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Serially correlated variables in dynamic, discrete choice models (replication...
This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of... -
A multivariate latent factor decomposition of international bond yield spread...
A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are... -
Sequential testing of duration data: the case of the Pennsylvania reemploymen...
Cost considerations and the need to report the results promptly make it desirable to examine data as it accumulates and to terminate an experimental study as soon as definite... -
Uncovering financial markets' beliefs about inflation targets (replication data)
This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter... -
Near unit roots, cointegration, and the term structure of interest rates (rep...
The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span... -
Incomplete information and the time series behaviour of consumption (replicat...
Pischke (1995) uses both microeconomic and macroeconomic US data to test the idea that, within an otherwise standard PIH framework, ignorance by agents of aggregate labour... -
Keynesian impulses versus Solow residuals: identifying sources of business cy...
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity... -
Real exchange rate behaviour: evidence from black markets (replication data)
The behaviour of real exchange rates (relative to the US dollar) is examined using monthly data obtained from the black markets for foreign exchange of eight Asian developing... -
An empirical analysis of alternative parametric ARCH models (replication data)
This paper presents empirical evidence on the effectiveness of eight different parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a... -
US deficit sustainability: a new approach based on multiple endogenous breaks...
Recent empirical work has questioned the consistency of US fiscal policy with an intertemporal budget constraint. Empirical results have tended to indicate that the deficit... -
Multiple comparisons with the best, with economic applications (replication d...
In this paper we discuss a statistical method called multiple comparisons with the best, or MCB. Suppose that we have N populations, and population i has parameter value i. Let... -
Testing for ARCH in the presence of additive outliers (replication data)
In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the... -
Investigating stability and linearity of a German M1 money demand function (r...
Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression... -
Non-linearities in cross-country growth regressions: a semiparametric approac...
In this paper we employ an additive semiparametric partially linear model to uncover the way that initial output and schooling levels affect growth rates. Our results based on... -
Exchange rate target zone models: a Bayesian evaluation (replication data)
This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation... -
Another look at Swedish business cycles, 1861-1988 (replication data)
The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for... -
Learning and decision costs in one-person games (replication data)
This paper reports the results of a two-part data analysis of learning in a repeated costly decision experiment. In the first part we test payoff dominance under the hypothesis... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Common cycles in seasonal non-stationary time series (replication data)
This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present... -
Testing the random walk hypothesis for real exchange rates (replication data)
This paper tests the random walk hypothesis for the log-differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test,...
