-
Measuring global economic activity (replication data)
A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has... -
Estimation of a dynamic stochastic frontier model using likelihood‐based appr...
This paper considers a panel stochastic production frontier model that allows the dynamic adjustment of technical inefficiency. In particular, we assume that inefficiency... -
The effect of oil supply shocks on US economic activity: What have we learned...
Estimated responses of real oil prices and US gross domestic product (GDP) to oil supply disruptions vary widely. We show that most variation is attributable to differences in... -
Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a... -
Interval censored regression with fixed effects (replication data)
This paper considers identification and estimation of a fixed-effects model with an interval-censored dependent variable. In each time period, the researcher observes the... -
Refining the workhorse oil market model (replication data)
The Kilian and Murphy (Journal of Applied Econometrics, 2014, 29, 454-478) structural vector autoregressive model has become the workhorse model for the analysis of oil markets.... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
The next hundred years of growth and convergence (replication data)
World gross domestic product per capita is forecast to grow at 2.6% annually over the next 100 years. Convergence of less-developed countries toward output levels of the world... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Interpreting shocks to the relative price of investment with a two‐sector mod...
Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on... -
Analyzing credit risk transmission to the nonfinancial sector in Europe: A ne...
We use a factor model and elastic net shrinkage to model a high-dimensional network of European credit default swap (CDS) spreads. Our empirical approach allows us to assess the... -
Introducing the Bank of Canada staff economic projections database (replicati...
We present a new, publicly available database of real-time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We... -
Endogenous censoring in the mixed proportional hazard model with an applicati...
We examine the sensitivity of estimates of the MPH model with respect to assumptions on the censoring mechanism in the context of an economic model of optimal unemployment... -
Extreme returns and intensity of trading (replication data)
Asymmetric information models of market microstructure claim that variables such as trading intensity are proxies for latent information on the value of financial assets. We... -
Macroeconomic forecast accuracy in a data‐rich environment (replication data)
The performance of six classes of models in forecasting different types of economic series is evaluated in an extensive pseudo out-of-sample exercise. One of these forecasting... -
Large time‐varying parameter VARs: A nonparametric approach (replication data)
In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic... -
Likelihood evaluation of models with occasionally binding constraints (replic...
Applied researchers interested in estimating key parameters of dynamic stochastic general equilibrium models face an array of choices regarding numerical solution and estimation... -
Measurement error in discrete health facility choice models: An example from ...
We use individual-level health facility choice data from urban Senegal to estimate consumer preferences for facility characteristics related to maternal health services. We find... -
Decomposing the effects of monetary policy using an external instruments SVAR...
We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward... -
Hidden group patterns in democracy developments: Bayesian inference for group...
We propose a nonparametric Bayesian approach to estimate time-varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme...
