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INDIVIDUAL VERSUS AGGREGATE INCOME ELASTICITIES FOR HETEROGENEOUS POPULATIONS...
This paper deals with different concepts of income elasticities of demand for a heterogeneous population and the relationship between individual and aggregate elasticities. In... -
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS (...
In this paper, we propose a Bayesian estimation and forecasting procedure for noncausal autoregressive (AR) models. Specifically, we derive the joint posterior density of the... -
A PANEL DATA APPROACH FOR PROGRAM EVALUATION: MEASURING THE BENEFITS OF POLIT...
We propose a simple-to-implement panel data method to evaluate the impacts of social policy. The basic idea is to exploit the dependence among cross-sectional units to construct... -
A RANK-ORDERED LOGIT MODEL WITH UNOBSERVED HETEROGENEITY IN RANKING CAPABILIT...
To study preferences, respondents to a survey are usually asked to select their most preferred option from a set. Preferences can be estimated more efficiently if respondents... -
FOSTERING EDUCATIONAL ENROLMENT THROUGH SUBSIDIES: THE ISSUE OF TIMING (repli...
The purpose of this paper is to build a dynamic structural model of educational choices in which cognitive skills shape decisions. The model is estimated by maximum likelihood... -
‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESIST...
We derive a quantity-based structural gravity equation system in which both trade flows and error terms are cross-sectionally correlated. This system can be estimated using... -
WEIGHTED SMOOTH TRANSITION REGRESSIONS (replication data)
A new procedure is proposed for modelling nonlinearity of a smooth transition form, by allowing the transition variable to be a weighted function of lagged observations. This... -
COMPARISON OF MODEL AVERAGING TECHNIQUES: ASSESSING GROWTH DETERMINANTS (repl...
This paper investigates the replicability of three important studies on growth theory uncertainty that employed Bayesian model averaging tools. We compare these results with... -
The political economy of financial reform: How robust are huang's findings? (...
Using new data on financial liberalization taken from Abiad et al. (2008, IMF Working Papers, No. 08/266) for 62 countries over the period 1975-2005, we show that some of the... -
Optimal monetary policy using an unrestricted VAR (replication data)
This paper proposes a simple benchmark for monetary policy. Assuming the true model of the economy is unknown, it is based on an unrestricted vector autoregression (VAR). The... -
A simple, flexible estimator for count and other ordered discrete data (repli...
This paper examines a flexible way to model empirically discrete data outcomes using hazard rate decompositions. It presents a general data-generating mechanism based on... -
Term structure surprises: the predictive content of curvature, level, and slo...
This paper analyzes the predictive content of the term structure components level, slope, and curvature within a dynamic factor model of macroeconomic and interest rate data.... -
Lose weight for a raise only if overweight: Marginal integration for semi-lin...
Some studies have shown that body mass index (BMI), weight (kg)/height (m)2, has a negative (or no) effect on wage. But BMI representing obesity is a tightly specified function... -
A blocking and regularization approach to high-dimensional realized covarianc...
We introduce a blocking and regularization approach to estimate high-dimensional covariances using high-frequency data. Assets are first grouped according to liquidity. Using... -
Probabilistic forecasting of output growth, inflation and the balance of trad...
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for... -
The impact of data revisions on the robustness of growth determinants-a note ...
Ciccone and Jaroci-ski (American Economic Journal: Macroeconomics 2010; 2: 222-246) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small data... -
An identification-robust test for time-varying parameters in the dynamics of ...
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting... -
Modelling dependence using skew t copulas: Bayesian inference and application...
We construct a copula from the skew t distribution of Sahu et al. (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few... -
Nonparametric estimation of the impact of taxes on female labor supply (repli...
This paper proposes a simple extension of nonparametric estimation methods for nonlinear budget-set models derived in Blomquist and Newey (2002) to censored dependent variables.... -
Revealing the preferences of the US Federal Reserve (replication data)
We use Bayesian methods to estimate changes in US post-war monetary policy in the Smets and Wouters model. We perform the estimations by allowing for a break in monetary policy...
