Economics at your fingertips  

Journal of Applied Econometrics

1986 - 2020

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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