-
Bayesian model comparison for time‐varying parameter VARs with stochastic vol...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC)... -
Intergenerational mobility: New evidence from consumption data (replication d...
The intergenerational persistence of consumption describes the extent to which children inherit the living standards of their parents. Evidence on this parameter is scarce due... -
Genetic distance, trade, and the diffusion of development (replication data)
The determinants of countries' long-term income differences feature prominently in the literature. Spolaore and Wacziarg (The diffusion of development, Quarterly Journal of... -
A kink that makes you sick: The effect of sick pay on absence (replication data)
We exploit a regression kink design to estimate the elasticity of the duration of sickness absence with respect to replacement rate. Elasticity is a central parameter in... -
Private debt overhang and the government spending multiplier: Evidence for th...
Using state-dependent local projections and historical US data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In... -
Using a Structural-Form Model to Analyze the Impact of Home Ownership on Unem...
It is often found that the impact of home ownership on the hazard rate for leaving unemployment is positive, indicating that home ownership helps workers to leave unemployment... -
Human Capital Spillovers and Regional Development (replication data)
This paper introduces technological interdependence into the theoretical framework of Gennaioli et al. (Quarterly Journal of Economics 2013; 128: 105-164). This extension leads... -
Textual Analysis in Real Estate (replication data)
This paper incorporates text data from MLS listings into a hedonic pricing model. We show that the comments section of the MLS, which is populated by real estate agents who... -
Dynamic Panel Data Models With Irregular Spacing: With an Application to Earl...
With the increased availability of longitudinal data, dynamic panel data models have become commonplace. Moreover, the properties of various estimators of such models are well... -
Out-of-Sample Return Predictability: A Quantile Combination Approach (replica...
This paper develops a novel forecasting method that minimizes the effects of weak predictors and estimation errors on the accuracy of equity premium forecasts. The proposed... -
MM Algorithm for General Mixed Multinomial Logit Models (replication data)
This paper develops a new technique for estimating mixed logit models with a simple minorization-maximization (MM) algorithm. The algorithm requires minimal coding and is easy... -
Estimating the Competitive Storage Model with Trending Commodity Prices (repl...
We present a method to estimate jointly the parameters of a standard commodity storage model and the parameters characterizing the trend in commodity prices. This procedure... -
Loan Supply Shocks and the Business Cycle (replication data)
This paper provides empirical evidence on the role played by loan supply shocks over the business cycle in the euro area, the UK and the USA from 1980 to 2011 by estimating... -
On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in...
This paper investigates whether there is time variation in the excess sensitivity of aggregate consumption growth to anticipated aggregate disposable income growth using... -
Granger Causality and Regime Inference in Markov Switching VAR Models with Ba...
In this paper, we derive restrictions for Granger noncausality in MS-VAR models and show under what conditions a variable does not affect the forecast of the hidden Markov... -
Narrow Replication of Fisman and Miguel's (2007a) ‘Corruption, Norms, and Leg...
This note provides a narrow replication of Fisman and Miguel's (Journal of Political Economy, 2007a; 115(6): 1020-1048) original findings about estimating negative binomial... -
Density Forecasts With Midas Models (replication data)
We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations... -
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...
