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Estimating Euler equations with noisy data: two exact GMM estimators (replica...
In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator... -
Panel cointegration tests of the Fisher effect (replication data)
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a... -
Using the variance structure of the conditional autoregressive spatial specif...
This study investigates the pattern of knowledge spillovers arising from patent activity between European regions. A Bayesian hierarchical model is developed that specifies... -
The effect of seasonal adjustment on the properties of business cycle regimes...
We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically,... -
Bayesian counterfactual analysis of the sources of the great moderation (repl...
We use counterfactual experiments to investigate the sources of the large volatility reduction in US real GDP growth in the 1980s. Contrary to an existing literature that... -
Is gravity linear? (replication data)
Despite the solid theoretical foundation on which the gravity model of bilateral trade is based, empirical implementation requires several assumptions which do not follow... -
Gravity models of intra-EU trade: application of the CCEP-HT estimation in he...
We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be... -
A simple panel unit root test in the presence of cross-section dependence (re...
A number of panel unit root tests that allow for cross-section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically... -
Social capital, barriers to production and capital shares: implications for t...
Recent advances in the growth literature have proposed that difficult-to-quantify concepts such as social capital may play an important role in explaining the degree of... -
An empirical analysis of nonstationarity in a panel of interest rates with fa...
This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross-sectional... -
Dynamic factor extraction of cross-sectional dependence in panel unit root te...
Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor-based... -
Evaluating the impacts of Washington state repeated job search services on th...
This paper uses an unbalanced panel dataset to evaluate how repeated job search services (JSS) and other personal characteristics affect the quarterly earnings of the prime-age... -
Long-run trends in internal migrations in italy: a study in panel cointegrati...
The objective of this paper is to examine the long-run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
Panel unit root tests and spatial dependence (replication data)
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there... -
Estimation of multivariate models for time series of possibly different lengt...
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that... -
Measuring welfare effects in models with random coefficients (replication data)
In economic research, it is often important to express the marginal value of a variable in monetary terms. In random coefficient models, this marginal monetary value is the... -
Bayes model averaging of cyclical decompositions in economic time series (rep...
A flexible decomposition of a time series into stochastic cycles under possible non-stationarity is specified, providing both a useful data analysis tool and a very wide model... -
A bivariate count data model for household tourism demand (replication data)
Households' choice of the number of leisure trips and the total number of overnight stays is empirically studied using Swedish tourism data. A bivariate hurdle approach... -
Job separation in a non-stationary search model: a structural estimation to e...
This paper considers a job search model in which the environment is not constant throughout the unemployment spell and where jobs do not last for ever. In this situation,...
