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Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent.... -
Identification of parameters in normal error component logit-mixture (NECLM) ...
Although the basic structure of logit-mixture models is well understood, important identification and normalization issues often get overlooked. This paper addresses issues... -
Rotterdam model versus almost ideal demand system: will the best specificatio...
The Rotterdam model and the Almost Ideal Demand System (AIDS) are often applied in consumer demand systems modeling. Using Monte Carlo techniques, we determine which model... -
Random Recursive Partitioning: a matching method for the estimation of the av...
In this paper we introduce the Random Recursive Partitioning (RRP) matching method. RRP generates a proximity matrix which might be useful in econometric applications like... -
Estimating Euler equations with noisy data: two exact GMM estimators (replica...
In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator... -
Jointness of growth determinants (replication data)
This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model... -
Bayesian estimation of random-coefficients choice models using aggregate data...
This article discusses the use of Bayesian methods for estimating logit demand models using aggregate data. We analyze two different demand systems: independent samples and... -
International evidence on the efficacy of new‐Keynesian models of inflation p...
We take an agnostic view of the Phillips curve debate, and carry out an empirical investigation of the relative and absolute efficacy of Calvo sticky price (SP), sticky... -
Estimation of Treatment Effects without an Exclusion Restriction: with an App...
The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP)... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
Volatility of Price Indices for Heterogeneous Goods with Applications to the ...
Price indices for heterogeneous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investment... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Panicca: Panic on Cross-Section Averages (replication data)
The cross-section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross-section dependence. Journal of Applied Econometrics 2007; 22:...