-
Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
Unobserved selection heterogeneity and the gender wage gap (replication data)
Selection correction methods usually make assumptions about selection itself. In the case of gender wage gap estimation, those assumptions are especially tenuous because of high... -
Nonparametric methods and local-time-based estimation for dynamic power law d...
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance... -
Model selection with estimated factors and idiosyncratic components (replicat...
This paper provides consistent information criteria for the selection of forecasting models that use a subset of both the idiosyncratic and common factor components of a big... -
Dynamic spatial autoregressive models with autoregressive and heteroskedastic...
We propose a new class of models specifically tailored for spatiotemporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
The cycle of violence in the Second Intifada: Causality in nonlinear vector a...
We contest Jaeger and Paserman's claim (Jaeger and Paserman , 2008. The cycle of violence? An empirical analysis of fatalities in the Palestinian-Israeli conflict. American... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have...
