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Why are gasoline prices sticky? A test of alternative models of price adjustm...
Macroeconomic models of business cycles rely on the assumption that firms adjust prices infrequently to generate the short-run non-neutrality of money documented by the monetary... -
Long-run relations in European electricity prices (replication data)
This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic... -
Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Semiparametric estimation of consumer demand systems in real expenditure (rep...
Microdata concerning consumer demand typically show considerable variation in real expenditures, but very little variation in prices. We propose a semiparametric strategy for... -
Continuous-time models, realized volatilities, and testable distributional im...
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models... -
Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers... -
Economic transition and growth (replication data)
Some extensions of neoclassical growth models are discussed that allow for cross-section heterogeneity among economies and evolution in rates of technological progress over... -
The political economy of financial reform: are Abiad and Mody right? (replica...
Motivated by the questions Financial Reform: What Shakes It? What Shapes It? raised by Abiad and Mody (2005), this paper studies the forces that induce governments to undertake... -
Forecasting US output growth using leading indicators: an appraisal using MID...
We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple... -
Land of addicts? an empirical investigation of habit‐based asset pricing mode...
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the... -
What are the effects of fiscal policy shocks? (replication data)
We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government... -
On reproducible econometric research (replication data)
Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open-source... -
Risk of catastrophic terrorism: an extreme value approach (replication data)
This paper models the stochastic behavior of large-scale terrorism using extreme value methods. We utilize a unique dataset composed of roughly 26,000 observations. These data... -
Public insurance and private savings: who is affected and by how much? (repli...
This paper employs a recently developed instrumental quantile regression method to investigate the effect of Medicaid on household savings across different wealth groups. It... -
Random Recursive Partitioning: a matching method for the estimation of the av...
In this paper we introduce the Random Recursive Partitioning (RRP) matching method. RRP generates a proximity matrix which might be useful in econometric applications like... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the... -
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... -
Complementarities in automobile production (replication data)
The number of different car and light truck models produced in North America has increased enormously over the last decades. The data suggests that producing this increased... -
Meta-analysis in model implementation: choice sets and the valuation of air q...
This research illustrates how the methods developed for meta-analysis can serve to document and summarize voluminous information derived from repeated sensitivity analyses. Our... -
Semi-nonparametric competing risks analysis of recidivism (replication data)
In this paper we specify a semi-nonparametric competing risks (SNP-CR) model of recidivism, for misdemeanors and felonies. The model is a bivariate mixed proportional hazard...
