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A cross‐section average‐based principal components approach for fixed‐T panel...
Because of the increased availability of large panel data sets, common factor models have become very popular. The workhorse of the literature is the principal components (PC)... -
Negative interest rate policy and the yield curve (replication data)
We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the... -
Does drawing down the US Strategic Petroleum Reserve help stabilize oil price...
We study the effects of releases from the US Strategic Petroleum Reserve (SPR) within the context of fully specified models of the global oil market that explicitly allow for... -
Replicating the Levitt and Porter estimates of drunk driving (replication data)
Estimates of the prevalence and risk of drinking-and-driving are a high-priority need for researchers and policymakers. Levitt and Porter (Journal of Political Economy, 2001,... -
Differencing versus nondifferencing in factor‐based forecasting (replication ...
This paper studies performance of factor-based forecasts using differenced and nondifferenced data. Approximate variances of forecasting errors from the two forecasts are... -
Composite likelihood methods for large Bayesian VARs with stochastic volatili...
Adding multivariate stochastic volatility of a flexible form to large vector autoregressions (VARs) involving over 100 variables has proved challenging owing to computational... -
The role of startups for local labor markets (replication data)
There are substantial differences in startup activity across US local labor markets. We study the causes and consequences of these differences. Startup productivity shocks are... -
Change point estimation in panel data with time‐varying individual effects (r...
Existing panel data methods remove unobserved individual effects before change point estimation through data transformations such as first-differencing. In this paper, we show...
