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Average treatment effects for stayers with correlated random coefficient mode...
Correlated random coefficient (CRC) models provide a useful framework for estimating average treatment effects (ATE) with panel data by accommodating heterogeneous treatment... -
Fixed effects demeaning in the presence of interactive effects in treatment e...
The present paper shows that cross-section demeaning with respect to time fixed effects is more useful than commonly appreciated, in that it enables consistent and... -
Testing for correlation in error‐component models (replication data)
This paper concerns linear models for grouped data with group-specific effects. We construct a portmanteau test for the null of no within-group correlation beyond that induced... -
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... -
The informativeness of estimation moments (replication data)
This paper introduces measures for how each moment contributes to the precision of parameter estimates in generalized method of moments settings. For example, one of the... -
Perceived and actual option values of college enrollment (replication data)
An important feature of postsecondary schooling is the experimentation that accompanies sequential decision making. Specifically, by entering college, a student gains the option... -
Who benefits from privileged peers? Evidence from siblings in schools (replic...
By comparing siblings attending the same school at different points in time, we investigate whether the effect of peer quality on long-term labor market outcomes varies with... -
The evolution of the US family income–schooling relationship and educational ...
We estimate a dynamic model of schooling on two cohorts of the National Longitudinal Survey of Youth and find that, contrary to conventional wisdom, the effects of real (as... -
A cross‐section average‐based principal components approach for fixed‐T panel...
Because of the increased availability of large panel data sets, common factor models have become very popular. The workhorse of the literature is the principal components (PC)... -
Negative interest rate policy and the yield curve (replication data)
We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the... -
Does drawing down the US Strategic Petroleum Reserve help stabilize oil price...
We study the effects of releases from the US Strategic Petroleum Reserve (SPR) within the context of fully specified models of the global oil market that explicitly allow for... -
Replicating the Levitt and Porter estimates of drunk driving (replication data)
Estimates of the prevalence and risk of drinking-and-driving are a high-priority need for researchers and policymakers. Levitt and Porter (Journal of Political Economy, 2001,... -
Differencing versus nondifferencing in factor‐based forecasting (replication ...
This paper studies performance of factor-based forecasts using differenced and nondifferenced data. Approximate variances of forecasting errors from the two forecasts are... -
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... -
The role of startups for local labor markets (replication data)
There are substantial differences in startup activity across US local labor markets. We study the causes and consequences of these differences. Startup productivity shocks are... -
Change point estimation in panel data with time‐varying individual effects (r...
Existing panel data methods remove unobserved individual effects before change point estimation through data transformations such as first-differencing. In this paper, we show... -
Forecasting stock returns with model uncertainty and parameter instability (r...
We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm... -
Predicting interest rates using shrinkage methods, real‐time diffusion indexe...
In the context of predicting the term structure of interest rates, we explore the marginal predictive content of real-time macroeconomic diffusion indexes extracted from a data... -
Comparing econometric methods to empirically evaluate activation programs for...
We test whether different identification strategies give similar results when evaluating activation programs. Budgetary problems at the Dutch unemployment insurance (UI)...
