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When Does Government Debt Crowd Out Investment? (replication data)
We examine when government debt crowds out investment for the US economy using an estimated New Keynesian model with detailed fiscal specifications and accounting for monetary... -
Using OLS to Estimate and Test for Structural Changes in Models with Endogeno...
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We... -
A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (r...
Yield curve models within the popular Nelson-Siegel class are shown to arise from formal low-order Taylor approximations of the generic Gaussian affine term structure model.... -
Bayesian VARs: Specification Choices and Forecast Accuracy (replication data)
In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt... -
Relative Risk Aversion and Power-Law Distribution of Macroeconomic Disasters ...
The coefficient of relative risk aversion is notoriously difficult to estimate. Recently, Barro and Jin (On the size distribution of macroeconomic disasters, Econometrica 2011;... -
Cointegration in Panel Data with Structural Breaks and Cross-Section Dependen...
The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered.... -
Econometric Regime Shifts and the US Subprime Bubble (replication data)
Using aggregate quarterly data for the period 1975:Q1-2010:Q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly... -
IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
RARE SHOCKS, GREAT RECESSIONS (replication data)
We estimate a DSGE (dynamic stochastic general equilibrium) model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student's... -
CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data)
We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables... -
PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS (repli...
In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically,... -
ESTIMATING FISCAL LIMITS: THE CASE OF GREECE (replication data)
This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic fiscal limit and sovereign... -
SALES, INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS (repl...
We use Bayesian time-varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced-form and structural correlations between... -
POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PH...
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC)... -
RETURN TO EXPERIENCE AND INITIAL WAGE LEVEL: DO LOW WAGE WORKERS CATCH UP? (r...
This paper estimates the relationship between initial wage and return to experience. We use a Mincer-like wage model to non-parametrically estimate this relationship allowing... -
CHILD MENTAL HEALTH AND EDUCATIONAL ATTAINMENT: MULTIPLE OBSERVERS AND THE ME...
We examine the effect of survey measurement error on the empirical relationship between child mental health and personal and family characteristics, and between child mental... -
DOES CORESIDENCE IMPROVE AN ELDERLY PARENT'S HEALTH? (replication data)
It is generally believed that intergenerational coresidence by elderly parents and adult children provides old-age security for parents. Although such coresidence is still the... -
IDENTIFYING CAUSAL MECHANISMS (PRIMARILY) BASED ON INVERSE PROBABILITY WEIGHT...
This paper demonstrates the identification of causal mechanisms of a binary treatment under selection on observables, (primarily) based on inverse probability weighting; i.e. we...
