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Time Variation in Macro-Financial Linkages (replication data)
We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We find that the... -
Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Ma...
An article by Chan et al. (2013) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to... -
Mismatch Shocks and Unemployment During the Great Recession (replication data)
We investigate the macroeconomic consequences of fluctuations in the effectiveness of the labor market matching process with a focus on the Great Recession. We conduct our... -
Bubbles and Crises: The Role of House Prices and Credit (replication data)
This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood... -
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... -
Daily House Price Indices: Construction, Modeling, and Longer-run Predictions...
We construct daily house price indices for 10 major US metropolitan areas. Our calculations are based on a comprehensive database of several million residential property... -
Reanalyzing Zero Returns to Education in Germany (replication data)
Pischke and von Wachter (Review of Economics and Statistics 2008; 90(3): 592-598) find zero earnings returns to compulsory schooling in the basic school track in Germany. We... -
Successful Scientific Replication and Extension of Levitt (2008): Child Seats...
Using US fatality data from 1975 to 2003, Levitt (Evidence that seat belts are as effective as child safety seats in preventing death for children aged two and up, Review of... -
Modelling Inflation Volatility (replication data)
This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk... -
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rat...
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday... -
Maintaining (Locus of) Control? Data Combination for the Identification and I...
Factor structure models are widely used in economics to extract latent variables, such as personality traits, and to measure their impact on outcomes of interest. The... -
Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulati...
The pollution haven hypothesis (PHH) posits that production within polluting industries will shift to locations with lax environmental regulation. While straightforward, the... -
GMM with Multiple Missing Variables (replication data)
We consider efficient estimation in moment conditions models with non-monotonically missing-at-random (MAR) variables. A version of MAR point-identifies the parameters of... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
On the Low-Frequency Relationship Between Public Deficits and Inflation (repl...
We estimate the low-frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time-varying vector... -
Identification and Estimation of Distributional Impacts of Interventions Usin...
This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are... -
A Social Interactions Model with Endogenous Friendship Formation and Selectiv...
This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social... -
Growth Determinants Revisited Using Limited-Information Bayesian Model Averag...
We revisit the growth empirics debate using a novel limited-information Bayesian model averaging framework in short T panels that addresses model uncertainty, dynamics, and... -
Endogenous Spatial Regression and Delineation of Submarkets: A New Framework ...
Housing submarkets have been defined by different criteria: (i) similarity in house attributes; (ii) similarity in hedonic prices; and (iii) substitutability of houses. We show...
