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Models of stochastic choice and decision theories: why both are important for...
We select a menu of seven popular decision theories and embed each theory in five models of stochastic choice, including tremble, Fechner and random utility model. We find that... -
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... -
Semiparametric estimation of consumer demand systems in real expenditure (rep...
Microdata concerning consumer demand typically show considerable variation in real expenditures, but very little variation in prices. We propose a semiparametric strategy for... -
Mean-variance econometric analysis of household portfolios (replication data)
We investigate households' portfolio choice using a microeconometric approach derived from mean-variance optimization. We assume that households have heterogeneous expectations... -
Participation and study decisions in a public system of higher education (rep...
We analyze the decision whether to participate and where and what to study in a public system of higher education, based on a unique dataset of all eligible high school pupils... -
A test for multimodality of regression derivatives with application to nonpar...
This paper presents a method to test for multimodality of an estimated kernel density of derivative estimates from a nonparametric regression. The test is included in a study of... -
Bayesian quantile regression methods (replication data)
This paper is a study of the application of Bayesian exponentially tilted empirical likelihood to inference about quantile regressions. In the case of simple quantiles we show... -
Dating and forecasting turning points by Bayesian clustering with dynamic str...
The information contained in a large panel dataset is used to date historical turning points and to forecast future ones. We estimate groups of series with similar time series... -
Multivariate residual-based finite-sample tests for serial dependence and ARC...
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with... -
General-interest versus specialty journals: Using intellectual influence of e...
This paper demonstrates the potential problem in using existing economics journal rankings to evaluate the research productivity of scholars by constructing a new ranking of... -
Continuous-time models, realized volatilities, and testable distributional im...
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models... -
Economic transition and growth (replication data)
Some extensions of neoclassical growth models are discussed that allow for cross-section heterogeneity among economies and evolution in rates of technological progress over... -
The political economy of financial reform: are Abiad and Mody right? (replica...
Motivated by the questions Financial Reform: What Shakes It? What Shapes It? raised by Abiad and Mody (2005), this paper studies the forces that induce governments to undertake... -
Estimating class‐specific parametric models under class uncertainty: local po...
We introduce a method for estimating multiple class regression models when class membership is uncertain. The procedure-local polynomial regression clustering-first estimates a... -
Forecasting US output growth using leading indicators: an appraisal using MID...
We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple... -
Land of addicts? an empirical investigation of habit‐based asset pricing mode...
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the...
