-
A non-linear filtering approach to stochastic volatility models with an appli...
This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact... -
Detecting periodically collapsing bubbles: a Markov-switching unit root test ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset... -
A Monte Carlo study of the forecasting performance of empirical SETAR models ...
In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the... -
Small sample properties of LIML and jackknife IV estimators: experiments with...
Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We find... -
Jackknife instrumental variables estimation (replication data)
Two-stage-least-squares (2SLS) estimates are biased towards the probability limit of OLS estimates. This bias grows with the degree of over-identification and can generate... -
Causal ordering and ‘The bank lending channel’ (replication data)
The bank lending channel implies the Federal Reserve can influence real income by controlling the level of intermediated loans. Using the notion of causality developed by Simon... -
A general dependence test and applications (replication data)
We describe a test, based on the correlation integral, for the independence of a variable and a vector that can be used with serially dependent data. Monte Carlo simulations... -
Intertemporal substitution in import demand and habit formation (replication ...
To study non-durable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a two-good version of the lifecycle model in which we... -
Optimal univariate inflation forecasting with symmetric stable shocks (replic...
Monthly inflation in the United States indicates non-normality in the form of either occasional big shocks or marked changes in the level of the series. We develop a univariate... -
Ethnic wage differences in Malaysia: parametric and semiparametric estimation...
Parametric and semiparametric estimated wage equations, which correct for sample selection bias, are used to assess the returns to eduction and extent of ethnic discrimination... -
A comparison of parametric and semiparametric estimates of the effect of spou...
Health insurance in the USA for most of the non-aged population is provided as a fringe benefit that is received by an adult family member as part of his or her compensation... -
Individual demands from household aggregates: time and age variation in the c...
This paper uses non-parametric regression with smoothness induced by imposition of a roughness penalty to estimate time-dependent relationships between age and intakes of... -
Semiparametric estimation and consumer demand (replication data)
This paper considers the implementation of semiparametric methods in the empirical analysis of consumer demand. The application is to the estimation of the Engel curve... -
The age profile of mobility measures: an application to earnings in West Germ...
This paper develops a technique for estimating age-profiles of earnings mobility using conditional kernel density estimation and establishes their statistical properties. Both... -
Robustness tests of the augmented Solow model (replication data)
This paper demonstrates some techniques for testing the robustness of cross-section and panel data regressions, and applies them to the influential augmented Solow growth model.... -
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the... -
Stylized facts of daily return series and the hidden Markov model (replicatio...
In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of... -
Substitution, risk aversion, taste shocks and equity premia (replication data)
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption,... -
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-...
