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Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models (r...
This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the... -
Assessing the performance of matching algorithms when selection into treatmen...
This paper investigates the method of matching regarding two crucial implementation choices: the distance measure and the type of algorithm. We implement optimal full matching a... -
An examination of the dynamic behaviour of local governments using GMM bootst...
Even though recent Monte Carlo evidence has shown that the use of bootstrap critical values, instead of asymptotic ones, improves the size of the tests substantially, empirical... -
Semiparametric estimation and consumer demand (replication data)
This paper considers the implementation of semiparametric methods in the empirical analysis of consumer demand. The application is to the estimation of the Engel curve... -
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the... -
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERN...
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced... -
Comparing Fourier and translog specifications of multiproduct technology: Evi...
Selecting a functional form for a cost or profit function in applied production analysis is a crucial step in assessing the characteristics of a technology. The present study... -
Credit rationing and threshold effects in the relation between money and outp...
The possibility that the effect of monetary policy on output may depend on whether credit conditions are tight or loose can be expressed as a non-linearity in the relation... -
Regime switching as a test for exchange rate bubbles (replication data)
This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991....
