Journal of Applied Econometrics

1986 - 2010

Continued by Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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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

Kris 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 Harrison

Volume 23, issue 5, 2008

Identifying the new Keynesian Phillips curve pp. 525-551

James Nason and Gregor Smith

Learning, forecasting and structural breaks pp. 553-583

John 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 Henderson, Christopher 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 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 Racine

Volume 23, issue 3, 2008

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

Tue Gørgens and Christopher 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 Pepper

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

Scott Savage and Donald 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

Mohammad Pesaran

Volume 23, issue 2, 2008

Is gravity linear? pp. 137-172

Daniel Henderson and Daniel 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 LeSage

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

Antonio Matas-Mir, Denise Osborn and Marco 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

Stefan Straetmans, Willem Verschoor and Christian Wolff

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

Jose Gallizo, Pilar Gargallo and Manuel Salvador

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

David E. Rapach and Jack 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

Volume 22, issue 7, 2007

The Econometrics of Industrial Organization pp. 1153-1156

Luc Bauwens, Alvaro Escribano and Michel Lubrano

Consumer benefits from increased competition in shopping outlets: Measuring the effect of Wal-Mart pp. 1157-1177

Jerry Hausman and Ephraim Leibtag

Quantifying the supply-side benefits from forward contracting in wholesale electricity markets pp. 1179-1209

Frank A. Wolak

Finite sample inference methods for dynamic energy demand models pp. 1211-1226

Jean-Thomas Bernard, Nadhem Idoudi, Lynda Khalaf and Clement Yelou

Semi-structural models of advertising competition pp. 1227-1246

Joris Pinkse and Margaret Slade

Estimating market power in a two-sided market: The case of newspapers pp. 1247-1266

Elena Argentesi and Lapo Filistrucchi

Concessions of infrastructure in Latin America: Government-led renegotiation pp. 1267-1294

J. Luis Guasch, Jean-Jacques Laffont and Stephane Straub

Bargaining powers and market segmentation in freight transport pp. 1295-1313

Michel Mouchart and Marie Vandresse

Complementarities in automobile production pp. 1315-1345

Johannes Van Biesebroeck

The relationship between R&D collaboration, subsidies and R&D performance: Empirical evidence from Finland and Germany pp. 1347-1366

Dirk Czarnitzki, Bernd Ebersberger and Andreas Fier

Statistical inference for aggregates of Farrell-type efficiencies pp. 1367-1394

Leopold Simar and Valentin Zelenyuk

Journal of Applied Econometrics Dissertation Prize pp. 1395-1395

Mohammad Pesaran

Volume 22, issue 6, 2007

An extortionary guerrilla movement pp. 995-1011

Norman Offstein

Meta-analysis in model implementation: choice sets and the valuation of air quality improvements pp. 1013-1031

Spencer Banzhaf and V. Smith

Growth, technological interdependence and spatial externalities: theory and evidence pp. 1033-1062

Cem Ertur and Wilfried Koch

Permanent and transitory wages of British men, 1975-2001: year, age and cohort effects pp. 1063-1093

Adriaan Kalwij and Rob Alessie

Identification of parameters in normal error component logit-mixture (NECLM) models pp. 1095-1125

Joan L. Walker, Moshe Ben-Akiva and Denis Bolduc

Efficiency of the California electricity reserves market pp. 1127-1144

Konstantinos Metaxoglou and Aaron Smith

EViews 5.1 pp. 1145-1152

Colin McKenzie and Sumiko Takaoka

Volume 22, issue 5, 2007

Model-free evaluation of directional predictability in foreign exchange markets pp. 855-889

Jaehun Chung and Yongmiao Hong

Asymmetric power distribution: Theory and applications to risk measurement pp. 891-921

Ivana Komunjer

An evaluation of the life cycle effects of minimum pensions on retirement behavior pp. 923-950

Sergi Jimenez-Martin and Alfonso Sanchez Martin

International welfare comparisons and nonparametric testing of multivariate stochastic dominance pp. 951-969

Brian McCaig and Adonis Yatchew

Semi-nonparametric competing risks analysis of recidivism pp. 971-993

Herman Bierens and Jose Carvalho

Volume 22, issue 4, 2007

The policy environment and relative price efficiency of Egyptian private sector manufacturing: 1987|88-1995|96 pp. 703-728

Lullit Getachew and Robin Sickles

Identifying technically efficient fishing vessels: a non-empty, minimal subset approach pp. 729-745

Alfonso Flores-Lagunes, William Horrace and Kurt Schnier

Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship pp. 747-765

Jonathan B. Hill

Money demand function estimation by nonlinear cointegration pp. 767-793

Youngsoo Bae and Robert de Jong

Nonparametric estimation of concave production technologies by entropic methods pp. 795-816

