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Forecasting GDP in Europe with textual data (replication data)
Replication files and data for "Forecasting GDP in Europe with textual data" by L. Barbaglia, S. Consoli, S. Manzan, in Journal of Applied Econometrics (2023). -
Outlier robust inference in the instrumental variable model with applications...
Replication materials for "Outlier robust inference in the instrumental variable model with applications to causal effects" by J. Klooster and M. Zhelonkin, Journal of Applied... -
Exchange rates and macroeconomic fundamentals (replication data)
We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor... -
US Weekly Economic Index: Replication and extension (replication data)
Replication materials for "US Weekly Economic Index: Replication and extension", by Philipp Wegmueller and Christian Glocker, Journal of Applied Econometrics, forthcoming. -
Short T dynamic panel data models with individual, time and interactive effec...
Data and code for replicating the results in the empirical illustrations section of the paper "Short T dynamic panel data models with individual, time and interactive effects"... -
Quantifying investor narratives and their role during COVID-19 (replication f...
This paper elicits and quantifies narratives from open-ended surveys sent daily to U.S. stockholders during the first wave of the COVID-19 pandemic. Using textual analysis, we... -
Testing Identifying Assumptions in Bivariate Probit Models (replication data)
This paper considers the bivariate probit model's identifying assumptions: linear index specification, joint normality of errors, instrument exogeneity, and relevance. First, we...
