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A cross‐section average‐based principal components approach for fixed‐T panel...
Because of the increased availability of large panel data sets, common factor models have become very popular. The workhorse of the literature is the principal components (PC)... -
Negative interest rate policy and the yield curve (replication data)
We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the... -
Does drawing down the US Strategic Petroleum Reserve help stabilize oil price...
We study the effects of releases from the US Strategic Petroleum Reserve (SPR) within the context of fully specified models of the global oil market that explicitly allow for... -
Replicating the Levitt and Porter estimates of drunk driving (replication data)
Estimates of the prevalence and risk of drinking-and-driving are a high-priority need for researchers and policymakers. Levitt and Porter (Journal of Political Economy, 2001,... -
Differencing versus nondifferencing in factor‐based forecasting (replication ...
This paper studies performance of factor-based forecasts using differenced and nondifferenced data. Approximate variances of forecasting errors from the two forecasts are... -
Composite likelihood methods for large Bayesian VARs with stochastic volatili...
Adding multivariate stochastic volatility of a flexible form to large vector autoregressions (VARs) involving over 100 variables has proved challenging owing to computational... -
The role of startups for local labor markets (replication data)
There are substantial differences in startup activity across US local labor markets. We study the causes and consequences of these differences. Startup productivity shocks are... -
Change point estimation in panel data with time‐varying individual effects (r...
Existing panel data methods remove unobserved individual effects before change point estimation through data transformations such as first-differencing. In this paper, we show... -
Forecasting stock returns with model uncertainty and parameter instability (r...
We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm... -
Predicting interest rates using shrinkage methods, real‐time diffusion indexe...
In the context of predicting the term structure of interest rates, we explore the marginal predictive content of real-time macroeconomic diffusion indexes extracted from a data... -
Comparing econometric methods to empirically evaluate activation programs for...
We test whether different identification strategies give similar results when evaluating activation programs. Budgetary problems at the Dutch unemployment insurance (UI)... -
Multidimensional skills and the returns to schooling: Evidence from an intera...
This paper presents new evidence on returns to schooling based on an interactive fixed-effects framework that allows for multiple unobserved skills with potentially time-varying... -
Is deflation costly after all? The perils of erroneous historical classificat...
I estimate average economic activity during periods of inflation and deflation while accounting for measurement errors in 19th century prices. These measurement errors lead to... -
Endogeneity and non‐response bias in treatment evaluation – nonparametric ide...
This paper proposes a nonparametric method for evaluating treatment effects in the presence of both treatment endogeneity and attrition/non-response bias, based on two... -
Family planning in a life‐cycle model with income risk (replication data)
Several US states have recently restricted the access to abortions. We study fertility intentions and how family planning and abortions are used as mechanisms to control... -
A distributional synthetic control method for policy evaluation (replication ...
We extend the synthetic control method to evaluate the distributional effects of policy intervention in the possible presence of poor matching. The counterfactuals (or... -
Model simplification and variable selection: A replication of the UK inflatio...
In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics, 2001, 16, 255-275. We replicate the results in a narrow sense using the... -
Estimation of firm‐level productivity in the presence of exports: Evidence fr...
Motivated by the long-standing interest of economists in understanding the nexus between firm productivity and export behavior, this paper develops a novel structural framework... -
Prediction regions for interval‐valued time series (replication data)
We approximate probabilistic forecasts for interval-valued time series by offering alternative approaches. After fitting a possibly non-Gaussian bivariate vector autoregression... -
Complementary Bayesian method of moments strategies (replication data)
Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a...
