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Measuring global economic activity (replication data)
A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
The next hundred years of growth and convergence (replication data)
World gross domestic product per capita is forecast to grow at 2.6% annually over the next 100 years. Convergence of less-developed countries toward output levels of the world... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Interpreting shocks to the relative price of investment with a two‐sector mod...
Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on... -
Introducing the Bank of Canada staff economic projections database (replicati...
We present a new, publicly available database of real-time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We... -
Endogenous censoring in the mixed proportional hazard model with an applicati...
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment... -
Macroeconomic forecast accuracy in a data‐rich environment (replication data)
The performance of six classes of models in forecasting different types of economic series is evaluated in an extensive pseudo out-of-sample exercise. One of these forecasting... -
Large time‐varying parameter VARs: A nonparametric approach (replication data)
In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic... -
Likelihood evaluation of models with occasionally binding constraints (replic...
Applied researchers interested in estimating key parameters of dynamic stochastic general equilibrium models face an array of choices regarding numerical solution and estimation... -
Decomposing the effects of monetary policy using an external instruments SVAR...
We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward... -
Hidden group patterns in democracy developments: Bayesian inference for group...
We propose a nonparametric Bayesian approach to estimate time-varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme... -
Estimation in a generalization of bivariate probit models with dummy endogeno...
The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common... -
Two applications of wild bootstrap methods to improve inference in cluster‐IV...
Microeconomic data often have within-cluster dependence, which affects standard error estimation and inference. When the number of clusters is small, asymptotic tests can be... -
Tax shocks with high and low uncertainty (replication data)
We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative series by Romer and Romer... -
Exogenous uncertainty and the identification of structural vector autoregress...
We provide necessary and sufficient conditions for the identification (point-identification) of structural vector autoregressions (SVARs) with external instruments considering... -
Mostly harmless simulations? Using Monte Carlo studies for estimator selectio...
We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that... -
Tests of asset pricing with time‐varying factor loads (replication data)
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and...
