Journal of Applied Econometrics

1986 - 2021

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 36, issue 3, 2021

Supply flexibility in the shale patch: Evidence from North Dakota pp. 273-292

Hilde Bjørnland, Frode Martin Nordvik and Maximilian Rohrer

Measuring global economic activity pp. 293-303

James D. Hamilton

Combining shrinkage and sparsity in conjugate vector autoregressive models pp. 304-327

Niko Hauzenberger, Florian Huber and Luca Onorante

Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone pp. 328-345

Isabel Casas, Jiti Gao, Bin Peng and Shangyu Xie

Testing monotonicity of conditional treatment effects under regression discontinuity designs pp. 346-366

Yu‐Chin Hsu and Shu Shen

Volume 36, issue 2, 2021

Social interactions and social preferences in social networks pp. 165-189

Chih-Sheng Hsieh and Xu Lin

Early child development and parents' labor supply pp. 190-208

Lukáš Lafférs and Bernhard Schmidpeter

The price of forced attendance pp. 209-227

Sacha Kapoor, Matthijs Oosterveen and Dinand Webbink

Efficient minimum distance estimation of Pareto exponent from top income shares pp. 228-243

Alexis Akira Toda and Yulong Wang

Fueling conflict? (De)escalation and bilateral aid pp. 244-261

Richard Bluhm, Martin Gassebner, Sarah Langlotz and Paul Schaudt

Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models pp. 262-270

Florian Huber and Michael Pfarrhofer

Volume 36, issue 1, 2021

Measuring the slowly evolving trend in US inflation with professional forecasts pp. 1-17

James Nason and Gregor Smith

Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices pp. 18-44

Michele Aquaro, Natalia Bailey and M Pesaran

Real‐time detection of regimes of predictability in the US equity premium pp. 45-70

David I. Harvey, Stephen J. Leybourne, Robert Sollis and Robert Taylor

Cointegration and control: Assessing the impact of events using time series data pp. 71-85

Andrew Harvey and Stephen Thiele

Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data pp. 86-97

Haroon Mumtaz and Laura Sunder‐Plassmann

Robust political economy correlates of major product and labor market reforms in advanced economies: Evidence from BAMLE for logit models pp. 98-124

Romain Duval, Davide Furceri and Jakob Miethe

Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models pp. 125-150

Sinem Hacioglu Hoke and George Kapetanios

Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence pp. 151-161

Matei Demetrescu, Christoph Roling and Anna Titova

Volume 35, issue 7, 2020

The informativeness of estimation moments pp. 797-813

Bo Honoré, Thomas Jørgensen and Aureo de Paula

Direct and indirect effects of continuous treatments based on generalized propensity score weighting pp. 814-840

Martin Huber, Yu‐Chin Hsu, Ying‐Ying Lee and Layal Lettry

The evolution of the US family income–schooling relationship and educational selectivity pp. 841-859

Christian Belzil and Jörgen Hansen

Testing for correlation in error‐component models pp. 860-878

Koen Jochmans

Testing for overconfidence statistically: A moment inequality approach pp. 879-892

Yanchun Jin and Ryo Okui

Who benefits from privileged peers? Evidence from siblings in schools pp. 893-916

Marco Bertoni, Giorgio Brunello and Lorenzo Cappellari

Average treatment effects for stayers with correlated random coefficient models of panel data pp. 917-939

Valentin Verdier

Perceived and actual option values of college enrollment pp. 940-959

Yifan Gong, Todd Stinebrickner and Ralph Stinebrickner

Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere pp. 960-964

Yana Petrova and Joakim Westerlund

Volume 35, issue 6, 2020

Negative interest rate policy and the yield curve pp. 653-672

Jing Cynthia Wu and Fan Dora Xia

Does drawing down the US Strategic Petroleum Reserve help stabilize oil prices? pp. 673-691

Lutz Kilian and Xiaoqing Zhou

Composite likelihood methods for large Bayesian VARs with stochastic volatility pp. 692-711

Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop

Change point estimation in panel data with time‐varying individual effects pp. 712-727

Otilia Boldea, Bettina Drepper and Zhuojiong Gan

Differencing versus nondifferencing in factor‐based forecasting pp. 728-750

In Choi and Hanbat Jeong

The role of startups for local labor markets pp. 751-775

Gerald Carlino and Thorsten Drautzburg

A cross‐section average‐based principal components approach for fixed‐T panels pp. 776-785

