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WHO BENEFITS FROM JOB CORPS? A DISTRIBUTIONAL ANALYSIS OF AN ACTIVE LABOR MAR...
Using recently developed econometric techniques to estimate quantile treatment effects (QTE) and experimental data, we examine the impact of Job Corps on earnings distribution.... -
ESTIMATING PERSON-CENTERED TREATMENT (PeT) EFFECTS USING INSTRUMENTAL VARIABL...
This paper builds on the methods of local instrumental variables developed by Heckman and Vytlacil (1999, 2001, 2005) to estimate person-centered treatment (PeT) effects that... -
ESTIMATION OF CENSORED PANEL-DATA MODELS WITH SLOPE HETEROGENEITY (replicatio...
This paper considers estimation of censored panel-data models with individual-specific slope heterogeneity. The slope heterogeneity may be random (random slopes model) or... -
UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION (replicat...
We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits... -
IS ECONOMIC RECOVERY A MYTH? ROBUST ESTIMATION OF IMPULSE RESPONSES (replicat...
We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to... -
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK ...
Sign restrictions have become increasingly popular for identifying shocks in structural vector autoregressive (SVAR) models. So far there are no techniques for validating the... -
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUD...
We develop a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to flow... -
STRATEGIC ASSET ALLOCATION FOR LONG-TERM INVESTORS: PARAMETER UNCERTAINTY AND...
We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative... -
THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL...
We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation,... -
MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO ...
Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a... -
TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS (replication data)
This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong... -
FURTHER EVIDENCE ON THE SPATIO-TEMPORAL MODEL OF HOUSE PRICES IN THE UNITED S...
Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160-173) use a panel of 49 states over the period 1975-2003 to show that state-level real housing prices are... -
THE EFFECTS OF EXPANDING THE GENEROSITY OF THE STATUTORY SICKNESS INSURANCE S...
This article evaluates an expansion of employer-mandated sick leave from 80% to 100% of forgone gross wages in Germany. We employ and compare parametric difference-in-difference... -
HOW SENSITIVE ARE RETIREMENT DECISIONS TO FINANCIAL INCENTIVES? A STATED PREF...
We study the effects of financial incentives on retirement decisions using stated preference data. Dutch survey respondents were given hypothetical retirement scenarios... -
MODEL PRIORS REVISITED: INTERACTION TERMS IN BMA GROWTH APPLICATIONS (replica...
This paper provides a sensitivity analysis on the prior choice for interaction terms for the results of Masanjala and Papageorgiou (Rough and lonely road to prosperity. Journal... -
IDENTIFYING THE RESPONSE OF FERTILITY TO FINANCIAL INCENTIVES (replication data)
While using financial incentives to increase fertility has become relatively common, the effects of such policies are difficult to assess. We propose an identification strategy... -
DIVORCE LAW REFORMS AND DIVORCE RATES IN THE USA: AN INTERACTIVE FIXED-EFFECT...
This paper estimates the effects of unilateral divorce laws on divorce rates in the USA from a panel of state-level divorce rates. We use the interactive fixed-effects model to... -
THE DEMAND FOR GASOLINE: EVIDENCE FROM HOUSEHOLD SURVEY DATA (replication data)
In this paper we investigate the demand for gasoline in Canada using recent annual expenditure data from the Canadian Survey of Household Spending, over a 13-year period from... -
EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!-A NOTE O...
Diebold and Yilmaz (Economic Journal 2009; 119; 158-171) introduce the spillover index to measure linkages between international financial markets. As their index depends on the... -
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF I...
We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures...
