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Semiparametric estimation and variable selection for single‐index copula mode...
A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single-index copula,... -
Transitory and permanent shocks in the global market for crude oil (replicati...
This paper documents the determinants of real oil price in the global market based on an empirical model embedding transitory and permanent shocks. We find evidence of... -
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful f...
Induced sparsity in the factor loading matrix identifies the factor basis, while rotational identification is obtained ex post by clustering methods closely related to machine... -
Interpretation of point forecasts with unknown directive (replication data)
Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on... -
Did Protestantism promote prosperity via higher human capital? Replicating th...
This paper shows that the Becker-Woessmann reformulation of the Weber thesis-Protestants were more prosperous in 19th-century Prussia because they had higher human capital-is... -
Sparse change‐point VAR models (replication data)
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model... -
Is euro area lowflation here to stay? Insights from a time‐varying parameter ...
We build a time-varying parameter model that jointly explains the dynamics of euro area inflation and inflation expectations. Our goal is to explain the weak inflation during... -
Focused Bayesian prediction (replication data)
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is... -
Unobserved components with stochastic volatility: Simulation‐based estimation...
The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and forecasting... -
Multivariate fractional integration tests allowing for conditional heterosked...
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the... -
Bayesian estimation of the exact affine Stone index demand system: Replicatin...
This paper proposes a Bayesian approach to perform inference in the exact affine Stone index (EASI) demand system that was proposed by Lewbel and Pendakur (2009), while taking... -
Migration in China: To work or to wed? (replication data)
This paper develops a model encompassing both matching and hedonic models, studies its properties, and provides identification and estimation strategies. We bring the model to... -
Dynamic shrinkage in time‐varying parameter stochastic volatility in mean mod...
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity... -
Cointegration and control: Assessing the impact of events using time series d...
Control groups can provide counterfactual evidence for assessing the impact of an event or policy change on a target variable. We argue that fitting a multivariate time series...
