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Nonlinear effects of government spending shocks in the USA: Evidence from sta...
This paper uses state-level data to estimate the effect of government spending shocks during expansions and recessions. By employing a mixed-frequency framework, we are able to... -
Common correlated effect cross‐sectional dependence corrections for nonlinear...
This paper provides an approach to estimation and inference for nonlinear conditional mean panel data models, in the presence of cross-sectional dependence. We modify Pesaran's... -
Real‐time detection of regimes of predictability in the US equity premium (re...
We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust)... -
Estimation of Dynamic Panel Data Models with Cross-Sectional Dependence: Usin...
This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses... -
Using OLS to Estimate and Test for Structural Changes in Models with Endogeno...
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We... -
Stochastic monotonicity in intergenerational mobility tables (replication data)
The aim of this paper is to test for stochastic monotonicity in intergenerational socio-economic mobility tables. In other words, we question whether having a parent from a high... -
Random Recursive Partitioning: a matching method for the estimation of the av...
In this paper we introduce the Random Recursive Partitioning (RRP) matching method. RRP generates a proximity matrix which might be useful in econometric applications like...
