrow sense using the... -
Estimation of firm‐level productivity in the presence of exports: Evidence fr...
Motivated by the long-standing interest of economists in understanding the nexus between firm productivity and export behavior, this paper develops a novel structural framework... -
Complementary Bayesian method of moments strategies (replication data)
Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a... -
Order‐invariant tests for proper calibration of multivariate density forecast...
Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of... -
Exchange rate predictability and dynamic Bayesian learning (replication data)
We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive... -
Comovements in the real activity of developed and emerging economies: A test ...
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
The next hundred years of growth and convergence (replication data)
World gross domestic product per capita is forecast to grow at 2.6% annually over the next 100 years. Convergence of less-developed countries toward output levels of the world... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Interpreting shocks to the relative price of investment with a two‐sector mod...
Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional... -
Introducing the Bank of Canada staff economic projections database (replicati...
We present a new, publicly available database of real-time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We... -
Endogenous censoring in the mixed proportional hazard model with an applicati...
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment... -
Macroeconomic forecast accuracy in a data‐rich environment (replication data)
The performance of six classes of models in forecasting different types of economic series is evaluated in an extensive pseudo out-of-sample exercise. One of these forecasting... -
Large time‐varying parameter VARs: A nonparametric approach (replication data)
In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic... -
Likelihood evaluation of models with occasionally binding constraints (replic...
Applied researchers interested in estimating key parameters of dynamic stochastic general equilibrium models face an array of choices regarding numerical solution and estimation... -
Decomposing the effects of monetary policy using an external instruments SVAR...
We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward... -
Hidden group patterns in democracy developments: Bayesian inference for group...
We propose a nonparametric Bayesian approach to estimate time-varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme... -
Estimation in a generalization of bivariate probit models with dummy endogeno...
The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common...
