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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... -
Time-varying yield curve dynamics and monetary policy (replication data)
Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time-varying structural vector autoregression. The monetary policy shocks... -
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... -
Measuring marketing-mix effects in the 32/64 bit video-game console market (r...
We investigate the short- and long-run effects of prices and software availability on the category-level diffusion of 32/64-bit video-game consoles in the USA. We adopt an... -
Public insurance and private savings: who is affected and by how much? (repli...
This paper employs a recently developed instrumental quantile regression method to investigate the effect of Medicaid on household savings across different wealth groups. It... -
Binary choice under social interactions: an empirical study with and without ...
This paper examines two methods of modeling binary choice with social interactions: models assuming homogeneous rational expectations and models using subjective data on... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the... -
Efficiency and productivity of the US banking industry, 1998-2005: evidence f...
This paper provides estimates of bank efficiency and productivity in the United States, over the period from 1998 to 2005, using (for the first time) the globally flexible... -
Annual miles drive used car prices (replication data)
This paper investigates whether the net benefits from owning a vehicle, proxied by annual miles driven, explain the price declines observed over a vehicle's life. We first model... -
Identifying the new Keynesian Phillips curve (replication data)
Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected... -
Comparing smooth transition and Markov switching autoregressive models of US ...
Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US unemployment rate are estimated by Markov chain Monte Carlo... -
Bayesian counterfactual analysis of the sources of the great moderation (repl...
We use counterfactual experiments to investigate the sources of the large volatility reduction in US real GDP growth in the 1980s. Contrary to an existing literature that... -
Consumer benefits from increased competition in shopping outlets: Measuring t...
Non-traditional retail outlets, including supercenters, warehouse club stores, and mass merchandisers, have nearly doubled their share of consumer food-at-home expenditures in... -
International welfare comparisons and nonparametric testing of multivariate s...
This paper outlines a class of statistical procedures that permit testing of a broad range of multidimensional stochastic dominance hypotheses and, more generally, welfare... -
Semi-nonparametric competing risks analysis of recidivism (replication data)
In this paper we specify a semi-nonparametric competing risks (SNP-CR) model of recidivism, for misdemeanors and felonies. The model is a bivariate mixed proportional hazard... -
Money demand function estimation by nonlinear cointegration (replication data)
Conventionally, the money demand function is estimated using a regression of the logarithm of money demand on either the interest rate or the logarithm of the interest rate.... -
Unemployment and liquidity constraints (replication data)
We present a dynamic framework for the interaction between borrowing (liquidity) constraints and deviations of actual hours from desired hours, both measured by discrete-valued... -
Discounting the distant future: How much does model selection affect the cert...
Recent work in evaluating investments with long-term consequences has turned towards establishing a schedule of Declining Discount Rates (DDRs). Using US data we show that the... -
Assessing the performance of matching algorithms when selection into treatmen...
This paper investigates the method of matching regarding two crucial implementation choices: the distance measure and the type of algorithm. We implement optimal full matching a... -
An empirical analysis of nonstationarity in a panel of interest rates with fa...
This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross-sectional...
