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Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effe...
In their influential work Grier et al.(The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics 2004; 19: 551-565) examine the... -
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS (...
In this paper, we propose a Bayesian estimation and forecasting procedure for noncausal autoregressive (AR) models. Specifically, we derive the joint posterior density of the... -
Econometrics of auctions by least squares (replication data)
I investigate using the method of ordinary least squares (OLS) on auction data. I find that for parameterizations of the valuation distribution that are common in empirical... -
Evidence on purchasing power parity from univariate models: the case of smoot...
Recent research has found that trend-break unit root tests derived from univariate linear models do not support the hypothesis of long-run purchasing power parity (PPP) for US... -
Robust inference concerning recent trends in US environmental quality (replic...
Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons... -
Dynamics of the federal funds target rate: a nonstationary discrete choice ap...
We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short-term market... -
A general test for time dependence in parameters (replication data)
A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the... -
Multivariate mixed proportional hazard modelling of the joint retirement of m...
We analyse the joint distribution of the durations until retirement of Danish husbands and wives. We estimate a multivariate mixed proportional hazards model that allows for... -
Convergence in European GDP series: a multivariate common converging trend–cy...
Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved... -
The asymmetric effects of uncertainty on inflation and output growth (replica...
We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased... -
Health care reform and the number of doctor visits—an econometric analysis (r...
This paper evaluates the German health care reform of 1997, using the individual number of doctor visits as outcome measure and data from the German Socio-Economic Panel for the... -
Predictor relevance and extramarital affairs (replication data)
We revisit Fair's (1978) theory of extramarital affairs using robust nonparametric methods developed for the analysis of categorical data. We find evidence suggesting that the... -
Poverty comparisons with dependent samples (replication data)
Standard inference procedures for poverty comparisons require samples to be independent. For many commonly used income samples, however, this requirement is not fulfilled since... -
Selection correction and sensitivity analysis for ordered treatment effect on...
In estimating the effect of an ordered treatment effect on a count response y with an observational data where τ is self-selected (not randomized), observed variables x and... -
Do dropouts suffer from dropping out? Estimation and prediction of outcome ga...
In this paper we describe methods for predicting distributions of outcome gains in the framework of a latent variable selection model. We describe such procedures for Student-t... -
Bayesian geoadditive modelling of breastfeeding initiation in Nigeria (replic...
A study into the geographical variability of timing of initial child breastfeeding after birth was carried out with the data set from the 1999 Nigeria Demographic and Health... -
Can inflation data improve the real-time reliability of output gap estimates?...
Potential output plays a central role in monetary policy and short-term macroeconomic policy making. Yet, characterizing the output gap involves a trend-cycle decomposition, and... -
Value-at-risk for long and short trading positions (replication data)
In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed... -
Structural estimates of the intergenerational education correlation (replicat...
Using a structural dynamic programming model, we investigate the relative importance of family background variables and individual specific abilities in explaining... -
A practical log-linear aggregation method with examples: heterogeneous income...
A practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of a simple but exact aggregate...
