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Journal of Applied Econometrics

1986 - 2020

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 35, issue 4, 2020

Prediction regions for interval‐valued time series pp. 373-390 Downloads
Gloria Gonzalez‐Rivera, Yun Luo and Esther Ruiz
Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics pp. 391-409 Downloads
Laura Coroneo and Fabrizio Iacone
Exchange rate predictability and dynamic Bayesian learning pp. 410-421 Downloads
Joscha Beckmann, Gary Koop, Dimitris Korobilis and Rainer Alexander Schüssler
Complementary Bayesian method of moments strategies pp. 422-439 Downloads
A. Ronald Gallant
Order‐invariant tests for proper calibration of multivariate density forecasts pp. 440-456 Downloads
Jonas Dovern and Hans Manner
Estimation of firm‐level productivity in the presence of exports: Evidence from China's manufacturing pp. 457-480 Downloads
Emir Malikov, Shunan Zhao and Subal C. Kumbhakar

Volume 35, issue 3, 2020

Assessing international commonality in macroeconomic uncertainty and its effects pp. 273-293 Downloads
Andrea Carriero, Todd Clark and Massimiliano Marcellino
Common correlated effects estimation of heterogeneous dynamic panel quantile regression models pp. 294-314 Downloads
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 Downloads
Shosei Sakaguchi
Mixed causal–noncausal autoregressions with exogenous regressors pp. 328-343 Downloads
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 Downloads
Antoine Djogbenou

Volume 35, issue 2, 2020

The effect of oil supply shocks on US economic activity: What have we learned? pp. 141-159 Downloads
Ana María Herrera and Sandeep Kumar Rangaraju
The shale revolution and shifting crude dynamics pp. 160-175 Downloads
Malick Sy and Liuren Wu
Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970 pp. 176-197 Downloads
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
Interval censored regression with fixed effects pp. 198-216 Downloads
Jason Abrevaya and Chris Muris
Estimation of a dynamic stochastic frontier model using likelihood‐based approaches pp. 217-247 Downloads
Hung‐pin Lai and Subal Kumbhakar
Multivariate dynamic intensity peaks‐over‐threshold models pp. 248-272 Downloads
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 Downloads
James Morley and Benjamin Wong
Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models pp. 19-45 Downloads
Christian Conrad and Onno Kleen
Modeling the conditional distribution of financial returns with asymmetric tails pp. 46-60 Downloads
Stephen Thiele
Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach pp. 61-81 Downloads
Christian Gross and Pierre L. Siklos
Interpreting shocks to the relative price of investment with a two‐sector model pp. 82-98 Downloads
Luca Guerrieri, Dale Henderson and Jinill Kim
The next hundred years of growth and convergence pp. 99-113 Downloads
Richard Startz
Introducing the Bank of Canada staff economic projections database pp. 114-129 Downloads
Julien Champagne, Guillaume Poulin‐Bellisle and Rodrigo Sekkel
Refining the workhorse oil market model pp. 130-140 Downloads
Xiaoqing Zhou

Volume 34, issue 7, 2019

Large time‐varying parameter VARs: A nonparametric approach pp. 1027-1049 Downloads
George Kapetanios, Massimiliano Marcellino and Fabrizio Venditti
Macroeconomic forecast accuracy in a data‐rich environment pp. 1050-1072 Downloads
Rachidi Kotchoni, Maxime Leroux and Dalibor Stevanovic
Likelihood evaluation of models with occasionally binding constraints pp. 1073-1085 Downloads
Pablo Cuba‐Borda, Luca Guerrieri, Matteo Iacoviello and Molin Zhong
Endogenous censoring in the mixed proportional hazard model with an application to optimal unemployment insurance pp. 1086-1101 Downloads
Arkadiusz Szydłowski
Measurement error in discrete health facility choice models: An example from urban Senegal pp. 1102-1120 Downloads
Christopher J. Cronin, David K. Guilkey and Ilene S. Speizer
Extreme returns and intensity of trading pp. 1121-1140 Downloads
Wei Lin and Gloria González‐Rivera

