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Panel unit root tests and spatial dependence (replication data)
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there... -
Estimation and comparison of treasury auction formats when bidders are asymme...
The structural parameters of a share-auction model accounting for asymmetries across bidders, as well as supply uncertainty, are estimated with a sample of French Treasury... -
Generalized long memory processes, failure of cointegration tests and exchang...
This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the... -
Estimating and predicting multivariate volatility thresholds in global stock ...
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several... -
Convergence in European GDP series: a multivariate common converging trend–cy...
Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved... -
Bayesian inference for the mover-stayer model in continuous time with an appl...
This paper presents Bayesian inference procedures for the continuous time mover-stayer model applied to labour market transition data collected in discrete time. These methods... -
Labour market institutions and employment in France (replication data)
The purpose of this paper is to use individual data to study how the minimum wage and the welfare system combine to affect employment in France. Using the 1997 Labour Force... -
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... -
Real-time pricing of electricity for residential customers: Econometric analy...
Under real-time pricing, a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs, and announces this...
