-
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 non-linear dynamics of output and unemployment in the U.S. (replication d...
This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that... -
Clusters of attributes and well-being in the USA (replication data)
Using ARIMA models and entropy, the dynamic evolution of several functions of aggregate income and other attributes of well-being is analysed for statistical similarity in order... -
An empirical comparison of flexible demand system functional forms (replicati...
This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) effectively globally regular, or (3) asymptotically... -
Keynesian impulses versus Solow residuals: identifying sources of business cy...
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity... -
The effects of real and nominal uncertainty on inflation and output growth: s...
In this paper we use GARCH-M methods to test four hypotheses about the effects of real and nominal uncertainty on average inflation and output growth in the United States from... -
Conducting inference in semiparametric duration models under inequality restr...
Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by... -
Estimating the discount rate policy reaction function of the monetary authori...
This paper estimates a policy rule that explains the sign and the magnitude of the Federal Reserve's (Fed's) discount rate changes. It sets out a two-sided Type II Tobit model... -
Applied econometrics rankings: 1989-1995 (replication data)
This paper ranks academic institutions by publication activity in applied econometrics over the period 1989-1995. Fourteen leading international journals that publish applied... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Testing the significance of income distribution changes over the 1980s busine...
Using kernel density estimation we describe the distribution of household size-adjusted real income and how it changed over the business cycle of the 1980s in the United States... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the... -
Causal ordering and ‘The bank lending channel’ (replication data)
The bank lending channel implies the Federal Reserve can influence real income by controlling the level of intermediated loans. Using the notion of causality developed by Simon... -
Optimal univariate inflation forecasting with symmetric stable shocks (replic...
Monthly inflation in the United States indicates non-normality in the form of either occasional big shocks or marked changes in the level of the series. We develop a univariate... -
Excess capacity: a permanent characteristic of US airlines? (replication data)
This paper examines the permanence of excess capacity in the US airline industry. To avoid the problems with the standard engineering measure of capacity utilization, load... -
An analysis of technology, productivity, and regulatory distortion in the int...
The purpose of this paper is to provide the first comprehensive firm level analysis of cost structures and production in the interstate pipeline industry during the transition... -
Does more calculus improve student learning in intermediate micro- and macroe...
Using a selection bias correction model with ordered probit, we estimate how a second semester of calculus affects students' grades in intermediate economic theory. Selection... -
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... -
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...
