Journal of Applied Econometrics

1986 - 2022

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 37, issue 3, 2022

Common factors of commodity prices pp. 461-476

Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone

(Un)expected monetary policy shocks and term premia pp. 477-499

Martin Kliem and Alexander Meyer‐Gohde

Expanding health insurance for the elderly of the Philippines pp. 500-520

Michael Abrigo, Timothy J. Halliday and Teresa Molina

The dynamic interdependence in the demand of primary and emergency secondary care: A hidden Markov approach pp. 521-536

Mauro Laudicella and Paolo Li Donni

Nonparametric tests of tail behavior in stochastic frontier models pp. 537-562

William C. Horrace and Yulong Wang

Real estate agents' influence on housing search pp. 563-582

Seung‐Hyun Hong

An automated prior robustness analysis in Bayesian model comparison pp. 583-602

Joshua Chan, Liana Jacobi and Dan Zhu

Does model complexity add value to asset allocation? Evidence from machine learning forecasting models pp. 603-639

Iason Kynigakis and Ekaterini Panopoulou

Individual forecaster perceptions of the persistence of shocks to GDP pp. 640-656

Michael Clements

Large devaluations and inflation inequality: Replicating Cravino and Levchenko (2017) with evidence from Brazil pp. 657-664

Raphael Gouvêa

Volume 37, issue 2, 2022

Dynamic evaluation of job search assistance pp. 227-241

Stephen Kastoryano and Bas van der Klaauw

Dynamic treatment effects of job training pp. 242-269

Jorge Rodríguez, Fernando Saltiel and Sergio Urzúa

Dependence‐robust inference using resampled statistics pp. 270-285

Michael Leung

Individual consumption in collective households: Identification using repeated observations with an application to PROGRESA pp. 286-304

Senay Sokullu and Christine Valente

The bilateral trade effects of announcement shocks: Brexit as a natural field experiment pp. 305-329

Mustapha Douch and Terence Huw Edwards

Declining discount rates in Singapore's market for privately developed apartments pp. 330-350

Eric Fesselmeyer, Haoming Liu and Alberto Salvo

A Bayesian approach to account for misclassification in prevalence and trend estimation pp. 351-367

Martijn van Hasselt, Christopher R. Bollinger and Jeremy Bray

Information gains from using short‐dated options for measuring and forecasting volatility pp. 368-391

Viktor Todorov and Yang Zhang

Commodity prices and inflation risk pp. 392-414

Anthony Garratt and Ivan Petrella

Contagious switching pp. 415-432

Michael Owyang, Jeremy Piger and Daniel Soques

Encompassing measures of international consumption risk sharing and their link with trade and financial globalization pp. 433-449

Gerdie Everaert and Lorenzo Pozzi

The deposits channel revisited pp. 450-458

Matthew Schaffer and Nimrod Segev

Volume 37, issue 1, 2022

Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models pp. 3-22

Giovanni Angelini, Giuseppe Cavaliere and Luca Fanelli

Forecast uncertainty, disagreement, and the linear pool pp. 23-41

Malte Knüppel and Fabian Krüger

Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions pp. 42-62

Nikoleta Anesti, Ana Beatriz Galvão and Silvia Miranda‐Agrippino

News media versus FRED‐MD for macroeconomic forecasting pp. 63-81

Jon Ellingsen, Vegard H. Larsen and Leif Thorsrud

The economics of state fragmentation: Assessing the economic impact of secession pp. 82-115

Jo Reynaerts and Jakob Vanschoonbeek

Cyclical labour income risk in Great Britain pp. 116-130

Konstantinos Angelopoulos, Spyridon Lazarakis and Jim Malley

International spillovers of forward guidance shocks pp. 131-160

Callum Jones, Mariano Kulish and Daniel Rees

Aggregate consumption and wealth in the long run: The impact of financial liberalization pp. 161-186

Malin Gardberg and Lorenzo Pozzi

Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China pp. 187-209

Xiao Ke and Cheng Hsiao

Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009) pp. 210-217

Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari

Are there no wage returns to compulsory schooling in Germany? A reassessment pp. 218-223

Kamila Cygan‐Rehm

Volume 36, issue 7, 2021

Permutation tests for equality of distributions of functional data pp. 861-877

Federico Bugni and Joel L. Horowitz

Endogenous health groups and heterogeneous dynamics of the elderly pp. 878-897

Dante Amengual, Jesús Bueren and Julio A. Crego

Tracking and specialization of high schools: Heterogeneous effects of school choice pp. 898-916

