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Global Credit Risk: World, Country and Industry Factors (replication data)
We investigate the dynamic properties of systematic default risk conditions for firms in different countries, industries and rating groups. We use a high-dimensional nonlinear... -
Skewness Risk and Bond Prices (replication data)
This paper uses extreme value theory to study the implications of skewness risk for nominal loan contracts in a production economy. Productivity and inflation innovations are... -
Wild Bootstrap Inference for Wildly Different Cluster Sizes (replication data)
The cluster robust variance estimator (CRVE) relies on the number of clusters being sufficiently large. Monte Carlo evidence suggests that the rule of 42 is not true for... -
Subjective Well‐Being and Income: A Re‐Examination of Satiation Using the Reg...
A methodological challenge in testing Easterlin's paradox, which states that increasing income fails to boost happiness beyond a satiation point, lies in the determination of... -
Estimation and Solution of Models with Expectations and Structural Changes (r...
In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about... -
Penalized Quantile Regression with Semiparametric Correlated Effects: An Appl...
This paper proposes new ?1?penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. Existing... -
Forecasting With the Standardized Self‐Perturbed Kalman Filter (replication d...
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (Electronics Letters 1992; 28: 558-559) for the... -
Differences Between Classical and Bayesian Estimates for Mixed Logit Models: ...
The mixed logit model is widely used in applied econometrics. Researchers typically rely on the free choice between the classical and Bayesian estimation approach. However,... -
Transitions at Different Moments in Time: A Spatial Probit Approach (replicat...
This paper adopts a spatial probit approach to explain interaction effects among cross-sectional units when the dependent variable takes the form of a binary response variable... -
Conventional Monetary Policy Transmission During Financial Crises: An Empiric...
This paper studies the effects of a conventional monetary policy shock in the USA during times of high financial stress. The analysis is carried out by introducing a smooth... -
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at t...
Appropriate real-time forecasting models for the US retail price of gasoline yield substantial reductions in the mean-squared prediction error (MSPE) at horizons up to 2 years... -
Absenteeism, Gender and the Morbidity–Mortality Paradox (replication data)
Women are, on average, more often absent from work for health reasons than men, but live longer. This conflicting pattern suggests that the gender absenteeism gap arises partly... -
Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space...
The predictive likelihood is useful for ranking models in forecast comparison exercises using Bayesian inference. We discuss how it can be estimated, by means of... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
Modeling Financial Sector Joint Tail Risk in the Euro Area (replication data)
We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is... -
Estimation of Poverty Transition Matrices with Noisy Data (replication data)
This paper investigates measurement error biases in estimated poverty transition matrices. We compare transition matrices based on survey expenditure data to transition matrices... -
How to Identify and Forecast Bull and Bear Markets? (replication data)
Because the state of the equity market is latent, several methods have been proposed to identify past and current states of the market and forecast future ones. These methods... -
Sharp IV Bounds on Average Treatment Effects on the Treated and Other Populat...
In the presence of an endogenous binary treatment and a valid binary instrument, causal effects are point identified only for the subpopulation of compliers, given that the... -
The Early Millennium Slowdown: Replicating the Peersman (2005) Results (repli...
This paper undertakes both a narrow and wide replication of the constant coefficients vector autoregression (VAR) identified with sign restrictions considered by Peersman... -
Forecasting Tail Risks (replication data)
This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data...