Gad Allon, Michael Beenstock, Steven Hackman, Ury Passy and Alexander Shapiro

Bayesian inference for the gravity model pp. 817-838

Priya Ranjan and Justin Tobias

Small-sample bias in synthetic cohort models of labor supply pp. 839-848

Paul Devereux

GRETL 1.6.0 and its numerical accuracy pp. 849-854

A. Talha Yalta and A. Yasemin Yalta

Volume 22, issue 3, 2007

Unemployment and liquidity constraints pp. 479-510

Yannis Ioannides and Vassilis Hajivassiliou

The interrelated dynamics of unemployment and low-wage employment pp. 511-531

Mark Stewart

Assessing the performance of matching algorithms when selection into treatment is strong pp. 533-557

Jochen Kluve and Boris Augurzky

Sectoral adjustment of employment to shifts in outsourcing and trade: evidence from a dynamic fixed effects multinomial logit model pp. 559-580

Michael Pfaffermayr, Peter Egger and Andrea Weber

The welfare cost of means-testing: pensioner participation in income support pp. 581-598

Stephen Pudney, Monica Hernandez Alava and Ruth Hancock

A discrete-choice model with social interactions: with an application to high school teen behavior pp. 599-624

Peter Kooreman and Adriaan Soetevent

Habits and heterogeneity in demands: a panel data analysis pp. 625-640

M. Dolores Collado and Martin Browning

Discounting the distant future: How much does model selection affect the certainty equivalent rate? pp. 641-656

Phoebe Koundouri, Theologos Pantelidis, Ben Groom and Ekaterini Panopoulou

Correcting for bias in retrospective data pp. 657-675

Zvi Eckstein and Ron Shachar

Finite sample evidence of IV estimators under weak instruments pp. 677-694

Alfonso Flores-Lagunes

Nonparametric estimation of a hedonic price function pp. 695-699

Daniel Henderson, Christopher Parmeter and Subal Kumbhakar

Journal of Applied Econometrics Annual Lecture Series pp. 701-701

Mark Watson

Volume 22, issue 2, 2007

Heterogeneity and cross section dependence in panel data models: theory and applications introduction pp. 229-232

Mohammad Pesaran and Badi Baltagi

Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices pp. 233-264

Timothy K. Chue and In Choi

A simple panel unit root test in the presence of cross-section dependence pp. 265-312

Mohammad Pesaran

Dynamic factor extraction of cross-sectional dependence in panel unit root tests pp. 313-338

George Kapetanios

Panel unit root tests and spatial dependence pp. 339-360

Georges Bresson, Badi Baltagi and Alain Pirotte

Gravity models of intra-EU trade: application of the CCEP-HT estimation in heterogeneous panels with unobserved common time-specific factors pp. 361-381

Yongcheol Shin and Laura Serlenga

An empirical analysis of nonstationarity in a panel of interest rates with factors pp. 383-400

Benoit Perron and Hyungsik Moon

Long-run trends in internal migrations in italy: a study in panel cointegration with dependent units pp. 401-428

Stefano Fachin

Social capital, barriers to production and capital shares: implications for the importance of parameter heterogeneity from a nonstationary panel approach pp. 429-451

Peter Pedroni

Evaluating the impacts of Washington state repeated job search services on the earnings of prime-age female TANF recipients pp. 453-475

Yan Shen, Greg Weeks, Cheng Hsiao and Boqing Wang

Volume 22, issue 1, 2007

Exploring the international linkages of the euro area: a global VAR analysis pp. 1-38

Filippo di Mauro, L. Vanessa Smith, Stephane Dees and Mohammad Pesaran

The transmission mechanism in a changing world pp. 39-61

Ana Galvão, Michael Artis and Massimiliano Marcellino

Nonlinear autoregressive leading indicator models of output in G-7 countries pp. 63-87

George Athanasopoulos, Heather Anderson and Farshid Vahid

Unravelling financial market linkages during crises pp. 89-119

Vance Martin and Mardi Dungey

An evaluation of the forecasts of the federal reserve: a pooled approach pp. 121-136

Fred Joutz, Michael Clements and Herman Stekler

Codependence in cointegrated autoregressive models pp. 137-159

Christoph Schleicher

Expectation horizon and the Phillips Curve: the solution to an empirical puzzle pp. 161-178

Charles Nelson and Jaejoon Lee

Robust optimal monetary policy in a forward-looking model with parameter and shock uncertainty pp. 179-213

Marc Giannoni

I ran four million probits last night: HPC clustering with ParallelKnoppix pp. 215-223

Michael Creel