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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... -
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize... -
The Early Millennium Slowdown: Replicating the Peersman (2005) Results (repli...
This paper undertakes both a narrow and wide replication of the constant coefficients vector autoregression (VAR) identified with sign restrictions considered by Peersman... -
Forecasting Tail Risks (replication data)
This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data... -
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... -
Mixed logit models: accuracy and software choice (replication data)
This dataset has no description
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Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers...