Volume 34, issue 6, 2019

Measuring mortgage credit availability: A frontier estimation approach pp. 865-882 Downloads
Elliot Anenberg, Aurel Hizmo, Edward Kung and Raven Molloy
Structural changes in heterogeneous panels with endogenous regressors pp. 883-892 Downloads
Badi Baltagi, Qu Feng and Chihwa Kao
Mostly harmless simulations? Using Monte Carlo studies for estimator selection pp. 893-910 Downloads
Arun Advani, Toru Kitagawa and Tymon Słoczyński
Two applications of wild bootstrap methods to improve inference in cluster‐IV models pp. 911-933 Downloads
Keith Finlay and Leandro Magnusson
Decomposing the effects of monetary policy using an external instruments SVAR pp. 934-950 Downloads
Aeimit Lakdawala
Exogenous uncertainty and the identification of structural vector autoregressions with external instruments pp. 951-971 Downloads
Giovanni Angelini and Luca Fanelli
Tax shocks with high and low uncertainty pp. 972-993 Downloads
Fabio Bertolotti and Massimiliano Marcellino
Estimation in a generalization of bivariate probit models with dummy endogenous regressors pp. 994-1015 Downloads
Sukjin Han and Sungwon Lee
Hidden group patterns in democracy developments: Bayesian inference for grouped heterogeneity pp. 1016-1028 Downloads
Jaeho Kim and Le Wang

Volume 34, issue 5, 2019

Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models pp. 621-640 Downloads
Florian Huber, Gregor Kastner and Martin Feldkircher
Bayesian parametric and semiparametric factor models for large realized covariance matrices pp. 641-660 Downloads
Xin Jin, John Maheu and Qiao Yang
The response of asset prices to monetary policy shocks: Stronger than thought pp. 661-672 Downloads
Lucia Alessi and Mark Kerssenfischer
Monetary policy, housing rents, and inflation dynamics pp. 673-687 Downloads
Daniel Dias and Joao Duarte
Mixed‐frequency models with moving‐average components pp. 688-706 Downloads
Claudia Foroni, Massimiliano Marcellino and Dalibor Stevanovic
The demand for season of birth pp. 707-723 Downloads
Damian Clarke, Sonia Oreffice and Climent Quintana‐Domeque
To pool or not to pool: What is a good strategy for parameter estimation and forecasting in panel regressions? pp. 724-745 Downloads
Wendun Wang, Xinyu Zhang and Richard Paap
CCE in fixed‐T panels pp. 746-761 Downloads
Joakim Westerlund, Yana Petrova and Milda Norkute
Tests of asset pricing with time‐varying factor loads pp. 762-778 Downloads
Antonio F. Galvao, Gabriel Montes‐Rojas and Jose Olmo
Telling tales from the tails: High‐dimensional tail interdependence pp. 779-794 Downloads
Arnold Polanski, Evarist Stoja and Frank Windmeijer
Estimating the U.S. output gap with state‐level data pp. 795-810 Downloads
Manuel González‐Astudillo
Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) with independent structural shocks pp. 811-819 Downloads
Helmut Herwartz
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in “measuring the effects of monetary policy” pp. 820-821 Downloads
Davaajargal Luvsannyam and Khuslen Batmunkh
Bubbles and crises: Replicating the Anundsen et al. (2016) results pp. 822-826 Downloads
Bowen Fu
Heterogeneity in risk aversion and risk sharing regressions pp. 827-835 Downloads
Pierfederico Asdrubali, Simone Tedeschi and Luigi Ventura
Testing for time variation in the natural rate of interest pp. 836-842 Downloads
Tino Berger and Bernd Kempa
Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach pp. 843-849 Downloads
Haitao Huang, Liang Peng and Vincent Yao
Does global inflation help forecast inflation in industrialized countries? pp. 850-857 Downloads
Christian Gillitzer and Martin McCarthy
Expected market returns: SVIX, realized volatility, and the role of dividends pp. 858-864 Downloads
Matthijs Lof

Volume 34, issue 4, 2019

Panel parametric, semiparametric, and nonparametric construction of counterfactuals pp. 463-481 Downloads
Cheng Hsiao and Qiankun Zhou
Sibling spillover effects in school achievement pp. 482-501 Downloads
Cheti Nicoletti and Birgitta Rabe
Catching up to girls: Understanding the gender imbalance in educational attainment within race pp. 502-525 Downloads
Esteban M. Aucejo and Jonathan James
Estimation of linear dynamic panel data models with time‐invariant regressors pp. 526-546 Downloads
Sebastian Kripfganz and Claudia Schwarz
Controlling for ability using test scores pp. 547-565 Downloads
Benjamin Williams
The signal quality of grades across academic fields pp. 566-587 Downloads
James Thomas
Towards causal estimates of children's time allocation on skill development pp. 588-605 Downloads
Gregorio Caetano, Josh Kinsler and Hao Teng
Ethnic capital and intergenerational transmission of educational attainment pp. 606-611 Downloads
Agnieszka Postepska
A robust approach to estimating production functions: Replication of the ACF procedure pp. 612-619 Downloads
Kyoo il Kim, Yao Luo and Yingjun Su

Volume 34, issue 3, 2019

Dynamic specification tests for dynamic factor models pp. 325-346 Downloads
Gabriele Fiorentini and Enrique Sentana
NETS: Network estimation for time series pp. 347-364 Downloads
Matteo Barigozzi and Christian Brownlees
Systemic risk and bank business models pp. 365-384 Downloads
Maarten van Oordt and Chen Zhou
Actual and counterfactual growth incidence and delta Lorenz curves: Estimation and inference pp. 385-402 Downloads
Francisco Ferreira, Sergio Firpo and Antonio F. Galvao
Modeling the effects of grade retention in high school pp. 403-424 Downloads
Bart Cockx, Matteo Picchio and Stijn Baert
Measuring the natural rate of interest: A note on transitory shocks pp. 425-436 Downloads
Kurt F. Lewis and Francisco Vazquez‐Grande
Uncertainty across volatility regimes pp. 437-455 Downloads
Giovanni Angelini, Emanuele Bacchiocchi, Giovanni Caggiano and Luca Fanelli
Real‐time forecast combinations for the oil price pp. 456-462 Downloads
Anthony Garratt, Shaun Vahey and Yunyi Zhang

Volume 34, issue 2, 2019

Commodity prices and fiscal policy design: Procyclical despite a rule pp. 161-180 Downloads
Hilde Bjørnland and Leif Thorsrud
An empirical investigation of direct and iterated multistep conditional forecasts pp. 181-204 Downloads
Michael McCracken and Joseph T. McGillicuddy
Selecting structural innovations in DSGE models pp. 205-220 Downloads
Filippo Ferroni, Stefano Grassi and Miguel A. León‐Ledesma
Structural VARs and noninvertible macroeconomic models pp. 221-246 Downloads
Mario Forni, Luca Gambetti and Luca Sala
Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions pp. 247-267 Downloads
Yohei Yamamoto
CCE estimation of factor‐augmented regression models with more factors than observables pp. 268-284 Downloads
Hande Karabiyik, Jean-Pierre Urbain and Joakim Westerlund
Steady‐state modeling and macroeconomic forecasting quality pp. 285-314 Downloads
Dimitrios Louzis
The cyclicality of R&D investment revisited pp. 315-324 Downloads
Hans van Ophem, Noud Giersbergen, Kees Jan van Garderen and Maurice Bun

Volume 34, issue 1, 2019

Simultaneous confidence bands: Theory, implementation, and an application to SVARs pp. 1-17 Downloads
José Luis Montiel Olea and Mikkel Plagborg‐Møller
The puzzling effects of monetary policy in VARs: Invalid identification or missing information? pp. 18-25 Downloads
Mark Kerssenfischer
Cartel dating pp. 26-42 Downloads
H. Peter Boswijk, Maurice J. G. Bun and Maarten Pieter Schinkel
Switching generalized autoregressive score copula models with application to systemic risk pp. 43-65 Downloads
Mauro Bernardi and Leopoldo Catania
The two‐sample linear regression model with interval‐censored covariates pp. 66-81 Downloads
David Pacini
(Under)Mining local residential property values: A semiparametric spatial quantile autoregression pp. 82-109 Downloads
Emir Malikov, Yiguo Sun and Diane Hite
Estimating within‐cluster spillover effects using a cluster randomization with application to knowledge diffusion in rural India pp. 110-128 Downloads
Arthur Alik‐Lagrange and Martin Ravallion
Information flows and stock market volatility pp. 129-148 Downloads
Chew Lian Chua and Sarantis Tsiaplias
The approximate solution of finite‐horizon discrete‐choice dynamic programming models pp. 149-154 Downloads
Philipp Eisenhauer
Private returns to R&D in the presence of spillovers, revisited pp. 155-159 Downloads
Giovanni Millo
Page updated 2020-06-03