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Estimating time variation in measurement error from data revisions: an applic...
Over time, economic statistics are refined. This implies that data measuring recent economic events are typically less reliable than older data. Such time variation in... -
Responses to monetary policy shocks in the east and the west of Europe: a com...
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We... -
On nonparametric estimation of a hedonic price function (replication data)
Recently, using mixed data on Canadian housing, Parmeter, Henderson, and Kumbhakar (Journal of Applied Econometrics 2007; 22: 695-699) found that a nonparametric approach for... -
What you match does matter: the effects of data on DSGE estimation (replicati...
This paper explores the effects of using alternative combinations of observables for the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. I find that the... -
The effects of technology shocks on hours and output: a robustness analysis (...
We analyze the effects of neutral and investment-specific technology shocks on hours and output. Long cycles in hours are removed in a variety of ways. Hours robustly fall in... -
Long-run relations in European electricity prices (replication data)
This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic... -
Measuring forecast uncertainty by disagreement: The missing link (replication...
Using a standard decomposition of forecast errors into common and idiosyncratic shocks, we show that aggregate forecast uncertainty can be expressed as the disagreement among... -
Combining forecast densities from VARs with uncertain instabilities (replicat...
Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the... -
Path forecast evaluation (replication data)
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given... -
Forecast evaluation of small nested model sets (replication data)
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the... -
Forecast comparisons in unstable environments (replication data)
We propose new methods for comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. The main idea is to develop a... -
A comparison of forecast performance between federal reserve staff forecasts,...
This paper considers the real-time-- forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE)... -
Extracting a robust US business cycle using a time-varying multivariate model...
We develop a flexible business cycle indicator that accounts for potential time variation in macroeconomic variables. The coincident economic indicator is based on a... -
Introducing the euro-sting: Short-term indicator of euro area growth (replica...
We set out a model to compute short-term forecasts of the euro area GDP growth in real time. To allow for forecast evaluation, we construct a real-time dataset that changes for... -
What do we learn from the price of crude oil futures? (replication data)
Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense than no-change... -
Semiparametric estimation of consumer demand systems in real expenditure (rep...
Microdata concerning consumer demand typically show considerable variation in real expenditures, but very little variation in prices. We propose a semiparametric strategy for... -
Mean-variance econometric analysis of household portfolios (replication data)
We investigate households' portfolio choice using a microeconometric approach derived from mean-variance optimization. We assume that households have heterogeneous expectations... -
Participation and study decisions in a public system of higher education (rep...
We analyze the decision whether to participate and where and what to study in a public system of higher education, based on a unique dataset of all eligible high school pupils... -
Dynamic treatment effect analysis of TV effects on child cognitive developmen...
We investigate whether TV watching at ages 6-7 and 8-9 affects cognitive development measured by math and reading scores at ages 8-9, using a rich childhood longitudinal sample... -
A test for multimodality of regression derivatives with application to nonpar...
This paper presents a method to test for multimodality of an estimated kernel density of derivative estimates from a nonparametric regression. The test is included in a study of...
