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Cointegration tests of present value models with a time-varying discount fact...
The paper analyses the impact of persistence and volatility in the discount rate in present-value models on cointegration tests in levels and in logarithms. In simulations we... -
Separability test for the electricity supply industry (replication data)
This paper examines the vertical integration issue of the electricity industry. This industry is typically vertically integrated and heavily regulated. The paper investigates... -
Labour-use efficiency in Swedish social insurance offices (replication data)
This paper considers the estimation of frontier production functions in panel data models. It proposes a multi-stage method to obtain estimates of (1) the parameters of a... -
Efficiency in the provision of university teaching and research: An empirical...
A flexible three-output, two-input cost function model is used to examine the cost efficiency of UK universities as producers of teaching and research outputs. Unlike previous... -
Certificate-of-need regulation and the diffusion of innovations: A random coe...
In this paper, we examine empirically the effect that certificate-of-need regulation by state health planning organizations has had on the speed of diffusion of a relatively new... -
Nonnegativity constraints and intratemporal uncertainty in a multi-good life-...
In the standard multi-good life-cycle consumption model (with intertemporal additive utility) the intratemporal relations between the marginal utilities of the different goods... -
Cyclical properties of a real business cycle model (replication data)
This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts,... -
Testing the implications of long-run neutrality for monetary business cycle m...
This paper compares sample fluctuations of the US business cycle with those predicted by a class of equilibrium monetary business cycle models. The predictions of the models are... -
A duration model of irreversible oil investment: Theory and empirical evidenc...
The aim of this paper is to analyse the implications of the theory of irreversible investment under uncertainty for investment in oil fields on the United Kingdom Continental... -
Asset trading, transaction costs and the equity premium (replication data)
A model is developed that attempts to explain the historical size of the US equity premium by distinguishing between gross and net returns accruing to agents. The model derived... -
The linear quadratic adjustment cost model and the demand for labour (replica...
In this paper we demonstrate a new way of testing the linear quadratic adjustment cost (LQAC) model under rational expectations. We illustrate how the parameter restrictions... -
Statistical inference in calibrated models (replication data)
This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and... -
A structural model of aircraft engine maintenance (replication data)
We develop and estimate a simple regenerative optimal stopping model of aircraft engine maintenance that attempts to describe the behaviour of airline maintenance personnel. The... -
Estimating nonlinear time-series models using simulated vector autoregression...
This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical... -
Common Trends and Common Cycles (replication data)
The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the... -
On the estimation of simultaneous-equations error-components models with an a...
An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964-1987. In... -
A re-examination of the q theory of investment using u.s. firm data (replicat...
Investment models based on Tobin's q are theoretically appealing, but they have been an empirical disappointment when applied to aggregate time-series data. This paper explores... -
Are price equations really money demand equations on their heads? (replicatio...
This dataset has no description
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Asymptotic theory and econometric practice (replication data)
The classical paradigm of asymptotic theory employed in econometrics presumes that model dimensionality, p, is fixed as sample size, n, tends to inifinity. Is this a plausible... -
Political Ignorance and the Internet, Replication Data
We examine the link between Internet usage and political ignorance. In order to do so, we construct a novel index measuring individuals' indifference with respect to political...
