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Reassessing the Relative Power of the Yield Spread in Forecasting Recessions ...
In this paper, we replicate the main results of previous research showing that the use of the yield spread in a probit model can predict recessions better than the Survey of... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Factor-Based Identification-Robust Interference in IV Regressions (replicatio...
Robust methods for instrumental variable inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
Flexible Estimation of Copulas: An Application to the US Housing Crisis (repl...
Zimmer (?The role of copulas in the housing crisis?, Review of Economics and Statistics 2012; 94: 607-620) provides an interesting case study of the pitfalls of using parametric... -
The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of ...
We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty... -
A Social Interactions Model with Endogenous Friendship Formation and Selectiv...
This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social... -
Identifying the Independent Sources of Consumption Variation (replication data)
By representing a system of budget shares as an approximate factor model we determine its rank, i.e.?the number of common functional forms or factors, and we estimate a base of... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous... -
Estimation of Dynamic Panel Data Models with Cross-Sectional Dependence: Usin...
This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses... -
A Two-Stage Approach to Spatio-Temporal Analysis with Strong and Weak Cross-S...
An understanding of the spatial dimension of economic and social activity requires methods that can separate out the relationship between spatial units that is due to the effect... -
On the Empirical Failure of Purchasing Power Parity Tests (replication data)
Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails... -
Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replicat...
This paper replicates Cheung and Lai (Journal of Business and Economic Studies 1995; 13(3): 277-280), who use response surface analysis to obtain approximate finite-sample... -
Purchasing Power Parity and the Taylor Rule (replication data)
It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a... -
Replacing Sample Trimming with Boundary Correction in Nonparametric Estimatio...
Two-step nonparametric estimators have become standard in empirical auctions. A drawback concerns boundary effects which cause inconsistencies near the endpoints of the support... -
When Does the Stepping-Stone Work? Fixed-Term Contracts Versus Temporary Agen...
This paper emphasizes differences among short-term contracts in terms of career prospects. Using French data over the 2002-2010 period, we rely on a dynamic model with fixed... -
Simple Identification and Specification of Cointegrated Varma Models (replica...
We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the... -
Cost and Preference Heterogeneity in Risky Financial Markets (replication data)
This paper estimates the magnitude of participation costs and preference parameters exploiting information on households? participation decisions in the equities market. A... -
Monetary Policy and the Housing Market: A Structural Factor Analysis (replica...
This paper studies the role of the Federal Reserve's policy in the recent boom and bust of the housing market, and in the ensuing recession. By estimating a structural dynamic... -
Has the Euro-Mediterranean Partnership Affected Mediterranean Business Cycles...
We date turning points of the reference cycle for 19 Mediterranean countries and analyze their structure and interdependencies. Fluctuations are volatile and not highly...
