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Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
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... -
Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) (repl...
This paper replicates the results in Schularick and Taylor (American Economic Review 2012; 102(2): 1029-1061; ST hereafter). Specifically, I replicate ST's results in the narrow... -
Out-of-Sample Return Predictability: A Quantile Combination Approach (replica...
This paper develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed... -
Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
What Drives Oil Prices? Emerging Versus Developed Economies (replication data)
We explore the role of demand from emerging and developed economies as drivers of the real price of oil. Using a FAVAR model that identifies shocks from different regions of the... -
Using OLS to Estimate and Test for Structural Changes in Models with Endogeno...
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We... -
IS ECONOMIC RECOVERY A MYTH? ROBUST ESTIMATION OF IMPULSE RESPONSES (replicat...
We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to...
