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Towards reproducible econometric research: the Sweave framework (replication ...
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Public insurance and private savings: who is affected and by how much? (repli...
This paper employs a recently developed instrumental quantile regression method to investigate the effect of Medicaid on household savings across different wealth groups. It... -
Binary choice under social interactions: an empirical study with and without ...
This paper examines two methods of modeling binary choice with social interactions: models assuming homogeneous rational expectations and models using subjective data on... -
Estimating Euler equations with noisy data: two exact GMM estimators (replica...
In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator... -
Random Recursive Partitioning: a matching method for the estimation of the av...
In this paper we introduce the Random Recursive Partitioning (RRP) matching method. RRP generates a proximity matrix which might be useful in econometric applications like... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the... -
Efficiency and productivity of the US banking industry, 1998-2005: evidence f...
This paper provides estimates of bank efficiency and productivity in the United States, over the period from 1998 to 2005, using (for the first time) the globally flexible... -
Annual miles drive used car prices (replication data)
This paper investigates whether the net benefits from owning a vehicle, proxied by annual miles driven, explain the price declines observed over a vehicle's life. We first model... -
International output convergence: evidence from an autocorrelation function a...
This paper uses an autocorrelation function (ACF) approach to develop a new testing procedure for international output convergence. We define convergence in terms of sample ACFs... -
Hours per capita and productivity: evidence from correlated unobserved compon...
Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated... -
Market fundamentals versus rational bubbles in stock prices: a Bayesian persp...
Using Bayesian Markov chain Monte Carlo methods, we decompose the log price-dividend ratio into a market fundamentals component and a bubble component. The market fundamentals... -
Econometrics of auctions by least squares (replication data)
I investigate using the method of ordinary least squares (OLS) on auction data. I find that for parameterizations of the valuation distribution that are common in empirical... -
Estimating risk aversion from ascending and sealed-bid auctions: the case of ...
Estimating bidders' risk aversion in auctions is a challenging problem because of identification issues. This paper takes advantage of bidding data from two auction designs to... -
Multi-round procurement auctions with secret reserve prices: theory and evide...
When a secret reserve price is used in an auction, the auctioneer cannot guarantee that the good can be sold out at the auction, and can reauction the unsold objects in the next... -
Nonparametric identification and estimation of a class of common value auctio...
Structural econometric studies on auctions have mainly focused on the independent private value paradigm. In this paper, we are interested in the opposite case known as the pure... -
Approximation of Nash equilibria in Bayesian games (replication data)
We define a new concept of constrained strategic equilibrium (CSE) for Bayesian games. We show that a sequence of CSEs approximates an equilibrium under standard conditions. We... -
Semiparametric Bayesian inference for dynamic Tobit panel data models with un...
This paper develops semiparametric Bayesian methods for inference of dynamic Tobit panel data models. Our approach requires that the conditional mean dependence of the... -
The wages of BMI: Bayesian analysis of a skewed treatment-response model with...
We generalize the specifications used in previous studies of the effect of body mass index (BMI) on earnings by allowing the potentially endogenous BMI variable to enter the log... -
Efficiency externalities of trade and alternative forms of foreign investment...
The literature on the spillover effects of trade and inflows of foreign direct investment (FDI) has concentrated on technological externalities. Little effort has been directed... -
R&D and subsidies at the firm level: an application of parametric and sem...
This paper analyzes the effect of public R&D subsidies on firms' private R&D investment per employee and new product sales in German manufacturing. Parametric and...