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SMOOTH QUANTILE-BASED MODELING OF BRAND SALES, PRICE AND PROMOTIONAL EFFECTS ...
Semiparametric quantile regression is employed to flexibly estimate sales response for frequently purchased consumer goods. Using retail store-level data, we compare the... -
WHO REALLY WANTS TO BE A MILLIONAIRE? ESTIMATES OF RISK AVERSION FROM GAMESHO...
This paper estimates the degree of risk aversion from one of the most popular TV gameshows ever. The format of the show is straightforward; it involves no strategic decision... -
SEMI-PARAMETRIC ESTIMATION OF PROGRAM IMPACTS ON DISPERSION OF POTENTIAL WAGE...
We propose the use of instrumental variables and pairwise matching to identify the average treatment effect on variance in potential outcomes. We show that identifying and... -
Estimation of Treatment Effects without an Exclusion Restriction: with an App...
The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP)... -
Multivariate high-frequency-based volatility (HEAVY) models (replication data)
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Compensatory inter vivos gifts (replication data)
Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the... -
Semiparametric Bayesian inference for dynamic Tobit panel data models with un...
This paper develops semiparametric Bayesian methods for inference of dynamic Tobit panel data models. Our approach requires that the conditional mean dependence of the... -
R&D and subsidies at the firm level: an application of parametric and sem...
This paper analyzes the effect of public R&D subsidies on firms' private R&D investment per employee and new product sales in German manufacturing. Parametric and... -
Identification of parameters in normal error component logit-mixture (NECLM) ...
Although the basic structure of logit-mixture models is well understood, important identification and normalization issues often get overlooked. This paper addresses issues... -
How do respondents process stated choice experiments? Attribute consideration...
The popularity of stated choice (SC) experiments has produced many design strategies in which researchers use increasingly more complex choice settings to study choice... -
The case against JIVE (replication data)
We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the jackknife instrumental variables estimator, or JIVE, with that of the... -
A structural dynamic analysis of retirement behaviour in the Netherlands (rep...
This study focuses on determinants of elderly labour force participation and retirement decisions in the Netherlands. This is analysed by a dynamic programming model for the... -
Dynamic programming model estimates of Social Security Disability Insurance a...
This paper develops a dynamic programming model of the Social Security Disability Insurance (SSDI) application timing decision. We estimate the time to application from the...
