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Identification and Estimation of Online Price Competition With an Unknown Num...
This paper considers identification and estimation of a general model for online price competition. We show that when the number of competing firms is unknown the underlying... -
Identifying the Independent Sources of Consumption Variation (replication data)
By representing a system of budget shares as an approximate factor model we determine its rank, i.e.?the number of common functional forms or factors, and we estimate a base of... -
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... -
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Mar...
We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with... -
Doubly Robust Estimation of Causal Effects with Multivalued Treatments: An Ap...
This paper provides doubly robust estimators for treatment effect parameters which are defined in a multivalued treatment effect framework. We apply this method to the unique... -
CHILD MENTAL HEALTH AND EDUCATIONAL ATTAINMENT: MULTIPLE OBSERVERS AND THE ME...
We examine the effect of survey measurement error on the empirical relationship between child mental health and personal and family characteristics, and between child mental... -
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE (replication data)
Detection of structural change is a critical empirical activity, but continuous monitoring for changes in real time raises well-known econometric issues that have been explored... -
Identifying the new Keynesian Phillips curve (replication data)
Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected... -
Permanent and transitory wages of British men, 1975–2001: year, age and cohor...
We examine the mean and variance-covariance structure of log-wages over calendar time and the life cycle of British men, hereby controlling for birth cohort effects. We... -
International welfare comparisons and nonparametric testing of multivariate s...
This paper outlines a class of statistical procedures that permit testing of a broad range of multidimensional stochastic dominance hypotheses and, more generally, welfare... -
The interrelated dynamics of unemployment and low-wage employment (replicatio...
This paper examines the extent of state dependence in unemployment and the role played in this by intervening low-wage employment. A range of dynamic random and fixed-effects... -
The welfare cost of means-testing: pensioner participation in income support ...
We estimate parametric and semi-parametric binary choice models of benefit take-up by British pensioners and use a revealed preference argument to infer the cash-equivalent... -
Codependence in cointegrated autoregressive models (replication data)
This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous... -
Intergenerational mobility and sample selection in short panels (replication ...
Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be... -
Generalized long memory processes, failure of cointegration tests and exchang...
This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the... -
Permanent vs transitory components and economic fundamentals (replication data)
Any non-stationary series can be decomposed into permanent (or trend) and transitory (or cycle) components. Typically some atheoretic pre-filtering procedure is applied to... -
Estimating and predicting multivariate volatility thresholds in global stock ...
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
How well do Markov switching models describe actual business cycles? The case...
The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs... -
Comparing SVARs and SEMs: two models of the UK economy (replication data)
The structural vector autoregression (SVAR) and simultaneous equation macroeconometric model (SEM) styles of empirical macroeconomic modelling are compared and contrasted, with...
