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SPATIAL FILTERING, MODEL UNCERTAINTY AND THE SPEED OF INCOME CONVERGENCE IN E...
In this paper we put forward a Bayesian model averaging method aimed at performing inference under model uncertainty in the presence of potential spatial autocorrelation. The... -
ENTRY INTO PHARMACEUTICAL SUBMARKETS: A BAYESIAN PANEL PROBIT ANALYSIS (repli...
We study entry into pharmaceutical submarkets by using a dynamic panel probit model. We develop a Bayesian version of Wooldridge's approach to dealing with unobserved... -
TIME-VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS (repli...
We use a time-varying structural vector autoregression to investigate evolving dynamics of the real exchange rate for the UK, euro area and Canada. We show that demand and... -
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... -
Investment decisions in manufacturing: assessing the effects of real oil pric...
We investigate the effects of real oil prices and their uncertainty on investment decisions. Making use of plant-level data, we estimate dynamic, discrete-choice models that... -
Estimating Engel curves under unit and item nonresponse (replication data)
This paper estimates food Engel curves using data from the first wave of the Survey on Health, Aging and Retirement in Europe (SHARE). Our statistical model simultaneously takes... -
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... -
FOSTERING EDUCATIONAL ENROLMENT THROUGH SUBSIDIES: THE ISSUE OF TIMING (repli...
The purpose of this paper is to build a dynamic structural model of educational choices in which cognitive skills shape decisions. The model is estimated by maximum likelihood... -
Probabilistic forecasting of output growth, inflation and the balance of trad...
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for... -
Modelling dependence using skew t copulas: Bayesian inference and application...
We construct a copula from the skew t distribution of Sahu et al. (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few... -
From market shares to consumer types: Duality in differentiated product deman...
A widely applied method for differentiated product demand estimation, introduced by Berry, Levinsohn and Pakes in 1995, is founded on matching observed and theoretical market... -
Dynamic stochastic copula models: estimation, inference and applications (rep...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with... -
GMM with many weak moment conditions: Replication and application of Newey an...
In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. Econometrica 2009; 77(3): 687-719) propose a new variance estimator for... -
Stochastic monotonicity in intergenerational mobility tables (replication data)
The aim of this paper is to test for stochastic monotonicity in intergenerational socio-economic mobility tables. In other words, we question whether having a parent from a high... -
Narrow Replication of Yogo (2004) Estimating the Elasticity of Intertemporal ...
This narrow replication exercise of Yogo (Review of Economics and Statistics 2004; 86(3): 797-810) finds results identical to the original paper, and provides results on... -
The effect of location on finding a job in the Paris region (replication data)
Do spatial differences in unemployment duration reflect residential sorting or a true local effect? Focusing on the 1300 municipalities of the Paris region, we apply a... -
Estimating the effect of a gasoline tax on carbon emissions (replication data)
Recently the proposal has been made to raise gasoline taxes in the United States to curb carbon emissions. The existing literature on the sensitivity of gasoline consumption to... -
Competition in large markets (replication data)
This paper evaluates the simplifying assumption that producers compete in a large market without substantial strategic interactions using nonparametric regressions of producers'... -
Non-parametric bounds on quantiles under monotonicity assumptions: with an ap...
Within the inferential context of predicting a distribution of potential outcomes P[y(t)] under a uniform treatment assignment t ∈ T, this paper deals with partial... -
How does heterogeneity shape the socioeconomic gradient in health satisfactio...
Individual heterogeneity plays a key role in explaining variation in self-reported health and its socioeconomic gradient. It is hypothesised that the influence of this...
