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Bayesian parametric and semiparametric factor models for large realized covar...
This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood-based estimation. Parametric and nonparametric... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Comovements and asymmetric tail dependence in state housing prices in the USA...
We reexamine the methods used in estimating comovements among US regional home prices and find that there are insufficient moments to ensure a normal limit necessary for... -
Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that... -
Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that... -
Tests of asset pricing with time‐varying factor loads (replication data)
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and... -
Bubbles and crises: Replicating the Anundsen et al. (2016) results (replicati...
This paper both narrowly and widely replicates the results of Anundsen et al. (Journal of Applied Econometrics, 2016, 31(7), 1291-1311). I am able to reproduce the same results... -
Mixed‐frequency models with moving‐average components (replication data)
Temporal aggregation in general introduces a moving-average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are... -
Monetary policy, housing rents, and inflation dynamics (replication data)
In this paper we study the effect of monetary policy shocks on housing rents. Our main finding is that, in contrast to house prices, housing rents increase in response to... -
The demand for season of birth (replication data)
We study the determinants of season of birth for married women aged 20-45 in the USA, using birth certificate and Census data. We also elicit the willingness to pay for season... -
Testing for time variation in the natural rate of interest (replication data)
This paper replicates in a wider sense the unobserved components model of Laubach and Williams (Review of Economics and Statistics, 2003, 85, 1063-1070) to estimate the natural... -
Heterogeneity in risk aversion and risk sharing regressions (replication data)
Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that,... -
The response of asset prices to monetary policy shocks: Stronger than thought...
Standard macroeconomic theory predicts rapid responses of asset prices to monetary policy shocks. Small-scale vector autoregressions (VARs), however, often find sluggish and... -
Controlling for ability using test scores (replication data)
This paper proposes a semiparametric method to control for ability using standardized test scores, or other item response assessments, in a regression model. The proposed method... -
The signal quality of grades across academic fields (replication data)
I use transcript data from Duke University and a correlated learning model to measure the signal quality of grades across academic fields. I find science, engineering, and... -
Ethnic capital and intergenerational transmission of educational attainment (...
This paper studies the role of ethnicity in the intergenerational transmission of educational attainment within the framework outlined by Borjas (Quarterly Journal of Economics,... -
Sibling spillover effects in school achievement (replication data)
This paper provides empirical evidence on sibling spillover effects in school achievement using administrative data on 230,000 siblings in England. We extend previous strategies... -
Estimation of linear dynamic panel data models with time‐invariant regressors...
We present a sequential approach to estimating a dynamic Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the... -
A robust approach to estimating production functions: Replication of the ACF ...
We study Ackerberg, Caves, and Frazer's (Econometrica, 2015, 83, 2411-2451; hereafter ACF) production function estimation method using Monte Carlo simulations. First, we... -
Panel parametric, semiparametric, and nonparametric construction of counterfa...
We consider panel parametric, semiparametric and nonparametric methods of constructing counterfactuals. We show through extensive simulations that no method is able to dominate...
