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CCE in fixed‐T panels (replication data)
The presence of unobserved heterogeneity and its likely detrimental effect on inference has recently motivated the use of factor-augmented panel regression models. The workhorse... -
To pool or not to pool: What is a good strategy for parameter estimation and ...
This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal... -
Telling tales from the tails: High‐dimensional tail interdependence (replicat...
We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of... -
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy...
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Expected market returns: SVIX, realized volatility, and the role of dividends...
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market... -
Bayesian parametric and semiparametric factor models for large realized covar...
This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood-based estimation. Parametric and nonparametric... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Comovements and asymmetric tail dependence in state housing prices in the USA...
We reexamine the methods used in estimating comovements among US regional home prices and find that there are insufficient moments to ensure a normal limit necessary for... -
Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that... -
Bubbles and crises: Replicating the Anundsen et al. (2016) results (replicati...
This paper both narrowly and widely replicates the results of Anundsen et al. (Journal of Applied Econometrics, 2016, 31(7), 1291-1311). I am able to reproduce the same results...
