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Intertemporal consumption choices, transaction costs and limited participatio...
This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the... -
Hierarchical Markov normal mixture models with applications to financial asse...
Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new... -
An empirical model of mainframe computer investment (replication data)
This paper introduces a dynamic model of investment decisions in mainframe computer systems. I estimate and test the model using detailed micro data from a company in the... -
Mixed logit models: accuracy and software choice (replication data)
This dataset has no description
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Firm size distributions through the lens of functional principal components a...
We explore the dynamics of firm size distributions through the lens of Functional Principal Component Analysis as proposed by Kneip and Utikal (2001). Using samples of UK firms... -
Capital accumulation and growth: a new look at the empirical evidence (replic...
Using annual data for 75 countries in the period 1960-2000, we present evidence of a positive relationship between investment as a share of gross domestic product (GDP) and the... -
Jackknife instrumental variables estimation: replication and extension of ang...
I replicate most of the results in Angrist, Imbens, and Krueger (Journal of Applied Econometrics 1999; 14: 57-67), point to a possible error in and re-estimate Model 3, and... -
On nonparametric estimation of a hedonic price function (replication data)
Recently, using mixed data on Canadian housing, Parmeter, Henderson, and Kumbhakar (Journal of Applied Econometrics 2007; 22: 695-699) found that a nonparametric approach for... -
Measuring forecast uncertainty by disagreement: The missing link (replication...
Using a standard decomposition of forecast errors into common and idiosyncratic shocks, we show that aggregate forecast uncertainty can be expressed as the disagreement among... -
Combining forecast densities from VARs with uncertain instabilities (replicat...
Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the... -
Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Forecast evaluation of small nested model sets (replication data)
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the... -
Forecast comparisons in unstable environments (replication data)
We propose new methods for comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. The main idea is to develop a... -
A comparison of forecast performance between federal reserve staff forecasts,...
This paper considers the real-time-- forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE)... -
Extracting a robust US business cycle using a time-varying multivariate model...
We develop a flexible business cycle indicator that accounts for potential time variation in macroeconomic variables. The coincident economic indicator is based on a... -
Introducing the euro-sting: Short-term indicator of euro area growth (replica...
We set out a model to compute short-term forecasts of the euro area GDP growth in real time. To allow for forecast evaluation, we construct a real-time dataset that changes for... -
What do we learn from the price of crude oil futures? (replication data)
Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense than no-change... -
Dynamic treatment effect analysis of TV effects on child cognitive developmen...
We investigate whether TV watching at ages 6-7 and 8-9 affects cognitive development measured by math and reading scores at ages 8-9, using a rich childhood longitudinal sample... -
Realising the future: forecasting with high-frequency-based volatility (HEAVY...
This paper studies in some detail a class of high-frequency-based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realised... -
Empirical and policy performance of a forward‐looking monetary model (replica...
In this paper we consider the implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003). This is a relatively large-scale...
