-
Parametric and semi-parametric estimation of the binary response model of lab...
This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women.... -
The excess co-movement of commodity prices reconsidered (replication data)
This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models.... -
Panel Estimates of a Two-Tiered Earnings Frontier (replication data)
This paper uses panel data to estimate a two-tiered instead of a one-tiered frontier model. The innovation is to develop a two-step maximum likelihood procedure yielding... -
Incorporating monotonicity and concavity conditions in flexible functional fo...
Empirical economists using flexible functional forms often face the disturbing choice of drawing inferences from an approximation violating properties dictated by theory or... -
Erratum: The likelihood ratio test under nonstandard conditions: Testing the ...
This dataset has no description
-
Measuring underlying economic activity (replication data)
Recently, interest in the methodology of constructing coincident economic indicators has been revived by the work of Stock and Watson (1989b). They adopt the framework of the... -
A time series analysis of real wages, consumption and asset returns (replicat...
This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical... -
Money demand revisited: An operational subjective approach (replication data)
This paper proposes a method of data analysis founded on the philosophy and understanding of uncertain knowledge developed by Bruno de Finetti. Specifically, the paper... -
Robust tests of forward exchange market efficiency with empirical evidence fr...
This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work... -
Parametric and semi-parametric modelling of vacation expenditures (replicatio...
We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero... -
Transient fads and the crash of ′87 (replication data)
Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock... -
Measurement of total factor productivity growth and biases in technological c...
This study investigates productivity growth in broad-acre agriculture in Western Australia. Tornqvist indices of three output groups (crops, sheep products and other) and five... -
Analysing inflation by the fractionally integrated ARFIMA-GARCH model (replic...
This paper considers the application of long-memory processes to describing inflation for ten countries. We implement a new procedure to obtain approximate maximum likelihood... -
Money stock targeting and money supply: A closer examination of the data (rep...
In a recent paper Mercenier and Sekkat (1988) use a linear-quadratic model to examine the willingness of a monetary authority in a small open economy to target its exchange...
