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NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TE...
We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions... -
THE ROLE OF TIME-VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHAN...
There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early... -
FACTOR ANALYSIS OF A LARGE DSGE MODEL (replication data)
We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE)... -
COMPARING ALTERNATIVE MODELS OF HETEROGENEITY IN CONSUMER CHOICE BEHAVIOR (re...
When modeling demand for differentiated products, it is vital to adequately capture consumer taste heterogeneity, But there is no clearly preferred approach. Here, we compare... -
UNEMPLOYMENT, HUMAN CAPITAL DEPRECIATION, AND UNEMPLOYMENT INSURANCE POLICY (...
This paper presents a structural estimation of a life cycle model with unemployment risk. The model allows for human capital depreciation during unemployment. It is estimated... -
MEDICAL EXPENDITURE RISK AND HOUSEHOLD PORTFOLIO CHOICE (replication data)
Medical expenses are an increasingly important contributor to household financial risk. We examine the effect of medical expenditure risk on the willingness of Medicare... -
SPATIAL FILTERING, MODEL UNCERTAINTY AND THE SPEED OF INCOME CONVERGENCE IN E...
In this paper we put forward a Bayesian model averaging method aimed at performing inference under model uncertainty in the presence of potential spatial autocorrelation. The... -
ENTRY INTO PHARMACEUTICAL SUBMARKETS: A BAYESIAN PANEL PROBIT ANALYSIS (repli...
We study entry into pharmaceutical submarkets by using a dynamic panel probit model. We develop a Bayesian version of Wooldridge's approach to dealing with unobserved... -
TIME-VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS (repli...
We use a time-varying structural vector autoregression to investigate evolving dynamics of the real exchange rate for the UK, euro area and Canada. We show that demand and... -
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIR...
This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low-frequency variable... -
Investment decisions in manufacturing: assessing the effects of real oil pric...
We investigate the effects of real oil prices and their uncertainty on investment decisions. Making use of plant-level data, we estimate dynamic, discrete-choice models that... -
Estimating Engel curves under unit and item nonresponse (replication data)
This paper estimates food Engel curves using data from the first wave of the Survey on Health, Aging and Retirement in Europe (SHARE). Our statistical model simultaneously takes... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
FOSTERING EDUCATIONAL ENROLMENT THROUGH SUBSIDIES: THE ISSUE OF TIMING (repli...
The purpose of this paper is to build a dynamic structural model of educational choices in which cognitive skills shape decisions. The model is estimated by maximum likelihood... -
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... -
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... -
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... -
Dynamic stochastic copula models: estimation, inference and applications (rep...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with... -
GMM with many weak moment conditions: Replication and application of Newey an...
In a recent article Newey and Windmeijer (Generalized method of moments with many weak moment conditions. Econometrica 2009; 77(3): 687-719) propose a new variance estimator for... -
Stochastic monotonicity in intergenerational mobility tables (replication data)
The aim of this paper is to test for stochastic monotonicity in intergenerational socio-economic mobility tables. In other words, we question whether having a parent from a high...
