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Measurement error in discrete health facility choice models: An example from ...
We use individual-level health facility choice data from urban Senegal to estimate consumer preferences for facility characteristics related to maternal health services. We find... -
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... -
Two applications of wild bootstrap methods to improve inference in cluster‐IV...
Microeconomic data often have within-cluster dependence, which affects standard error estimation and inference. When the number of clusters is small, asymptotic tests can be... -
Tax shocks with high and low uncertainty (replication data)
We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative series by Romer and Romer... -
Structural changes in heterogeneous panels with endogenous regressors (replic...
This paper extends Pesaran's (Econometrica, 2006, 74, 967-1012) common correlated effects (CCE) by allowing for endogenous regressors in large heterogeneous panels with unknown... -
Exogenous uncertainty and the identification of structural vector autoregress...
We provide necessary and sufficient conditions for the identification (point-identification) of structural vector autoregressions (SVARs) with external instruments considering... -
Measuring mortgage credit availability: A frontier estimation approach (repli...
We construct a new measure of mortgage credit availability using a technique developed for production frontier estimation. The resulting loan frontier describes the maximum... -
Mostly harmless simulations? Using Monte Carlo studies for estimator selectio...
We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show... -
CCE in fixed‐T panels (replication data)
The presence of unobserved heterogeneity and its likely detrimental effect on inference has recently motivated the use of factor-augmented panel regression models. The workhorse... -
To pool or not to pool: What is a good strategy for parameter estimation and ...
This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal... -
Telling tales from the tails: High‐dimensional tail interdependence (replicat...
We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of... -
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy...
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Expected market returns: SVIX, realized volatility, and the role of dividends...
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market... -
Bayesian parametric and semiparametric factor models for large realized covar...
This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood-based estimation. Parametric and nonparametric... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Comovements and asymmetric tail dependence in state housing prices in the USA...
We reexamine the methods used in estimating comovements among US regional home prices and find that there are insufficient moments to ensure a normal limit necessary for... -
Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) wi...
With reference to a stylized theoretical macromodel, Blanchard and Quah (American Economic Review, 1989, 79, 655-673) identify empirical aggregate supply (e.g., productivity)... -
Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that...
