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General Bayesian time‐varying parameter vector autoregressions for modeling g...
US yield curve dynamics are subject to time-variation, but there is ambiguity about its precise form. This paper develops a vector autoregressive (VAR) model with time-varying... -
Forecasting low‐frequency macroeconomic events with high‐frequency data (repl...
High-frequency financial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions. We propose a mixed-frequency... -
Long‐run predictability tests are even worse than you thought (replication data)
We derive asymptotic results for the long-horizon ordinary least squares (OLS) estimator and corresponding -statistic for stationary autoregressive predictors. The... -
Did earnings mobility change after minimum wage introduction? Evidence from p...
We analyze the evolution of earnings mobility in Germany between 2011 and 2018. We use transition matrices and parametric and semi-nonparametric copula models to assess the... -
Equity‐premium prediction: Attention is all you need (replication data)
Predictions of stock returns are greatly improved relative to low-dimensional forecasting regressions when the forecasts are based on the estimated factor of large data sets,... -
New Evidence on the Importance of Instruction Time for Student Achievement on...
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Should We Trust Cross Sectional Multiplier Estimates (replication data)
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Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty (re...
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Identifying and Interpreting the Factors in Factor models via Sparsity: Diffe...
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Deep Distributional Time Series Models and the Probabilistic Forecasting of I...
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Bayesian Collapsed Gibbs Sampling for a Stochastic Volatility Model with a Di...
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Hours Worked and the U.S. Distribution of Real Annual Earnings 1976--2019 (re...
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Reassessing the dependence between economic growth and financial conditions s...
Adrian, Boyarchenko and Giannone ((2019), ABG) adapt quantile regression (QR) methods to examine the relationship between US economic growth and financial conditions. We confirm... -
Normal but skewed? (replication data)
We propose a multivariate normality test against skew normal distributions using higher-order log-likelihood derivatives, which is asymptotically equivalent to the likelihood... -
The role of observed and unobserved heterogeneity in the duration of unemploy...
This paper studies the degree to which observable and unobservable worker characteristics account for the variation in the aggregate duration of unemployment. I model the... -
Asymptotic theory and econometric practice (replication data)
The classical paradigm of asymptotic theory employed in econometrics presumes that model dimensionality, p, is fixed as sample size, n, tends to inifinity. Is this a plausible... -
Are price equations really money demand equations on their heads? (replicatio...
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A re-examination of the q theory of investment using u.s. firm data (replicat...
Investment models based on Tobin's q are theoretically appealing, but they have been an empirical disappointment when applied to aggregate time-series data. This paper explores... -
On the estimation of simultaneous-equations error-components models with an a...
An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964-1987. In... -
Common Trends and Common Cycles (replication data)
The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the...
