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Dynamic Panel Data Models With Irregular Spacing: With an Application to Earl...
With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well... -
MM Algorithm for General Mixed Multinomial Logit Models (replication data)
This paper develops a new technique for estimating mixed logit models with a simple minorization-maximization (MM) algorithm. The algorithm requires minimal coding and is easy... -
Estimating the Competitive Storage Model with Trending Commodity Prices (repl...
We present a method to estimate jointly the parameters of a standard commodity storage model and the parameters characterizing the trend in commodity prices. This procedure... -
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations... -
Confronting Price Endogeneity in a Duration Model of Residential Subdivision ...
Spatial equilibrium implies that distant factors are correlated with local prices through market mechanisms. Using this logic, we develop a novel approach for handling price... -
Testing for Predictability in panels with General Predictors (replication data)
The difficulty of predicting returns has recently motivated researchers to start looking for tests that are either more powerful or robust to more features of the data.... -
Weak and Strong Cross-Sectional Dependence: A Panel Data Analysis of Internat...
This paper provides an econometric examination of technological knowledge spillovers among countries by focusing on the issue of error cross-sectional dependence, particularly... -
Spotting the Danger Zone: Forecasting Financial Crises With Classification Tr...
This paper introduces classification tree ensembles (CTEs) to the banking crisis forecasting literature. I show that CTEs substantially improve out-of-sample forecasting... -
Skewness Risk and Bond Prices (replication data)
This paper uses extreme value theory to study the implications of skewness risk for nominal loan contracts in a production economy. Productivity and inflation innovations are... -
Wild Bootstrap Inference for Wildly Different Cluster Sizes (replication data)
The cluster robust variance estimator (CRVE) relies on the number of clusters being sufficiently large. Monte Carlo evidence suggests that the rule of 42 is not true for... -
Estimation and Solution of Models with Expectations and Structural Changes (r...
In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about... -
Forecasting With the Standardized Self‐Perturbed Kalman Filter (replication d...
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (Electronics Letters 1992; 28: 558-559) for the... -
Transitions at Different Moments in Time: A Spatial Probit Approach (replicat...
This paper adopts a spatial probit approach to explain interaction effects among cross-sectional units when the dependent variable takes the form of a binary response variable... -
Estimation of Poverty Transition Matrices with Noisy Data (replication data)
This paper investigates measurement error biases in estimated poverty transition matrices. We compare transition matrices based on survey expenditure data to transition matrices... -
Sharp IV Bounds on Average Treatment Effects on the Treated and Other Populat...
In the presence of an endogenous binary treatment and a valid binary instrument, causal effects are point identified only for the subpopulation of compliers, given that the... -
Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand (rep...
Least-squares estimates of the response of gasoline consumption to a change in the gasoline price are biased toward zero, given the endogeneity of gasoline prices. A seemingly... -
Average and Marginal Returns to Upper Secondary Schooling in Indonesia (repli...
This paper estimates average and marginal returns to schooling in Indonesia using a semiparametric selection model. Identification of the model is given by geographic variation... -
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Cho...
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality... -
Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
Forecasting Consumption: the Role of Consumer Confidence in Real Time with ma...
We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways. First, we...
