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Does model complexity add value to asset allocation? Evidence from machine le...
This study evaluates the benefits of integrating return forecasts from a variety of machine learning and forecast combination methods into an out-of-sample asset allocation... -
(Un)expected monetary policy shocks and term premia (replication data)
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on... -
Common factors of commodity prices (replication data)
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a... -
Individual forecaster perceptions of the persistence of shocks to GDP (replic...
We analyse individual professional forecasters' beliefs concerning the persistence of GDP shocks. Despite substantial apparent heterogeneity in perceptions, with around one half... -
Estimation of average treatment effects using panel data when treatment effec...
This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity... -
Mixed causal–noncausal autoregressions with exogenous regressors (replication...
Mixed causal-noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted... -
Measuring the natural rate of interest: A note on transitory shocks (replicat...
We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian... -
Modeling the effects of grade retention in high school (replication data)
A dynamic discrete-choice model is set up to estimate the effects of grade retention in high school, both in the short run (end-of-year evaluation) and in the long run (drop-out... -
Self-employment among women: Do children matter more than we previously thoug...
This paper presents an estimation approach that addresses the problems of sample selection and endogeneity of fertility decisions when estimating the effect of young children on... -
A multilevel factor model: Identification, asymptotic theory and applications...
This paper studies a multilevel factor model with global and country factors. The global factors affect all individuals, whereas the country factors affect only those within... -
Comparing cross-country estimates of Lorenz curves using a Dirichlet distribu...
Chotikapanich and Griffiths (Journal of Business and Economic Statistics, 2002, 20(2), 290-295) introduced the Dirichlet distribution to the estimation of Lorenz curves. This... -
Income and Democracy: A Smooth Varying Coefficient Redux (replication data)
Acemoglu et al. (American Economic Review 2008; 98: 808-842) find no effect of income on democracy when controlling for fixed effects in a dynamic panel model. Work by... -
Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data (r...
Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the... -
Teacher Quality and Student Achievement: Evidence from a Sample of Dutch Twin...
This paper examines the causal link that runs from classroom quality to student achievement using data on twin pairs who entered the same school but were allocated to different... -
Tests of Predictive Ability for Vector Autoregressions Used for Conditional F...
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though... -
Flexible Estimation of Copulas: An Application to the US Housing Crisis (repl...
Zimmer (?The role of copulas in the housing crisis?, Review of Economics and Statistics 2012; 94: 607-620) provides an interesting case study of the pitfalls of using parametric... -
Identification and Estimation of Distributional Impacts of Interventions Usin...
This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are... -
Unraveling the Relationship Between Presidential Approval and the Economy: A ...
Empirical studies analyzing the determinants of US presidential popularity have delivered quite inconclusive results concerning the role of economic variables by assuming linear... -
Identification and Estimation of Engel Curves with Endogenous and Unobserved ...
When dealing with the estimation of Engel curves, measurement errors in expenditure data and simultaneity are likely sources of endogeneity. In this paper we study... -
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...
