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Non-Gaussian dynamic Bayesian modelling for panel data (replication data)
A first order autoregressive non-Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus... -
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... -
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... -
Dichotomous‐choice contingent valuation with ‘dont know’ responses and misrep...
A new approach is presented that simultaneously deals with Misreporting and Don't Know (DK) responses within a dichotomous-choice contingent valuation framework. Utilising a... -
Compensatory inter vivos gifts (replication data)
Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the... -
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... -
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....
