-
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION (replication data)
In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly... -
A MOMENT-MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY...
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional... -
CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS (repl...
Decision makers often observe point forecasts of the same variable computed, for instance, by commercial banks, IMF and the World Bank, but the econometric models used by such... -
FORECASTING DISCONNECTED EXCHANGE RATES (replication data)
The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper... -
MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING ...
Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research... -
A TIP OF THE ICEBERG? THE PROBABILITY OF CATCHING CARTELS (replication data)
Reliable estimates of crime detection probabilities could help in designing better sanctions and improve our understanding of the efficiency of law enforcement. For cartels, we... -
MULTIPLE TESTING AND HETEROGENEOUS TREATMENT EFFECTS: RE-EVALUATING THE EFFEC...
The effect of a program or treatment may vary according to observed characteristics. In such a setting, it may not only be of interest to determine whether the program or... -
ROUNDING, FOCAL POINT ANSWERS AND NONRESPONSE TO SUBJECTIVE PROBABILITY QUEST...
We develop a panel data model explaining answers to subjective probabilities about binary events and estimate it using data from the Health and Retirement Study on six such... -
APPLYING BETA-TYPE SIZE DISTRIBUTIONS TO HEALTHCARE COST REGRESSIONS (replica...
This paper extends the literature on modelling healthcare cost data by applying the generalised beta of the second kind (GB2) distribution to English hospital inpatient cost... -
WHO BENEFITS FROM JOB CORPS? A DISTRIBUTIONAL ANALYSIS OF AN ACTIVE LABOR MAR...
Using recently developed econometric techniques to estimate quantile treatment effects (QTE) and experimental data, we examine the impact of Job Corps on earnings distribution.... -
ESTIMATING PERSON-CENTERED TREATMENT (PeT) EFFECTS USING INSTRUMENTAL VARIABL...
This paper builds on the methods of local instrumental variables developed by Heckman and Vytlacil (1999, 2001, 2005) to estimate person-centered treatment (PeT) effects that... -
ESTIMATION OF CENSORED PANEL-DATA MODELS WITH SLOPE HETEROGENEITY (replicatio...
This paper considers estimation of censored panel-data models with individual-specific slope heterogeneity. The slope heterogeneity may be random (random slopes model) or... -
UNCOVERING THE COMMON RISK-FREE RATE IN THE EUROPEAN MONETARY UNION (replicat...
We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits... -
IS ECONOMIC RECOVERY A MYTH? ROBUST ESTIMATION OF IMPULSE RESPONSES (replicat...
We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to... -
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK ...
Sign restrictions have become increasingly popular for identifying shocks in structural vector autoregressive (SVAR) models. So far there are no techniques for validating the... -
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUD...
We develop a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to flow... -
STRATEGIC ASSET ALLOCATION FOR LONG-TERM INVESTORS: PARAMETER UNCERTAINTY AND...
We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative... -
THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL...
We examine aggregate consumption growth predictability. We derive a dynamic consumption equation which encompasses relevant predictability factors: habit formation,... -
MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO ...
Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a... -
TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS (replication data)
This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong...
