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Econometric Methods for Modelling Systems With a Mixture of<i>i</i>(1) and<i>...
This paper considers structural models with both I(1) and I(0) variables. The structural shocks associated with either set of variables could be permanent or transitory. We... -
Modelling Inflation Volatility (replication data)
This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk... -
Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models (r...
This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the... -
Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Applic...
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854-871) are contingent on the specification of the model. The use of... -
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rat...
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday... -
Maintaining (Locus of) Control? Data Combination for the Identification and I...
Factor structure models are widely used in economics to extract latent variables, such as personality traits, and to measure their impact on outcomes of interest. The... -
Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulati...
The pollution haven hypothesis (PHH) posits that production within polluting industries will shift to locations with lax environmental regulation. While straightforward, the... -
A Smooth Transition Logit Model of The Effects of Deregulation in the Electri...
This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the... -
The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model (replicati...
This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound (ZLB)... -
Estimating Bayesian Decision Problems with Heterogeneous Expertise (replicati...
We consider the recent novel two-step estimator of Iaryczower and Shum (American Economic Review 2012; 102: 202-237), who analyze voting decisions of US Supreme Court justices.... -
GMM with Multiple Missing Variables (replication data)
We consider efficient estimation in moment conditions models with non-monotonically missing-at-random (MAR) variables. A version of MAR point-identifies the parameters of... -
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... -
Growth Empirics in Panel Data Under Model Uncertainty and Weak Exogeneity (re...
This paper considers panel growth regressions in the presence of model uncertainty and reverse causality concerns. For this purpose, my econometric framework combines Bayesian... -
On the Low-Frequency Relationship Between Public Deficits and Inflation (repl...
We estimate the low-frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time-varying vector... -
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... -
Identification and Estimation of Distributional Impacts of Interventions Usin...
This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are... -
Labor Supply as a Choice Among Latent Jobs: Unobserved Heterogeneity and Iden...
This paper discusses aspects of a modeling framework in which the notion of job choice is fundamental. In this framework, workers are assumed to have preferences over latent job... -
A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips ...
In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating... -
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... -
Lasso for Instrumental Variable Selection: A Replication Study (replication d...
Recently, Lasso methods have been applied to economic questions. In a seminal paper, Belloni et al. (Econometrica; 80(6): 2369-2429) make use of (post-)Lasso for instrumental...
