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Understanding spot and forward exchange rate regressions (replication data)
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and... -
The dynamic Laurent flexible form and the demand for money (replication data)
I derive the dynamic full Laurent model to estimate economic models that assume a dynamic process. The application in this paper is to use the dynamic full Laurent to estimate a... -
Are financial spreads useful indicators of future inflation and output growth...
This paper seeks to address the policy issue of the usefulness of financial spreads as indicators of future inflation and output growth in the countries of the European Union,... -
Organization of the experiment (replication data)
This paper explains the organization of our experiment in applied econometrics, where participating teams had one year (1 July 1995 to 1 August 1996) to answer specific economic... -
Growth and convergence in a multi-country empirical stochastic Solow model (r...
The paper considers international per capita output and its growth using a panel of data for 102 countries between 1960 and 1989. It sets out an explicitly stochastic Solow... -
Stochastic trends, deterministic trends, and business cycle turning points (r...
This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found... -
Is there a unit root in the inflation rate? Evidence from sequential break an...
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we... -
Testing for convergence: evidence from non-parametric multimodality tests (re...
In this paper, we test the convergence hypothesis in a cross-section of 119 countries by means of bootstrap multimodality tests and nonparametric density estimation techniques.... -
ENDOGENEITY IN COUNT DATA MODELS: AN APPLICATION TO DEMAND FOR HEALTH CARE (r...
The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or... -
HETEROGENEITY, EXCESS ZEROS, AND THE STRUCTURE OF COUNT DATA MODELS (replicat...
This paper demonstrates that the unobserved heterogeneity commonly assumed to be the source of overdispersion in count data models has predictable implications for the... -
SEMI-PARAMETRIC ESTIMATION OF HURDLE REGRESSION MODELS WITH AN APPLICATION TO...
This paper develops a semi-parametric estimation method for hurdle (two-part) count regression models. The approach in each stage is based on Laguerre series expansion for the... -
ECONOMIC INCENTIVES AND HOSPITALIZATION IN GERMANY (replication data)
The dramatically rising health expenditures have become a matter of prime concern. Using a rich panel dataset this paper contributes to this debate by investigating factors... -
DEMAND FOR MEDICAL CARE BY THE ELDERLY: A FINITE MIXTURE APPROACH (replicatio...
In this article we develop a finite mixture negative binomial count model that accommodates unobserved heterogeneity in an intuitive and analytically tractable manner. This... -
ESTIMATING THE INNOVATION FUNCTION FROM PATENT NUMBERS: GMM ON COUNT PANEL DA...
The purpose of this paper is to estimate the patent equation, an empirical counterpart to the knowledge-production function. Innovation output is measured through the number of... -
PATENTS, R&D, AND TECHNOLOGICAL SPILLOVERS AT THE FIRM LEVEL: SOME EVIDEN...
This paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
FEASIBLE CROSS-VALIDATORY MODEL SELECTION FOR GENERAL STATIONARY PROCESSES (r...
Cross-validation is a method used to estimate the expected prediction error of a model. Such estimates may be of interest in themselves, but their use for model selection is... -
STATISTICAL INFERENCE VIA BOOTSTRAPPING FOR MEASURES OF INEQUALITY (replicati...
In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. Two... -
NUMERICAL METHODS FOR ESTIMATION AND INFERENCE IN BAYESIAN VAR-MODELS (replic...
In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior... -
COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION (repli...
In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to...
