Journal of Applied Econometrics

2011 - 2018

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 33, issue 7, 2018

Should we use linearized models to calculate fiscal multipliers? pp. 937-965

Jesper Lindé and Mathias Trabandt

Dynamic discrete copula models for high‐frequency stock price changes pp. 966-985

Siem Jan Koopman, Rutger Lit, André Lucas and Anne Opschoor

Realized networks pp. 986-1006

Christian Brownlees, Eulalia Nualart and Yucheng Sun

Risk‐neutral moment‐based estimation of affine option pricing models* pp. 1007-1025

Bruno Feunou and Cédric Okou

A test of general asymmetric dependence pp. 1026-1043

Lei Jiang, Esfandiar Maasoumi, Jiening Pan and Ke Wu

Girls and boys: Economic crisis, fertility, and birth outcomes pp. 1044-1063

Soohyung Lee and Chiara Orsini

Collective decisions, household production, and labor force participation pp. 1064-1080

Olivier Donni and Eleonora Matteazzi

Barriers to price convergence pp. 1081-1097

Marina Glushenkova, Andros Kourtellos and Marios Zachariadis

How important are fixed effects and time trends in estimating returns to schooling? Evidence from a replication of Jacobson, Lalonde, and Sullivan, 2005 pp. 1098-1108

Susan Dynarski, Brian Jacob and Daniel Kreisman

Flexible Estimation of Demand Systems: A Copula Approach pp. 1109-1116

Mateo Velásquez‐Giraldo, Gustavo Canavire‐Bacarreza, Kim Huynh and David T. Jacho‐Chavez

Volume 33, issue 6, 2018

National natural rates of interest and the single monetary policy in the euro area pp. 763-779

Sébastien Fries, Jean‐Stéphane Mésonnier, Sarah Mouabbi and Jean‐Paul Renne

Testing for optimal monetary policy via moment inequalities pp. 780-796

Laura Coroneo, Valentina Corradi and Paulo Santos Monteiro

Homogeneity pursuit in panel data models: Theory and application pp. 797-815

Wuyi Wang, Peter C. B. Phillips and Liangjun Su

Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors pp. 816-836

Alexander Chudik, M Pesaran and Jui‐Chung Yang

Testing the rationality of expectations of qualitative outcomes pp. 837-852

Carlos Madeira

Risk premia and seasonality in commodity futures pp. 853-873

Constantino Hevia, Ivan Petrella and Martin Sola

Indirect inference with time series observed with error pp. 874-897

Eduardo Rossi and Paolo Santucci de Magistris

Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach pp. 898-935

Julien Hambuckers, Andreas Groll and Thomas Kneib

Volume 33, issue 5, 2018

Dynamic factor model with infinite‐dimensional factor space: Forecasting pp. 625-642

Mario Forni, Alessandro Giovannelli, Marco Lippi and Stefano Soccorsi

UK term structure decompositions at the zero lower bound pp. 643-661

Andrea Carriero, Sarah Mouabbi and Elisabetta Vangelista

What are the macroeconomic effects of high‐frequency uncertainty shocks? pp. 662-679

Laurent Ferrara and Pierre Guérin

How the baby boomers' retirement wave distorts model‐based output gap estimates pp. 680-689

Maik Wolters

Structural estimation of behavioral heterogeneity pp. 690-707

Zhentao Shi and Huanhuan Zheng

Exploiting tail shape biases to discriminate between stable and student t alternatives pp. 708-726

Pengfei Sun and Casper G. de Vries

Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions∗ pp. 727-747

Roberto A. De Santis and Srečko Zimic

Ancestry and development: New evidence pp. 748-762

Enrico Spolaore and Romain Wacziarg

Volume 33, issue 4, 2018

Private debt overhang and the government spending multiplier: Evidence for the United States pp. 485-508

Marco Bernardini and Gert Peersman

Bayesian model comparison for time†varying parameter VARs with stochastic volatility pp. 509-532

Joshua Chan and Eric Eisenstat

Cyclicality in losses on bank loans pp. 533-552

Bart Keijsers, Bart Diris and Erik Kole

Exact computation of GMM estimators for instrumental variable quantile regression models pp. 553-567

