Journal of Applied Econometrics

1986 - 2025

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 40, issue 4, 2025

Approximating Fixed‐Horizon Forecasts Using Fixed‐Event Forecasts pp. 359-379

Malte Knüppel and Andreea L. Vladu

Dynamic Effects of Persistent Shocks pp. 380-394

Mario Alloza, Jesus Gonzalo and Carlos Sanz

Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings pp. 395-410

Lutz Kilian, Michael D. Plante and Alexander Richter

Difference‐in‐Differences With a Misclassified Treatment pp. 411-423

Akanksha Negi and Digvijay S. Negi

Interacting Treatments With Endogenous Takeup pp. 424-437

Máté Kormos, Robert P. Lieli and Martin Huber

Modelling Volatility Cycles: The MF2‐GARCH Model pp. 438-454

Christian Conrad and Robert Engle

Dynamic Mixture Vector Autoregressions With Score‐Driven Weights pp. 455-470

Alexander Georges Gretener, Matthias Neuenkirch and Dennis Umlandt

Minimum Wages and Teenage Childbearing in the United States pp. 471-484

Kyutaro Matsuzawa, Daniel I. Rees, Joseph J. Sabia and Rebecca Margolit

Volume 40, issue 3, 2025

Model Averaging and Double Machine Learning pp. 249-269

Achim Ahrens, Christian B. Hansen, Mark Schaffer and Thomas Wiemann

Tracking Economic Activity With Alternative High‐Frequency Data pp. 270-290

Florian Eckert, Philipp Kronenberg, Heiner Mikosch and Stefan Neuwirth

Standard Errors for Difference‐in‐Difference Regression pp. 291-309

Bruce E. Hansen

Exchange Rates, Uncovered Interest Parity, and Time‐Varying Fama Regressions pp. 310-324

Bowen Fu, Mengheng Li and Qazi Haque

Spread Regression, Skewness Regression, and Kurtosis Regression With an Application to the US Wage Structure pp. 325-340

Qiang Chen and Zhijie Xiao

Belief Shocks and Implications of Expectations About Growth‐at‐Risk pp. 341-348

Maximilian Boeck and Michael Pfarrhofer

Volume 40, issue 2, 2025

Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach pp. 111-130

Everett Grant and Julieta Yung

Breaks in the Phillips Curve: Evidence From Panel Data pp. 131-148

Simon C. Smith, Allan Timmermann and Jonathan H. Wright

Cost Pass‐Through in Commodity Markets With Capacity Constraints and International Linkages pp. 149-163

Reinhard Ellwanger, Hinnerk Gnutzmann and Piotr Śpiewanowski

Noisy monetary policy announcements pp. 164-180

Tatjana Dahlhaus and Luca Gambetti

Identifying the Sources of the Slowdown in Growth: Demand Versus Supply pp. 181-194

Nicolò Maffei‐Faccioli

US Monetary Policy and Indeterminacy pp. 195-213

Giovanni Nicolò

Binary Response Model With Many Weak Instruments pp. 214-230

Dakyung Seong

Reassessing the Predictive Power of the Yield Spread for Recessions in the United States pp. 231-236

Patrick Coe and Shaun Vahey

A Reassessment of Likelihood Approximation by Integration on Sparse Grids pp. 237-245

Szilárd Madaras and Zsolt Sándor

Volume 40, issue 1, 2025

Quantile‐Based Test for Heterogeneous Treatment Effects pp. 3-17

EunYi Chung and Mauricio Olivares

Exploiting News Analytics for Volatility Forecasting pp. 18-36

Simon Tranberg Bodilsen and Asger Lunde

Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors pp. 37-56

Sam Astill, David I. Harvey, Stephen J. Leybourne and Robert Taylor

Specification Choices in Quantile Regression for Empirical Macroeconomics pp. 57-73

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Multiple Structural Breaks in Interactive Effects Panel Data Models pp. 74-88

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens pp. 89-107

Efrem Castelnuovo and Lorenzo Mori

Volume 39, issue 7, 2024

Agglomerative hierarchical clustering for selecting valid instrumental variables pp. 1201-1219

Nicolas Apfel and Xiaoran Liang

Nowcasting Norwegian household consumption with debit card transaction data pp. 1220-1244

Knut Are Aastveit, Tuva Marie Fastbø, Eleonora Granziera, Kenneth Sæterhagen Paulsen and Kjersti Næss Torstensen

Medical marijuana legalization and parenting behaviors: An analysis of the time use of parents pp. 1245-1259

Cynthia Bansak and Jun Hyung Kim

The boosted Hodrick‐Prescott filter is more general than you might think pp. 1260-1281

Ziwei Mei, Peter Phillips and Zhentao Shi

Sudden stop: Supply and demand shocks in the German natural gas market pp. 1282-1300

Jochen Güntner, Magnus Reif and Maik Wolters

Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks pp. 1301-1320

Florian Huber and Gary Koop

The benefits of forecasting inflation with machine learning: New evidence pp. 1321-1331

