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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... -
A Semi-Parametric Analysis of Two-Sided Markets: An Application to the Local ...
This paper considers an empirical semiparametric model for two-sided markets. Contrary to existing empirical literature on two-sided markets, we specify network effects and... -
Borrowing Constraints and Credit Demand in a Developing Economy (replication ...
This paper investigates the determinants of credit demand in the presence of borrowing constraints in a developing economy. We model the determinants of observed debt for... -
Factor-Based Identification-Robust Interference in IV Regressions (replicatio...
Robust methods for instrumental variable inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power... -
Reanalyzing Zero Returns to Education in Germany (replication data)
Pischke and von Wachter (Review of Economics and Statistics 2008; 90(3): 592-598) find zero earnings returns to compulsory schooling in the basic school track in Germany. We... -
Successful Scientific Replication and Extension of Levitt (2008): Child Seats...
Using US fatality data from 1975 to 2003, Levitt (Evidence that seat belts are as effective as child safety seats in preventing death for children aged two and up, Review of... -
Econometric Methods for Modelling Systems With a Mixture of<i>i</i>(1) and<i>...
This paper considers structural models with both I(1) and I(0) variables. The structural shocks associated with either set of variables could be permanent or transitory. We... -
Modelling Inflation Volatility (replication data)
This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk... -
Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models (r...
This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the... -
Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Applic...
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854-871) are contingent on the specification of the model. The use of... -
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rat...
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday... -
Maintaining (Locus of) Control? Data Combination for the Identification and I...
Factor structure models are widely used in economics to extract latent variables, such as personality traits, and to measure their impact on outcomes of interest. The... -
Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulati...
The pollution haven hypothesis (PHH) posits that production within polluting industries will shift to locations with lax environmental regulation. While straightforward, the...
