Journal of Applied Econometrics

1986 - 2009

Edited by M. Hashem Pesaran

from John Wiley & Sons, Ltd.
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Volume 24, issue 4, 2009

Risk of catastrophic terrorism: an extreme value approach pp. 537-559

Hamid Mohtadi and Antu Panini Murshid

On portfolio optimization: How and when do we benefit from high-frequency data? pp. 560-582

Qianqiu Liu

Assessing the prudence of economic forecasts in the EU pp. 583-606

G. A. Christodoulakis and E. C. Mamatzakis

Boosting diffusion indices pp. 607-629

Jushan Bai and Serena Ng

Steady-state priors for vector autoregressions pp. 630-650

Mattias Villani

On the effect of prior assumptions in Bayesian model averaging with applications to growth regression

This article was published online on 30 March 2009. An error was subsequently identified. This notice is included in the online and print versions to indicate that both have been corrected [6 April 2009].

pp. 651-674

Eduardo Ley and Mark F.J. Steel

Feasible estimation of firm-specific allocative inefficiency through Bayesian numerical methods pp. 675-697

Scott E. Atkinson and Jeffrey H. Dorfman

Econometrics with Python pp. 698-704

Christine Choirat and Raffello Seri

Volume 24, issue 1, 2009

Annual miles drive used car prices pp. 1-33

Maxim Engers, Monica E. Hartmann and Steven Stern

Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective pp. 35-75

Nathan Balke and Mark Wohar

Does the option market produce superior forecasts of noise-corrected volatility measures? pp. 77-104

Gael Margaret Martin, Andrew Reidy and Jill Wright

Efficiency and productivity of the US banking industry, 1998-2005: evidence from the Fourier cost function satisfying global regularity conditions pp. 105-138

Guohua Feng and Apostolos Serletis

International output convergence: evidence from an autocorrelation function approach pp. 139-162

Giovanni Caggiano and Leone Leonida

Random Recursive Partitioning: a matching method for the estimation of the average treatment effect pp. 163-185

Giuseppe Porro and Stefano Maria Iacus

Hours per capita and productivity: evidence from correlated unobserved components models pp. 187-206

Arabinda Basistha

Journal of Applied Econometrics Dissertation Prize pp. 207-207

M Hashem Pesaran

Volume 23, issue 7, 2008

Introduction to the special issue on the Econometrics of Auctions pp. 867-869

Pierre Dubois, Marc Ivaldi and Thierry Magnac

Estimating risk aversion from ascending and sealed-bid auctions: the case of timber auction data pp. 871-896

Jingfeng Lu and Isabelle Perrigne

Multi-round procurement auctions with secret reserve prices: theory and evidence pp. 897-923

Lu Ji and Tong Li

Econometrics of auctions by least squares pp. 925-948

Leonardo Rezende

Nonparametric identification and estimation of a class of common value auction models pp. 949-964

Philippe Février

Approximation of Nash equilibria in Bayesian games pp. 965-981

Olivier Armantier, Jean-Pierre Florens and Jean-Francois Richard

Volume 23, issue 6, 2008

Semiparametric Bayesian inference for dynamic Tobit panel data models with unobserved heterogeneity pp. 699-728

Tong Li and Xiaoyong Zheng

R&D and subsidies at the firm level: an application of parametric and semiparametric two-step selection models pp. 729-747

Katrin Hussinger

Efficiency externalities of trade and alternative forms of foreign investment in OECD countries pp. 749-766

Krishna G. Iyer, Alicia Rambaldi and Kam Ki Tang

The wages of BMI: Bayesian analysis of a skewed treatment-response model with nonparametric endogeneity pp. 767-793

Brendan Kline and Justin L. Tobias

Rotterdam model versus almost ideal demand system: will the best specification please stand up? pp. 795-824

William Barnett and Ousmane Seck

Semiparametric hedonic price models: assessing the effects of agricultural nonpoint source pollution pp. 825-842

Christophe Bontemps, Michel Simioni and Yves Surry

Are risk-averse agents more optimistic? A Bayesian estimation approach pp. 843-860

Selima Ben Mansour, Elyès Jouini, Jean-Michel Marin, Clotilde NAPP and Christian Robert

