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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... -
Stock market expectations of Dutch households (replication data)
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other... -
Stock Market Crash and Expectations of American Households (replication data)
This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market... -
Health and work of the elderly: subjective health measures, reporting errors ...
This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously... -
A discrete-choice model with social interactions: with an application to high...
We develop an empirical discrete-choice interaction model with a finite number of agents. We characterize its equilibrium properties-in particular the correspondence between... -
Deriving target selection rules from endogenously selected samples (replicati...
The selection of the most profitable customers in a customer database for targeted activities is often done based on observed behaviour in the past. Consequently, databases... -
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... -
Precautionary motives and portfolio decisions (replication data)
This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households'... -
The relation between wealth and labour market transitions: an empirical study...
We study the relationship between wealth and labour market transitions. A lifecycle model, in which individuals are faced by uncertainty about the availability of jobs, serves... -
Testing the predictive value of subjective labour supply data (replication data)
Empirical implementation of labour supply theories is usually based on actual hours of work. This requires strong assumptions on the impact of labour demand. To avoid these... -
Interdependent preferences: an econometric analysis (replication data)
The theoretical model of Gaertner (1974) and Pollak (1976) for the interdependence of preferences in the Linear Expenditure System is estimated for a cross-section of... -
Parametric and semi-parametric modelling of vacation expenditures (replicatio...
We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero...
