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Journal of Applied Econometrics
1986 - 2010
Edited by M. Hashem Pesaran
from John Wiley & Sons, Ltd.
This journal is continued by Journal of Applied Econometrics .
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Volume 24, issue 7 , 2009
Land of addicts? an empirical investigation of habit-based asset pricing models pp. 1057-1093 Xiaohong Chen and Sydney C. Ludvigson Measuring state dependence in individual poverty histories when there is feedback to employment status and household composition pp. 1095-1116 Martin Biewen Estimating class-specific parametric models under class uncertainty: local polynomial regression clustering in an hedonic analysis of wine markets pp. 1117-1135 Marco Costanigro , Ron Mittelhammer and Jill J. McCluskey Dichotomous-choice contingent valuation with 'dont know' responses and misreporting pp. 1137-1152 Kelvin George Balcombe and Iain Fraser Economic transition and growth pp. 1153-1185 Peter C. B. Phillips and Donggyu Sul Forecasting US output growth using leading indicators: an appraisal using MIDAS models pp. 1187-1206 Michael Peter Clements and Ana Beatriz Galvão The political economy of financial reform: are Abiad and Mody right? pp. 1207-1213 Yongfu Huang Volume 24, issue 6 , 2009
In memory of Clive Granger: an advisory board member of the journal pp. 871-873 David F. Hendry and M Hashem Pesaran Aggregation is not the solution: the PPP puzzle strikes back pp. 875-894 María Dolores Gadea and Laura Mayoral Time-varying yield curve dynamics and monetary policy pp. 895-913 Haroon Mumtaz and Paolo Surico The relationship between wage growth and wage levels pp. 914-932 Tricia Gladden and Christopher Taber Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model pp. 933-959 Sandra Eickmeier What are the effects of fiscal policy shocks? pp. 960-992 Andrew Mountford and Harald Uhlig Compensatory inter vivos gifts pp. 993-1023 Stefan Hochguertel and Henry Ohlsson Health and work of the elderly: subjective health measures, reporting errors and endogeneity in the relationship between health and work pp. 1024-1046 Maarten Lindeboom and Marcel Kerkhofs A re-examination of the stationarity of inflation pp. 1047-1053 Steven Cook Volume 24, issue 5 , 2009
Forecasting realized volatility: a Bayesian model-averaging approach pp. 709-733 Chun Liu and John M. Maheu A semiparametric model for binary response and continuous outcomes under index heteroscedasticity pp. 735-762 Roger W. Klein and Francis Vella The pervasive absence of compensating differentials pp. 763-795 Stéphane Bonhomme and Gregory Jolivet Evaluating the dynamic employment effects of training programs in East Germany using conditional difference-in-differences pp. 797-823 Annette Bergemann , Bernd Fitzenberger and Stefan Speckesser Testing for cointegration using the Johansen approach: are we using the correct critical values? pp. 825-831 Paul M. Turner On reproducible econometric research pp. 833-847 Roger Koenker and Achim Zeileis PDL: an object-oriented programming environment for econometrics pp. 849-856 Giovanni Baiocchi Charles F. Manski, Identification for Prediction and Decision (Harvard University Press 2007) pp. 857-862 Jörg Stoye The Richard Stone Prize in Applied Econometrics pp. 863-863 M Hashem Pesaran Announcement pp. 865-865 M Hashem Pesaran 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 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 regressionThis 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 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 Peter 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 E. 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 Bandeira 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 Kris Iyer , Alicia N. 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 Arnold 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 M. 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 Gonzalez-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 John 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 Gorgens and Christopher Anthony 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 M. 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 Lucchetti, Riccardo (Jack) 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 Stefan T.M. Straetmans , W. F. C. Verschoor and Christian 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
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