Review of np software for R pp. 861-865

Teresa D. Harrison

Volume 23, issue 5, 2008

Identifying the new Keynesian Phillips curve pp. 525-551

James Nason and Gregor W. Smith

Learning, forecasting and structural breaks pp. 553-583

John M. Maheu and Stephen Gordon

Jumps in cross-sectional rank and expected returns: a mixture model pp. 585-606

Gloria González-Rivera, Tae-Hwy Lee and Santosh Mishra

Modes, weighted modes, and calibrated modes: evidence of clustering using modality tests pp. 607-638

Daniel J. Henderson, Christopher F. Parmeter and R. Robert Russell

Are output growth-rate distributions fat-tailed? some evidence from OECD countries pp. 639-669

Giorgio Fagiolo, Mauro Napoletano and Andrea Roventini

Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging pp. 671-682

Winford H. Masanjala and Chris Papageorgiou

Bayes estimates of distance-to-market: transactions costs, cooperatives and milk-market development in the Ethiopian highlands pp. 683-696

Garth Holloway, Simeon Ehui and Amare Teklu

Volume 23, issue 4, 2008

The estimation of utility-consistent labor supply models by means of simulated scores pp. 395-422

Hans Bloemen and Arie Kapteyn

An alternative approach to estimate the wage returns to private-sector training pp. 423-434

Edwin Leuven and Hessel Oosterbeek

Comparing smooth transition and Markov switching autoregressive models of US unemployment pp. 435-462

Philippe J. Deschamps

A nonparametric decomposition of the Mexican American average wage gap pp. 463-485

Ricardo Mora Villarrubia

Testing for country heterogeneity in growth models using a finite mixture approach pp. 487-514

Marco Alfo, Giovanni Trovato and Robert Waldmann

Maxima: An open source computer algebra system pp. 515-523

Jinhu Li and Jeffrey Scott Racine

Volume 23, issue 3, 2008

A bounds analysis of school completion rates in Australia pp. 287-304

Tue Gørgens and Chris Ryan

From temporary help jobs to permanent employment: what can we learn from matching estimators and their sensitivity? pp. 305-327

Andrea Ichino, Fabrizia Mealli and Tommaso Nannicini

Inferring disability status from corrupt data pp. 329-349

Brent Kreider and John V. Pepper

Learning and fatigue during choice experiments: a comparison of online and mail survey modes pp. 351-371

Scott J. Savage and Donald M. Waldman

Sequential numerical integration in nonlinear state space models for microeconometric panel data pp. 373-389

Florian Heiss

March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors pp. 391-393

M Hashem Pesaran

Volume 23, issue 2, 2008

Is gravity linear? pp. 137-172

Daniel J. Henderson and Daniel L. Millimet

Bayesian counterfactual analysis of the sources of the great moderation pp. 173-191

Chang-Jin Kim, James Morley and Jeremy Piger

Panel cointegration tests of the Fisher effect pp. 193-233

Joakim Westerlund

Using the variance structure of the conditional autoregressive spatial specification to model knowledge spillovers pp. 235-256

Olivier Parent and James P. LeSage

The effect of seasonal adjustment on the properties of business cycle regimes pp. 257-278

Antonio Matas-Mir, Denise Osborn and Marco Jacopo Lombardi

The GNU|Linux platform and freedom respecting software for economists pp. 279-286

A. Talha Yalta and Riccardo (Jack) Lucchetti

Volume 23, issue 1, 2008

International dynamic risk sharing pp. 1-16

Giuseppe Cavaliere, Luca Fanelli and Attilio Gardini

Extreme US stock market fluctuations in the wake of 9|11 pp. 17-42

S. T. M. Straetmans, W. F. C. Verschoor and C. C. P. Wolff

Multivariate partial adjustment of financial ratios: a Bayesian hierarchical approach pp. 43-64

Jose Luis Gallizo, Pilar Gargallo and Manuel Salvador

Structural breaks and GARCH models of exchange rate volatility pp. 65-90

David E. Rapach and Jack K. Strauss

The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model pp. 91-109

Surajit Ray and N. E. Savin

A unified approach to standardized-residuals-based correlation tests for GARCH-type models pp. 111-133

Yi-Ting Chen