26 datasets found

UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological...

Recent work in evaluating investments with long-term consequences has turned towards establishing a schedule of Declining Discount Rates (DDRs). Using US data we show that the...

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...

In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood...

We consider the dynamic factor model and show how smoothness restrictions can be imposed on factor loadings by using cubic spline functions. We develop statistical procedures...

The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper...

We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We...

In this paper we, like several studies in the recent literature, employ a Bayesian approach to estimation and inference in models with endogeneity concerns by imposing weaker...

We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the...

Factor models of disaggregate inflation indices suggest that sectoral shocks generate the bulk of sectoral inflation variance, but no persistence. Aggregate shocks, by contrast,...

A host of recent research has used reweighting methods to analyze the extent to which observable characteristics predict between-group differences in the distribution of an...

This paper studies panel data models with unobserved group factor structures. The group membership of each unit and the number of groups are left unspecified. We estimate the...

This paper proposes a unified framework for accommodating both time and cross-sectional dependence in modelling technical efficiency in stochastic frontier models by combining...

This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses...

This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous...

Zimmer (?The role of copulas in the housing crisis?, Review of Economics and Statistics 2012; 94: 607-620) provides an interesting case study of the pitfalls of using parametric...

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...

Robust methods for instrumental variable inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power...

For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual...

A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives...