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Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local... -
Should we use linearized models to calculate fiscal multipliers? (replication...
We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the... -
Girls and boys: Economic crisis, fertility, and birth outcomes (replication d...
We investigate the impact of an economic downturn on natality and birth weight for newborns when parents prefer sons. We examine South Korea, unexpectedly hit by the Asian... -
Dynamic discrete copula models for high‐frequency stock price changes (replic...
We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has... -
A test of general asymmetric dependence (replication data)
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric... -
Barriers to price convergence (replication data)
This paper uncovers novel empirical patterns in the cross-country price mechanism using a nonlinear factor model and threshold regression analysis based on individual goods... -
Risk‐neutral moment‐based estimation of affine option pricing models (replica...
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option... -
How important are fixed effects and time trends in estimating returns to scho...
A substantial and rapidly growing literature has developed around estimating earnings gains from 2-year college degrees using administrative data. These papers almost... -
Collective decisions, household production, and labor force participation (re...
In this paper, we generalize the collective model of household labor supply with domestic production to allow for the possibility of nonparticipation in the labor market. We... -
Realized networks (replication data)
We introduce LASSO-type regularization for large-dimensional realized covariance estimators of log-prices. The procedure consists of shrinking the off-diagonal entries of the... -
Homogeneity pursuit in panel data models: Theory and application (replication...
This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being... -
Indirect inference with time series observed with error (replication data)
We propose the indirect inference estimator as a consistent method to estimate the parameters of a structural model when the observed series are contaminated by measurement... -
Testing the rationality of expectations of qualitative outcomes (replication ...
This article provides an adequate statistic for testing the rationality of point predictions of categorical outcomes under a subjective median or mode assumption. The test... -
Risk premia and seasonality in commodity futures (replication data)
We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in... -
Understanding the economic determinants of the severity of operational losses...
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity... -
National natural rates of interest and the single monetary policy in the euro...
We estimate time-varying national natural real rates of interest (r?) for the four largest economies of the euro area over 1999-2016. We further derive the associated national... -
Testing for optimal monetary policy via moment inequalities (replication data)
The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime: commonly, commitment or discretion. In this paper we propose... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the... -
How the baby boomers' retirement wave distorts model‐based output gap estimat...
This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since... -
Exploiting tail shape biases to discriminate between stable and student t alt...
The nonnormal stable laws and Student t distributions are used to model the unconditional distribution of financial asset returns, as both models display heavy tails. The...
