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On nonparametric estimation of a hedonic price function (replication data)
Recently, using mixed data on Canadian housing, Parmeter, Henderson, and Kumbhakar (Journal of Applied Econometrics 2007; 22: 695-699) found that a nonparametric approach for... -
The performance of heteroskedasticity and autocorrelation robust tests: a Mon...
This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and... -
A unified approach to standardized-residuals-based correlation tests for GARC...
In this paper, we propose a unified approach to generating standardized-residuals-based correlation tests for checking GARCH-type models. This approach is valid in the presence... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
Testing chaotic dynamics via Lyapunov exponents (replication data)
We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in... -
Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Comparing shocks and frictions in US and euro area business cycles: a Bayesia...
This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural... -
Monitoring structural change in dynamic econometric models (replication data)
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of... -
A general test for time dependence in parameters (replication data)
A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the... -
Making inferences about the polarization, welfare and poverty of nations: a s...
Stochastic Dominance techniques are adapted and employed to study the extent and progress of Polarization, Welfare and Poverty of 101 nations over the period 1970-1995. The... -
Poverty comparisons with dependent samples (replication data)
Standard inference procedures for poverty comparisons require samples to be independent. For many commonly used income samples, however, this requirement is not fulfilled since... -
Do dropouts suffer from dropping out? Estimation and prediction of outcome ga...
In this paper we describe methods for predicting distributions of outcome gains in the framework of a latent variable selection model. We describe such procedures for Student-t... -
Mixed signals among tests for cointegration (replication data)
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e., ADF or ) with a... -
Testing long-run PPP with infinite-variance returns (replication data)
This paper investigates the long-run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy-tailed stochastic processes. More... -
Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte C...
We use recent statistical tests, based on a distance between the model and the Hansen-Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models... -
Asymptotically perfect and relative convergence of productivity (replication ...
In this paper we examine the extent to which countries are converging in per capita productivity levels. We propose to use cluster analysis in order to allow for the endogenous... -
Testing for ARCH in the presence of additive outliers (replication data)
In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the... -
Numerical distribution functions of likelihood ratio tests for cointegration ...
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for...
