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A segment-level hazard approach to studying household purchase timing decisio...
The increasing availability of customer-level data and the willingness of marketers to customize the timing of their offers to consumers makes the accurate segment-level... -
Labour market institutions and employment in France (replication data)
The purpose of this paper is to use individual data to study how the minimum wage and the welfare system combine to affect employment in France. Using the 1997 Labour Force... -
This is what the leading indicators lead (replication data)
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy... -
Transitions from home to marriage of young Americans (replication data)
The paper examines the impact of income on the transitions between home, living independently and first marriage of young Americans. A matching model is outlined, similar to... -
Estimating economic relationships subject to firm- and time-varying equality ...
Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD)... -
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 predictability: theory and macroeconomic applications (replication ...
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure... -
The demand for M3 in the euro area (replication data)
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with... -
A score test for non-nested hypotheses with applications to discrete data mod...
In this paper it is shown that a convenient score test against non-nested alternatives can be constructed from the linear combination of the likelihood functions of the... -
Review of Stata 7 (replication data)
This dataset has no description
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Model uncertainty in cross-country growth regressions (replication data)
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely... -
Income distribution and income dynamics in the United Kingdom (replication data)
In this paper, we propose a model of income dynamics which takes account of mobility both within and between jobs. The model is a hybrid of the mover-stayer model of income... -
Unemployment insurance and subsequent job duration: job matching versus unobs...
The relationship between Unemployment Insurance (UI) benefit duration, unemployment duration and subsequent job duration is investigated using a multi-state duration model with... -
A flexible parametric GARCH model with an application to exchange rates (repl...
Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates... -
Trend-stationary GNP: evidence from a new exact pointwise most powerful invar...
There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit-root and trend-reverting... -
Monetary policy analysis and inflation targeting in a small open economy: a V...
Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy issues more... -
The non-linear dynamics of output and unemployment in the U.S. (replication d...
This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that... -
Estimating shocks and impulse response functions (replication data)
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or... -
Non-linear error correction and the UK demand for broad money, 1878-1993 (rep...
In this paper we reconsider an error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non-linear in both variables and parameters, and... -
Descriptive econometrics for non-stationary time series with empirical illust...
Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with...
