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An evaluation of the forecasts of the federal reserve: a pooled approach (rep...
The Federal Reserve Greenbook forecasts of real GDP, inflation and unemployment are analysed for the period 1974-1997. We consider whether these forecasts exhibit systematic... -
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... -
Markov switching causality and the money-output relationship (replication data)
The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
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... -
Why were changes in the federal funds rate smaller in the 1990s? (replication...
We identify two major changes in the dynamics of the federal funds rate in the 1990s. We model the desired rate in a two-regime setting, one when the Fed makes no change and the... -
Quasi-rational andex ante price expectations in commodity supply models: an e...
A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a... -
A finite-sample hierarchical analysis of wage variation across public high sc...
Using data from both the National Longitudinal Survey of Youth (NLSY) and High School and Beyond (HSB), we investigate if public high schools differ in the production of... -
Party loyalty as habit formation (replication data)
In most democracies, at least two out of any three individuals vote for the same party in sequential elections. This paper presents a model in which vote-persistence is partly... -
The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Time irreversibility and EGARCH effects in US stock index returns (replicatio...
In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models.... -
Censored latent effects autoregression, with an application to US unemploymen...
A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond... -
Measuring predictability: theory and macroeconomic applications (replication ...
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure... -
The non-linear dynamics of output and unemployment in the U.S. (replication d...
This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that... -
An empirical comparison of flexible demand system functional forms (replicati...
This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) effectively globally regular, or (3) asymptotically... -
Keynesian impulses versus Solow residuals: identifying sources of business cy...
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity... -
Testing for a unit root in the volatility of asset returns (replication data)
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is... -
Testing the significance of income distribution changes over the 1980s busine...
Using kernel density estimation we describe the distribution of household size-adjusted real income and how it changed over the business cycle of the 1980s in the United States... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the... -
Causal ordering and ‘The bank lending channel’ (replication data)
The bank lending channel implies the Federal Reserve can influence real income by controlling the level of intermediated loans. Using the notion of causality developed by Simon...
