-
Modelling Hospital Admission and Length of Stay by Means of Generalised Count...
For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual... -
Error Correction Testing in Panels with Common Stochastic Trends (replication...
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a ...
Using data from Moody's, we examine three sources of sovereign credit ratings persistence: true state dependence, spurious state dependence and serial error correlation.... -
Reassessing the Relative Power of the Yield Spread in Forecasting Recessions ...
In this paper, we replicate the main results of previous research showing that the use of the yield spread in a probit model can predict recessions better than the Survey of... -
Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Sc...
This paper is concerned with the use of a Bayesian approach to fuzzy regression discontinuity (RD) designs for understanding the returns to education. The discussion is... -
Daily House Price Indices: Construction, Modeling, and Longer-run Predictions...
We construct daily house price indices for 10 major US metropolitan areas. Our calculations are based on a comprehensive database of several million residential property... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Determination of Long-run and Short-run Dynamics in EC-VARMA Models via Canon...
This article studies a simple, coherent approach for identifying and estimating error-correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation... -
The Environmental Kuznets Curve, Cointegration and Nonlinearity (replication ...
This paper clarifies some conceptual shortcomings of the empirical environmental Kuznets curve (EKC) literature that arise because of the hitherto inadequate application of unit... -
On the Empirical Failure of Purchasing Power Parity Tests (replication data)
Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails... -
Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replicat...
This paper replicates Cheung and Lai (Journal of Business and Economic Studies 1995; 13(3): 277-280), who use response surface analysis to obtain approximate finite-sample... -
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... -
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic N...
We estimate versions of the Nelson-Siegel model of the yield curve of US government bonds using a Markov switching latent variable model that allows for discrete changes in the... -
Commodity Price Volatility and the Sources of Growth (replication data)
This paper studies the impact of the growth and volatility of commodity terms of trade (CToT) on economic growth, total factor productivity, physical capital accumulation and... -
Monetary Policy Indeterminacy and Identification Failures in the U.S.: Result...
We propose a novel identification-robust test for the null hypothesis that an estimated New Keynesian model has a reduced form consistent with the unique stable solution against... -
Macroeconomic Effects of Precautionary Demand for Oil (replication data)
We evaluate the macroeconomic effects of shocks specific to the oil market, which mainly reflect fluctuations in precautionary demand for oil driven by uncertainty about future... -
RETURN TO EXPERIENCE AND INITIAL WAGE LEVEL: DO LOW WAGE WORKERS CATCH UP? (r...
This paper estimates the relationship between initial wage and return to experience. We use a Mincer-like wage model to non-parametrically estimate this relationship allowing... -
CHILD MENTAL HEALTH AND EDUCATIONAL ATTAINMENT: MULTIPLE OBSERVERS AND THE ME...
We examine the effect of survey measurement error on the empirical relationship between child mental health and personal and family characteristics, and between child mental... -
DOES CORESIDENCE IMPROVE AN ELDERLY PARENT'S HEALTH? (replication data)
It is generally believed that intergenerational coresidence by elderly parents and adult children provides old-age security for parents. Although such coresidence is still the...
