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Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent.... -
Nonlinear dynamics of interest rate and inflation (replication data)
According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply... -
Modelling multi-period inflation uncertainty using a panel of density forecas...
This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic... -
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... -
An empirical model of the multi-unit, sequential, clock auction (replication ...
We construct a model of participation and bidding at multi-unit, sequential, clock auctions when bidders have multi-unit demand. We describe conditions sufficient to... -
Identification and estimation of bounds on school performance measures: a non...
This paper identifies and nonparametrically estimates sharp bounds on school performance measures based on test scores that may not be valid for all students. A mixture model... -
Inter-state dynamics of invention activities, 1930–2000 (replication data)
We study the dynamics of the cross-section distribution of patents per capita for the 48 continental US states from 1930 to 2000 using a discrete-state Markov chain. We test for... -
A re-interpretation of the linear quadratic model when inventories and sales ...
Estimation of the linear quadratic model, the workhorse of the inventory literature, traditionally takes inventories and sales to be first-difference stationary series, and the... -
Is there a risk–return trade-off? Evidence from high-frequency data (replicat...
This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and...
