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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... -
EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!-A NOTE O...
Diebold and Yilmaz (Economic Journal 2009; 119; 158-171) introduce the spillover index to measure linkages between international financial markets. As their index depends on the... -
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF I...
We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures... -
EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN ...
Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update... -
AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS (replication data)
This paper develops a long-run output relation for a major oil-exporting economy where the oil income-to-output ratio remains sufficiently high over a prolonged period. It... -
INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data)
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques,... -
DO PEERS AFFECT STUDENT ACHIEVEMENT? EVIDENCE FROM CANADA USING GROUP SIZE VA...
We provide the first empirical application of a new approach proposed by Lee (Journal of Econometrics 2007; 140(2), 333-374) to estimate peer effects in a linear-in-means model... -
MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PAT...
In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing... -
ARE THE CURRENT ACCOUNT IMBALANCES BETWEEN EMU COUNTRIES SUSTAINABLE? EVIDENC...
Using parametric and non-parametric estimation techniques, we analyze the sustainability of the recently growing current account imbalances in the euro area and test whether the... -
ESTIMATION OF TIME-VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBA...
Recently, Duarte and Young (2009) studied the probability of informed trading (PIN) proposed by Easley et al. (2002) and decomposed it into two parts: the adjusted PIN (APIN) as... -
SEMI-NONPARAMETRIC ESTIMATION OF CONSUMER SEARCH COSTS (replication data)
This paper studies the estimation of the distribution of non-sequential search costs. We show that the search cost distribution is identified by combining data from multiple... -
CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECT...
Conditional heteroskedasticity, skewness and leverage effects are well-known features of financial returns. The literature on factor models has often made assumptions that... -
EMBARRASSINGLY EASY EMBARRASSINGLY PARALLEL PROCESSING IN R (replication data)
This dataset has no description
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SEMIPARAMETRIC VECTOR MEM (replication data)
Financial time series are often non-negative-valued (volumes, trades, durations, realized volatility, daily range) and exhibit clustering. When joint dynamics is of interest,... -
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... -
HOW EFFECTIVE ARE UNEMPLOYMENT BENEFIT SANCTIONS? LOOKING BEYOND UNEMPLOYMENT...
This paper provides a comprehensive evaluation of the effects of benefit sanctions on post-unemployment outcomes such as post-unemployment employment stability and earnings. We... -
NONPARAMETRIC ESTIMATION OF ENTRY COST IN FIRST-PRICE PROCUREMENT AUCTIONS (r...
In this paper, I investigate Samuelson's low-price auction model with entry costs. The model's equilibrium implies that the distribution of bids is truncated at the threshold... -
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)... -
Estimation of Treatment Effects without an Exclusion Restriction: with an App...
The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP)... -
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...
