-
IDENTIFYING CAUSAL MECHANISMS (PRIMARILY) BASED ON INVERSE PROBABILITY WEIGHT...
This paper demonstrates the identification of causal mechanisms of a binary treatment under selection on observables, (primarily) based on inverse probability weighting; i.e. we... -
SMOOTH QUANTILE-BASED MODELING OF BRAND SALES, PRICE AND PROMOTIONAL EFFECTS ...
Semiparametric quantile regression is employed to flexibly estimate sales response for frequently purchased consumer goods. Using retail store-level data, we compare the... -
WHO REALLY WANTS TO BE A MILLIONAIRE? ESTIMATES OF RISK AVERSION FROM GAMESHO...
This paper estimates the degree of risk aversion from one of the most popular TV gameshows ever. The format of the show is straightforward; it involves no strategic decision... -
HOW BELIEFS ABOUT HIV STATUS AFFECT RISKY BEHAVIORS: EVIDENCE FROM MALAWI (re...
This paper examines how beliefs about own HIV status affect decisions to engage in risky sexual behavior, as measured by having extramarital sex and/or multiple sex partners.... -
SEMI-PARAMETRIC ESTIMATION OF PROGRAM IMPACTS ON DISPERSION OF POTENTIAL WAGE...
We propose the use of instrumental variables and pairwise matching to identify the average treatment effect on variance in potential outcomes. We show that identifying and... -
NONPARAMETRIC ESTIMATION OF ENTRY COST IN FIRST-PRICE PROCUREMENT AUCTIONS (r...
In this paper, I investigate Samuelson's low-price auction model with entry costs. The model's equilibrium implies that the distribution of bids is truncated at the threshold... -
FACTOR ANALYSIS OF A LARGE DSGE MODEL (replication data)
We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE)... -
Estimation of Treatment Effects without an Exclusion Restriction: with an App...
The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP)... -
COMPARING ALTERNATIVE MODELS OF HETEROGENEITY IN CONSUMER CHOICE BEHAVIOR (re...
When modeling demand for differentiated products, it is vital to adequately capture consumer taste heterogeneity, But there is no clearly preferred approach. Here, we compare... -
PANEL PROBIT WITH FLEXIBLE CORRELATED EFFECTS: QUANTIFYING TECHNOLOGY SPILLOV...
In this paper, we introduce a Bayesian panel probit model with two flexible latent effects: first, unobserved individual heterogeneity that is allowed to vary in the population... -
NON-LINEAR DSGE MODELS AND THE CENTRAL DIFFERENCE KALMAN FILTER (replication ...
This paper introduces a quasi maximum likelihood approach based on the central difference Kalman filter to estimate non-linear dynamic stochastic general equilibrium (DSGE)... -
Multivariate high-frequency-based volatility (HEAVY) models (replication data)
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from... -
On the forecasting accuracy of multivariate GARCH models (replication data)
This paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
Risk aversion, intertemporal substitution, and the term structure of interest...
We build and estimate an equilibrium model of the term structure of interest rates based on a recursive utility specification. We contrast it with an arbitrage-free model, where... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
Testing distributional assumptions: A GMM aproach (replication data)
We consider testing distributional assumptions by using moment conditions. A general class of moment conditions satisfied under the null hypothesis is derived and connected to... -
Factor analysis of permanent and transitory dynamics of the US economy and th...
We analyze dynamics of the permanent and transitory components of the US economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture... -
Reconciling the evidence of Card and Krueger (1994) and Neumark and Wascher (...
We employ the original Card and Krueger (American Economic Review 1994; 84: 772-793) and Neumark and Wascher (American Economic Review 2000; 90: 1362-1396) data together with... -
How to use interaction terms in BMA: Reply to Crespo Cuaresma's comment on Ma...
Jesus Crespo Cuaresma (How different is Africa? A comment on Masanjala and Papageorgiou. Journal of Applied Econometrics, 2011) shows that the results in Masanjala and...
