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Combining density forecasts using focused scoring rules (replication data)
We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual... -
Economies of diversification in the US credit union sector (replication data)
Significant scale economies have been recently cited to rationalize a dramatic growth in the US retail credit union sector over the past few decades. In this paper, we explore... -
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... -
Doubly robust uniform confidence band for the conditional average treatment e...
In this paper, we propose a doubly robust method to estimate the heterogeneity of the average treatment effect with respect to observed covariates of interest. We consider a... -
Loss functions for predicted click-through rates in auctions for online adver...
We characterize the optimal loss functions for predicted click-through rates in auctions for online advertising. Whereas standard loss functions such as mean squared error or... -
An endogenously clustered factor approach to international business cycles (r...
Factor models have become useful tools for studying international business cycles. Block factor models can be especially useful as the zero restrictions on the loadings of some... -
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 Bayesian VARMAs with time‐varying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general... -
A discrete-choice model for large heterogeneous panels with interactive fixed...
What is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5610 issuances by US firms... -
Estimating the economic costs of organized crime by synthetic control methods...
The economic costs of organized crime have been estimated for the case of southern Italy by Pinotti (Economic Journal 2015; 125, F203?F232, 2015): using synthetic control... -
Fat tails and spurious estimation of consumption-based asset pricing models (...
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails... -
Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Real exchange rate persistence and the excess return puzzle: The case of Swit...
The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation... -
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... -
Model selection with estimated factors and idiosyncratic components (replicat...
This paper provides consistent information criteria for the selection of forecasting models that use a subset of both the idiosyncratic and common factor components of a big... -
Dynamic spatial autoregressive models with autoregressive and heteroskedastic...
We propose a new class of models specifically tailored for spatiotemporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and... -
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... -
The cycle of violence in the Second Intifada: Causality in nonlinear vector a...
We contest Jaeger and Paserman's claim (Jaeger and Paserman , 2008. The cycle of violence? An empirical analysis of fatalities in the Palestinian-Israeli conflict. American... -
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... -
Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal...
