Supplemental material for peer-reviewed article published in Journal of Economics and Statistics. Paper published online December 20, 2024. When citing this dataset, plea[...]

How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteros[...]

This paper proposes a probabilistic model based on comovements and nonlinearities useful to assess the type of shock affecting each phase of the business cycle. By provid[...]

This paper studies whether resilience investment mitigates damages from extreme weather events using data on offshore oil production in the Gulf of Mexico. We show that h[...]

In 1962, Arthur Okun posited an empirical relationship between the change in the unemployment rate and real output growth. Since then, the media, policymakers, pundits, a[...]

The purpose of this paper is to examine the role of multilateral adjustment to U.S. external imbalances in driving bilateral real exchange rate movements by developing a [...]

We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramér-von Mises-type tests for the correct specification of predic[...]

We propose a new methodology to identify the sources of models' forecasting performance. The methodology decomposes the models' forecasting performance into asymptoticall[...]

This paper provides a detailed empirical analysis of Canadian city housing prices. We examine the long‐run relationship between city house prices in Canada from 1985 to 2[...]

In this study we examine the stability of long-run broad money demand in Japan. In contrast to previous studies of Japanese broad money demand, we use a series of tests d[...]