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Estimating the Dynamics and Persistence of Financial Networks, with an Applic...
We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate... -
Panel Data Models with Grouped Factor Structure Under Unknown Group Membershi...
This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the... -
Estimating Incentive and Selection Effects in the Medigap Insurance Market: A...
This paper presents an empirical study of endogenous treatment effects in the presence of heterogeneous responses. We estimate the incentive and selection effects of having... -
Replacing Sample Trimming with Boundary Correction in Nonparametric Estimatio...
Two-step nonparametric estimators have become standard in empirical auctions. A drawback concerns boundary effects which cause inconsistencies near the endpoints of the support... -
Simple Identification and Specification of Cointegrated Varma Models (replica...
We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the... -
Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Cov...
Motivated by the need for a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a... -
Identification and Estimation of Engel Curves with Endogenous and Unobserved ...
When dealing with the estimation of Engel curves, measurement errors in expenditure data and simultaneity are likely sources of endogeneity. In this paper we study... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERA...
This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and... -
MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PAT...
In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing... -
Labor market entry and earnings dynamics: Bayesian inference using mixtures-o...
This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns... -
The case against JIVE (replication data)
We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the jackknife instrumental variables estimator, or JIVE, with that of the... -
Estimating dynamic equilibrium economies: linear versus nonlinear likelihood ...
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The... -
A non-linear filtering approach to stochastic volatility models with an appli...
This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact... -
A Monte Carlo study of the forecasting performance of empirical SETAR models ...
In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the...