Datasets
-
Covariate distribution balance via propensity scores (replication data)
This paper proposes new estimators for the propensity score that aim to maximize the covariate distribution balance among different treatment groups. Heuristically, our proposed... -
Matching theory and evidence on Covid‐19 using a stochastic network SIR model...
This paper develops an individual-based stochastic network SIR model for the empirical analysis of the Covid-19 pandemic. It derives moment conditions for the number of infected... -
Count Roy model with finite mixtures (replication data)
This paper develops the Finite Mixture Roy model for count variables and uses this semiparametric model to analyze the effect of supplemental Medigap private insurance on the... -
Do words hurt more than actions? The impact of trade tensions on financial ma...
We use machine learning techniques to quantify trade tensions between the United States and China. Our measure matches well-known events in the US-China trade dispute and is... -
Instrumental‐variable estimation of exponential‐regression models with two‐wa...
This paper introduces instrumental-variable estimators for exponential-regression models that feature two-way fixed effects. These techniques allow us to develop a... -
Trade openness and growth: A network‐based approach (replication data)
We propose a novel approach to the study of international trade based on a theory of country integration that embodies a broad systemic viewpoint on the relationship between... -
Identification of dynamic latent factor models of skill formation with transl...
In this paper, we highlight an important property of the translog production function for the identification of treatment effects in a model of latent skill formation. We show... -
Do rural banks matter that much? Burgess and Pande (2005) reconsidered (repli...
We replicate Burgess and Pande's (2005) analysis of the effect of India's state-led bank expansion on poverty. The authors instrument rural bank branch expansion by its trend... -
Macroeconomic forecasting in a multi‐country context (replication data)
In this paper, we propose a hierarchical shrinkage approach for multi-country VAR models. In implementation, we consider three different scale mixtures Normals priors and... -
Recurrent conditional heteroskedasticity (replication data)
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-of-sample... -
ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) res...
This paper replicates the UK earnings equation using the autoregressive distributed lag (ARDL) modeling approach and the bounds test for cointegration by Pesaran et al. (Journal... -
Extremal connectedness of hedge funds (replication data)
We propose a dynamic measure of extremal connectedness tailored to the short reporting period and unbalanced nature of hedge funds data. Using multivariate extreme value... -
Optimal forecast under structural breaks (replication data)
This paper develops an optimal combined estimator to forecast out-of-sample under structural breaks. When it comes to forecasting, using only the postbreak observations after... -
Oil prices, gasoline prices, and inflation expectations (replication data)
It has long been suspected, given the salience of gasoline prices, that fluctuations in gasoline prices shift households' 1-year inflation expectations. Assessing this view... -
Making text count: Economic forecasting using newspaper text (replication data)
This paper examines several ways to extract timely economic signals from newspaper text and shows that such information can materially improve forecasts of macroeconomic... -
How is machine learning useful for macroeconomic forecasting? (replication data)
We move beyond Is Machine Learning Useful for Macroeconomic Forecasting? by adding the how. The current forecasting literature has focused on matching specific variables and... -
Robust inference under time‐varying volatility: A real‐time evaluation of pro...
In many forecast evaluation applications, standard tests as well as tests allowing for time-variation in relative forecast ability build on... -
The role of precautionary and speculative demand in the global market for cru...
Contemporary structural models of the global market for crude oil jointly specify precautionary and speculative demand shocks as a composite shock, named a storage demand shock.... -
Generalized band spectrum estimation with an application to the New Keynesian...
This paper proposes a new method for estimating linear dynamic structural models. The proposed generalized band spectrum estimator (GBSE) generalizes band spectrum regression to... -
Nowcasting tail risk to economic activity at a weekly frequency (replication ...
This paper focuses on nowcasts of tail risk to GDP growth, with a potentially wide array of monthly and weekly information used to produce nowcasts on a weekly basis. We... -
Identifying factor‐augmented vector autoregression models via changes in shoc...
This study proposes a method to identify factor-augmented vector autoregression models without imposing uncorrelatedness or any timing restrictions among observed and unobserved... -
Small world: Narrow, wide, and long replication of Goyal, van der Leij and Mo...
I undertake a narrow, wide, and long replication of Goyal, van der Leij and Moraga-Gonzélez (2006, https://doi.org/10.1086/500990). Using social network analysis, they show that... -
Measuring real activity using a weekly economic index (replication data)
This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus... -
How to estimate a vector autoregression after March 2020 (replication data)
This paper illustrates how to handle a sequence of extreme observations-such as those recorded during the COVID?19 pandemic-when estimating a vector autoregression, which is the... -
A regularization approach to common correlated effects estimation (replicatio...
