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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... -
Bayesian estimation of the exact affine Stone index demand system: Replicatin...
This paper proposes a Bayesian approach to perform inference in the exact affine Stone index (EASI) demand system that was proposed by Lewbel and Pendakur (2009), while taking... -
Testing for overconfidence statistically: A moment inequality approach (repli...
We propose a moment inequality approach to test for the presence of overconfidence using data from ranking experiments where subjects rank themselves relative to other... -
Direct and indirect effects of continuous treatments based on generalized pro...
This paper proposes semi- and nonparametric methods for disentangling the total causal effect of a continuous treatment on an outcome variable into its natural direct effect and... -
Endogeneity and non‐response bias in treatment evaluation – nonparametric ide...
This paper proposes a nonparametric method for evaluating treatment effects in the presence of both treatment endogeneity and attrition/non-response bias, based on two... -
Estimation of average treatment effects using panel data when treatment effec...
This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity... -
Mixed causal–noncausal autoregressions with exogenous regressors (replication...
Mixed causal-noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted... -
Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a... -
Interval censored regression with fixed effects (replication data)
This paper considers identification and estimation of a fixed-effects model with an interval-censored dependent variable. In each time period, the researcher observes the... -
Expected market returns: SVIX, realized volatility, and the role of dividends...
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Structural estimation of behavioral heterogeneity (replication data)
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response... -
Out-of-Sample Return Predictability: A Quantile Combination Approach (replica...
This paper develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed... -
Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
Forecasting with Global Vector Autoregressive Models: a Bayesian Approach (re...
This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a... -
Estimating Bayesian Decision Problems with Heterogeneous Expertise (replicati...
We consider the recent novel two-step estimator of Iaryczower and Shum (American Economic Review 2012; 102: 202-237), who analyze voting decisions of US Supreme Court justices.... -
An Extension of the<i>J</i>-Test to a Spatial Panel Data Framework (replicati...
Kelejian (Letters in Spatial and Resources Sciences; 1: 3-11) extended the J-test procedure to a spatial framework. Although his suggested test was computationally simple and... -
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... -
EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!-A NOTE O...
Diebold and Yilmaz (Economic Journal 2009; 119; 158-171) introduce the spillover index to measure linkages between international financial markets. As their index depends on the... -
The impact of data revisions on the robustness of growth determinants-a note ...
Ciccone and Jaroci-ski (American Economic Journal: Macroeconomics 2010; 2: 222-246) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small data...
