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Journal of Applied Econometrics

1986 - 2010

Current editor(s): 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 Downloads
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 Downloads
Martin Biewen
Estimating class-specific parametric models under class uncertainty: local polynomial regression clustering in an hedonic analysis of wine markets pp. 1117-1135 Downloads
Marco Costanigro, Ron Mittelhammer and Jill J. McCluskey
Dichotomous-choice contingent valuation with 'dont know' responses and misreporting pp. 1137-1152 Downloads
Kelvin George Balcombe and Iain Fraser
Economic transition and growth pp. 1153-1185 Downloads
Peter C. B. Phillips and Donggyu Sul
Forecasting US output growth using leading indicators: an appraisal using MIDAS models pp. 1187-1206 Downloads
Michael Peter Clements and Ana Beatriz Galvão
The political economy of financial reform: are Abiad and Mody right? pp. 1207-1213 Downloads
Yongfu Huang

Volume 24, issue 6, 2009

In memory of Clive Granger: an advisory board member of the journal pp. 871-873 Downloads
David F. Hendry and M Hashem Pesaran
Aggregation is not the solution: the PPP puzzle strikes back pp. 875-894 Downloads
María Dolores Gadea and Laura Mayoral
Time-varying yield curve dynamics and monetary policy pp. 895-913 Downloads
Haroon Mumtaz and Paolo Surico
The relationship between wage growth and wage levels pp. 914-932 Downloads
Tricia Gladden and Christopher Taber
Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model pp. 933-959 Downloads
Sandra Eickmeier
What are the effects of fiscal policy shocks? pp. 960-992 Downloads
Andrew Mountford and Harald Uhlig
Compensatory inter vivos gifts pp. 993-1023 Downloads
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 Downloads
Maarten Lindeboom and Marcel Kerkhofs
A re-examination of the stationarity of inflation pp. 1047-1053 Downloads
Steven Cook

Volume 24, issue 5, 2009

Forecasting realized volatility: a Bayesian model-averaging approach pp. 709-733 Downloads
Chun Liu and John M. Maheu
A semiparametric model for binary response and continuous outcomes under index heteroscedasticity pp. 735-762 Downloads
Roger W. Klein and Francis Vella
The pervasive absence of compensating differentials pp. 763-795 Downloads
Stéphane Bonhomme and Gregory Jolivet
Evaluating the dynamic employment effects of training programs in East Germany using conditional difference-in-differences pp. 797-823 Downloads
Annette Bergemann, Bernd Fitzenberger and Stefan Speckesser
Testing for cointegration using the Johansen approach: are we using the correct critical values? pp. 825-831 Downloads
Paul M. Turner
On reproducible econometric research pp. 833-847 Downloads
Roger Koenker and Achim Zeileis
PDL: an object-oriented programming environment for econometrics pp. 849-856 Downloads
Giovanni Baiocchi
Charles F. Manski, Identification for Prediction and Decision (Harvard University Press 2007) pp. 857-862 Downloads
Jörg Stoye
The Richard Stone Prize in Applied Econometrics pp. 863-863 Downloads
M Hashem Pesaran
Announcement pp. 865-865 Downloads
M Hashem Pesaran

Volume 24, issue 4, 2009

Risk of catastrophic terrorism: an extreme value approach pp. 537-559 Downloads
Hamid Mohtadi and Antu Panini Murshid
On portfolio optimization: How and when do we benefit from high-frequency data? pp. 560-582 Downloads
Qianqiu Liu
Assessing the prudence of economic forecasts in the EU pp. 583-606 Downloads
G. A. Christodoulakis and Emmanuel Mamatzakis
Boosting diffusion indices pp. 607-629 Downloads
Jushan Bai and Serena Ng
Steady-state priors for vector autoregressions pp. 630-650 Downloads
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 Downloads
Eduardo Ley and Mark Steel
Feasible estimation of firm-specific allocative inefficiency through Bayesian numerical methods pp. 675-697 Downloads
Scott E. Atkinson and Jeffrey Dorfman
Econometrics with Python pp. 698-704 Downloads
Christine Choirat and Raffello Seri

