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Serially correlated variables in dynamic, discrete choice models (replication...
This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of... -
Loss function-based evaluation of DSGE models (replication data)
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take... -
A dynamic multinomial probit model for brand choice with different long-run a...
In this paper we propose a dynamic multinomial probit model in order to estimate the long-run and short- run effects of marketing mix variables on brand choice. The latent... -
A multivariate latent factor decomposition of international bond yield spread...
A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are... -
Econometric applications of maxmin expected utility (replication data)
Gilboa and Schmeidler (1989) develop a set of axioms for decision making under uncertainty. The axioms imply a utility function and a set of distributions such that the... -
Daily exchange rate behaviour and hedging of currency risk (replication data)
We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach... -
Sequential testing of duration data: the case of the Pennsylvania reemploymen...
Cost considerations and the need to report the results promptly make it desirable to examine data as it accumulates and to terminate an experimental study as soon as definite... -
Uncovering financial markets' beliefs about inflation targets (replication data)
This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter... -
Mixed MNL models for discrete response (replication data)
This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity... -
Near unit roots, cointegration, and the term structure of interest rates (rep...
The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span... -
Tests for multiple forecast encompassing (replication data)
In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts... -
Gender, race, pay and promotion in the British nursing profession: estimation...
We analyse job grading within the UK National Health Service nursing profession, using 1994 survey data. We start from the ordered probit model, for which we develop and apply... -
The cost and technological structure of aluminium smelters worldwide (replica...
A cost model is developed for the estimation of several technological parameters describing the production process of aluminium smelters worldwide. The model is similar to... -
Incomplete information and the time series behaviour of consumption (replicat...
Pischke (1995) uses both microeconomic and macroeconomic US data to test the idea that, within an otherwise standard PIH framework, ignorance by agents of aggregate labour... -
An examination of the dynamic behaviour of local governments using GMM bootst...
Even though recent Monte Carlo evidence has shown that the use of bootstrap critical values, instead of asymptotic ones, improves the size of the tests substantially, empirical... -
Wage differentials across firms: an application of multilevel modelling (repl...
Multilevel modelling techniques are applied to a dataset that matches firms and workers, to pinpoint and explain contrasts among company wage policies. Results indicate that... -
Determining market power exertion between buyers and sellers (replication data)
Empirical techniques commonly used in industrial organization to measure market power exertion typically assume imperfectly competitive behaviour by firms on only one side of... -
Box-Cox quantile regression and the distribution of firm sizes (replication d...
Using the Box-Cox quantile regression model, we analyse the size distribution of firms in Portuguese manufacturing during the 1980s. Specifically, we estimate the effect of... -
Keynesian impulses versus Solow residuals: identifying sources of business cy...
We employ a neoclassical business-cycle model to study two sources of business-cycle fluctuations: marginal efficiency of investment shocks, and total factor productivity... -
Linear household technologies (replication data)
This paper discusses, estimates and formally compares the best known procedures for incorporating demographic variables into complete demand systems. In particular, a class of...
