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Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers... -
Economic transition and growth (replication data)
Some extensions of neoclassical growth models are discussed that allow for cross-section heterogeneity among economies and evolution in rates of technological progress over... -
The political economy of financial reform: are Abiad and Mody right? (replica...
Motivated by the questions Financial Reform: What Shakes It? What Shapes It? raised by Abiad and Mody (2005), this paper studies the forces that induce governments to undertake... -
Estimating class‐specific parametric models under class uncertainty: local po...
We introduce a method for estimating multiple class regression models when class membership is uncertain. The procedure-local polynomial regression clustering-first estimates a... -
Forecasting US output growth using leading indicators: an appraisal using MID...
We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple... -
Land of addicts? an empirical investigation of habit‐based asset pricing mode...
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the... -
Measuring state dependence in individual poverty histories when there is feed...
This paper argues that the assumption of strict exogeneity, which is usually invoked in estimating models of state dependence with unobserved heterogeneity, is violated in the... -
Dichotomous‐choice contingent valuation with ‘dont know’ responses and misrep...
A new approach is presented that simultaneously deals with Misreporting and Don't Know (DK) responses within a dichotomous-choice contingent valuation framework. Utilising a... -
Time-varying yield curve dynamics and monetary policy (replication data)
Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time-varying structural vector autoregression. The monetary policy shocks... -
What are the effects of fiscal policy shocks? (replication data)
We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government... -
Health and work of the elderly: subjective health measures, reporting errors ...
This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously... -
Compensatory inter vivos gifts (replication data)
Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the... -
The relationship between wage growth and wage levels (replication data)
We estimate the covariance between the permanent component of wages and a random coefficient on experience in models both with potential experience and with actual experience.... -
Aggregation is not the solution: the PPP puzzle strikes back (replication data)
Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of... -
Comovements and heterogeneity in the euro area analyzed in a non-stationary d...
This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this... -
A re-examination of the stationarity of inflation (replication data)
In a recent examination of the integrated nature of inflation, Culver and Papell (Journal of Applied Econometrics, 1997) applied a range of unit root and stationarity tests to... -
Testing for cointegration using the Johansen approach: are we using the corre...
This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are... -
Forecasting realized volatility: a Bayesian model-averaging approach (replica...
How to measure and model volatility is an important issue in finance. Recent research uses high-frequency intraday data to construct ex post measures of daily volatility. This... -
On reproducible econometric research (replication data)
Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open-source... -
A semiparametric model for binary response and continuous outcomes under inde...
This paper formulates a likelihood-based estimator for a double-index, semiparametric binary response equation. A novel feature of this estimator is that it is based on density...
