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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... -
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... -
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... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have... -
Using OLS to Estimate and Test for Structural Changes in Models with Endogeno...
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We... -
The effect of seasonal adjustment on the properties of business cycle regimes...
We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically,... -
Is gravity linear? (replication data)
Despite the solid theoretical foundation on which the gravity model of bilateral trade is based, empirical implementation requires several assumptions which do not follow... -
Structural breaks and GARCH models of exchange rate volatility (replication d...
We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in-sample and out-of-sample tests. We find significant... -
Quantifying the supply-side benefits from forward contracting in wholesale el...
The assumption of expected profit-maximizing bidding behavior in a multi-unit, multi-period auction with step-function supply curves is used to estimate cost functions for... -
Efficiency of the California electricity reserves market (replication data)
We test the efficiency of the California electricity reserves market by examining systematic differences between its day- and hour-ahead prices. We uncover significant day-ahead... -
Sectoral adjustment of employment to shifts in outsourcing and trade: evidenc...
This paper analyzes the effects of trade and outsourcing on the transition probabilities of employment between sectors, using a dynamic multinomial logit framework with fixed... -
Exploring the international linkages of the euro area: a global VAR analysis ...
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific... -
Semiparametric estimation of lifetime equivalence scales (replication data)
Pashardes (1991) and Banks et al. (1994) use parametric methods to estimate lifetime equivalence scales. Their approaches put parametric restrictions on the differences in... -
Poverty in America 1970-1990: who did gain ground? An application of stochast...
Atkinson (1987) proposed stochastic dominance criteria for analysing poverty which, under certain conditions, establish orderings of states for any poverty line and any poverty... -
Rethinking an old empirical puzzle: econometric evidence on the forward disco...
Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new... -
Does more calculus improve student learning in intermediate micro- and macroe...
Using a selection bias correction model with ordered probit, we estimate how a second semester of calculus affects students' grades in intermediate economic theory. Selection...
