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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... -
DSGE Models in the Frequency Domains (replication data)
We use frequency domain techniques to estimate a medium-scale dynamic stochastic general equilibrium (DSGE) model on different frequency bands. We show that goodness of fit,... -
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... -
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? (repli...
This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance portfolios based on... -
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... -
Is infrastructure capital productive? A dynamic heterogeneous approach (repli...
This paper offers an evaluation of the output contribution of infrastructure. Using a panel time series approach and a large cross-country dataset, the paper estimates a... -
R&D, Innovation and Knowledge Spillovers: A Reappraisal of Bottazzi and P...
Bottazzi and Peri (Economic Journal 2007; 117: 486-511) show the existence of a cointegrating relationship between the domestic stock of knowledge, domestic R&D and the... -
Volatility of Price Indices for Heterogeneous Goods with Applications to the ...
Price indices for heterogeneous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investment... -
Evaluating Point and Density Forecasts of DSGE Models (replication data)
This paper investigates the accuracy of forecasts from four dynamic stochastic general equilibrium (DSGE) models for inflation, output growth and the federal funds rate using a... -
When Does Government Debt Crowd Out Investment? (replication data)
We examine when government debt crowds out investment for the US economy using an estimated New Keynesian model with detailed fiscal specifications and accounting for monetary... -
Using OLS to Estimate and Test for Structural Changes in Models with Endogeno...
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We... -
A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (r...
Yield curve models within the popular Nelson-Siegel class are shown to arise from formal low-order Taylor approximations of the generic Gaussian affine term structure model.... -
Bayesian VARs: Specification Choices and Forecast Accuracy (replication data)
In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt... -
Relative Risk Aversion and Power-Law Distribution of Macroeconomic Disasters ...
The coefficient of relative risk aversion is notoriously difficult to estimate. Recently, Barro and Jin (On the size distribution of macroeconomic disasters, Econometrica 2011;... -
Cointegration in Panel Data with Structural Breaks and Cross-Section Dependen...
The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered.... -
Econometric Regime Shifts and the US Subprime Bubble (replication data)
Using aggregate quarterly data for the period 1975:Q1-2010:Q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly... -
IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
RARE SHOCKS, GREAT RECESSIONS (replication data)
We estimate a DSGE (dynamic stochastic general equilibrium) model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student's...
