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ROUNDING, FOCAL POINT ANSWERS AND NONRESPONSE TO SUBJECTIVE PROBABILITY QUEST...
We develop a panel data model explaining answers to subjective probabilities about binary events and estimate it using data from the Health and Retirement Study on six such... -
IDENTIFYING THE RESPONSE OF FERTILITY TO FINANCIAL INCENTIVES (replication data)
While using financial incentives to increase fertility has become relatively common, the effects of such policies are difficult to assess. We propose an identification strategy... -
EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN ...
Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update... -
SEMI-NONPARAMETRIC ESTIMATION OF CONSUMER SEARCH COSTS (replication data)
This paper studies the estimation of the distribution of non-sequential search costs. We show that the search cost distribution is identified by combining data from multiple... -
CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECT...
Conditional heteroskedasticity, skewness and leverage effects are well-known features of financial returns. The literature on factor models has often made assumptions that... -
EMBARRASSINGLY EASY EMBARRASSINGLY PARALLEL PROCESSING IN R (replication data)
This dataset has no description
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SEMIPARAMETRIC VECTOR MEM (replication data)
Financial time series are often non-negative-valued (volumes, trades, durations, realized volatility, daily range) and exhibit clustering. When joint dynamics is of interest,... -
THE ROLE OF TIME-VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHAN...
There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early... -
HOW EFFECTIVE ARE UNEMPLOYMENT BENEFIT SANCTIONS? LOOKING BEYOND UNEMPLOYMENT...
This paper provides a comprehensive evaluation of the effects of benefit sanctions on post-unemployment outcomes such as post-unemployment employment stability and earnings. We... -
Estimation of Treatment Effects without an Exclusion Restriction: with an App...
The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP)... -
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIR...
This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low-frequency variable... -
LONG-RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION (replicati...
This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price... -
DURATION DEPENDENCE VERSUS UNOBSERVED HETEROGENEITY IN TREATMENT EFFECTS: SWE...
The effect of a treatment on the hazard rate of a duration outcome may depend on the elapsed time since treatment. In addition, treatment effects may be heterogeneous across... -
Forecasting with Medium and Large Bayesian VARS (replication data)
This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases factor... -
An alternative measure of intergenerational income mobility based on a random...
We propose an alternative measure of the degree to which income status is transmitted from one generation to another. Our indicator of intergenerational income mobility is based... -
Is God in the details? A reexamination of the role of religion in economic gr...
Barro and McCleary (2003, Religion and economic growth across countries. American Journal of Sociology 68: 760-781) is a key research contribution in the new literature... -
Multivariate high-frequency-based volatility (HEAVY) models (replication data)
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESIST...
We derive a quantity-based structural gravity equation system in which both trade flows and error terms are cross-sectionally correlated. This system can be estimated using...
