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Optimal Control of Heteroscedastic Macroeconomic Models (replication data)
This paper analyses the implications of heteroscedasticity for optimal macroeconomic policy and welfare. We find that changes in the variance structure driven by exogenous... -
Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Ma...
An article by Chan et al. (2013) published in the Journal of Business and Economic Statistics introduces a new model for trend inflation. They allow the trend inflation to... -
A Cost System Approach to the Stochastic Directional Technology Distance Func...
This paper offers a methodology to address the endogeneity of inputs in the directional technology distance function (DTDF)-based formulation of banking technology which... -
Forecasting Consumption: the Role of Consumer Confidence in Real Time with ma...
We study the role of consumer confidence in forecasting real personal consumption expenditure, and contribute to the extant literature in three substantive ways. First, we... -
Nonlinear Granger Causality: Guidelines for Multivariate Analysis (replicatio...
We propose an extension of the bivariate nonparametric Diks-Panchenko Granger non-causality test to multivariate settings. We first show that the asymptotic theory for the... -
Combining Time Variation and Mixed Frequencies: an Analysis of Government Spe...
In this paper, we propose a time-varying parameter vector autoregression (VAR) model with stochastic volatility which allows for estimation on data sampled at different... -
Outlier-Robust Bayesian Multinomial Choice Modeling (replication data)
A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives... -
On the Importance of Sectoral and Regional Shocks for Price-Setting (replicat...
We use novel disaggregate sectoral-regional euro-area data to investigate the sources of price changes, introducing a new method to extract factors from overlapping data blocks... -
Accounting for the Political Uncertainty Factor (replication data)
We build our analysis upon previous work by Bloom et al. (Measuring the Effect of Political Uncertainty. Working Paper, Stanford University, 2012) and Baker et al. (Political... -
Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effe...
In their influential work Grier et al.(The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics 2004; 19: 551-565) examine the... -
Panicca: Panic on Cross-Section Averages (replication data)
The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22:... -
Estimating Health Demand for an Aging Population: A Flexible and Robust Bayes...
We analyse two frequently used measures of the demand for health-hospital visits and out-of-pocket health care expenditure-which have been analysed separately in the existing... -
Effect of Online Dating on Assortative Mating: Evidence from South Korea (rep...
Online dating services have increased in popularity around the world, but a lack of quality data hinders our understanding of their role in family formation. This paper studies... -
Modelling Hospital Admission and Length of Stay by Means of Generalised Count...
For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual... -
Error Correction Testing in Panels with Common Stochastic Trends (replication...
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a ...
Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation.... -
Reassessing the Relative Power of the Yield Spread in Forecasting Recessions ...
In this paper, we replicate the main results of previous research showing that the use of the yield spread in a probit model can predict recessions better than the Survey of... -
Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Sc...
This paper is concerned with the use of a Bayesian approach to fuzzy regression discontinuity (RD) designs for understanding the returns to education. The discussion is... -
Daily House Price Indices: Construction, Modeling, and Longer-run Predictions...
We construct daily house price indices for 10 major US metropolitan areas. Our calculations are based on a comprehensive database of several million residential property...
