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Nonlinear Granger Causality: Guidelines for Multivariate Analysis (replicatio...
We propose an extension of the bivariate nonparametric Diks-Panchenko Granger non-causality test to multivariate settings. We first show that the asymptotic theory for the... -
Forecasting with Global Vector Autoregressive Models: a Bayesian Approach (re...
This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a... -
Bubbles and Crises: The Role of House Prices and Credit (replication data)
This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood... -
CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS (replication data)
We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables... -
PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS (repli...
In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically,... -
THE ROLE OF TIME-VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHAN...
There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early... -
Estimating Engel curves under unit and item nonresponse (replication data)
This paper estimates food Engel curves using data from the first wave of the Survey on Health, Aging and Retirement in Europe (SHARE). Our statistical model simultaneously takes... -
Narrow Replication of Yogo (2004) Estimating the Elasticity of Intertemporal ...
This narrow replication exercise of Yogo (Review of Economics and Statistics 2004; 86(3): 797-810) finds results identical to the original paper, and provides results on... -
The effect of location on finding a job in the Paris region (replication data)
Do spatial differences in unemployment duration reflect residential sorting or a true local effect? Focusing on the 1300 municipalities of the Paris region, we apply a... -
Estimating the effect of a gasoline tax on carbon emissions (replication data)
Recently the proposal has been made to raise gasoline taxes in the United States to curb carbon emissions. The existing literature on the sensitivity of gasoline consumption to... -
Competition in large markets (replication data)
This paper evaluates the simplifying assumption that producers compete in a large market without substantial strategic interactions using nonparametric regressions of producers'... -
Identifying the age profile of patent citations: new estimates of knowledge d...
Previous research studies the age profile of patent citations to learn about knowledge flows over time. However, identification is problematic because of the collinearity... -
Non-Gaussian dynamic Bayesian modelling for panel data (replication data)
A first order autoregressive non-Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus... -
Capital accumulation and growth: a new look at the empirical evidence (replic...
Using annual data for 75 countries in the period 1960-2000, we present evidence of a positive relationship between investment as a share of gross domestic product (GDP) and the... -
Quantifying the supply-side benefits from forward contracting in wholesale el...
The assumption of expected profit-maximizing bidding behavior in a multi-unit, multi-period auction with step-function supply curves is used to estimate cost functions for... -
Statistical inference for aggregates of Farrell-type efficiencies (replicatio...
In this study, we merge results of two recent directions in efficiency analysis research-aggregation and bootstrap-applied, as an example, to one of the most popular point...
