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Real‐time forecast combinations for the oil price (replication data)
Baumeister and Kilian (Journal of Business and Economic Statistics, 2015, 33(3), 338-351) combine forecasts from six empirical models to predict real oil prices. In this paper,... -
Dynamic specification tests for dynamic factor models (replication data)
We derive computationally simple expressions for score tests of misspecification in parametric dynamic factor models using frequency domain techniques. We interpret those... -
Actual and counterfactual growth incidence and delta Lorenz curves: Estimatio...
Different economic growth episodes display very different distributional characteristics, both across countries and over time. Growth is sometimes accompanied by rising and... -
Modeling the effects of grade retention in high school (replication data)
A dynamic discrete-choice model is set up to estimate the effects of grade retention in high school, both in the short run (end-of-year evaluation) and in the long run (drop-out... -
NETS: Network estimation for time series (replication data)
We model a large panel of time series as a vector autoregression where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be... -
Uncertainty across volatility regimes (replication data)
We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on... -
Bootstrap inference for impulse response functions in factor‐augmented vector...
In this study, we consider residual-based bootstrap methods to construct the confidence interval for structural impulse response functions in factor-augmented vector... -
The cyclicality of R&D investment revisited (replication data)
In Fabrizio and Tsolmon (Review of Economics and Statistics, 2014, 96(4), 662-675) and Barlevy (American Economic Review, 2007, 97(4), 1131-1164) it was concluded that R&D... -
An empirical investigation of direct and iterated multistep conditional forec...
When constructing unconditional point forecasts, both direct and iterated multistep (DMS and IMS) approaches are common. However, in the context of producing conditional... -
Steady‐state modeling and macroeconomic forecasting quality (replication data)
Vector autoregressions (VARs) with informative steady-state priors are standard forecasting tools in empirical macroeconomics. This study proposes (i) an adaptive hierarchical... -
CCE estimation of factor‐augmented regression models with more factors than o...
This paper considers estimation of factor-augmented panel data regression models. One of the most popular approaches towards this end is the common correlated effects (CCE)... -
Structural VARs and noninvertible macroeconomic models (replication data)
We resume the line of research pioneered by C. A. Sims and Zha (Macroeconomic Dynamics, 2006, 10, 231-272) and make two novel contributions. First, we provide a formal treatment... -
Selecting structural innovations in DSGE models (replication data)
Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We... -
Commodity prices and fiscal policy design: Procyclical despite a rule (replic...
Recent studies offer evidence of reduced fiscal procyclicality to commodity price changes in resource-rich countries-a feature commonly attributed to the adoption of fiscal... -
The two‐sample linear regression model with interval‐censored covariates (rep...
There are surveys that gather precise information on an outcome of interest, but measure continuous covariates by a discrete number of intervals, in which case the covariates... -
Simultaneous confidence bands: Theory, implementation, and an application to ...
Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for parameter vectors, such as impulse response functions. In linear models, it is known... -
Private returns to R&D in the presence of spillovers, revisited (replicat...
This is both a replication of Eberhardt et al. (Review of Economics and Statistics, 2013, 95(2), 436-448) using different software, and a critical extension and diagnostic... -
(Under)Mining local residential property values: A semiparametric spatial qua...
Rock mining operations, including limestone and gravel production, have considerable adverse effects on residential quality of life due to elevated noise and dust levels... -
The puzzling effects of monetary policy in VARs: Invalid identification or mi...
Standard vector autoregressions (VARs) often find puzzling effects of monetary policy shocks. Is this due to an invalid (recursive) identification scheme, or because the... -
The approximate solution of finite‐horizon discrete‐choice dynamic programmin...
The estimation of finite-horizon discrete-choice dynamic programming (DCDP) models is computationally expensive. This limits their realism and impedes verification and...
