-
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... -
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... -
Parametric and semi-parametric estimation of the binary response model of lab...
This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women.... -
Spectral tests of the martingale hypothesis for exchange rates (replication d...
A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape...
