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Real‐time forecast combinations for the oil price (replication data)
Baumeister and Kilian (Journal of Business and Economic Statistics, 2015, 33(3), 338-351) combine forecasts from six empirical models to predict real oil prices. In this paper,... -
Selecting structural innovations in DSGE models (replication data)
Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We... -
Private returns to R&D in the presence of spillovers, revisited (replicat...
This is both a replication of Eberhardt et al. (Review of Economics and Statistics, 2013, 95(2), 436-448) using different software, and a critical extension and diagnostic... -
The puzzling effects of monetary policy in VARs: Invalid identification or mi...
Standard vector autoregressions (VARs) often find puzzling effects of monetary policy shocks. Is this due to an invalid (recursive) identification scheme, or because the... -
The approximate solution of finite‐horizon discrete‐choice dynamic programmin...
The estimation of finite-horizon discrete-choice dynamic programming (DCDP) models is computationally expensive. This limits their realism and impedes verification and... -
Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local... -
What are the macroeconomic effects of high‐frequency uncertainty shocks? (rep...
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables representative of the US economy. Rather than estimating... -
Policy uncertainty and aggregate fluctuations (replication data)
This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt, and (iv) monetary policy.... -
A generalized focused information criterion for GMM (replication data)
This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than... -
Do contractionary monetary policy shocks expand shadow banking? (replication ...
Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the... -
The evolution of scale economies in US banking (replication data)
Continued consolidation of the US banking industry and a general increase in the size of banks have prompted some policymakers to consider policies that discourage banks from... -
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
The Robust Relationship Between US Food Aid and Civil Conflict (replication d...
Humanitarian aid has long been considered an important means to reduce hunger and suffering in developing countries. A recent finding by Nunn and Qian (US food aid and civil... -
Dynamic Panel Data Models With Irregular Spacing: With an Application to Earl...
With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well... -
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations... -
Confronting Price Endogeneity in a Duration Model of Residential Subdivision ...
Spatial equilibrium implies that distant factors are correlated with local prices through market mechanisms. Using this logic, we develop a novel approach for handling price... -
Weak and Strong Cross-Sectional Dependence: A Panel Data Analysis of Internat...
This paper provides an econometric examination of technological knowledge spillovers among countries by focusing on the issue of error cross-sectional dependence, particularly... -
Wild Bootstrap Inference for Wildly Different Cluster Sizes (replication data)
The cluster robust variance estimator (CRVE) relies on the number of clusters being sufficiently large. Monte Carlo evidence suggests that the rule of 42 is not true for... -
Forecasting With the Standardized Self‐Perturbed Kalman Filter (replication d...
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (Electronics Letters 1992; 28: 558-559) for the...