-
The response of prices, sales, and output to temporary changes in demand (rep...
We determine empirically how automakers accommodate shocks to demand. Using data on production, sales, and transaction prices, we estimate a dynamic profit maximization model of... -
Measuring the diffusion of housing prices across space and over time (replica...
How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring... -
Regime shifts in stock-flow I(2)-I(1) systems: the case of US fiscal sustaina...
In the last two decades, fiscal sustainability has been tested through the use of non-stationary time series analysis. Two different approximations can be found in the... -
Intertemporal consumption choices, transaction costs and limited participatio...
This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the... -
Realising the future: forecasting with high-frequency-based volatility (HEAVY...
This paper studies in some detail a class of high-frequency-based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realised... -
Bayesian quantile regression methods (replication data)
This paper is a study of the application of Bayesian exponentially tilted empirical likelihood to inference about quantile regressions. In the case of simple quantiles we show... -
Dating and forecasting turning points by Bayesian clustering with dynamic str...
The information contained in a large panel dataset is used to date historical turning points and to forecast future ones. We estimate groups of series with similar time series... -
Multivariate residual-based finite-sample tests for serial dependence and ARC...
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with... -
General-interest versus specialty journals: Using intellectual influence of e...
This paper demonstrates the potential problem in using existing economics journal rankings to evaluate the research productivity of scholars by constructing a new ranking of... -
Continuous-time models, realized volatilities, and testable distributional im...
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models... -
Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvy...
Doppelhofer and Weeks (2009) present a statistic designed to indicate the probability that pairs of regressors appear together or individually in a Bayesian model averaged... -
Is labour market training a curse for the unemployed? Evidence from a social ...
In 1994 a social experiment was conducted in Denmark, where unemployed applicants for classroom training were randomised into treatment and control groups. The data are... -
Towards reproducible econometric research: the Sweave framework (replication ...
This dataset has no description
-
Public insurance and private savings: who is affected and by how much? (repli...
This paper employs a recently developed instrumental quantile regression method to investigate the effect of Medicaid on household savings across different wealth groups. It... -
Binary choice under social interactions: an empirical study with and without ...
This paper examines two methods of modeling binary choice with social interactions: models assuming homogeneous rational expectations and models using subjective data on... -
Comments on ‘Jointness of growth determinants’ (replication data)
We consider the measures of jointness proposed by Doppelhofer and Weeks (2009) and Strachan (2009) in the context of variable selection. Using the general criteria suggested in... -
Jointness of growth determinants (replication data)
This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model... -
Assessing the credibility of instrumental variables inference with imperfect ...
Consistent instrumental variables (IV) estimation requires instruments uncorrelated with model errors, but this assumption is usually both suspect and untestable. Here the... -
Estimating Euler equations with noisy data: two exact GMM estimators (replica...
In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator... -
Panel cointegration tests of the Fisher effect (replication data)
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a...
