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Modes, weighted modes, and calibrated modes: evidence of clustering using mod...
We apply recent results from the statistics literature to test for multimodality of worldwide distributions of several (unweighted and population-weighted) measures of labor... -
Are output growth-rate distributions fat-tailed? some evidence from OECD coun...
This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions... -
Disaggregate evidence on the persistence of consumer price inflation (replica...
This paper uses disaggregate inflation data spanning all of consumption to examine: (i) the persistence of disaggregate inflation relative to aggregate inflation; (ii) the... -
Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Nonlinearity in the Fed's monetary policy rule (replication data)
This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that... -
Numerical distribution functions of likelihood ratio tests for cointegration ...
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for... -
Exchange rates and monetary fundamentals: what do we learn from long-horizon ...
The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange... -
Estimating time series models using the relevant cost function (replication d...
In many forecasting problems, the forecast cost function is used only in evaluating the forecasts; a second cost function is used in estimating the parameters in the model. In...
