-
Comparing predictive accuracy in small samples using fixed‐smoothing asymptot...
We consider fixed-smoothing asymptotics for the Diebold and Mariano (Journal of Business and Economic Statistics, 1995, 13(3), 253-263) test of predictive accuracy. We show that... -
Exchange rate predictability and dynamic Bayesian learning (replication data)
We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive... -
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... -
Towards causal estimates of children's time allocation on skill development (...
In this paper we examine how children's time allocation affects their accumulation of cognitive skill. Children's time allocation is endogenous in a model of skill production... -
Catching up to girls: Understanding the gender imbalance in educational attai...
We estimate a sequential model of schooling to assess the major contributing factors to the large gender imbalance in educational attainment within racial groups. First, we find... -
Cyclicality in losses on bank loans (replication data)
Based on unique data we show that macro variables, the default rate and loss given default of bank loans share common cyclical components. The innovation in our model is the... -
Information shocks and the empirical evaluation of training programs during u...
We study the role of notifications in the evaluation of training programs for unemployed workers. Using a unique administrative data set containing the dates when information is... -
Exact computation of GMM estimators for instrumental variable quantile regres...
We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a... -
Bayesian model comparison for time‐varying parameter VARs with stochastic vol...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC)... -
Intergenerational mobility: New evidence from consumption data (replication d...
The intergenerational persistence of consumption describes the extent to which children inherit the living standards of their parents. Evidence on this parameter is scarce due... -
Genetic distance, trade, and the diffusion of development (replication data)
The determinants of countries' long-term income differences feature prominently in the literature. Spolaore and Wacziarg (The diffusion of development, Quarterly Journal of... -
A kink that makes you sick: The effect of sick pay on absence (replication data)
We exploit a regression kink design to estimate the elasticity of the duration of sickness absence with respect to replacement rate. Elasticity is a central parameter in... -
Private debt overhang and the government spending multiplier: Evidence for th...
Using state-dependent local projections and historical US data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In... -
Using a Structural-Form Model to Analyze the Impact of Home Ownership on Unem...
It is often found that the impact of home ownership on the hazard rate for leaving unemployment is positive, indicating that home ownership helps workers to leave unemployment...
