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Bootstrap inference for impulse response functions in factor‐augmented vector...
In this study, we consider residual-based bootstrap methods to construct the confidence interval for structural impulse response functions in factor-augmented vector... -
The cyclicality of R&D investment revisited (replication data)
In Fabrizio and Tsolmon (Review of Economics and Statistics, 2014, 96(4), 662-675) and Barlevy (American Economic Review, 2007, 97(4), 1131-1164) it was concluded that R&D... -
An empirical investigation of direct and iterated multistep conditional forec...
When constructing unconditional point forecasts, both direct and iterated multistep (DMS and IMS) approaches are common. However, in the context of producing conditional... -
Steady‐state modeling and macroeconomic forecasting quality (replication data)
Vector autoregressions (VARs) with informative steady-state priors are standard forecasting tools in empirical macroeconomics. This study proposes (i) an adaptive hierarchical... -
Selecting structural innovations in DSGE models (replication data)
Dynamic stochastic general equilibrium (DSGE) models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We... -
Simultaneous confidence bands: Theory, implementation, and an application to ...
Simultaneous confidence bands are versatile tools for visualizing estimation uncertainty for parameter vectors, such as impulse response functions. In linear models, it is known... -
Private returns to R&D in the presence of spillovers, revisited (replicat...
This is both a replication of Eberhardt et al. (Review of Economics and Statistics, 2013, 95(2), 436-448) using different software, and a critical extension and diagnostic... -
The puzzling effects of monetary policy in VARs: Invalid identification or mi...
Standard vector autoregressions (VARs) often find puzzling effects of monetary policy shocks. Is this due to an invalid (recursive) identification scheme, or because the... -
The approximate solution of finite‐horizon discrete‐choice dynamic programmin...
The estimation of finite-horizon discrete-choice dynamic programming (DCDP) models is computationally expensive. This limits their realism and impedes verification and... -
Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local... -
Should we use linearized models to calculate fiscal multipliers? (replication...
We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the... -
A test of general asymmetric dependence (replication data)
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric... -
Homogeneity pursuit in panel data models: Theory and application (replication...
This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being... -
Indirect inference with time series observed with error (replication data)
We propose the indirect inference estimator as a consistent method to estimate the parameters of a structural model when the observed series are contaminated by measurement... -
Testing the rationality of expectations of qualitative outcomes (replication ...
This article provides an adequate statistic for testing the rationality of point predictions of categorical outcomes under a subjective median or mode assumption. The test... -
National natural rates of interest and the single monetary policy in the euro...
We estimate time-varying national natural real rates of interest (r?) for the four largest economies of the euro area over 1999-2016. We further derive the associated national... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the... -
What are the macroeconomic effects of high‐frequency uncertainty shocks? (rep...
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables representative of the US economy. Rather than estimating... -
Exact computation of GMM estimators for instrumental variable quantile regres...
We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a... -
Genetic distance, trade, and the diffusion of development (replication data)
The determinants of countries' long-term income differences feature prominently in the literature. Spolaore and Wacziarg (The diffusion of development, Quarterly Journal of...