Andrea A. Naghi, Eoghan O'Neill and Martina Danielova Zaharieva

Panel treatment effects measurement: Factor or linear projection modelling? pp. 1332-1358

Cheng Hsiao and Qiankun Zhou

Heterogeneous autoregressions in short T panel data models pp. 1359-1378

M. Hashem Pesaran and Liying Yang

Optimal multi‐action treatment allocation: A two‐phase field experiment to boost immigrant naturalization pp. 1379-1395

Achim Ahrens, Alessandra Stampi‐Bombelli, Selina Kurer and Dominik Hangartner

The effect of plough agriculture on gender roles: A machine learning approach pp. 1396-1402

Anna Baiardi and Andrea A. Naghi

Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension pp. 1403-1407

Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov and Aktam Usmanovich Burkhanov

Volume 39, issue 6, 2024

Risk, ambiguity, and misspecification: Decision theory, robust control, and statistics pp. 969-999

Lars Peter Hansen and Thomas Sargent

The shale oil boom and the US economy: Spillovers and time‐varying effects pp. 1000-1020

Hilde Bjørnland and Julia Skretting

Estimating separable matching models pp. 1021-1044

Alfred Galichon and Bernard Salanié

Quantiles of the gain distribution of an early childhood intervention pp. 1045-1064

Erich Battistin, Carlos Lamarche and Enrico Rettore

The stability and economic relevance of output gap estimates pp. 1065-1081

Alessandro Barbarino, Travis Berge and Andrea Stella

The propagation of business expectations within the European Union pp. 1082-1103

Anja Sebbesen and Harald Oberhofer

Testing for differences in survey‐based density expectations: A compositional data approach pp. 1104-1122

Jonas Dovern, Alexander Glas and Geoff Kenny

Identifying program benefits when participation is misreported pp. 1123-1148

Denni Tommasi and Lina Zhang

Part‐time subsidies and maternal reemployment: Evidence from a difference‐in‐differences analysis pp. 1149-1171

Franziska Zimmert and Michael Zimmert

The US structural transformation and regional convergence: Racial heterogeneity pp. 1172-1179

Minki Kim and Munseob Lee

Robots at work? Pitfalls of industry‐level data pp. 1180-1189

Karim Bekhtiar, Benjamin Bittschi and Richard Sellner

Explaining the decline of China's labor share: A wide replication of Oberfield and Raval (2021) pp. 1190-1197

Hong Yang and Wen Zhang

Volume 39, issue 5, 2024

Identification and forecasting of bull and bear markets using multivariate returns pp. 723-745

Jia Liu, John Maheu and Yong Song

How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area pp. 746-765

Michele Lenza and Jiri Slacalek

Corporate debt booms, financial constraints, and the investment nexus pp. 766-789

Bruno Albuquerque

Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics pp. 790-812

James Mitchell, Aubrey Poon and Dan Zhu

Real‐time weakness of the global economy pp. 813-832

Danilo Leiva‐León, Gabriel Perez Quiros and Eyno Rots

Scaling and measurement error sensitivity of scoring rules for distribution forecasts pp. 833-849

Onno Kleen

Tests for equal forecast accuracy under heteroskedasticity pp. 850-869

David I. Harvey, Stephen J. Leybourne and Yang Zu

Gains from trade: Demand, supply, and idiosyncratic shocks pp. 870-886

Ruben Dewitte, Bruno Merlevede and Glenn Rayp

Nowcasting Euro area GDP with news sentiment: A tale of two crises pp. 887-905

Julian Ashwin, Eleni Kalamara and Lorena Saiz

Terrorism and education: Evidence from instrumental variables estimators pp. 906-925

Marco Alfano and Joseph‐Simon Görlach

Expecting the unexpected: Stressed scenarios for economic growth pp. 926-942

Gloria González‐Rivera, C. Vladimir Rodríguez‐Caballero and Esther Ruiz

Revisiting the effects of conventional and unconventional monetary policies pp. 943-951

Eul Noh

The heterogeneous role of party affiliation in the runner‐up effect pp. 952-959

Umair Khalil, Mandar Oak and Sundar Ponnusamy

News or animal spirits? Consumer confidence and economic activity: Redux pp. 960-966

Sangyup Choi, Jaehun Jeong, Dohyeon Park and Donghoon Yoo

Volume 39, issue 4, 2024

Peer desirability and academic achievement pp. 525-542

Adrian Mehic

Empirical evidence on the Euler equation for investment in the US pp. 543-563

Guido Ascari, Qazi Haque, Leandro Magnusson and Sophocles Mavroeidis

A flexible stochastic production frontier model with panel data pp. 564-588

Taining Wang, Feng Yao and Subal C. Kumbhakar

Should we trust cross‐sectional multiplier estimates? pp. 589-606

Fabio Canova

US fiscal policy shocks: Proxy‐SVAR overidentification via GMM pp. 607-619

Allan W. Gregory, James McNeil and Gregor Smith

Statistical identification in panel structural vector autoregressive models based on independence criteria pp. 620-639

