-
Semiparametric estimation and variable selection for single‐index copula mode...
A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single-index copula,... -
Transitory and permanent shocks in the global market for crude oil (replicati...
This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of... -
Revisiting gender identity and relative income within households: A cautionar...
We show that Bertrand et al.'s (QJE, 2015, ) finding of a sharp drop in the relative income distribution within married couples at the point where wives start to earn more than... -
Inferring financial bubbles from option data (replication data)
Financial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series data and assume a... -
Tracking and specialization of high schools: Heterogeneous effects of school ...
We analyze the impact of choosing an elite school on high school graduation in an early tracking system in Flanders (Belgium). Whereas elite schools offer only an academic... -
What time use surveys can (and cannot) tell us about labor supply (replicatio...
The American Time Use Survey (ATUS) accurately measures hours worked on a single day. We propose several estimators of elasticities of weekly labor supply in a linear regression... -
Permutation tests for equality of distributions of functional data (replicati...
Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called... -
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful f...
Induced sparsity in the factor loading matrix identifies the factor basis, while rotational identification is obtained ex post by clustering methods closely related to machine... -
How does the financial market update beliefs about the real economy? Evidence...
Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information... -
Endogenous health groups and heterogeneous dynamics of the elderly (replicati...
We propose a methodology to classify individuals into few but meaningful health groups by estimating a panel Markov switching model that exploits rich information from panel...
