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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... -
Optimal Control of Heteroscedastic Macroeconomic Models (replication data)
This paper analyses the implications of heteroscedasticity for optimal macroeconomic policy and welfare. We find that changes in the variance structure driven by exogenous... -
Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
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... -
A Cost System Approach to the Stochastic Directional Technology Distance Func...
This paper offers a methodology to address the endogeneity of inputs in the directional technology distance function (DTDF)-based formulation of banking technology which... -
Noncausal Bayesian Vector Autoregression (replication data)
We consider Bayesian analysis of the noncausal vector autoregressive model that is capable of capturing nonlinearities and effects of missing variables. Specifically, we devise... -
Forecasting Consumption: the Role of Consumer Confidence in Real Time with ma...
We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways. First, we... -
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... -
Demographics and Business Cycle Volatility: A Spurious Relationship? (replica...
This paper replicates the estimation results of three studies on the impact of the age composition of the labor force on business cycle volatility and investigates whether they... -
Nonlinear Granger Causality: Guidelines for Multivariate Analysis (replicatio...
We propose an extension of the bivariate nonparametric Diks-Panchenko Granger non-causality test to multivariate settings. We first show that the asymptotic theory for the... -
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... -
Combining Time Variation and Mixed Frequencies: an Analysis of Government Spe...
In this paper, we propose a time-varying parameter vector autoregression (VAR) model with stochastic volatility which allows for estimation on data sampled at different... -
Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Pan...
The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of... -
Outlier-Robust Bayesian Multinomial Choice Modeling (replication data)
A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives... -
On the Importance of Sectoral and Regional Shocks for Price-Setting (replicat...
We use novel disaggregate sectoral-regional euro-area data to investigate the sources of price changes, introducing a new method to extract factors from overlapping data blocks... -
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... -
Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effe...
In their influential work Grier et al.(The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics 2004; 19: 551-565) examine the... -
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:... -
Estimating Health Demand for an Aging Population: A Flexible and Robust Bayes...
We analyse two frequently used measures of the demand for health-hospital visits and out-of-pocket health care expenditure-which have been analysed separately in the existing...
