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ENJOYING THE QUIET LIFE UNDER DEREGULATION? NOT QUITE (replication data)
Most empirical studies in the banking literature assume that the alternative profit function is linearly homogeneous in input prices. We show that such an assumption is... -
MODEL PRIORS REVISITED: INTERACTION TERMS IN BMA GROWTH APPLICATIONS (replica...
This paper provides a sensitivity analysis on the prior choice for interaction terms for the results of Masanjala and Papageorgiou (Rough and lonely road to prosperity. Journal... -
IDENTIFYING THE RESPONSE OF FERTILITY TO FINANCIAL INCENTIVES (replication data)
While using financial incentives to increase fertility has become relatively common, the effects of such policies are difficult to assess. We propose an identification strategy... -
DIVORCE LAW REFORMS AND DIVORCE RATES IN THE USA: AN INTERACTIVE FIXED-EFFECT...
This paper estimates the effects of unilateral divorce laws on divorce rates in the USA from a panel of state-level divorce rates. We use the interactive fixed-effects model to... -
crs: A PACKAGE FOR NONPARAMETRIC SPLINE ESTIMATION IN R (replication data)
crs is a library for R written by Jeffrey S. Racine (Maintainer) and Zhenghua Nie. This add-on package provides a collection of functions for spline-based nonparametric... -
THE DEMAND FOR GASOLINE: EVIDENCE FROM HOUSEHOLD SURVEY DATA (replication data)
In this paper we investigate the demand for gasoline in Canada using recent annual expenditure data from the Canadian Survey of Household Spending, over a 13-year period from... -
STATE DEPENDENCE AND HETEROGENEITY IN HEALTH USING A BIAS-CORRECTED FIXED-EFF...
This paper estimates a dynamic ordered probit model of self-assessed health with two fixed effects: one in the linear index equation and one in the cut-points. This robustly... -
TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA A...
Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-finding rates using tools such as impulse... -
FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERA...
This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and... -
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TE...
We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions... -
EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!-A NOTE O...
Diebold and Yilmaz (Economic Journal 2009; 119; 158-171) introduce the spillover index to measure linkages between international financial markets. As their index depends on the... -
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF I...
We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures... -
EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN ...
Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update... -
AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS (replication data)
This paper develops a long-run output relation for a major oil-exporting economy where the oil income-to-output ratio remains sufficiently high over a prolonged period. It... -
INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data)
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques,... -
DO PEERS AFFECT STUDENT ACHIEVEMENT? EVIDENCE FROM CANADA USING GROUP SIZE VA...
We provide the first empirical application of a new approach proposed by Lee (Journal of Econometrics 2007; 140(2), 333-374) to estimate peer effects in a linear-in-means model... -
MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PAT...
In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing... -
ARE THE CURRENT ACCOUNT IMBALANCES BETWEEN EMU COUNTRIES SUSTAINABLE? EVIDENC...
Using parametric and non-parametric estimation techniques, we analyze the sustainability of the recently growing current account imbalances in the euro area and test whether the... -
ESTIMATION OF TIME-VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBA...
Recently, Duarte and Young (2009) studied the probability of informed trading (PIN) proposed by Easley et al. (2002) and decomposed it into two parts: the adjusted PIN (APIN) as... -
SEMI-NONPARAMETRIC ESTIMATION OF CONSUMER SEARCH COSTS (replication data)
This paper studies the estimation of the distribution of non-sequential search costs. We show that the search cost distribution is identified by combining data from multiple...
