-
Do words hurt more than actions? The impact of trade tensions on financial ma...
We use machine learning techniques to quantify trade tensions between the United States and China. Our measure matches well-known events in the US-China trade dispute and is... -
Interpretation of point forecasts with unknown directive (replication data)
Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on... -
Did Protestantism promote prosperity via higher human capital? Replicating th...
This paper shows that the Becker-Woessmann reformulation of the Weber thesis-Protestants were more prosperous in 19th-century Prussia because they had higher human capital-is... -
Sparse change‐point VAR models (replication data)
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model... -
Composite likelihood methods for large Bayesian VARs with stochastic volatili...
Adding multivariate stochastic volatility of a flexible form to large vector autoregressions (VARs) involving over 100 variables has proved challenging owing to computational... -
Measuring mortgage credit availability: A frontier estimation approach (repli...
We construct a new measure of mortgage credit availability using a technique developed for production frontier estimation. The resulting loan frontier describes the maximum... -
Risk premia and seasonality in commodity futures (replication data)
We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in... -
Understanding the economic determinants of the severity of operational losses...
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity... -
Testing for optimal monetary policy via moment inequalities (replication data)
The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime: commonly, commitment or discretion. In this paper we propose... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Real exchange rate persistence and the excess return puzzle: The case of Swit...
The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
The cycle of violence in the Second Intifada: Causality in nonlinear vector a...
We contest Jaeger and Paserman's claim (Jaeger and Paserman , 2008. The cycle of violence? An empirical analysis of fatalities in the Palestinian-Israeli conflict. American... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have... -
Accounting for the Political Uncertainty Factor (replication data)
We build our analysis upon previous work by Bloom et al. (Measuring the Effect of Political Uncertainty. Working Paper, Stanford University, 2012) and Baker et al. (Political... -
Panicca: Panic on Cross-Section Averages (replication data)
The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22:... -
IDENTIFYING CAUSAL MECHANISMS (PRIMARILY) BASED ON INVERSE PROBABILITY WEIGHT...
This paper demonstrates the identification of causal mechanisms of a binary treatment under selection on observables, (primarily) based on inverse probability weighting; i.e. we... -
HOW BELIEFS ABOUT HIV STATUS AFFECT RISKY BEHAVIORS: EVIDENCE FROM MALAWI (re...
This paper examines how beliefs about own HIV status affect decisions to engage in risky sexual behavior, as measured by having extramarital sex and/or multiple sex partners.... -
NONPARAMETRIC ESTIMATION OF ENTRY COST IN FIRST-PRICE PROCUREMENT AUCTIONS (r...
In this paper, I investigate Samuelson's low-price auction model with entry costs. The model's equilibrium implies that the distribution of bids is truncated at the threshold...
