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Dynamic stochastic copula models: estimation, inference and applications (rep...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with... -
Smoothed binary regression quantiles (replication data)
This paper extends results regarding smoothed median binary regression to general smoothed binary quantile regression, discusses the interpretation of the resulting estimators... -
Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Monitoring structural change in dynamic econometric models (replication data)
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of... -
A structural dynamic analysis of retirement behaviour in the Netherlands (rep...
This study focuses on determinants of elderly labour force participation and retirement decisions in the Netherlands. This is analysed by a dynamic programming model for the... -
Socio-economic distance and spatial patterns in unemployment (replication data)
This paper examines the spatial patterns of unemployment in Chicago between 1980 and 1990. We study unemployment clustering with respect to different social and economic... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test...