Le†Yu Chen and Sokbae (Simon) Lee

A kink that makes you sick: The effect of sick pay on absence pp. 568-579

Petri Böckerman, Ohto Kanninen and Ilpo Suoniemi

Intergenerational mobility: New evidence from consumption data pp. 580-593

Gustaf Bruze

Information shocks and the empirical evaluation of training programs during unemployment spells pp. 594-616

Bruno Crépon, Marc Ferracci, Gregory Jolivet and Gerard J. van den Berg

Genetic distance, trade, and the diffusion of development pp. 617-623

Vincenzo Bove and Gunes Gokmen

Volume 33, issue 3, 2018

Improving Markov switching models using realized variance pp. 297-318

Jia Liu and John Maheu

Policy uncertainty and aggregate fluctuations pp. 319-331

Haroon Mumtaz and Paolo Surico

Time series copulas for heteroskedastic data pp. 332-354

Rubén Loaiza Maya, Michael S. Smith and Worapree Maneesoonthorn

A multilevel factor model: Identification, asymptotic theory and applications pp. 355-377

In Choi, Dukpa Kim, Yun Jung Kim and Noh†Sun Kwark

A generalized focused information criterion for GMM pp. 378-397

Minsu Chang and Francis DiTraglia

Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements pp. 398-415

Marco Bee, Debbie J. Dupuis and Luca Trapin

Self†employment among women: Do children matter more than we previously thought? pp. 416-434

Anastasia Semykina

Identification issues in the public/private wage gap, with an application to Italy pp. 435-456

Domenico Depalo

Increasing the credibility of the twin birth instrument pp. 457-472

Helmut Farbmacher, Raphael Guber and Johan Vikström

Comparing cross†country estimates of Lorenz curves using a Dirichlet distribution across estimators and datasets pp. 473-478

Andrew C. Chang, Phillip Li and Shawn M. Martin

Measuring the diffusion of housing prices across space and over time: Replication and further evidence pp. 479-484

Shulin Shen and Jindong Pang

Volume 33, issue 2, 2018

Multivariate choices and identification of social interactions pp. 165-178

Ethan Cohen†Cole, Xiaodong Liu and Yves Zenou

Binary response panel data models with sample selection and self†selection pp. 179-197

Anastasia Semykina and Jeffrey M. Wooldridge

Do contractionary monetary policy shocks expand shadow banking? pp. 198-211

Benjamin Nelson, Gabor Pinter and Konstantinos Theodoridis

Business, housing, and credit cycles pp. 212-226

Gerhard Rünstler and Marente Vlekke

Identifying contagion pp. 227-250

Mardi Dungey and Eric Renault

An efficient Bayesian approach to multiple structural change in multivariate time series pp. 251-270

John Maheu and Yong Song

Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis pp. 271-289

Sebastian Opitz, Henry Seidel and Alexander Szimayer

Normalized CES supply systems: Replication of Klump, McAdam, and Willman (2007) pp. 290-296

Kenneth Stewart

Volume 33, issue 1, 2018

Estimating global bank network connectedness pp. 1-15

Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz

The evolution of scale economies in US banking pp. 16-28

David Wheelock and Paul W. Wilson

Estimating the effects of the minimum wage in a developing country: A density discontinuity design approach pp. 29-51

Hugo Jales

Estimating the distribution of welfare effects using quantiles pp. 52-72

Stefan Hoderlein and Anne Vanhems

Difference‐in‐differences when the treatment status is observed in only one period pp. 73-90

Irene Botosaru and Federico H. Gutierrez

Decomposing economic mobility transition matrices pp. 91-108

Jeremiah Richey and Alicia Rosburg

Weak‐instrument robust inference for two‐sample instrumental variables regression pp. 109-125

Jaerim Choi, Jiaying Gu and Shu Shen

A sequential Monte Carlo approach to inference in multiple‐equation Markov‐switching models pp. 126-140

Mark Bognanni and Edward Herbst

Sequentially testing polynomial model hypotheses using power transforms of regressors pp. 141-159

Jin Seo Cho and Peter Phillips

Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?” pp. 160-163

Anton Pak