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Journal of Applied Econometrics

1986 - 2023

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 38, issue 4, 2023

Inflation expectations and nonlinearities in the Phillips curve pp. 453-471 Downloads
Alexander Doser, Ricardo Nunes, Nikhil Rao and Viacheslav Sheremirov
Fiscal targets. A guide to forecasters? pp. 472-492 Downloads
Joan Paredes, Javier J. Pérez and Gabriel Perez Quiros
Deep distributional time series models and the probabilistic forecasting of intraday electricity prices pp. 493-511 Downloads
Nadja Klein, Michael Stanley Smith and David J. Nott
Quantifying investor narratives and their role during COVID‐19 pp. 512-532 Downloads
Daniel Borup, Jorge Wolfgang Hansen, Benjamin Dybro Liengaard and Erik Christian Montes Schütte
Identifying and interpreting the factors in factor models via sparsity: Different approaches pp. 533-555 Downloads
Thomas Despois and Catherine Doz
Subspace shrinkage in conjugate Bayesian vector autoregressions pp. 556-576 Downloads
Florian Huber and Gary Koop
Bayesian optimization of hyperparameters from noisy marginal likelihood estimates pp. 577-595 Downloads
Oskar Gustafsson, Mattias Villani and Pär Stockhammar
Robust forecast superiority testing with an application to assessing pools of expert forecasters pp. 596-622 Downloads
Valentina Corradi, Sainan Jin and Norman R. Swanson
Inattention and the impact of monetary policy pp. 623-643 Downloads
Zidong An, Salem Abo‐Zaid and Xuguang Simon Sheng
Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models pp. 644-667 Downloads
Zhongjun Qu and Denis Tkachenko

Volume 38, issue 3, 2023

Identifying the effects of sanctions on the Iranian economy using newspaper coverage pp. 271-294 Downloads
Dario Laudati and Mohammad Pesaran
Macroeconomic forecasting in times of crises pp. 295-320 Downloads
Pablo Guerróon‐Quintana and Molin Zhong
Testing random assignment to peer groups pp. 321-333 Downloads
Koen Jochmans
The employment effects of the minimum wage: A selection ratio approach to measuring treatment effects pp. 334-357 Downloads
David Slichter
Inference in difference‐in‐differences: How much should we trust in independent clusters? pp. 358-369 Downloads
Bruno Ferman
The shale oil revolution and the global oil supply curve pp. 370-387 Downloads
Claudia Foroni and Livio Stracca
The multifaceted impact of US trade policy on financial markets pp. 388-406 Downloads
Lukas Boer, Lukas Menkhoff and Malte Rieth
Testing identifying assumptions in bivariate probit models pp. 407-422 Downloads
Santiago Acerenza, Otavio Bartalotti and Désiré Kédagni
New evidence on the importance of instruction time for student achievement on international assessments pp. 423-431 Downloads
Jan Bietenbeck and Matthew Collins
Global financial uncertainty pp. 432-449 Downloads
Giovanni Caggiano and Efrem Castelnuovo

Volume 38, issue 2, 2023

On the real‐time predictive content of financial condition indices for growth pp. 137-163 Downloads
Aaron J. Amburgey and Michael W. McCracken
Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty pp. 164-185 Downloads
Michael Clements and Ana Beatriz Galvão
Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies pp. 186-201 Downloads
Katarzyna Budnik and Gerhard Rünstler
Real‐time macroeconomic projection using narrative central bank communication pp. 202-221 Downloads
Jianhao Lin, Jiacheng Fan, Yifan Zhang and Liangyuan Chen
Forward guidance and expectation formation: A narrative approach pp. 222-241 Downloads
Christopher S. Sutherland
Hierarchical random‐effects model for the insurance pricing of vehicles belonging to a fleet pp. 242-259 Downloads
Denise Desjardins, Georges Dionne and Yang Lu
Reassessing the dependence between economic growth and financial conditions since 1973 pp. 260-267 Downloads
Tony Chernis, Patrick Coe and Shaun P. Vahey

Volume 38, issue 1, 2023

The role of observed and unobserved heterogeneity in the duration of unemployment pp. 3-23 Downloads
Hie Joo Ahn
Dynamic and non‐neutral productivity effects of foreign ownership: A nonparametric approach pp. 24-48 Downloads
Yoonseok Lee, Mary E. Lovely and Hoang Pham
Structural VAR and financial networks: A minimum distance approach to spatial modeling pp. 49-68 Downloads
Daniela Scidá
General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields pp. 69-87 Downloads
Manfred M. Fischer, Niko Hauzenberger, Florian Huber and Michael Pfarrhofer
Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting pp. 88-104 Downloads
Andrew C. Chang and Trace J. Levinson
Equity‐premium prediction: Attention is all you need pp. 105-122 Downloads
Luiz Renato Lima and Lucas Lúcio Godeiro
Workplace heterogeneity and wage inequality in Denmark pp. 123-133 Downloads
Annaïg Morin