Volume 24, issue 3, 2009

Introduction to the special issue on new econometric models in marketing pp. 375-376 Downloads
Pradeep K. Chintagunta, Philip Hans Franses and Richard Paap
Do randomized‐response designs eliminate response biases? An empirical study of non‐compliance behavior pp. 377-392 Downloads
Ulf Böckenholt, Sema Barlas and Peter G. M. van der Heijden
The price consideration model of brand choice pp. 393-420 Downloads
Andrew Ching, Tulin Erdem and Michael P Keane
Measuring marketing‐mix effects in the 32/64 bit video‐game console market pp. 421-445 Downloads
Pradeep K. Chintagunta, Harikesh S. Nair and R. Sukumar
Frugal IV alternatives to identify the parameter for an endogenous regressor pp. 446-468 Downloads
Peter Ebbes, Michel Wedel and Ulf Böckenholt
Modeling category‐level purchase timing with brand‐level marketing variables pp. 469-489 Downloads
Dennis Fok and Richard Paap
Bayesian estimation of random‐coefficients choice models using aggregate data pp. 490-516 Downloads
Andrés Musalem, Eric T. Bradlow and Jagmohan S. Raju
Consumer price evaluations through choice experiments pp. 517-535 Downloads
Zsolt Sándor and Philip Hans Franses

Volume 24, issue 2, 2009

Jointness of growth determinants pp. 209-244 Downloads
Gernot Doppelhofer and Melvyn Weeks
Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks pp. 245-247 Downloads
Rodney W. Strachan
Comments on ‘Jointness of growth determinants’ pp. 248-251 Downloads
Eduardo Ley and Mark Steel
Jointness of growth determinants: Reply to comments by Rodney Strachan, Eduardo Ley and Mark F.J. Steel pp. 252-256 Downloads
Gernot Doppelhofer and Melvyn Weeks
Binary choice under social interactions: an empirical study with and without subjective data on expectations pp. 257-281 Downloads
Ji Li and Lung‐fei Lee
Public insurance and private savings: who is affected and by how much? pp. 282-308 Downloads
Alex S. Maynard and Jiaping Qiu
Estimating Euler equations with noisy data: two exact GMM estimators pp. 309-324 Downloads
Sule Alan, Orazio Attanasio and Martin James Browning
Assessing the credibility of instrumental variables inference with imperfect instruments via sensitivity analysis pp. 325-337 Downloads
Richard Ashley
Is labour market training a curse for the unemployed? Evidence from a social experiment pp. 338-365 Downloads
Michael Rosholm and Lars Skipper
Towards reproducible econometric research: the Sweave framework pp. 366-374 Downloads
Evan Meredith and Jeffrey Scott Racine

Volume 24, issue 1, 2009

Annual miles drive used car prices pp. 1-33 Downloads
Maxim Peter Engers, Monica E. Hartmann and Steven Stern
Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective pp. 35-75 Downloads
Nathan Balke and Mark E. Wohar
Does the option market produce superior forecasts of noise-corrected volatility measures? pp. 77-104 Downloads
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 Downloads
Guohua Feng and Apostolos Serletis
International output convergence: evidence from an autocorrelation function approach pp. 139-162 Downloads
Giovanni Caggiano and Leone Leonida
Random Recursive Partitioning: a matching method for the estimation of the average treatment effect pp. 163-185 Downloads
Giuseppe Porro and Stefano Maria Iacus
Hours per capita and productivity: evidence from correlated unobserved components models pp. 187-206 Downloads
Arabinda Basistha
Journal of Applied Econometrics Dissertation Prize pp. 207-207 Downloads
M Hashem Pesaran
Page updated 2014-10-21