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Human Capital Spillovers and Regional Development (replication data)
This paper introduces technological interdependence into the theoretical framework of Gennaioli et al. (Quarterly Journal of Economics 2013; 128: 105-164). This extension leads... -
Textual Analysis in Real Estate (replication data)
This paper incorporates text data from MLS listings into a hedonic pricing model. We show that the comments section of the MLS, which is populated by real estate agents who... -
Dynamic Panel Data Models With Irregular Spacing: With an Application to Earl...
With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well... -
Out-of-Sample Return Predictability: A Quantile Combination Approach (replica...
This paper develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed... -
MM Algorithm for General Mixed Multinomial Logit Models (replication data)
This paper develops a new technique for estimating mixed logit models with a simple minorization-maximization (MM) algorithm. The algorithm requires minimal coding and is easy... -
Estimating the Competitive Storage Model with Trending Commodity Prices (repl...
We present a method to estimate jointly the parameters of a standard commodity storage model and the parameters characterizing the trend in commodity prices. This procedure... -
Loan Supply Shocks and the Business Cycle (replication data)
This paper provides empirical evidence on the role played by loan supply shocks over the business cycle in the euro area, the UK and the USA from 1980 to 2011 by estimating... -
On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in...
This paper investigates whether there is time variation in the excess sensitivity of aggregate consumption growth to anticipated aggregate disposable income growth using... -
Granger Causality and Regime Inference in Markov Switching VAR Models with Ba...
In this paper, we derive restrictions for Granger noncausality in MS-VAR models and show under what conditions a variable does not affect the forecast of the hidden Markov... -
Narrow Replication of Fisman and Miguel's (2007a) ‘Corruption, Norms, and Leg...
This note provides a narrow replication of Fisman and Miguel's (Journal of Political Economy, 2007a; 115(6): 1020-1048) original findings about estimating negative binomial... -
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations... -
Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Applic...
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854-871) are contingent on the specification of the model. The use of... -
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rat...
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday... -
Maintaining (Locus of) Control? Data Combination for the Identification and I...
Factor structure models are widely used in economics to extract latent variables, such as personality traits, and to measure their impact on outcomes of interest. The... -
Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulati...
The pollution haven hypothesis (PHH) posits that production within polluting industries will shift to locations with lax environmental regulation. While straightforward, the... -
A Smooth Transition Logit Model of The Effects of Deregulation in the Electri...
This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the... -
The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model (replicati...
This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound (ZLB)... -
Estimating Bayesian Decision Problems with Heterogeneous Expertise (replicati...
We consider the recent novel two-step estimator of Iaryczower and Shum (American Economic Review 2012; 102: 202-237), who analyze voting decisions of US Supreme Court justices.... -
GMM with Multiple Missing Variables (replication data)
We consider efficient estimation in moment conditions models with non-monotonically missing-at-random (MAR) variables. A version of MAR point-identifies the parameters of... -
Narrow Replication of ‘A Spatio-Temporal Model of House Prices in the Usa’ Us...
I narrowly replicate Holly et al.'s (Journal of Econometrics 2010; 158(1): 160-173) analysis of the housing market in the USA, using the open source R software instead of the...
