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Cannabis use and mental health problems (replication data)
This paper investigates whether cannabis use leads to worse mental health. To do so, we account for common unobserved factors affecting mental health and cannabis consumption by... -
The effect of location on finding a job in the Paris region (replication data)
Do spatial differences in unemployment duration reflect residential sorting or a true local effect? Focusing on the 1300 municipalities of the Paris region, we apply a... -
Assessing the temporal variation of macroeconomic forecasts by a panel of cha...
This paper calls attention to the problem of changing panel composition in surveys of forecasters and documents the problem in the Survey of Professional Forecasters. To study... -
Estimating the effect of a gasoline tax on carbon emissions (replication data)
Recently the proposal has been made to raise gasoline taxes in the United States to curb carbon emissions. The existing literature on the sensitivity of gasoline consumption to... -
Competition in large markets (replication data)
This paper evaluates the simplifying assumption that producers compete in a large market without substantial strategic interactions using nonparametric regressions of producers'... -
Climbing the drug staircase: a Bayesian analysis of the initiation of hard dr...
Since empirical studies have shown that cannabis users are much more likely to initiate hard drug use, a causal linkage has been suggested (?gateway hypothesis?). However,... -
Factor analysis of permanent and transitory dynamics of the US economy and th...
We analyze dynamics of the permanent and transitory components of the US economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture... -
Evaluating density forecasts: forecast combinations, model mixtures, calibrat...
This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of sharpness. This was motivated... -
Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Stocks, bonds, money markets and exchange rates: measuring international fina...
Understanding the complexity of the financial transmission process across various assets-domestically as well as within and across asset classes-requires the simultaneous... -
How different is Africa? A comment on Masanjala and Papageorgiou (replication...
Masanjala and Papageorgiou (Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging, Journal of Applied... -
Modelling and forecasting multivariate realized volatility (replication data)
This paper proposes a methodology for dynamic modelling and forecasting of realized covariance matrices based on fractionally integrated processes. The approach allows for... -
Modeling and forecasting short-term interest rates: The benefits of smooth re...
In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is... -
A comparison of treatment effects estimators using a structural model of AMI ...
We compare the performance of various matching estimators using a novel approach that is feasible in the absence of experimental data. We estimate a structural model of hospital... -
Non-parametric bounds on quantiles under monotonicity assumptions: with an ap...
Within the inferential context of predicting a distribution of potential outcomes P[y(t)] under a uniform treatment assignment t ∈ T, this paper deals with partial... -
Simulation-based tests of forward-looking models under VAR learning dynamics ...
In this paper we propose a simulation-based technique to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when... -
Forecasting large datasets with Bayesian reduced rank multivariate models (re...
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and... -
Conditional Markov chain and its application in economic time series analysis...
Motivated by the great moderation in major US macroeconomic time series, we formulate the regime switching problem through a conditional Markov chain. We model the long-run... -
Biases in approximating log production (replication data)
Most empirical work in economic growth assumes either a Cobb-Douglas production function expressed in logs or a log-approximated constant elasticity of substitution... -
Job and wage mobility with minimum wages and imperfect compliance (replicatio...
We propose a job search model with minimum wage regulations and imperfect compliance to explain the doubling of the mean and variance of hourly earnings of white males during...