Volume 37, issue 7, 2022

Regression with an imputed dependent variable pp. 1277-1294 Downloads
Thomas Crossley, Peter Levell and Stavros Poupakis
Normal but skewed? pp. 1295-1313 Downloads
Dante Amengual, Xinyue Bei and Enrique Sentana
Forecasting low‐frequency macroeconomic events with high‐frequency data pp. 1314-1333 Downloads
Ana Beatriz Galvão and Michael Owyang
Long‐run predictability tests are even worse than you thought pp. 1334-1355 Downloads
Erik Hjalmarsson and Tamas Kiss
Bayesian estimation of multivariate panel probits with higher‐order network interdependence and an application to firms' global market participation in Guangdong pp. 1356-1378 Downloads
Badi Baltagi, Peter Egger and Michaela Kesina
Did earnings mobility change after minimum wage introduction? Evidence from parametric and semi‐nonparametric methods in Germany pp. 1379-1402 Downloads
Costanza Naguib
Reevaluating the evidence on seasonality in housing market match quality: Replication of Ngai and Tenreyro (2014) pp. 1403-1409 Downloads
Dean Scrimgeour

Volume 37, issue 6, 2022

Covariate distribution balance via propensity scores pp. 1093-1120 Downloads
Pedro H. C. Sant'Anna, Xiaojun Song and Qi Xu
Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations pp. 1121-1137 Downloads
Koen Jochmans and Vincenzo Verardi
Do words hurt more than actions? The impact of trade tensions on financial markets pp. 1138-1159 Downloads
Massimo Ferrari Minesso, Frederik Kurcz and Maria Sole Pagliari
Count Roy model with finite mixtures pp. 1160-1181 Downloads
Murat K. Munkin
Trade openness and growth: A network‐based approach pp. 1182-1203 Downloads
Georg Duernecker, Moritz Meyer and Fernando Vega‐Redondo
Matching theory and evidence on Covid‐19 using a stochastic network SIR model pp. 1204-1229 Downloads
Mohammad Pesaran and Cynthia Fan Yang
Macroeconomic forecasting in a multi‐country context pp. 1230-1255 Downloads
Yu Bai, Andrea Carriero, Todd Clark and Massimiliano Marcellino
Identification of dynamic latent factor models of skill formation with translog production pp. 1256-1265 Downloads
Emilia Del Bono, Josh Kinsler and Ronni Pavan
Do rural banks matter that much? Burgess and Pande (2005) reconsidered pp. 1266-1274 Downloads
Nino Buliskeria and Jaromir Baxa

Volume 37, issue 5, 2022

Nowcasting tail risk to economic activity at a weekly frequency pp. 843-866 Downloads
Andrea Carriero, Todd Clark and Massimiliano Marcellino
Oil prices, gasoline prices, and inflation expectations pp. 867-881 Downloads
Lutz Kilian and Xiaoqing Zhou
The role of precautionary and speculative demand in the global market for crude oil pp. 882-895 Downloads
Jamie L. Cross, Bao H. Nguyen and Trung Duc Tran
Making text count: Economic forecasting using newspaper text pp. 896-919 Downloads
Eleni Kalamara, Arthur Turrell, Chris Redl, George Kapetanios and Sujit Kapadia
How is machine learning useful for macroeconomic forecasting? pp. 920-964 Downloads
Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic and Stéphane Surprenant
Optimal forecast under structural breaks pp. 965-987 Downloads
Tae Hwy Lee, Shahnaz Parsaeian and Aman Ullah
Extremal connectedness of hedge funds pp. 988-1009 Downloads
Linda Mhalla, Julien Hambuckers and Marie Lambert
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters pp. 1010-1030 Downloads
Matei Demetrescu, Christoph Hanck and Robinson Kruse‐Becher
Recurrent conditional heteroskedasticity pp. 1031-1054 Downloads
Trong‐Nghia Nguyen, Minh‐Ngoc Tran and Robert Kohn
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve pp. 1055-1078 Downloads
Jinho Choi, Juan Carlos Escanciano and Junjie Guo
ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R pp. 1079-1090 Downloads
Kleanthis Natsiopoulos and Nickolaos G. Tzeremes

Volume 37, issue 4, 2022

Measuring real activity using a weekly economic index pp. 667-687 Downloads
Daniel Lewis, Karel Mertens, James H. Stock and Mihir Trivedi
How to estimate a vector autoregression after March 2020 pp. 688-699 Downloads
Michele Lenza and Giorgio Primiceri
The global component of inflation volatility pp. 700-721 Downloads
Andrea Carriero, Francesco Corsello and Massimiliano Marcellino
Identifying factor‐augmented vector autoregression models via changes in shock variances pp. 722-745 Downloads
Yohei Yamamoto and Naoko Hara
The impact of product and labour market reform on growth: Evidence for OECD countries based on local projections pp. 746-770 Downloads
Jakob de Haan and Rasmus Wiese
Early‐life famine exposure, hunger recall, and later‐life health pp. 771-787 Downloads
Zichen Deng and Maarten Lindeboom
A regularization approach to common correlated effects estimation pp. 788-810 Downloads
Artūras Juodis
Revisiting Sweden's comprehensive school reform: Effects on education and earnings pp. 811-819 Downloads
Martin Fischer, Gawain Heckley, Martin Karlsson and Therese Nilsson
Small world: Narrow, wide, and long replication of Goyal, van der Leij and Moraga‐Gonzélez (JPE 2006) and a comparison of EconLit and Scopus pp. 820-828 Downloads
Michael Rose

