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Simulation estimation of two-tiered dynamic panel Tobit models with an applic...
In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood... -
Estimating time variation in measurement error from data revisions: an applic...
Over time, economic statistics are refined. This implies that data measuring recent economic events are typically less reliable than older data. Such time variation in... -
Responses to monetary policy shocks in the east and the west of Europe: a com...
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We... -
What you match does matter: the effects of data on DSGE estimation (replicati...
This paper explores the effects of using alternative combinations of observables for the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. I find that the... -
The effects of technology shocks on hours and output: a robustness analysis (...
We analyze the effects of neutral and investment-specific technology shocks on hours and output. Long cycles in hours are removed in a variety of ways. Hours robustly fall in... -
Long-run relations in European electricity prices (replication data)
This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic... -
Testing for cointegration using the Johansen approach: are we using the corre...
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are... -
Forecasting realized volatility: a Bayesian model-averaging approach (replica...
How to measure and model volatility is an important issue in finance. Recent research uses high-frequency intraday data to construct ex post measures of daily volatility. This... -
On reproducible econometric research (replication data)
Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open-source... -
A semiparametric model for binary response and continuous outcomes under inde...
This paper formulates a likelihood-based estimator for a double-index, semiparametric binary response equation. A novel feature of this estimator is that it is based on density... -
The pervasive absence of compensating differentials (replication data)
We study the relation between individual preferences for job amenities (e.g., type of work, job security) and compensating wage differentials in cross-section. To this end, we... -
Evaluating the dynamic employment effects of training programs in East German...
This study analyzes the employment effects of training in East Germany. We propose and apply an extension of the widely used conditional difference-in-differences estimator....
