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Common correlated effects estimation of heterogeneous dynamic panel quantile ...
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant... -
Regional output growth in the United Kingdom: More timely and higher frequenc...
Output growth estimates for regions of the UK are currently published at an annual frequency only, released with a long delay, and offer limited historical coverage. To improve... -
Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional... -
Hidden group patterns in democracy developments: Bayesian inference for group...
We propose a nonparametric Bayesian approach to estimate time-varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme... -
Two applications of wild bootstrap methods to improve inference in cluster‐IV...
Microeconomic data often have within-cluster dependence, which affects standard error estimation and inference. When the number of clusters is small, asymptotic tests can be... -
Measuring mortgage credit availability: A frontier estimation approach (repli...
We construct a new measure of mortgage credit availability using a technique developed for production frontier estimation. The resulting loan frontier describes the maximum... -
Mostly harmless simulations? Using Monte Carlo studies for estimator selectio...
We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show... -
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy...
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Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that... -
Controlling for ability using test scores (replication data)
This paper proposes a semiparametric method to control for ability using standardized test scores, or other item response assessments, in a regression model. The proposed method... -
A robust approach to estimating production functions: Replication of the ACF ...
We study Ackerberg, Caves, and Frazer's (Econometrica, 2015, 83, 2411-2451; hereafter ACF) production function estimation method using Monte Carlo simulations. First, we... -
Towards causal estimates of children's time allocation on skill development (...
In this paper we examine how children's time allocation affects their accumulation of cognitive skill. Children's time allocation is endogenous in a model of skill production... -
Systemic risk and bank business models (replication data)
In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (?bank tail risk?) and the link of the bank to the system in financial distress... -
Measuring the natural rate of interest: A note on transitory shocks (replicat...
We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian... -
Real‐time forecast combinations for the oil price (replication data)
Baumeister and Kilian (Journal of Business and Economic Statistics, 2015, 33(3), 338-351) combine forecasts from six empirical models to predict real oil prices. In this paper,... -
Selecting structural innovations in DSGE models (replication data)
Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We...
