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On the Empirical Failure of Purchasing Power Parity Tests (replication data)
Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails... -
Purchasing Power Parity and the Taylor Rule (replication data)
It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a... -
Replacing Sample Trimming with Boundary Correction in Nonparametric Estimatio...
Two-step nonparametric estimators have become standard in empirical auctions. A drawback concerns boundary effects which cause inconsistencies near the endpoints of the support... -
When Does the Stepping-Stone Work? Fixed-Term Contracts Versus Temporary Agen...
This paper emphasizes differences among short-term contracts in terms of career prospects. Using French data over the 2002-2010 period, we rely on a dynamic model with fixed... -
Simple Identification and Specification of Cointegrated Varma Models (replica...
We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the... -
CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data)
We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables... -
PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS (repli...
In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically,... -
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized... -
crs: A PACKAGE FOR NONPARAMETRIC SPLINE ESTIMATION IN R (replication data)
crs is a library for R written by Jeffrey S. Racine (Maintainer) and Zhenghua Nie. This add-on package provides a collection of functions for spline-based nonparametric...
