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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... -
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... -
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... -
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... -
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... -
Periodically expanding discounted debt: a threat to fiscal policy sustainabil...
This paper models the behaviour of discounted US debt using a Markov-switching time series model. The significance of modelling fiscal policy within this framework derives from... -
Nonparametric bounds on the returns to language skills (replication data)
This paper applies the theoretical literature on nonparametric bounds on treatment effects to the estimation of how limited English proficiency (LEP) affects wages and... -
Markov switching causality and the money-output relationship (replication data)
The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests... -
Nonlinearity in the Fed's monetary policy rule (replication data)
This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that... -
Principal components at work: the empirical analysis of monetary policy with ...
The empirical analysis of monetary policy requires the construction of instruments for future expected inflation. Dynamic factor models have been applied rather successfully to... -
I didn't tell, and I won't tell: dynamic response error in the SIPP (replicat...
Using state administrative records matched to the 1984 Survey of Income and Program Participation, we examine intertemporal relationships in response errors. False negative... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Comparing shocks and frictions in US and euro area business cycles: a Bayesia...
This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural... -
Nonlinearity and the permanent effects of recessions (replication data)
This paper presents a new nonlinear time series model that captures a post-recession bounce-back in the level of aggregate output. While a number of studies have examined this... -
The transmission of US shocks to Latin America (replication data)
I study whether and how US shocks are transmitted to eight Latin American countries. US shocks are identified using sign restrictions and treated as exogenous with respect to... -
Monitoring structural change in dynamic econometric models (replication data)
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of... -
Robust inference concerning recent trends in US environmental quality (replic...
Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons... -
Dynamics of the federal funds target rate: a nonstationary discrete choice ap...
We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short-term market...
