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Employment reconciliation and nowcasting (replication data)
We construct a latent employment estimate for the U.S. which both reconciles the information from separate payroll and household surveys, and incorporates the preliminary data... -
Economies of diversification in the US credit union sector (replication data)
Significant scale economies have been recently cited to rationalize a dramatic growth in the US retail credit union sector over the past few decades. In this paper, we explore... -
Unobserved selection heterogeneity and the gender wage gap (replication data)
Selection correction methods usually make assumptions about selection itself. In the case of gender wage gap estimation, those assumptions are especially tenuous because of high... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Real exchange rate persistence and the excess return puzzle: The case of Swit...
The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation... -
Dynamic spatial autoregressive models with autoregressive and heteroskedastic...
We propose a new class of models specifically tailored for spatiotemporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have... -
Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal... -
The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Sur...
We assess professional forecasters' perceptions of the effects of the unconventional monetary policy measures announced by the US Federal Reserve after the collapse of Lehman... -
On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in...
This paper investigates whether there is time variation in the excess sensitivity of aggregate consumption growth to anticipated aggregate disposable income growth using... -
Granger Causality and Regime Inference in Markov Switching VAR Models with Ba...
In this paper, we derive restrictions for Granger noncausality in MS-VAR models and show under what conditions a variable does not affect the forecast of the hidden Markov... -
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations... -
Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Mode...
We develop a panel count model with a latent spatio-temporal heterogeneous state process for monthly severe crimes at the census-tract level in Pittsburgh, Pennsylvania. Our... -
Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data (r...
Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the... -
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at t...
Appropriate real-time forecasting models for the US retail price of gasoline yield substantial reductions in the mean-squared prediction error (MSPE) at horizons up to 2 years... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Cho...
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality... -
Time Variation in Macro-Financial Linkages (replication data)
We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We find that the... -
Optimal Control of Heteroscedastic Macroeconomic Models (replication data)
This paper analyses the implications of heteroscedasticity for optimal macroeconomic policy and welfare. We find that changes in the variance structure driven by exogenous...
