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Testing for Predictability in panels with General Predictors (replication data)
The difficulty of predicting returns has recently motivated researchers to start looking for tests that are either more powerful or robust to more features of the data.... -
Euromind-D: A Density Estimate of Monthly Gross Domestic Product for the Euro...
EuroMInd- D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom-up approach, pooling the density estimates of 11 GDP components, by... -
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequenc...
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state-space representation is... -
Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Mode...
We develop a panel count model with a latent spatio-temporal heterogeneous state process for monthly severe crimes at the census-tract level in Pittsburgh, Pennsylvania. Our... -
The Millennium Peak in Club Convergence: A New Look at Distributional Changes...
This paper proposes an easy-to-use nonparametric indicator for club convergence, or convergence within clusters of countries: it measures whether the modes of the gross domestic... -
Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data (r...
Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the... -
Teacher Quality and Student Achievement: Evidence from a Sample of Dutch Twin...
This paper examines the causal link that runs from classroom quality to student achievement using data on twin pairs who entered the same school but were allocated to different... -
In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area (re...
This paper applies the DSGE-VAR methodology to assess the size of fiscal multipliers in the data and the relative contributions of two transmission mechanisms of government... -
Weak and Strong Cross-Sectional Dependence: A Panel Data Analysis of Internat...
This paper provides an econometric examination of technological knowledge spillovers among countries by focusing on the issue of error cross-sectional dependence, particularly... -
Tests of Predictive Ability for Vector Autoregressions Used for Conditional F...
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
Growth Empirics in Panel Data Under Model Uncertainty and Weak Exogeneity (re...
This paper considers panel growth regressions in the presence of model uncertainty and reverse causality concerns. For this purpose, my econometric framework combines Bayesian... -
On the Low-Frequency Relationship Between Public Deficits and Inflation (repl...
We estimate the low-frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time-varying vector... -
Flexible Estimation of Copulas: An Application to the US Housing Crisis (repl...
Zimmer (?The role of copulas in the housing crisis?, Review of Economics and Statistics 2012; 94: 607-620) provides an interesting case study of the pitfalls of using parametric... -
Identification and Estimation of Distributional Impacts of Interventions Usin...
This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are... -
Labor Supply as a Choice Among Latent Jobs: Unobserved Heterogeneity and Iden...
This paper discusses aspects of a modeling framework in which the notion of job choice is fundamental. In this framework, workers are assumed to have preferences over latent job... -
A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips ...
In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating... -
The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of ...
We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty... -
Analysis of Hospital Production: An Output Index Approach (replication data)
In this study, we develop and implement an output index approach to the estimation of hospital cost functions that reflects the differentiated nature of hospital care. The...
