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A threshold error-correction model for intraday futures and index returns (re...
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated... -
Identifying the source of dynamics in disaggregated import data (replication ...
This paper uses Kennan's (1988) model to separately identify supply-side and demand-side dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply-... -
Unemployment persistence: does the size of the shock matter? (replication data)
One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical... -
Alternative functional forms for production, cost and returns to scale functi...
We consider generalized production functions, introduced in Zellner and Revankar (1969), for output y=g(f) where g is a monotonic function and f is a homogeneous production... -
Whose wages do unions raise? A dynamic model of unionism and wage rate determ...
We estimate the union premium for young men over a period of declining unionization (1980-87) through a procedure which identifies the alternative sources of the endogeneity of... -
Bayesian inference for periodic regime-switching models (replication data)
We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as... -
Testing non-nested semiparametric models: an application to Engel curves spec...
This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of... -
Does more calculus improve student learning in intermediate micro- and macroe...
Using a selection bias correction model with ordered probit, we estimate how a second semester of calculus affects students' grades in intermediate economic theory. Selection... -
The conditional heteroscedasticity of the yen-dollar exchange rate (replicati...
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional... -
An EMS target zone model in discrete time (replication data)
The discrete time analogue of the continuous time Krugman target zone model is developed in order to capture the typical volatility clusters and fat-tailed distributed... -
The dynamics of changes in the female wage distribution in the USA: a quantil...
This paper examines the female wage structure focusing on changes at different points in the wage distribution. Newly developed quantile regression methods are used in analysing... -
Modelling money demand in Germany (replication data)
In this paper an empirically stable money demand model for M3 in Germany is presented. The sample period 1975-94 includes German unification. It is shown that this development... -
Interdependent preferences: an econometric analysis (replication data)
The theoretical model of Gaertner (1974) and Pollak (1976) for the interdependence of preferences in the Linear Expenditure System is estimated for a cross-section of... -
Understanding spot and forward exchange rate regressions (replication data)
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and... -
The dynamic Laurent flexible form and the demand for money (replication data)
I derive the dynamic full Laurent model to estimate economic models that assume a dynamic process. The application in this paper is to use the dynamic full Laurent to estimate a... -
Are financial spreads useful indicators of future inflation and output growth...
This paper seeks to address the policy issue of the usefulness of financial spreads as indicators of future inflation and output growth in the countries of the European Union,... -
Organization of the experiment (replication data)
This paper explains the organization of our experiment in applied econometrics, where participating teams had one year (1 July 1995 to 1 August 1996) to answer specific economic... -
Growth and convergence in a multi-country empirical stochastic Solow model (r...
The paper considers international per capita output and its growth using a panel of data for 102 countries between 1960 and 1989. It sets out an explicitly stochastic Solow... -
Stochastic trends, deterministic trends, and business cycle turning points (r...
This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found... -
Is there a unit root in the inflation rate? Evidence from sequential break an...
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we...
