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Estimation of sons' intergenerational earnings mobility in the presence of ce...
Based on intergenerational data from the Panel Study of Income Dynamics, I provide estimates of income mobility across generations for men. Special attention is paid to issues... -
Identification and estimation of a class of household production models (repl...
We consider a class of household production models characterized by a dichotomy property. In these models the amount of time spent on household production does not depend on the... -
Retesting Fair's (1978) model on infidelity (replication data)
Modern econometrics stresses the diagnostic testing of estimated models as an important part of the model-building process. In a survey article published in this journal (Pagan... -
A rational rank four demand system (replication data)
Past parametric tests of demand system rank employed polynomial Engel curve systems. However, by Gorman's (1981) theorem, the maximum possible rank of a utility-derived... -
Individual heterogeneity and censoring in panel data estimates of tobacco exp...
A panel of households is used to test the rational addiction model of Becker et al. (1994). These data raise problems of measurement errors, censoring, and unobservable... -
Long-range dependence in Spanish political opinion poll series (replication d...
This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration,... -
Time-varying intercepts and equilibrium analysis: an extension of the dynamic...
Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where... -
Asymmetry in first-price auctions with affiliated private values (replication...
Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are... -
Evidence on agglomeration economies, diseconomies, and growth (replication data)
Conventional urban economic analysis suggests that a local economy's size is closely related to a number of features, including levels of human capital and the availability of... -
A structural model of aggregate US job flows: another look (replication data)
A recent article (Collard et al., 2002) published in this journal presented a structural model of aggregate job flows. Unrestricted estimation of the model yields parameter... -
A simple framework for analysing bull and bear markets (replication data)
Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity... -
Precautionary motives and portfolio decisions (replication data)
This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households'... -
Are differences in firm size transitory or permanent? (replication data)
An Erratum for this article has been published in Journal of Applied Econometrics 18(2) 2003, 249 Previous empirical work on corporate growth rates using cross-section or... -
Computation and analysis of multiple structural change models (replication data)
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple... -
The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Testing the capital asset pricing model efficiently under elliptical symmetry...
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically... -
Divergence in alternative Hicksian welfare measures: the case of revealed pre...
This paper investigates the divergence between the two Hicksian welfare measures of non-traded amenity improvement associated with housing. First, the Hicksian surplus measures... -
GO-GARCH: a multivariate generalized orthogonal GARCH model (replication data)
Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of... -
A theoretical comparison between integrated and realized volatility (replicat...
In this paper we provide both qualitative and quantitative measures of the precision of measuring integrated volatility by realized volatility for a fixed frequency of... -
Modelling and forecasting level shifts in absolute returns (replication data)
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic...
