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Panel unit root tests and spatial dependence (replication data)
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there... -
Codependence in cointegrated autoregressive models (replication data)
This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous... -
Expectation horizon and the Phillips Curve: the solution to an empirical puzz...
Estimates of the slope of the Phillips curve reported in the literature cover a range from roughly ? 0.6 to zero depending on specification. Forward-looking specifications,... -
Robust optimal monetary policy in a forward-looking model with parameter and ...
This paper characterizes a robust optimal policy rule in a simple forward-looking model, when the policymaker faces uncertainty about model parameters and shock processes. We... -
Unravelling financial market linkages during crises (replication data)
An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during... -
Exploring the international linkages of the euro area: a global VAR analysis ...
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific... -
An evaluation of the forecasts of the federal reserve: a pooled approach (rep...
The Federal Reserve Greenbook forecasts of real GDP, inflation and unemployment are analysed for the period 1974-1997. We consider whether these forecasts exhibit systematic... -
The transmission mechanism in a changing world (replication data)
The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European... -
Nonlinear autoregressive leading indicator models of output in G-7 countries ...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term... -
Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent.... -
Nonlinear dynamics of interest rate and inflation (replication data)
According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply... -
Modelling multi-period inflation uncertainty using a panel of density forecas...
This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic... -
Intergenerational mobility and sample selection in short panels (replication ...
Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be... -
An empirical model of the multi-unit, sequential, clock auction (replication ...
We construct a model of participation and bidding at multi-unit, sequential, clock auctions when bidders have multi-unit demand. We describe conditions sufficient to... -
Identification and estimation of bounds on school performance measures: a non...
This paper identifies and nonparametrically estimates sharp bounds on school performance measures based on test scores that may not be valid for all students. A mixture model... -
Inter-state dynamics of invention activities, 1930–2000 (replication data)
We study the dynamics of the cross-section distribution of patents per capita for the 48 continental US states from 1930 to 2000 using a discrete-state Markov chain. We test for... -
A re-interpretation of the linear quadratic model when inventories and sales ...
Estimation of the linear quadratic model, the workhorse of the inventory literature, traditionally takes inventories and sales to be first-difference stationary series, and the... -
Is there a risk–return trade-off? Evidence from high-frequency data (replicat...
This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and... -
Convergence of productivity: a comment (replication data)
We find that an important programming error was made by Hobijn and Franses (2000) in conducting multivariate stationarity tests. The empirical results in their paper are subject... -
Cannabis, cocaine and jobs (replication data)
This paper uses a dataset collected among inhabitants of Amsterdam, to study the employment effects of the use of cannabis and cocaine. For females no negative effects of drug...
