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Intertemporal pricing and price discrimination: a semiparametric hedonic anal...
We apply a smooth coefficient semiparametric model to a unique high-frequency data set to examine the intertemporal pricing of personal computers. Furthermore, we test whether... -
Smoothed binary regression quantiles (replication data)
This paper extends results regarding smoothed median binary regression to general smoothed binary quantile regression, discusses the interpretation of the resulting estimators... -
How do changes in monetary policy affect bank lending? An analysis of Austria...
Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity... -
Estimating and predicting multivariate volatility thresholds in global stock ...
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several... -
Normal mixture GARCH(1,1): applications to exchange rate modelling (replicati...
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter... -
Estimation of multivariate models for time series of possibly different lengt...
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that... -
Measuring welfare effects in models with random coefficients (replication data)
In economic research, it is often important to express the marginal value of a variable in monetary terms. In random coefficient models, this marginal monetary value is the... -
Bayes model averaging of cyclical decompositions in economic time series (rep...
A flexible decomposition of a time series into stochastic cycles under possible non-stationarity is specified, providing both a useful data analysis tool and a very wide model... -
A bivariate count data model for household tourism demand (replication data)
Households' choice of the number of leisure trips and the total number of overnight stays is empirically studied using Swedish tourism data. A bivariate hurdle approach... -
Job separation in a non-stationary search model: a structural estimation to e...
This paper considers a job search model in which the environment is not constant throughout the unemployment spell and where jobs do not last for ever. In this situation,... -
Timing structural change: a conditional probabilistic approach (replication d...
We propose a strategy for assessing structural stability in time-series frameworks when potential change dates are unknown. Existing stability tests are effective in detecting... -
gnuplot 4.0: a portable interactive plotting utility (replication data)
UNIX, IBM OS/2, MS Windows, DOS, Apple Macintosh, VMS, Atari and many other platforms. It is free and open source, though it is not licensed under the GPL, nor is it GNU... -
Economic development and the return to human capital: a smooth coefficient se...
This paper investigates the impact of human capital on the process of economic growth by allowing the contribution of traditional inputs (capital and labour) as well as that of... -
High school completion and future youth unemployment: new evidence from High ...
In this paper, I provide new evidence from High School and Beyond (HSB) on the effects of compulsory attendance on high school completion and future youth unemployment. I... -
An econometric model of nonlinear dynamics in the joint distribution of stock...
This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or... -
The policy preferences of the US Federal Reserve (replication data)
In this paper we model and explain US macroeconomic outcomes subject to the discipline that monetary policy is set optimally. Exploiting the restrictions that come from optimal... -
The cross-Euler equation approach to intertemporal substitution in import dem...
This paper addresses the empirical dilemma in identifying and estimating the parameters governing the intertemporal elasticity of substitution (IES) for import demand. We... -
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? ...
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM... -
Testing chaotic dynamics via Lyapunov exponents (replication data)
We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in... -
Estimating dynamic equilibrium economies: linear versus nonlinear likelihood ...
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The...
