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Measuring the diffusion of housing prices across space and over time: Replica...
Brady (Journal of Applied Econometrics, 2011, 26(2), 213-231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the... -
Self-employment among women: Do children matter more than we previously thoug...
This paper presents an estimation approach that addresses the problems of sample selection and endogeneity of fertility decisions when estimating the effect of young children on... -
Time series copulas for heteroskedastic data (replication data)
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first-order Markov series, and then extend them to... -
Improving Markov switching models using realized variance (replication data)
This paper proposes a class of models that jointly model returns and ex post variance measures under a Markov switching framework. Both univariate and multivariate return... -
Identification issues in the public/private wage gap, with an application to ...
This paper reviews some of the standard assumptions that are imposed in order to estimate the average public/private wage gap and that are mainly related to the possible... -
Comparing cross-country estimates of Lorenz curves using a Dirichlet distribu...
Chotikapanich and Griffiths (Journal of Business and Economic Statistics, 2002, 20(2), 290-295) introduced the Dirichlet distribution to the estimation of Lorenz curves. This... -
Normalized CES supply systems: Replication of Klump, McAdam, and Willman (200...
The analysis of Klump, McAdam, and Willman (Review of Economics and Statistics, 2007, 89, 183-192) is replicated using alternative software. Their results are verified... -
Binary response panel data models with sample selection and self‐selection (r...
We consider estimating binary response models on an unbalanced panel, where the outcome of the dependent variable may be missing due to nonrandom selection, or there is... -
Business, housing, and credit cycles (replication data)
We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the... -
Measuring crisis risk using conditional copulas: An empirical analysis of the...
The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these... -
Do contractionary monetary policy shocks expand shadow banking? (replication ...
Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the... -
An efficient Bayesian approach to multiple structural change in multivariate ...
This paper provides a feasible approach to estimation and forecasting of multiple structural breaks for vector autoregressions and other multivariate models. Owing to conjugate... -
Identifying contagion (replication data)
Identifying contagion effects during periods of financial crisis is known to be complicated by the changing volatility of asset returns during periods of stress. To untangle... -
Multivariate choices and identification of social interactions (replication d...
This paper considers the identification of social interaction effects in the context of multivariate choices. First, we generalize the theoretical social interaction model to... -
The evolution of scale economies in US banking (replication data)
Continued consolidation of the US banking industry and a general increase in the size of banks have prompted some policymakers to consider policies that discourage banks from... -
Decomposing economic mobility transition matrices (replication data)
We present a decomposition method for transition matrices to identify forces driving the persistence of economic status across generations. The method decomposes differences... -
Predicting crude oil prices: Replication of the empirical results in “What do...
In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian (Journal of Applied Econometrics, 2010, 25(4),... -
Estimating the effects of the minimum wage in a developing country: A density...
This paper proposes a framework to identify the effects of the minimum wage on the joint distribution of sector and wage in a developing country. I show how the discontinuity of... -
Estimating the distribution of welfare effects using quantiles (replication d...
This paper proposes a framework to model welfare effects that are associated with a price change in a population of heterogeneous consumers. The framework is similar to that of... -
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize...
