-
Price Sensitivity of Demand for Prescription Drugs: Exploiting a Regression K...
We investigate price sensitivity of demand for prescription drugs, using drug purchase records for the entire Danish population. We identify price responsiveness by exploiting... -
An Extension of the<i>J</i>-Test to a Spatial Panel Data Framework (replicati...
Kelejian (Letters in Spatial and Resources Sciences; 1: 3-11) extended the J-test procedure to a spatial framework. Although his suggested test was computationally simple and... -
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... -
A Silver Lifeboat, not Silver Fetters: Why and how the Silver Standard Insula...
We use counterfactual simulations based on an estimated dynamic stochastic general equilibrium model to demonstrate why China was affected less than other major countries during... -
An Empirical Test of Pricing Kernel Monotonicity (replication data)
A large class of asset pricing models predicts that securities which have high payoffs when market returns are low tend to be more valuable than those with high payoffs when... -
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... -
Growth Determinants Revisited Using Limited-Information Bayesian Model Averag...
We revisit the growth empirics debate using a novel limited-information Bayesian model averaging framework in short T panels that addresses model uncertainty, dynamics, and... -
Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Fron...
This paper proposes a unified framework for accommodating both time and cross-sectional dependence in modelling technical efficiency in stochastic frontier models by combining... -
Identification of Spatial Durbin Panel Models (replication data)
This paper considers identification of spatial Durbin dynamic panel models under 2SLS and ML estimations. We show that the parameters are generally identified via 2SLS moment... -
Estimating the Dynamics and Persistence of Financial Networks, with an Applic...
We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate... -
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Mar...
We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with... -
Endogenous Spatial Regression and Delineation of Submarkets: A New Framework ...
Housing submarkets have been defined by different criteria: (i) similarity in house attributes; (ii) similarity in hedonic prices; and (iii) substitutability of houses. We show... -
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... -
Panel Data Models with Grouped Factor Structure Under Unknown Group Membershi...
This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the... -
Firm-Level Productivity Spillovers in China's Chemical Industry: A Spatial Ha...
This paper assesses intra-sectoral spillovers in total factor productivity (TFP) across Chinese producers in the chemical industry using panel data on 12,552 firms observed over... -
A Hidden Markov Model Approach to Information-Based Trading: Theory and Appli...
This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive... -
A Test of the Conditional Independence Assumption in Sample Selection Models ...
Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean... -
Estimating Incentive and Selection Effects in the Medigap Insurance Market: A...
This paper presents an empirical study of endogenous treatment effects in the presence of heterogeneous responses. We estimate the incentive and selection effects of having...
