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Bayesian Collapsed Gibbs Sampling for a Stochastic Volatility Model with a Di...
This dataset has no description
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Bayesian estimation of multivariate panel probits with higher‐order network i...
This paper proposes a Bayesian estimation framework for panel data sets with binary dependent variables where a large number of cross-sectional units are observed over a short... -
Recurrent conditional heteroskedasticity (replication data)
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-of-sample... -
(Un)expected monetary policy shocks and term premia (replication data)
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on... -
Permutation tests for equality of distributions of functional data (replicati...
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called... -
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful f...
Induced sparsity in the factor loading matrix identifies the factor basis, while rotational identification is obtained ex post by clustering methods closely related to machine... -
Multivariate fractional integration tests allowing for conditional heterosked...
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the... -
Efficient minimum distance estimation of Pareto exponent from top income shar...
We propose an efficient estimation method for the income Pareto exponent when only certain top income shares are observable. Our estimator is based on the asymptotic theory of... -
Early child development and parents' labor supply (replication data)
The impact of children's early development status on parental labor market outcomes is not well established in the empirical literature. We combine an instrumental variable... -
Differencing versus nondifferencing in factor‐based forecasting (replication ...
This paper studies performance of factor-based forecasts using differenced and nondifferenced data. Approximate variances of forecasting errors from the two forecasts are... -
Comparing predictive accuracy in small samples using fixed‐smoothing asymptot...
We consider fixed-smoothing asymptotics for the Diebold and Mariano (Journal of Business and Economic Statistics, 1995, 13(3), 253-263) test of predictive accuracy. We show that... -
The shale revolution and shifting crude dynamics (replication data)
Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from... -
Measuring mortgage credit availability: A frontier estimation approach (repli...
We construct a new measure of mortgage credit availability using a technique developed for production frontier estimation. The resulting loan frontier describes the maximum... -
Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that... -
A robust approach to estimating production functions: Replication of the ACF ...
We study Ackerberg, Caves, and Frazer's (Econometrica, 2015, 83, 2411-2451; hereafter ACF) production function estimation method using Monte Carlo simulations. First, we... -
Dynamic specification tests for dynamic factor models (replication data)
We derive computationally simple expressions for score tests of misspecification in parametric dynamic factor models using frequency domain techniques. We interpret those... -
Understanding the economic determinants of the severity of operational losses...
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity... -
Dynamic factor model with infinite‐dimensional factor space: Forecasting (rep...
The paper compares the pseudo real-time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in... -
Measuring crisis risk using conditional copulas: An empirical analysis of the...
The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these... -
Do contractionary monetary policy shocks expand shadow banking? (replication ...
Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the...