Joakim Westerlund

Replicating the Levitt and Porter estimates of drunk driving pp. 786-796

Richard Dunn and Nathan Tefft

Volume 35, issue 5, 2020

Endogeneity and non‐response bias in treatment evaluation – nonparametric identification of causal effects by instruments pp. 481-504

Hans Fricke, Markus Frölich, Martin Huber and Michael Lechner

A distributional synthetic control method for policy evaluation pp. 505-525

Yi‐Ting Chen

Comparing econometric methods to empirically evaluate activation programs for job seekers pp. 526-547

Paul Muller, Bas van der Klaauw and Arjan Heyma

Multidimensional skills and the returns to schooling: Evidence from an interactive fixed‐effects approach and a linked survey‐administrative data set pp. 548-566

Mohitosh Kejriwal, Xiaoxiao Li and Evan Totty

Family planning in a life‐cycle model with income risk pp. 567-586

Mette Ejrnæs and Thomas Jørgensen

Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations pp. 587-613

Norman Swanson, Weiqi Xiong and Xiye Yang

Is deflation costly after all? The perils of erroneous historical classifications pp. 614-628

Daniel Kaufmann

Forecasting stock returns with model uncertainty and parameter instability pp. 629-644

Hongwei Zhang, Qiang He, Ben Jacobsen and Fuwei Jiang

Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001) pp. 645-652

Marcin Błażejowski, Pawel Kufel and Jacek Kwiatkowski

Volume 35, issue 4, 2020

Prediction regions for interval‐valued time series pp. 373-390

Gloria Gonzalez‐Rivera, Yun Luo and Esther Ruiz

Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics pp. 391-409

Laura Coroneo and Fabrizio Iacone

Exchange rate predictability and dynamic Bayesian learning pp. 410-421

Joscha Beckmann, Gary Koop, Dimitris Korobilis and Rainer Alexander Schüssler

Complementary Bayesian method of moments strategies pp. 422-439

A. Ronald Gallant

Order‐invariant tests for proper calibration of multivariate density forecasts pp. 440-456

Jonas Dovern and Hans Manner

Estimation of firm‐level productivity in the presence of exports: Evidence from China's manufacturing pp. 457-480

Emir Malikov, Shunan Zhao and Subal Kumbhakar

Volume 35, issue 3, 2020

Assessing international commonality in macroeconomic uncertainty and its effects pp. 273-293

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Common correlated effects estimation of heterogeneous dynamic panel quantile regression models pp. 294-314

Matthew Harding, Carlos Lamarche and M Pesaran

Estimation of average treatment effects using panel data when treatment effect heterogeneity depends on unobserved fixed effects pp. 315-327

Shosei Sakaguchi

Mixed causal–noncausal autoregressions with exogenous regressors pp. 328-343

Alain Hecq, João Issler and Sean Telg

Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors pp. 344-370

Antoine Djogbenou

Volume 35, issue 2, 2020

The effect of oil supply shocks on US economic activity: What have we learned? pp. 141-159

Ana María Herrera and Sandeep Kumar Rangaraju

The shale revolution and shifting crude dynamics pp. 160-175

Malick Sy and Liuren Wu

Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970 pp. 176-197

Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon

Interval censored regression with fixed effects pp. 198-216

Jason Abrevaya and Chris Muris

Estimation of a dynamic stochastic frontier model using likelihood‐based approaches pp. 217-247

Hung‐pin Lai and Subal Kumbhakar

Multivariate dynamic intensity peaks‐over‐threshold models pp. 248-272

Nikolaus Hautsch and Rodrigo Herrera

Volume 35, issue 1, 2020

Estimating and accounting for the output gap with large Bayesian vector autoregressions pp. 1-18

James Morley and Benjamin Wong

Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models pp. 19-45

Christian Conrad and Onno Kleen

Modeling the conditional distribution of financial returns with asymmetric tails pp. 46-60

Stephen Thiele

Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach pp. 61-81

Christian Gross and Pierre L. Siklos

Interpreting shocks to the relative price of investment with a two‐sector model pp. 82-98

Luca Guerrieri, Dale Henderson and Jinill Kim

The next hundred years of growth and convergence pp. 99-113

Richard Startz

Introducing the Bank of Canada staff economic projections database pp. 114-129

Julien Champagne, Guillaume Poulin‐Bellisle and Rodrigo Sekkel

Refining the workhorse oil market model pp. 130-140

Xiaoqing Zhou