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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... -
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... -
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... -
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... -
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... -
Evaluating interval forecasts of high-frequency financial data (replication d...
A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing... -
Individual heterogeneity and censoring in panel data estimates of tobacco exp...
A panel of households is used to test the rational addiction model of Becker et al. (1994). These data raise problems of measurement errors, censoring, and unobservable... -
Evidence on agglomeration economies, diseconomies, and growth (replication data)
Conventional urban economic analysis suggests that a local economy's size is closely related to a number of features, including levels of human capital and the availability of... -
Testing the capital asset pricing model efficiently under elliptical symmetry...
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically... -
GO-GARCH: a multivariate generalized orthogonal GARCH model (replication data)
Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of... -
Modelling and forecasting level shifts in absolute returns (replication data)
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic... -
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte...
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant... -
Alcohol abuse and employment: a second look (replication data)
Based on data from the 1988 Alcohol Supplement of the National Health Interview Survey, Mullahy and Sindelar (1996) (M&S) find, for both men and women, that alcohol abuse... -
Geographic poverty traps? A micro model of consumption growth in rural China ...
How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural... -
Parametric and semiparametric estimation of sample selection models: an empir...
This paper applies both parametric and semiparametric methods to the estimation of wage and participation equations for married women in Portugal. The semiparametric estimators... -
Conducting inference in semiparametric duration models under inequality restr...
Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by... -
Adaptive estimation of cointegrated models: simulation evidence and an applic...
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically... -
Estimating the LQAC model with I(2) variables (replication data)
This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2)... -
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...