Olivier De Groote and Koen Declercq

What time use surveys can (and cannot) tell us about labor supply pp. 917-937

Cheng Chou and Ruoyao Shi

How does the financial market update beliefs about the real economy? Evidence from the oil market pp. 938-961

Stanislav Anatolyev, Sergei Seleznev and Veronika Selezneva

Semiparametric estimation and variable selection for single‐index copula models pp. 962-988

Bingduo Yang, Christian Hafner, Guannan Liu and Wei Long

Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors pp. 989-1012

Simon Beyeler and Sylvia Kaufmann

Inferring financial bubbles from option data pp. 1013-1046

Robert Jarrow and Simon S. Kwok

Transitory and permanent shocks in the global market for crude oil pp. 1047-1064

Nooman Rebei and Rashid Sbia

Revisiting gender identity and relative income within households: A cautionary tale on the potential pitfalls of density estimators pp. 1065-1073

Daniel Kuehnle, Michael Oberfichtner and Kerstin Ostermann

Volume 36, issue 6, 2021

Ranking intersecting distribution functions pp. 639-662

Rolf Aaberge, Tarjei Havnes and Magne Mogstad

If not now, when? The timing of childbirth and labor market outcomes pp. 663-685

Matteo Picchio, Claudia Pigini, Stefano Staffolani and Alina Verashchagina

Labour supply, service intensity, and contracts: Theory and evidence on physicians pp. 686-702

Bernard Fortin, Nicolas Jacquemet and Bruce Shearer

Sparse change‐point VAR models pp. 703-727

Arnaud Dufays, Zhuo Li, Jeroen V.K. Rombouts and Yong Song

Interpretation of point forecasts with unknown directive pp. 728-743

Patrick Schmidt, Matthias Katzfuss and Tilmann Gneiting

The government spending multiplier at the zero lower bound: International evidence from historical data pp. 744-759

Mathias Klein and Roland Winkler

The double‐edged sword of global integration: Robustness, fragility, and contagion in the international firm network pp. 760-783

Everett Grant and Julieta Yung

Consumer inflation expectations, income changes and economic downturns pp. 784-807

Sarantis Tsiaplias

Productivity effects of internationalisation through the domestic supply chain pp. 808-832

Bruno Merlevede and Angelos Theodorakopoulos

A one covariate at a time, multiple testing approach to variable selection in high‐dimensional linear regression models: A replication in a narrow sense pp. 833-841

Hector Nuñez and Jesús Otero

The impact of HIV/AIDS on human capital investment in Sub‐Saharan Africa: New evidence pp. 842-852

Luke Chicoine, Emily Lyons and Alexia Sahue

Did Protestantism promote prosperity via higher human capital? Replicating the Becker–Woessmann (2009) results pp. 853-858

Jeremy Edwards

Volume 36, issue 5, 2021

No‐arbitrage priors, drifting volatilities, and the term structure of interest rates pp. 495-516

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Focused Bayesian prediction pp. 517-543

Ruben Loaiza‐Maya, Gael M. Martin and David T. Frazier

Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume pp. 544-565

Marina Balboa, Paulo Rodrigues, Antonio Rubia and Robert Taylor

Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data pp. 566-586

Arnoud Stevens and Joris Wauters

Measurement of factor strength: Theory and practice pp. 587-613

Natalia Bailey, George Kapetanios and M Pesaran

Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction pp. 614-627

Mengheng Li and Siem Jan Koopman

Estimating household consumption insurance pp. 628-635

Arpita Chatterjee, James Morley and Aarti Singh

Volume 36, issue 4, 2021

How far can we forecast? Statistical tests of the predictive content pp. 369-392

Jörg Breitung and Malte Knüppel

Migration in China: To work or to wed? pp. 393-415

Arnaud Dupuy

Counterfactual analysis under partial identification using locally robust refinement pp. 416-436

Nathan Canen and Kyungchul Song

When are instruments generated from geographic characteristics in bilateral relationships invalid? pp. 437-452

Sabine Deij, Jakob Madsen and Laura Puzzello

Understanding women's wage growth using indirect inference with importance sampling pp. 453-473

Robert Sauer and Christopher Taber

Measurement error in earnings data: Replication of Meijer, Rohwedder, and Wansbeek's mixture model approach to combining survey and register data pp. 474-483

Stephen Jenkins and Fernando Rios‐Avila

Bayesian estimation of the exact affine Stone index demand system: Replicating the Lewbel and Pendakur (2009) results pp. 484-491

Andrés Ramírez‐Hassan

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 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