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Bayesian analysis of the two-part model with endogeneity: application to heal...
This paper studies the effect of managed care on medical expenditure using a model in which the insurance status is assumed to be endogenous. Insurance plan choice is modeled... -
Health insurance and retirement of married couples (replication data)
Most health insurance in the USA is provided by employers until eligibility for public health insurance (Medicare) begins at age 65. Retiring before 65 exposes workers who lack... -
The emerging market crisis and stock market linkages: further evidence (repli...
This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with... -
Wealth dynamics: reducing noise in panel data (replication data)
Although the asset data from the Health and Retirement Study (HRS) is of very high quality, there is sufficient noise to frustrate attempts to study saving behaviour by... -
Inference in dynamic stochastic frontier models (replication data)
An important issue in models of technical efficiency measurement concerns the temporal behaviour of inefficiency. Consideration of dynamic models is necessary but inference in... -
Disaggregate evidence on the persistence of consumer price inflation (replica...
This paper uses disaggregate inflation data spanning all of consumption to examine: (i) the persistence of disaggregate inflation relative to aggregate inflation; (ii) the... -
Structural break threshold VARs for predicting US recessions using the spread...
This paper proposes a model to predict recessions that accounts for non-linearity and a structural break when the spread between long- and short-term interest rates is the... -
A joint model for the term structure of interest rates and the macroeconomy (...
We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic... -
Estimating the effect of smoking on birth outcomes using a matched panel data...
Estimating the casual effect of smoking on birth outcomes is difficult since omitted (unobserved) variables are likely to be correlated with a mother's decision to smoke. While... -
Magazine prices revisited (replication data)
This paper examines price adjustment behaviour in the magazine industry. In a frequently cited study, Cecchetti (1986) constructs a reduced-form (S, s) model for firms.... -
Intertemporal pricing and price discrimination: a semiparametric hedonic anal...
We apply a smooth coefficient semiparametric model to a unique high-frequency data set to examine the intertemporal pricing of personal computers. Furthermore, we test whether... -
Smoothed binary regression quantiles (replication data)
This paper extends results regarding smoothed median binary regression to general smoothed binary quantile regression, discusses the interpretation of the resulting estimators... -
Estimating and predicting multivariate volatility thresholds in global stock ...
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several... -
Normal mixture GARCH(1,1): applications to exchange rate modelling (replicati...
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter... -
High school completion and future youth unemployment: new evidence from High ...
In this paper, I provide new evidence from High School and Beyond (HSB) on the effects of compulsory attendance on high school completion and future youth unemployment. I... -
The policy preferences of the US Federal Reserve (replication data)
In this paper we model and explain US macroeconomic outcomes subject to the discipline that monetary policy is set optimally. Exploiting the restrictions that come from optimal... -
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? ...
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM... -
Periodically expanding discounted debt: a threat to fiscal policy sustainabil...
This paper models the behaviour of discounted US debt using a Markov-switching time series model. The significance of modelling fiscal policy within this framework derives from... -
Nonparametric bounds on the returns to language skills (replication data)
This paper applies the theoretical literature on nonparametric bounds on treatment effects to the estimation of how limited English proficiency (LEP) affects wages and... -
Markov switching causality and the money-output relationship (replication data)
The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests...
