-
Combining Time Variation and Mixed Frequencies: an Analysis of Government Spe...
In this paper, we propose a time-varying parameter vector autoregression (VAR) model with stochastic volatility which allows for estimation on data sampled at different... -
Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Pan...
The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of... -
Outlier-Robust Bayesian Multinomial Choice Modeling (replication data)
A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives... -
On the Importance of Sectoral and Regional Shocks for Price-Setting (replicat...
We use novel disaggregate sectoral-regional euro-area data to investigate the sources of price changes, introducing a new method to extract factors from overlapping data blocks... -
Bubbles and Crises: The Role of House Prices and Credit (replication data)
This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood... -
Accounting for the Political Uncertainty Factor (replication data)
We build our analysis upon previous work by Bloom et al. (Measuring the Effect of Political Uncertainty. Working Paper, Stanford University, 2012) and Baker et al. (Political... -
Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effe...
In their influential work Grier et al.(The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics 2004; 19: 551-565) examine the... -
Panicca: Panic on Cross-Section Averages (replication data)
The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22:... -
Estimating Health Demand for an Aging Population: A Flexible and Robust Bayes...
We analyse two frequently used measures of the demand for health-hospital visits and out-of-pocket health care expenditure-which have been analysed separately in the existing... -
Effect of Online Dating on Assortative Mating: Evidence from South Korea (rep...
Online dating services have increased in popularity around the world, but a lack of quality data hinders our understanding of their role in family formation. This paper studies... -
Modelling Hospital Admission and Length of Stay by Means of Generalised Count...
For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual... -
Error Correction Testing in Panels with Common Stochastic Trends (replication...
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a ...
Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation.... -
Reassessing the Relative Power of the Yield Spread in Forecasting Recessions ...
In this paper, we replicate the main results of previous research showing that the use of the yield spread in a probit model can predict recessions better than the Survey of... -
Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Sc...
This paper is concerned with the use of a Bayesian approach to fuzzy regression discontinuity (RD) designs for understanding the returns to education. The discussion is... -
Daily House Price Indices: Construction, Modeling, and Longer-run Predictions...
We construct daily house price indices for 10 major US metropolitan areas. Our calculations are based on a comprehensive database of several million residential property... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Determination of Long-run and Short-run Dynamics in EC-VARMA Models via Canon...
This article studies a simple, coherent approach for identifying and estimating error-correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation... -
A Semi-Parametric Analysis of Two-Sided Markets: An Application to the Local ...
This paper considers an empirical semiparametric model for two-sided markets. Contrary to existing empirical literature on two-sided markets, we specify network effects and...
