-
Purchasing Power Parity and the Taylor Rule (replication data)
It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a... -
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... -
FACTOR ANALYSIS OF A LARGE DSGE MODEL (replication data)
We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE)... -
COMPARING ALTERNATIVE MODELS OF HETEROGENEITY IN CONSUMER CHOICE BEHAVIOR (re...
When modeling demand for differentiated products, it is vital to adequately capture consumer taste heterogeneity, But there is no clearly preferred approach. Here, we compare... -
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... -
Efficiency externalities of trade and alternative forms of foreign investment...
The literature on the spillover effects of trade and inflows of foreign direct investment (FDI) has concentrated on technological externalities. Little effort has been directed... -
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... -
Efficiency of the California electricity reserves market (replication data)
We test the efficiency of the California electricity reserves market by examining systematic differences between its day- and hour-ahead prices. We uncover significant day-ahead... -
Meta-analysis in model implementation: choice sets and the valuation of air q...
This research illustrates how the methods developed for meta-analysis can serve to document and summarize voluminous information derived from repeated sensitivity analyses. Our... -
Retirement behaviour of Dutch elderly households (replication data)
We specify and estimate retirement models for singles and married couples and estimate these on data from the Dutch Socio-Economic Panel. We perform some simulations and find... -
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... -
On the distribution and dynamics of health care costs (replication data)
Using data from the Health and Retirement Survey and the Assets and Health Dynamics of the Oldest Old survey, we estimate the stochastic process that determines both the... -
Bayesian inference for the mover-stayer model in continuous time with an appl...
This paper presents Bayesian inference procedures for the continuous time mover-stayer model applied to labour market transition data collected in discrete time. These methods... -
Poverty in America 1970-1990: who did gain ground? An application of stochast...
Atkinson (1987) proposed stochastic dominance criteria for analysing poverty which, under certain conditions, establish orderings of states for any poverty line and any poverty... -
Rethinking an old empirical puzzle: econometric evidence on the forward disco...
Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new... -
Measuring the equilibrium effects of unemployment benefits dispersion (replic...
We analyse the impact of unemployment benefits and minimum wages using an equilibrium search model which allows for dispersion of benefits and productivity levels, job-to-job... -
Loss function-based evaluation of DSGE models (replication data)
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take... -
Daily exchange rate behaviour and hedging of currency risk (replication data)
We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test...
