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Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Permanent vs transitory components and economic fundamentals (replication data)
Any non-stationary series can be decomposed into permanent (or trend) and transitory (or cycle) components. Typically some atheoretic pre-filtering procedure is applied to... -
The age profile of mobility measures: an application to earnings in West Germ...
This paper develops a technique for estimating age-profiles of earnings mobility using conditional kernel density estimation and establishes their statistical properties. Both... -
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the...
