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PATENTS, R&D, AND TECHNOLOGICAL SPILLOVERS AT THE FIRM LEVEL: SOME EVIDEN...
This paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
FEASIBLE CROSS-VALIDATORY MODEL SELECTION FOR GENERAL STATIONARY PROCESSES (r...
Cross-validation is a method used to estimate the expected prediction error of a model. Such estimates may be of interest in themselves, but their use for model selection is... -
STATISTICAL INFERENCE VIA BOOTSTRAPPING FOR MEASURES OF INEQUALITY (replicati...
In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. Two... -
NUMERICAL METHODS FOR ESTIMATION AND INFERENCE IN BAYESIAN VAR-MODELS (replic...
In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior... -
COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION (repli...
In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to... -
COX REGRESSION WITH ALTERNATIVE CONCEPTS OF WAITING TIME: THE NEW ORLEANS YEL...
Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We... -
PERMANENT AND TRANSITORY SHOCKS, AND THE UK BUSINESS CYCLE (replication data)
In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent... -
A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY (replication d...
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance... -
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERN...
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced... -
Econometric methods for fractional response variables with an application to ...
We develop attractive functional forms and simple quasi-likelihood estimation methods for regression models with a fractional dependent variable. Compared with log-odds type... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test... -
Comparing Fourier and translog specifications of multiproduct technology: Evi...
Selecting a functional form for a cost or profit function in applied production analysis is a crucial step in assessing the characteristics of a technology. The present study... -
A non-linear model of the real US/UK exchange rate (replication data)
This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error... -
Semiparametric estimation of a hedonic price function (replication data)
Previous work on the preferred specification of hedonic price models usually recommended a Box-Cox model. In this paper we note that any parametric model involves implicit... -
Estimating time series models using the relevant cost function (replication d...
In many forecasting problems, the forecast cost function is used only in evaluating the forecasts; a second cost function is used in estimating the parameters in the model. In... -
Co-integration constraint and forecasting: An empirical examination (replicat...
Does co-integration help long-term forecasts? In this paper, we use simulation, real data sets, and multi-step-ahead post-sample forecasts to study this question. Based on the... -
Assessing forecast performance in a cointegrated system (replication data)
This paper examines the forecast performance of a cointegrated system relative to the forecast performance of a comparable VAR that fails to recognize that the system is... -
Stock market volatility and the business cycle (replication data)
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by... -
Can we improve the perceived quality of economic forecasts? (replication data)
A number of topics are discussed concerning how economic forecasts can be improved in quality or at least in presentation. These include the following: using 50% uncertainty...
