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EVALUATING REAL-TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR (repl...
This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular,... -
UNEMPLOYMENT, HUMAN CAPITAL DEPRECIATION, AND UNEMPLOYMENT INSURANCE POLICY (...
This paper presents a structural estimation of a life cycle model with unemployment risk. The model allows for human capital depreciation during unemployment. It is estimated... -
HOW IMPORTANT ARE ENDOGENOUS PEER EFFECTS IN GROUP LENDING? ESTIMATING A STAT...
We quantify the importance of endogenous peer effects in group lending programs by estimating a static game of incomplete information. Endogenous peer effects describe how one's... -
THE EFFECT OF PARENTAL EMPLOYMENT ON CHILD SCHOOLING (replication data)
This paper presents a model that provides conditions under which a causal interpretation can be given to the association between childhood parental employment and subsequent... -
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (replication data)
We propose a class of observation-driven time series models referred to as generalized autoregressive score (GAS) models. The mechanism to update the parameters over time is the... -
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (replication data)
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional...
