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Uncertainty across volatility regimes (replication data)
We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on... -
Bootstrap inference for impulse response functions in factor‐augmented vector...
In this study, we consider residual-based bootstrap methods to construct the confidence interval for structural impulse response functions in factor-augmented vector... -
The cyclicality of R&D investment revisited (replication data)
In Fabrizio and Tsolmon (Review of Economics and Statistics, 2014, 96(4), 662-675) and Barlevy (American Economic Review, 2007, 97(4), 1131-1164) it was concluded that R&D... -
An empirical investigation of direct and iterated multistep conditional forec...
When constructing unconditional point forecasts, both direct and iterated multistep (DMS and IMS) approaches are common. However, in the context of producing conditional... -
Steady‐state modeling and macroeconomic forecasting quality (replication data)
Vector autoregressions (VARs) with informative steady-state priors are standard forecasting tools in empirical macroeconomics. This study proposes (i) an adaptive hierarchical... -
CCE estimation of factor‐augmented regression models with more factors than o...
This paper considers estimation of factor-augmented panel data regression models. One of the most popular approaches towards this end is the common correlated effects (CCE)... -
Structural VARs and noninvertible macroeconomic models (replication data)
We resume the line of research pioneered by C. A. Sims and Zha (Macroeconomic Dynamics, 2006, 10, 231-272) and make two novel contributions. First, we provide a formal treatment... -
Selecting structural innovations in DSGE models (replication data)
Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We... -
Commodity prices and fiscal policy design: Procyclical despite a rule (replic...
Recent studies offer evidence of reduced fiscal procyclicality to commodity price changes in resource-rich countries-a feature commonly attributed to the adoption of fiscal... -
The two‐sample linear regression model with interval‐censored covariates (rep...
There are surveys that gather precise information on an outcome of interest, but measure continuous covariates by a discrete number of intervals, in which case the covariates... -
Simultaneous confidence bands: Theory, implementation, and an application to ...
Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for parameter vectors, such as impulse response functions. In linear models, it is known... -
Private returns to R&D in the presence of spillovers, revisited (replicat...
This is both a replication of Eberhardt et al. (Review of Economics and Statistics, 2013, 95(2), 436-448) using different software, and a critical extension and diagnostic... -
(Under)Mining local residential property values: A semiparametric spatial qua...
Rock mining operations, including limestone and gravel production, have considerable adverse effects on residential quality of life due to elevated noise and dust levels... -
The puzzling effects of monetary policy in VARs: Invalid identification or mi...
Standard vector autoregressions (VARs) often find puzzling effects of monetary policy shocks. Is this due to an invalid (recursive) identification scheme, or because the... -
The approximate solution of finite‐horizon discrete‐choice dynamic programmin...
The estimation of finite-horizon discrete-choice dynamic programming (DCDP) models is computationally expensive. This limits their realism and impedes verification and... -
Information flows and stock market volatility (replication data)
This study examines how news is distributed across stocks. A model is developed that categorizes a stock's latent news into normal and nonnormal news, and allows both types of... -
Cartel dating (replication data)
The begin and end dates of cartels are often ambiguous, despite competition authorities stating them with precision. The legally established infringement period(s) from... -
Switching generalized autoregressive score copula models with application to ...
Recent financial disasters have emphasized the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial... -
Estimating within‐cluster spillover effects using a cluster randomization wit...
Spillover effects within randomized clusters pose a challenge for identifying impacts of an individualized treatment. The paper proposes a solution. Longitudinal and... -
Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local...
