Journal of Applied Econometrics

2011 - 2013

Edited by M. Hashem Pesaran

from John Wiley & Sons, Ltd.

This journal is a continuation of Journal of Applied Econometrics.
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Volume 28, issue 3, 2013

REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING pp. 353-371

Min Wei and Jonathan H. Wright

EURO CORPORATE BOND RISK FACTORS pp. 372-391

Carolina Castagnetti and Eduardo Rossi

POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES pp. 392-411

Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher

THE GROWTH AFTERMATH OF NATURAL DISASTERS pp. 412-434

Thomas Fomby, Yuki Ikeda and Norman V. Loayza

HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP pp. 435-457

Georgios Chortareas and George Kapetanios

REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS pp. 458-477

Michael Peter Clements and Ana Beatriz Galvão

LONG‐RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION pp. 478-497

Taeyoung Doh

TIME‐VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS pp. 498-525

Haroon Mumtaz and Laura Sunder‐Plassmann

Volume 28, issue 2, 2013

Forecasting with Medium and Large Bayesian VARS pp. 177-203

Gary M. Koop

VAR FORECASTING USING BAYESIAN VARIABLE SELECTION pp. 204-230

Dimitris Korobilis

WAS THE GOLD STANDARD REALLY DESTABILIZING? pp. 231-249

Gabriel Fagan, James R. Lothian and Paul Dominic McNelis

MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE pp. 250-274

Jan J. J. Groen, George Kapetanios and Simon Glover Price

CARROT AND STICK: HOW RE‐EMPLOYMENT BONUSES AND BENEFIT SANCTIONS AFFECT EXIT RATES FROM WELFARE pp. 275-296

Bas van der Klaauw and Jan van Ours

MEASURING THE EFFECT OF NAPSTER ON RECORDED MUSIC SALES: DIFFERENCE‐IN‐DIFFERENCES ESTIMATES UNDER COMPOSITIONAL CHANGES pp. 297-324

Seung-Hyun Hong

DURATION DEPENDENCE VERSUS UNOBSERVED HETEROGENEITY IN TREATMENT EFFECTS: SWEDISH LABOR MARKET TRAINING AND THE TRANSITION RATE TO EMPLOYMENT pp. 325-351

Katarina Richardson and Gerard J. Berg

Volume 28, issue 1, 2013

Panel data estimates of the production function and product and labor market imperfections pp. 1-46

Sabien Dobbelaere and Jacques MAIRESSE

Estimation of dynamic panel data models with sample selection pp. 47-61

Anastasia Semykina and Jeffrey M. Wooldridge

Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy pp. 62-81

Markus Jochmann, Gary Koop, Roberto Leon‐Gonzalez and Rodney W. Strachan

Macroeconomic forecasting and structural change pp. 82-101

D'Agostino, Antonello, Luca Gambetti and Domenico Giannone

Did China diversify its foreign reserves? pp. 102-125

Liugang Sheng

On the simultaneity problem in the aid and growth debate pp. 126-150

Markus Brückner

Investment decisions in manufacturing: assessing the effects of real oil prices and their uncertainty pp. 151-165

Konstantinos Drakos and Panagiotis Th. Konstantinou

Narrow and scientific replication of ‘The slave trade and the origins of mistrust in Africa' pp. 166-169

Koen Deconinck and Marijke Verpoorten

Microfit 5.0 pp. 170-175

C. R. McKenzie and Sumiko Takaoka

Volume 27, issue 7, 2012

Learning from peers in signaling game experiments pp. 1037-1058

Xiaodong Liu, John H. Kagel and Lung-Fei Lee

Is God in the details? A reexamination of the role of religion in economic growth pp. 1059-1075

Steven N. Durlauf, Andros Kourtellos and Chih Ming Tan

Estimating Engel curves under unit and item nonresponse pp. 1076-1099

Giuseppe De Luca and Franco Peracchi

Evaluating Californian under‐age drunk driving laws: endogenous policy lags pp. 1100-1115

Tzu‐Chun Kuo

Labor market entry and earnings dynamics: Bayesian inference using mixtures‐of‐experts Markov chain clustering pp. 1116-1137

Sylvia Frühwirth‐Schnatter, Christoph Pamminger, Andrea Weber and Rudolf Winter‐Ebmer

On the size distortion of tests after an overidentifying restrictions pretest pp. 1138-1160

Patrik Guggenberger and Gitanjali Kumar

An alternative measure of intergenerational income mobility based on a random coefficient model pp. 1161-1173

Irina Murtazashvili

Binary quantile regression: a Bayesian approach based on the asymmetric Laplace distribution pp. 1174-1188

Dries F. Benoit and Dirk Van den Poel

Finite‐sample comparison of alternative methods for estimating dynamic panel data models pp. 1189-1204

Alpaslan Akay

EViews 7.2 pp. 1205-1210

Colin Ross McKenzie and Sumiko Takaoka

The Richard Stone Prize in Applied Econometrics pp. 1211-1212

M Hashem Pesaran

Volume 27, issue 6, 2012

Realized GARCH: a joint model for returns and realized measures of volatility pp. 877-906

Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

Multivariate high‐frequency‐based volatility (HEAVY) models pp. 907-933

Diaa Noureldin, Neil Shephard and Kevin Keith Sheppard

On the forecasting accuracy of multivariate GARCH models pp. 934-955

Sébastien Laurent, Jeroen V. K. Rombouts and Francesco Violante

A comprehensive look at financial volatility prediction by economic variables pp. 956-977

Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf

Testing distributional assumptions: A GMM aproach pp. 978-1012

Christian Bontemps and Nour Meddahi

Risk aversion, intertemporal substitution, and the term structure of interest rates pp. 1013-1036

René Garcia and Richard Luger

Volume 27, issue 5, 2012

A PANEL DATA APPROACH FOR PROGRAM EVALUATION: MEASURING THE BENEFITS OF POLITICAL AND ECONOMIC INTEGRATION OF HONG KONG WITH MAINLAND CHINA pp. 705-740

Cheng Hsiao, H. Steve Ching and Shui Ki Wan

FOSTERING EDUCATIONAL ENROLMENT THROUGH SUBSIDIES: THE ISSUE OF TIMING pp. 741-772

Mario Fiorini

‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESISTANCE pp. 773-794

Kristian Behrens, Cem Ertur and Wilfried KOCH

WEIGHTED SMOOTH TRANSITION REGRESSIONS pp. 795-811

Ralf Becker and Denise Osborn

BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS pp. 812-830

Markku Lanne, Arto Luoma and Jani Luoto

A RANK‐ORDERED LOGIT MODEL WITH UNOBSERVED HETEROGENEITY IN RANKING CAPABILITIES pp. 831-846

Dennis Fok, Richard Paap and Bram Van Dijk

INDIVIDUAL VERSUS AGGREGATE INCOME ELASTICITIES FOR HETEROGENEOUS POPULATIONS pp. 847-869

Michal Paluch, Alois Kneip and Werner Hildenbrand

COMPARISON OF MODEL AVERAGING TECHNIQUES: ASSESSING GROWTH DETERMINANTS pp. 870-876

Shahram M. Amini and Christopher F. Parmeter

Volume 27, issue 3, 2012

Estimation of nonlinear models with mismeasured regressors using marginal information pp. 347-385

Yingyao Hu and Geert Ridder

Modelling heterogeneity and dynamics in the volatility of individual wages pp. 386-414

Laura Hospido

Nonparametric estimation of the impact of taxes on female labor supply pp. 415-439

Anil Kumar

Revealing the preferences of the US Federal Reserve pp. 440-473

Pelin Ilbas

Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances pp. 474-499

Emma M. Iglesias and Garry David Alan Phillips

Modelling dependence using skew t copulas: Bayesian inference and applications pp. 500-522

Michael Stanley Smith, Quan Gan and Robert J. Kohn

Volume 27, issue 2, 2012

Estimation of sample selection models with spatial dependence pp. 173-204

Alfonso Flores‐Lagunes and Kurt Erik Schnier

Productivity and efficiency dynamics in Indian banking: An input distance function approach incorporating quality of inputs and outputs pp. 205-234

Abhiman Das and Subal C. Kumbhakar

The impact of reserve prices on the perceived bias of expert appraisals of fine art pp. 235-252

Clare McAndrew, James L. Smith and Rex Thompson

Alternative technical efficiency measures: Skew, bias and scale pp. 253-268

Qu Feng and William C. Horrace

Dynamic stochastic copula models: estimation, inference and applications pp. 269-295

Christian Matthias Hafner and Hans Manner

Trade creation and diversion revisited: Accounting for model uncertainty and natural trading partner effects pp. 296-321

Theo Stefan Eicher, Christian Henn and Chris Papageorgiou

Specification and testing of models estimated by quadrature pp. 322-332

Geert Dhaene and João M.C. Santos Silva

From market shares to consumer types: Duality in differentiated product demand estimation pp. 333-342

Myrto Kalouptsidi

GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009) pp. 343-346

Helmut Farbmacher

Volume 27, issue 1, 2012

Dynamics and equilibrium in a structural model of wide‐body commercial aircraft markets pp. 1-33

Loren K. Smith

Traffic safety and vehicle choice: quantifying the effects of the ‘arms race’ on American roads pp. 34-62

Shanjun Li

Selection in a field experiment with voluntary participation pp. 63-84

Pieter A. Gautier and Bas van der Klaauw

Stochastic monotonicity in intergenerational mobility tables pp. 85-107

Valentino Dardanoni, Mario Fiorini and Antonio Forcina

Instrumental variables regressions with uncertain exclusion restrictions: a Bayesian approach pp. 108-128

Aart Kraay

Measuring the impact of nonignorability in panel data with non‐monotone nonresponse pp. 129-159

Hui Xie and Yi Qian

Innovation and competition: An unstable relationship pp. 160-166

Juan Allamand Correa

RStudio: A Platform‐Independent IDE for R and Sweave pp. 167-172

Jeffrey Scott Racine