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‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESIST...
We derive a quantity-based structural gravity equation system in which both trade flows and error terms are cross-sectionally correlated. This system can be estimated using... -
WEIGHTED SMOOTH TRANSITION REGRESSIONS (replication data)
A new procedure is proposed for modelling nonlinearity of a smooth transition form, by allowing the transition variable to be a weighted function of lagged observations. This... -
COMPARISON OF MODEL AVERAGING TECHNIQUES: ASSESSING GROWTH DETERMINANTS (repl...
This paper investigates the replicability of three important studies on growth theory uncertainty that employed Bayesian model averaging tools. We compare these results with... -
The political economy of financial reform: How robust are huang's findings? (...
Using new data on financial liberalization taken from Abiad et al. (2008, IMF Working Papers, No. 08/266) for 62 countries over the period 1975-2005, we show that some of the... -
Optimal monetary policy using an unrestricted VAR (replication data)
This paper proposes a simple benchmark for monetary policy. Assuming the true model of the economy is unknown, it is based on an unrestricted vector autoregression (VAR). The... -
A simple, flexible estimator for count and other ordered discrete data (repli...
This paper examines a flexible way to model empirically discrete data outcomes using hazard rate decompositions. It presents a general data-generating mechanism based on... -
Term structure surprises: the predictive content of curvature, level, and slo...
This paper analyzes the predictive content of the term structure components level, slope, and curvature within a dynamic factor model of macroeconomic and interest rate data.... -
Lose weight for a raise only if overweight: Marginal integration for semi-lin...
Some studies have shown that body mass index (BMI), weight (kg)/height (m)2, has a negative (or no) effect on wage. But BMI representing obesity is a tightly specified function... -
A blocking and regularization approach to high-dimensional realized covarianc...
We introduce a blocking and regularization approach to estimate high-dimensional covariances using high-frequency data. Assets are first grouped according to liquidity. Using... -
Probabilistic forecasting of output growth, inflation and the balance of trad...
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for... -
The impact of data revisions on the robustness of growth determinants-a note ...
Ciccone and Jaroci-ski (American Economic Journal: Macroeconomics 2010; 2: 222-246) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small data... -
An identification-robust test for time-varying parameters in the dynamics of ...
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting... -
Modelling dependence using skew t copulas: Bayesian inference and application...
We construct a copula from the skew t distribution of Sahu et al. (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few... -
Nonparametric estimation of the impact of taxes on female labor supply (repli...
This paper proposes a simple extension of nonparametric estimation methods for nonlinear budget-set models derived in Blomquist and Newey (2002) to censored dependent variables.... -
Revealing the preferences of the US Federal Reserve (replication data)
We use Bayesian methods to estimate changes in US post-war monetary policy in the Smets and Wouters model. We perform the estimations by allowing for a break in monetary policy... -
Improved instrumental variables estimation of simultaneous equations under co...
In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We... -
Estimation of nonlinear models with mismeasured regressors using marginal inf...
We consider the estimation of nonlinear models with mismeasured explanatory variables, when information on the marginal distribution of the true values of these variables is... -
Modelling heterogeneity and dynamics in the volatility of individual wages (r...
This paper presents a model for the heterogeneity and dynamics of the conditional mean and conditional variance of individual wages. A bias-corrected likelihood approach, which... -
The impact of reserve prices on the perceived bias of expert appraisals of fi...
We examine whether expert appraisals provided to bidders before major art auctions are unbiased indicators of value. Despite a strong grounding in theory, this aspect of optimal... -
From market shares to consumer types: Duality in differentiated product deman...
A widely applied method for differentiated product demand estimation, introduced by Berry, Levinsohn and Pakes in 1995, is founded on matching observed and theoretical market...
