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Identifying the age profile of patent citations: new estimates of knowledge d...
Previous research studies the age profile of patent citations to learn about knowledge flows over time. However, identification is problematic because of the collinearity... -
Firm size distributions through the lens of functional principal components a...
We explore the dynamics of firm size distributions through the lens of Functional Principal Component Analysis as proposed by Kneip and Utikal (2001). Using samples of UK firms... -
Why are gasoline prices sticky? A test of alternative models of price adjustm...
Macroeconomic models of business cycles rely on the assumption that firms adjust prices infrequently to generate the short-run non-neutrality of money documented by the monetary... -
Long-run relations in European electricity prices (replication data)
This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic... -
Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Semiparametric estimation of consumer demand systems in real expenditure (rep...
Microdata concerning consumer demand typically show considerable variation in real expenditures, but very little variation in prices. We propose a semiparametric strategy for... -
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... -
Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers...