Cross-section average-augmented panel regressions introduced by Pesaran (2006) have been a popular empirical tool to estimate panel data models with common factors. However, the... -
Revisiting Sweden's comprehensive school reform: Effects on education and ear...
We revisit a Swedish comprehensive school reform first evaluated by Meghir and Palme (2005). This reform increased years of schooling and abolished tracking. We extend the... -
Early‐life famine exposure, hunger recall, and later‐life health (replication...
We use newly collected individual-level hunger recall information from the China Family Panel Survey to estimate the causal effect of undernourishment on later-life health. We... -
The impact of product and labour market reform on growth: Evidence for OECD c...
We examine the impact of labour and product market reforms on economic growth in 25 OECD countries between 1985 and 2013, and tests whether this impact is conditioned by the... -
The global component of inflation volatility (replication data)
Global developments play an important role for domestic inflation rates. Earlier literature has found that a substantial amount of the variation in a large set of national... -
The dynamic interdependence in the demand of primary and emergency secondary ...
This paper develops an extension of the class of finite mixture models for longitudinal count data to the bivariate case by using a hidden Markov chain approach. The model... -
Does model complexity add value to asset allocation? Evidence from machine le...
This study evaluates the benefits of integrating return forecasts from a variety of machine learning and forecast combination methods into an out-of-sample asset allocation... -
(Un)expected monetary policy shocks and term premia (replication data)
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on... -
Nonparametric tests of tail behavior in stochastic frontier models (replicati...
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded... -
Real estate agents influence on housing search (replication data)
This paper investigates different mechanisms for real estate agents? influence in housing search. Using residential listing data, I find descriptive evidence suggesting an... -
Large devaluations and inflation inequality: Replicating Cravino and Levchenk...
In the aftermath of large devaluations, prices of tradable goods/lower-priced varieties increase significantly more than the prices of nontradables/higher-priced varieties.... -
Common factors of commodity prices (replication data)
In this paper, we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a... -
Individual forecaster perceptions of the persistence of shocks to GDP (replic...
We analyse individual professional forecasters' beliefs concerning the persistence of GDP shocks. Despite substantial apparent heterogeneity in perceptions, with around one half... -
An automated prior robustness analysis in Bayesian model comparison (replicat...
It is well-known that the marginal likelihood, the gold standard for Bayesian model comparison, can be sensitive to prior hyperparameter choices. However, most models require... -
Expanding health insurance for the elderly of the Philippines (replication data)
This paper evaluates a Filipino policy that expanded health insurance coverage of its senior citizens, aged 60 and older, in 2014. We employ an instrumental variables estimator... -
A Bayesian approach to account for misclassification in prevalence and trend ...
In this paper, we present a Bayesian approach to estimate the mean of a binary variable and changes in the mean over time, when the variable is subject to misclassification... -
Information gains from using short‐dated options for measuring and forecastin...
We study the gains from using short-dated options for volatility measurement and forecasting. Using option portfolios, we estimate nonparametrically spot volatility under weak... -
Individual consumption in collective households: Identification using repeate...
Individual consumption is typically not observed for individuals living with others. Identification of individual resource shares from household expenditure data requires... -
The deposits channel revisited (replication data)
Drechsler et al. (2017) present a novel reformulation of the bank lending channel of monetary transmission based on market power in local deposits markets, which they term the... -
Dynamic treatment effects of job training (replication data)
This paper estimates the dynamic returns to job training. We posit a model of sequential training participation, where decisions and outcomes depend on observed and unobserved... -
Contagious switching (replication data)
We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include... -
Dependence‐robust inference using resampled statistics (replication data)
We develop inference procedures robust to general forms of weak dependence. The procedures utilize test statistics constructed by resampling in a manner that does not depend on... -
Dynamic evaluation of job search assistance (replication data)
This paper evaluates a job search assistance program for unemployed teachers where the assignment to the program is dynamic. We discuss the methodology of estimating dynamic... -
Commodity prices and inflation risk (replication data)
This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence of in-sample and... -
Declining discount rates in Singapore's market for privately developed apartm...
Singapore's market for new privately developed apartments exhibits wide quasi-experimental variation in ownership tenure. We develop an empirical model in which prices are... -
Encompassing measures of international consumption risk sharing and their lin...
We investigate international consumption risk sharing in a panel of 15 industrial economies over the historical period 1875-2016. By considering a rich empirical...
