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Geographic poverty traps? A micro model of consumption growth in rural China ...
How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural... -
Censored latent effects autoregression, with an application to US unemploymen...
A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond... -
Crack spread hedging: accounting for time-varying volatility spillovers in th...
Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A... -
A structural model of US aggregate job flows (replication data)
This paper contributes to the analysis of jobs flows dynamics through the explicit modelling of job creations and job destructions. We propose a simple matching model extended... -
Learning and communication in sender-receiver games: an econometric investiga...
This paper compares stimulus response (SR) and belief-based learning (BBL) using data from experiments with sender-receiver games. The environment, extensive form games played... -
The relation between wealth and labour market transitions: an empirical study...
We study the relationship between wealth and labour market transitions. A lifecycle model, in which individuals are faced by uncertainty about the availability of jobs, serves... -
Stochastic frontier models with random coefficients (replication data)
The paper proposes a stochastic frontier model with random coefficients to separate technical inefficiency from technological differences across firms, and free the frontier... -
Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte C...
We use recent statistical tests, based on a distance between the model and the Hansen-Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models... -
Quantifying the uncertainty about the half-life of deviations from PPP (repli...
We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey... -
Rethinking an old empirical puzzle: econometric evidence on the forward disco...
Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new... -
Measuring predictability: theory and macroeconomic applications (replication ...
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure... -
The demand for M3 in the euro area (replication data)
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with... -
A score test for non-nested hypotheses with applications to discrete data mod...
In this paper it is shown that a convenient score test against non-nested alternatives can be constructed from the linear combination of the likelihood functions of the... -
Model uncertainty in cross-country growth regressions (replication data)
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely... -
A flexible parametric GARCH model with an application to exchange rates (repl...
Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates... -
Trend-stationary GNP: evidence from a new exact pointwise most powerful invar...
There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit-root and trend-reverting... -
Monetary policy analysis and inflation targeting in a small open economy: a V...
Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy issues more... -
Estimating shocks and impulse response functions (replication data)
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or... -
Descriptive econometrics for non-stationary time series with empirical illust...
Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with... -
Bounds testing approaches to the analysis of level relationships (replication...
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known...
