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Introducing the euro-sting: Short-term indicator of euro area growth (replica...
We set out a model to compute short-term forecasts of the euro area GDP growth in real time. To allow for forecast evaluation, we construct a real-time dataset that changes for... -
What do we learn from the price of crude oil futures? (replication data)
Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense than no-change... -
Semiparametric estimation of consumer demand systems in real expenditure (rep...
Microdata concerning consumer demand typically show considerable variation in real expenditures, but very little variation in prices. We propose a semiparametric strategy for... -
Mean-variance econometric analysis of household portfolios (replication data)
We investigate households' portfolio choice using a microeconometric approach derived from mean-variance optimization. We assume that households have heterogeneous expectations... -
Participation and study decisions in a public system of higher education (rep...
We analyze the decision whether to participate and where and what to study in a public system of higher education, based on a unique dataset of all eligible high school pupils... -
Dynamic treatment effect analysis of TV effects on child cognitive developmen...
We investigate whether TV watching at ages 6-7 and 8-9 affects cognitive development measured by math and reading scores at ages 8-9, using a rich childhood longitudinal sample... -
A test for multimodality of regression derivatives with application to nonpar...
This paper presents a method to test for multimodality of an estimated kernel density of derivative estimates from a nonparametric regression. The test is included in a study of... -
Realising the future: forecasting with high-frequency-based volatility (HEAVY...
This paper studies in some detail a class of high-frequency-based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realised... -
Bayesian quantile regression methods (replication data)
This paper is a study of the application of Bayesian exponentially tilted empirical likelihood to inference about quantile regressions. In the case of simple quantiles we show... -
Dating and forecasting turning points by Bayesian clustering with dynamic str...
The information contained in a large panel dataset is used to date historical turning points and to forecast future ones. We estimate groups of series with similar time series... -
Multivariate residual-based finite-sample tests for serial dependence and ARC...
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with... -
General-interest versus specialty journals: Using intellectual influence of e...
This paper demonstrates the potential problem in using existing economics journal rankings to evaluate the research productivity of scholars by constructing a new ranking of... -
Continuous-time models, realized volatilities, and testable distributional im...
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models... -
Empirical and policy performance of a forward‐looking monetary model (replica...
In this paper we consider the implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003). This is a relatively large-scale... -
The Lucas critique and the stability of empirical models (replication data)
This paper reconsiders the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak central bank response to inflation generates equilibrium... -
International evidence on the efficacy of new‐Keynesian models of inflation p...
We take an agnostic view of the Phillips curve debate, and carry out an empirical investigation of the relative and absolute efficacy of Calvo sticky price (SP), sticky... -
Monetary policy and uncertainty in an empirical small open‐economy model (rep...
This paper explores optimal policy design in an estimated model of three small open economies: Australia, Canada and New Zealand. Within a class of generalized Taylor rules, we... -
Limited information estimation and evaluation of DSGE models (replication data)
We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that... -
Welfare‐maximizing monetary policy under parameter uncertainty (replication d...
This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the US economy where the policymaker faces uncertainty about... -
Averaging forecasts from VARs with uncertain instabilities (replication data)
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting...