Volume 37, issue 3, 2022

Common factors of commodity prices pp. 461-476 Downloads
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
(Un)expected monetary policy shocks and term premia pp. 477-499 Downloads
Martin Kliem and Alexander Meyer‐Gohde
Expanding health insurance for the elderly of the Philippines pp. 500-520 Downloads
Michael Abrigo, Timothy Halliday and Teresa Molina
The dynamic interdependence in the demand of primary and emergency secondary care: A hidden Markov approach pp. 521-536 Downloads
Mauro Laudicella and Paolo Li Donni
Nonparametric tests of tail behavior in stochastic frontier models pp. 537-562 Downloads
William Horrace and Yulong Wang
Real estate agents' influence on housing search pp. 563-582 Downloads
Seung‐Hyun Hong
An automated prior robustness analysis in Bayesian model comparison pp. 583-602 Downloads
Joshua Chan, Liana Jacobi and Dan Zhu
Does model complexity add value to asset allocation? Evidence from machine learning forecasting models pp. 603-639 Downloads
Iason Kynigakis and Ekaterini Panopoulou
Individual forecaster perceptions of the persistence of shocks to GDP pp. 640-656 Downloads
Michael Clements
Large devaluations and inflation inequality: Replicating Cravino and Levchenko (2017) with evidence from Brazil pp. 657-664 Downloads
Raphael Gouvêa

Volume 37, issue 2, 2022

Dynamic evaluation of job search assistance pp. 227-241 Downloads
Stephen Kastoryano and Bas van der Klaauw
Dynamic treatment effects of job training pp. 242-269 Downloads
Jorge Rodriguez, Fernando Saltiel and Sergio Urzúa
Dependence‐robust inference using resampled statistics pp. 270-285 Downloads
Michael Leung
Individual consumption in collective households: Identification using repeated observations with an application to PROGRESA pp. 286-304 Downloads
Senay Sokullu and Christine Valente
The bilateral trade effects of announcement shocks: Brexit as a natural field experiment pp. 305-329 Downloads
Mustapha Douch and Terence Huw Edwards
Declining discount rates in Singapore's market for privately developed apartments pp. 330-350 Downloads
Eric Fesselmeyer, Haoming Liu and Alberto Salvo
A Bayesian approach to account for misclassification in prevalence and trend estimation pp. 351-367 Downloads
Martijn van Hasselt, Christopher R. Bollinger and Jeremy Bray
Information gains from using short‐dated options for measuring and forecasting volatility pp. 368-391 Downloads
Viktor Todorov and Yang Zhang
Commodity prices and inflation risk pp. 392-414 Downloads
Anthony Garratt and Ivan Petrella
Contagious switching pp. 415-432 Downloads
Michael Owyang, Jeremy Piger and Daniel Soques
Encompassing measures of international consumption risk sharing and their link with trade and financial globalization pp. 433-449 Downloads
Gerdie Everaert and Lorenzo Pozzi
The deposits channel revisited pp. 450-458 Downloads
Matthew Schaffer and Nimrod Segev

Volume 37, issue 1, 2022

Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models pp. 3-22 Downloads
Giovanni Angelini, Giuseppe Cavaliere and Luca Fanelli
Forecast uncertainty, disagreement, and the linear pool pp. 23-41 Downloads
Malte Knüppel and Fabian Krüger
Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions pp. 42-62 Downloads
Nikoleta Anesti, Ana Beatriz Galvão and Silvia Miranda‐Agrippino
News media versus FRED‐MD for macroeconomic forecasting pp. 63-81 Downloads
Jon Ellingsen, Vegard Larsen and Leif Thorsrud
The economics of state fragmentation: Assessing the economic impact of secession pp. 82-115 Downloads
Jo Reynaerts and Jakob Vanschoonbeek
Cyclical labour income risk in Great Britain pp. 116-130 Downloads
Konstantinos Angelopoulos, Spyridon Lazarakis and Jim Malley
International spillovers of forward guidance shocks pp. 131-160 Downloads
Callum Jones, Mariano Kulish and Daniel Rees
Aggregate consumption and wealth in the long run: The impact of financial liberalization pp. 161-186 Downloads
Malin Gardberg and Lorenzo Pozzi
Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China pp. 187-209 Downloads
Xiao Ke and Cheng Hsiao
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009) pp. 210-217 Downloads
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Are there no wage returns to compulsory schooling in Germany? A reassessment pp. 218-223 Downloads
Kamila Cygan‐Rehm
Page updated 2023-06-04