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MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARK...
This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical... -
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION (replication data)
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly... -
CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS (repl...
Decision makers often observe point forecasts of the same variable computed, for instance, by commercial banks, IMF and the World Bank, but the econometric models used by such... -
APPLYING BETA-TYPE SIZE DISTRIBUTIONS TO HEALTHCARE COST REGRESSIONS (replica...
This paper extends the literature on modelling healthcare cost data by applying the generalised beta of the second kind (GB2) distribution to English hospital inpatient cost... -
IS ECONOMIC RECOVERY A MYTH? ROBUST ESTIMATION OF IMPULSE RESPONSES (replicat...
We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to... -
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUD...
We develop a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to flow... -
THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL...
We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation,... -
THE EFFECTS OF EXPANDING THE GENEROSITY OF THE STATUTORY SICKNESS INSURANCE S...
This article evaluates an expansion of employer-mandated sick leave from 80% to 100% of forgone gross wages in Germany. We employ and compare parametric difference-in-difference... -
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... -
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... -
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... -
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... -
Labor market entry and earnings dynamics: Bayesian inference using mixtures-o...
This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns... -
Climbing the drug staircase: a Bayesian analysis of the initiation of hard dr...
Since empirical studies have shown that cannabis users are much more likely to initiate hard drug use, a causal linkage has been suggested (?gateway hypothesis?). However,... -
Simulation estimation of two-tiered dynamic panel Tobit models with an applic...
In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood... -
Fertility and female employment dynamics in Europe: the effect of using alter...
We investigate the direct and long-run effects of fertility on employment in Europe, estimating dynamic models of labor supply under different assumptions regarding the... -
On nonparametric estimation of a hedonic price function (replication data)
Recently, using mixed data on Canadian housing, Parmeter, Henderson, and Kumbhakar (Journal of Applied Econometrics 2007; 22: 695-699) found that a nonparametric approach for... -
What are the effects of fiscal policy shocks? (replication data)
We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government... -
Health and work of the elderly: subjective health measures, reporting errors ...
This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously...
