We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that by acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.

Even though the global contagion effects of the financial crisis have been well documented, the transmission mechanism as well as the nature of the volatility spillovers among the US, EU and the BRIC markets has not been systematically investigated. To examine the dynamic linear and nonlinear...

Self-employment is often seen as an attractive alternative to wage employment, despite lower welfare protection, higher risks, and more required effort than in the latter. It is then important to investigate why individuals choose self-employment. In addition to potential earnings, other factors...

In this paper, we present a model for the marketability of a Tribal artwork and we test this model empirically using a unique hand-collected dataset, which comprises the worldwide Tribal art market auctions between 1999 and 2008. Our results show a significant relationship between the...

This paper develops stochastic search variable selection (SSVS) for zero-inflated count models which are commonly used in health economics. This allows for either model averaging or model selection in situations with many potential regressors. The proposed techniques are applied to a data set...

Missing data in dynamic panel models occur quite often since detailed recording of the dependent variable is often not possible at all observation points in time and space. In this paper we develop classical and Bayesian methods to complete missing data in panel models. The Chow-Lin (1971)...

We estimate a flexible non-linear monetary policy rule for the UK to examine the response of policymakers to the real exchange rate. We have three main findings. First, policymakers respond to real exchange rate misalignment rather than to the real exchange rate itself. Second, policymakers...

A notable feature of the 1920s and 1930s is the volatility in several key macroeconomic aggregates, and this feature used to econometrically identify the reaction of the Fed to stock market developments. The volatility of economic activity may have contributed to deepening the divisions among...

This paper estimates forward-looking and forecast-based Taylor rules for France, Germany, Italy, and the euro area. Performing extensive tests for over-identifying restrictions and instrument relevance, we find that asset prices can be highly relevant as instruments in policy rules. While asset...