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Modelling and forecasting multivariate realized volatility (replication data)
This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for... -
Modeling and forecasting short-term interest rates: The benefits of smooth re...
In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is... -
The frequency of visiting a doctor: Is the decision to go independent of the ...
In his analysis of the effects of the reform of the German healthcare system, Winkelmann (Journal of Applied Econometrics 2004; 19: 455-472) investigates the number of doctor... -
A comparison of treatment effects estimators using a structural model of AMI ...
We compare the performance of various matching estimators using a novel approach that is feasible in the absence of experimental data. We estimate a structural model of hospital... -
Non-parametric bounds on quantiles under monotonicity assumptions: with an ap...
Within the inferential context of predicting a distribution of potential outcomes P[y(t)] under a uniform treatment assignment t ∈ T, this paper deals with partial... -
Simulation-based tests of forward-looking models under VAR learning dynamics ...
In this paper we propose a simulation-based technique to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when... -
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... -
Forecasting large datasets with Bayesian reduced rank multivariate models (re...
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and... -
Conditional Markov chain and its application in economic time series analysis...
Motivated by the great moderation in major US macroeconomic time series, we formulate the regime switching problem through a conditional Markov chain. We model the long-run... -
Biases in approximating log production (replication data)
Most empirical work in economic growth assumes either a Cobb-Douglas production function expressed in logs or a log-approximated constant elasticity of substitution... -
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... -
How does heterogeneity shape the socioeconomic gradient in health satisfactio...
Individual heterogeneity plays a key role in explaining variation in self-reported health and its socioeconomic gradient. It is hypothesised that the influence of this... -
Job and wage mobility with minimum wages and imperfect compliance (replicatio...
We propose a job search model with minimum wage regulations and imperfect compliance to explain the doubling of the mean and variance of hourly earnings of white males during... -
Estimating the returns to schooling: a likelihood approach based on normal mi...
In this paper we develop likelihood-based methods for statistical inference in a joint system of equations for the choice of length of schooling and earnings. The model for... -
An inflated multivariate integer count hurdle model: an application to bid an...
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain n, n. Our modelling framework is based on a copula... -
Can subjective expectations data be used in choice models? evidence on cognit...
A pervasive concern with the use of subjective data in choice models is that they are biased and endogenous. This paper examines the extent to which cognitive biases plague... -
Stock market expectations of Dutch households (replication data)
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other... -
Stock Market Crash and Expectations of American Households (replication data)
This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market... -
When Kahneman meets Manski: Using dual systems of reasoning to interpret subj...
To understand how decisions to invest in stocks are taken, economists need to elicit expectations regarding risk-return tradeoff. One of the few surveys which has elicited such... -
Measuring and interpreting expectations of equity returns (replication data)
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our...
