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Private debt overhang and the government spending multiplier: Evidence for th...
Using state-dependent local projections and historical US data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In... -
Measuring the diffusion of housing prices across space and over time: Replica...
Brady (Journal of Applied Econometrics, 2011, 26(2), 213-231) studies how fast and how long a change in housing prices in one region affects its neighbors by estimating the... -
Policy uncertainty and aggregate fluctuations (replication data)
This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt, and (iv) monetary policy.... -
Time series copulas for heteroskedastic data (replication data)
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first-order Markov series, and then extend them to... -
Increasing the credibility of the twin birth instrument (replication data)
Twin births are an important instrument for the endogenous fertility decision. However, twin births are not exogenous either as dizygotic twinning is correlated with maternal... -
Identification issues in the public/private wage gap, with an application to ...
This paper reviews some of the standard assumptions that are imposed in order to estimate the average public/private wage gap and that are mainly related to the possible... -
A generalized focused information criterion for GMM (replication data)
This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than... -
Realized extreme quantile: A joint model for conditional quantiles and measur...
We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile... -
Normalized CES supply systems: Replication of Klump, McAdam, and Willman (200...
The analysis of Klump, McAdam, and Willman (Review of Economics and Statistics, 2007, 89, 183-192) is replicated using alternative software. Their results are verified... -
Business, housing, and credit cycles (replication data)
We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the... -
Do contractionary monetary policy shocks expand shadow banking? (replication ...
Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the... -
The evolution of scale economies in US banking (replication data)
Continued consolidation of the US banking industry and a general increase in the size of banks have prompted some policymakers to consider policies that discourage banks from... -
Decomposing economic mobility transition matrices (replication data)
We present a decomposition method for transition matrices to identify forces driving the persistence of economic status across generations. The method decomposes differences... -
Predicting crude oil prices: Replication of the empirical results in “What do...
In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian (Journal of Applied Econometrics, 2010, 25(4),... -
Weak-instrument robust inference for two-sample instrumental variables regres...
Instrumental variable (IV) methods for regression are well established. More recently, methods have been developed for statistical inference when the instruments are weakly... -
Unobserved selection heterogeneity and the gender wage gap (replication data)
Selection correction methods usually make assumptions about selection itself. In the case of gender wage gap estimation, those assumptions are especially tenuous because of high... -
Doubly robust uniform confidence band for the conditional average treatment e...
In this paper, we propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a... -
Nonparametric methods and local-time-based estimation for dynamic power law d...
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature... -
Fat tails and spurious estimation of consumption-based asset pricing models (...
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails... -
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance...
