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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... -
Should we use linearized models to calculate fiscal multipliers? (replication...
We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the... -
A test of general asymmetric dependence (replication data)
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric... -
Homogeneity pursuit in panel data models: Theory and application (replication...
This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being... -
Indirect inference with time series observed with error (replication data)
We propose the indirect inference estimator as a consistent method to estimate the parameters of a structural model when the observed series are contaminated by measurement... -
Testing the rationality of expectations of qualitative outcomes (replication ...
This article provides an adequate statistic for testing the rationality of point predictions of categorical outcomes under a subjective median or mode assumption. The test... -
National natural rates of interest and the single monetary policy in the euro...
We estimate time-varying national natural real rates of interest (r?) for the four largest economies of the euro area over 1999-2016. We further derive the associated national... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the... -
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... -
Exact computation of GMM estimators for instrumental variable quantile regres...
We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a... -
Genetic distance, trade, and the diffusion of development (replication data)
The determinants of countries' long-term income differences feature prominently in the literature. Spolaore and Wacziarg (The diffusion of development, Quarterly Journal of... -
Private debt overhang and the government spending multiplier: Evidence for th...
Using state-dependent local projections and historical US data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In... -
Measuring the diffusion of housing prices across space and over time: Replica...
Brady (Journal of Applied Econometrics, 2011, 26(2), 213-231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the... -
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.... -
Time series copulas for heteroskedastic data (replication data)
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first-order Markov series, and then extend them to... -
Increasing the credibility of the twin birth instrument (replication data)
Twin births are an important instrument for the endogenous fertility decision. However, twin births are not exogenous either as dizygotic twinning is correlated with maternal... -
Identification issues in the public/private wage gap, with an application to ...
This paper reviews some of the standard assumptions that are imposed in order to estimate the average public/private wage gap and that are mainly related to the possible... -
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... -
Realized extreme quantile: A joint model for conditional quantiles and measur...
We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile... -
Normalized CES supply systems: Replication of Klump, McAdam, and Willman (200...
The analysis of Klump, McAdam, and Willman (Review of Economics and Statistics, 2007, 89, 183-192) is replicated using alternative software. Their results are verified...
