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Dynamic factor model with infinite‐dimensional factor space: Forecasting (rep...
The paper compares the pseudo real-time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in... -
Spillovers among sovereign debt markets: Identification through absolute magn...
This paper studies spillovers among US and European sovereign yields. We employ absolute magnitude restrictions on the impact matrix to identify the countries that were the main... -
Cyclicality in losses on bank loans (replication data)
Based on unique data we show that macro variables, the default rate and loss given default of bank loans share common cyclical components. The innovation in our model is the... -
Bayesian model comparison for time‐varying parameter VARs with stochastic vol...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC)... -
Self-employment among women: Do children matter more than we previously thoug...
This paper presents an estimation approach that addresses the problems of sample selection and endogeneity of fertility decisions when estimating the effect of young children on... -
A multilevel factor model: Identification, asymptotic theory and applications...
This paper studies a multilevel factor model with global and country factors. The global factors affect all individuals, whereas the country factors affect only those within... -
Comparing cross-country estimates of Lorenz curves using a Dirichlet distribu...
Chotikapanich and Griffiths (Journal of Business and Economic Statistics, 2002, 20(2), 290-295) introduced the Dirichlet distribution to the estimation of Lorenz curves. This... -
Binary response panel data models with sample selection and self‐selection (r...
We consider estimating binary response models on an unbalanced panel, where the outcome of the dependent variable may be missing due to nonrandom selection, or there is... -
Business, housing, and credit cycles (replication data)
We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the... -
Measuring crisis risk using conditional copulas: An empirical analysis of the...
The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these... -
Do contractionary monetary policy shocks expand shadow banking? (replication ...
Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the... -
An efficient Bayesian approach to multiple structural change in multivariate ...
This paper provides a feasible approach to estimation and forecasting of multiple structural breaks for vector autoregressions and other multivariate models. Owing to conjugate... -
Estimating the distribution of welfare effects using quantiles (replication d...
This paper proposes a framework to model welfare effects that are associated with a price change in a population of heterogeneous consumers. The framework is similar to that of... -
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize... -
Difference-in-differences when the treatment status is observed in only one p...
This paper considers the difference-in-differences (DID) method when the data come from repeated cross-sections and the treatment status is observed either before or after the... -
A sequential Monte Carlo approach to inference in multiple‐equation Markov‐sw...
Vector autoregressions with Markov-switching parameters (MS-VARs) offer substantial gains in data fit over VARs with constant parameters. However, Bayesian inference for MS-VARs... -
Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
Loss functions for predicted click-through rates in auctions for online adver...
We characterize the optimal loss functions for predicted click-through rates in auctions for online advertising. Whereas standard loss functions such as mean squared error or... -
Efficient estimation of Bayesian VARMAs with time‐varying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the...
