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Multidimensional skills and the returns to schooling: Evidence from an intera...
This paper presents new evidence on returns to schooling based on an interactive fixed-effects framework that allows for multiple unobserved skills with potentially time-varying... -
Is deflation costly after all? The perils of erroneous historical classificat...
I estimate average economic activity during periods of inflation and deflation while accounting for measurement errors in 19th century prices. These measurement errors lead to... -
Family planning in a life‐cycle model with income risk (replication data)
Several US states have recently restricted the access to abortions. We study fertility intentions and how family planning and abortions are used as mechanisms to control... -
A distributional synthetic control method for policy evaluation (replication ...
We extend the synthetic control method to evaluate the distributional effects of policy intervention in the possible presence of poor matching. The counterfactuals (or... -
Model simplification and variable selection: A replication of the UK inflatio...
In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics, 2001, 16, 255-275. We replicate the results in a narrow sense using the... -
Estimation of firm‐level productivity in the presence of exports: Evidence fr...
Motivated by the long-standing interest of economists in understanding the nexus between firm productivity and export behavior, this paper develops a novel structural framework... -
Complementary Bayesian method of moments strategies (replication data)
Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a... -
Order‐invariant tests for proper calibration of multivariate density forecast...
Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of... -
Exchange rate predictability and dynamic Bayesian learning (replication data)
We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive... -
Comovements in the real activity of developed and emerging economies: A test ...
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
The next hundred years of growth and convergence (replication data)
World gross domestic product per capita is forecast to grow at 2.6% annually over the next 100 years. Convergence of less-developed countries toward output levels of the world... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Interpreting shocks to the relative price of investment with a two‐sector mod...
Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional... -
Introducing the Bank of Canada staff economic projections database (replicati...
We present a new, publicly available database of real-time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We... -
Endogenous censoring in the mixed proportional hazard model with an applicati...
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment... -
Macroeconomic forecast accuracy in a data‐rich environment (replication data)
The performance of six classes of models in forecasting different types of economic series is evaluated in an extensive pseudo out-of-sample exercise. One of these forecasting... -
Large time‐varying parameter VARs: A nonparametric approach (replication data)
In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic...