Helmut Herwartz and Shu Wang

Best linear and quadratic moments for spatial econometric models with an application to spatial interdependence patterns of employment growth in US counties pp. 640-658

Fei Jin, Lung‐fei Lee and Kai Yang

Hours worked and the US distribution of real annual earnings 1976–2019 pp. 659-678

Iván Fernández‐Val, Aico van Vuuren, Francis Vella and Franco Peracchi

Estimating the price elasticity of gasoline demand in correlated random coefficient models with endogeneity pp. 679-696

Michael Bates and Seolah Kim

Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture pp. 697-704

Frank C. Z. Wu

Re‐examining the relationship between patience, risk‐taking, and human capital investment across countries pp. 705-713

Alexandra de Gendre, Jan Feld and Nicolas Salamanca

Exploring skill distribution tails through stochastic dominance pp. 714-720

Petra Besenhard

Volume 39, issue 3, 2024

Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador pp. 365-382

Samuele Centorrino, María Pérez‐Urdiales, Boris Bravo‐Ureta and Alan Wall

Addressing sample selection bias for machine learning methods pp. 383-400

Dylan Brewer and Alyssa Carlson

The macroeconomy as a random forest pp. 401-421

Philippe Goulet Coulombe

Statistically identified structural VAR model with potentially skewed and fat‐tailed errors pp. 422-437

Jetro Anttonen, Markku Lanne and Jani Luoto

Identifying factors via automatic debiased machine learning pp. 438-461

Esfandiar Maasoumi, Jianqiu Wang, Zhuo Wang and Ke Wu

Advance layoff notices and aggregate job loss pp. 462-480

Pawel Krolikowski and Kurt Lunsford

A high‐dimensional multinomial logit model pp. 481-497

Didier Nibbering

How does the dramatic rise of nonresponse in the Current Population Survey impact labor market indicators? pp. 498-512

Robert Bernhardt, David Munro and Erin Wolcott

Mandatory seatbelt laws and traffic fatalities: A reassessment pp. 513-521

D. Mark Anderson, Yang Liang and Joseph J. Sabia

Volume 39, issue 2, 2024

Sample selection in linear panel data models with heterogeneous coefficients pp. 237-255

Alyssa Carlson and Riju Joshi

Revisiting the analysis of matched‐pair and stratified experiments in the presence of attrition pp. 256-268

Yuehao Bai, Meng Hsuan Hsieh, Jizhou Liu and Max Tabord‐Meehan

Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions pp. 269-291

Jan Prüser and Florian Huber

Panel data nowcasting: The case of price–earnings ratios pp. 292-307

Andrii Babii, Ryan T. Ball, Eric Ghysels and Jonas Striaukas

Partial identification and inference in duration models with endogenous censoring pp. 308-326

Shosei Sakaguchi

Disease and development—The predicted mortality instrument revisited pp. 327-337

David Kreitmeir and Thomas Überfuhr

Forecasting GDP in Europe with textual data pp. 338-355

Luca Barbaglia, Sergio Consoli and Sebastiano Manzan

Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018) pp. 356-362

Claudia Troccoli

Volume 39, issue 1, 2024

The efficacy of ability proxies for estimating the returns to schooling: A factor model‐based evaluation pp. 3-21

Mohitosh Kejriwal, Xiaoxiao Li, Linh Nguyen and Evan Totty

Sectoral slowdowns in the United Kingdom: Evidence from transmission probabilities and economic linkages pp. 22-40

Eva F. Janssens and Robin L. Lumsdaine

Penalized sieve estimation of zero‐inefficiency stochastic frontiers pp. 41-65

Jun Cai, William Horrace and Christopher F. Parmeter

Forecasting and stress testing with quantile vector autoregression pp. 66-85

Sulkhan Chavleishvili and Simone Manganelli

Outlier robust inference in the instrumental variable model with applications to causal effects pp. 86-106

Jens Klooster and Mikhail Zhelonkin

Partial identification and inference for conditional distributions of treatment effects pp. 107-127

Sungwon Lee

Identifying oil price shocks with global, developed, and emerging latent real economy activity factors pp. 128-149

Antoine Djogbenou

Heterogeneity and dynamics in network models pp. 150-173

Enzo D'Innocenzo, Andre Lucas, Anne Opschoor and Xingmin Zhang

Did marginal propensities to consume change with the housing boom and bust? pp. 174-199

Yunho Cho, James Morley and Aarti Singh

A maximum likelihood bunching estimator of the elasticity of taxable income pp. 200-216

Thomas Aronsson, Katharina Jenderny and Gauthier Lanot

Narrow and wide replication of Chalfin and McCrary (REStat, 2018) pp. 217-224

Federico Crudu and Advait Moharir

Reassessing growth vulnerability pp. 225-234

Dooyeon Cho and Seunghwa Rho