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An empirical analysis of alternative parametric ARCH models (replication data)
This paper presents empirical evidence on the effectiveness of eight different parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a... -
Stochastic volatility models: conditional normality versus heavy-tailed distr...
Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility... -
Business cycle non-linearities in UK consumption and production (replication ...
This paper develops non-linear smooth transition autoregressive (STAR) models with two additive smooth transition components to capture the business cycle characteristics of UK... -
US deficit sustainability: a new approach based on multiple endogenous breaks...
Recent empirical work has questioned the consistency of US fiscal policy with an intertemporal budget constraint. Empirical results have tended to indicate that the deficit... -
Asymptotically perfect and relative convergence of productivity (replication ...
In this paper we examine the extent to which countries are converging in per capita productivity levels. We propose to use cluster analysis in order to allow for the endogenous... -
Posterior odds comparison of a symmetric low-price, sealed-bid auction within...
I attempt to decide, using the posterior odds ratio, whether the symmetric common-value paradigm or the symmetric independent-private-values paradigm is a more probable... -
Conducting inference in semiparametric duration models under inequality restr...
Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by... -
Adaptive estimation of cointegrated models: simulation evidence and an applic...
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically... -
Identifying interdependent behaviour in an empirical model of labour supply (...
In this paper we test a particular form of interdependent behaviour, namely the hypothesis that individuals' choices of hours of work are influenced by the average hours of work... -
Testing for ARCH in the presence of additive outliers (replication data)
In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the... -
Numerical distribution functions of likelihood ratio tests for cointegration ...
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for... -
Non-linearities in cross-country growth regressions: a semiparametric approac...
In this paper we employ an additive semiparametric partially linear model to uncover the way that initial output and schooling levels affect growth rates. Our results based on... -
Exchange rate target zone models: a Bayesian evaluation (replication data)
This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation... -
Exchange rates and monetary fundamentals: what do we learn from long-horizon ...
The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange... -
Learning and decision costs in one-person games (replication data)
This paper reports the results of a two-part data analysis of learning in a repeated costly decision experiment. In the first part we test payoff dominance under the hypothesis... -
Labour supply in Italy: an empirical analysis of joint household decisions, w...
This study applies an econometric framework which allows for complex non-convex budget sets, highly non-linear labour supply curves and imperfect markets with institutional... -
Common cycles in seasonal non-stationary time series (replication data)
This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present... -
Estimation in large and disaggregated demand systems: an estimator for condit...
Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of... -
The error structure of time series cross-section hedonic models with sporadic...
When estimating hedonic models of housing prices, the use of time series cross-section repeat sales data can provide improvements in estimator efficiency and correct for... -
Estimating the LQAC model with I(2) variables (replication data)
This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2)...
