Journal of Applied Econometrics

2011 - 2018

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 33, issue 5, 2018

Dynamic factor model with infinite‐dimensional factor space: Forecasting pp. 625-642

Mario Forni, Alessandro Giovannelli, Marco Lippi and Stefano Soccorsi

UK term structure decompositions at the zero lower bound pp. 643-661

Andrea Carriero, Sarah Mouabbi and Elisabetta Vangelista

What are the macroeconomic effects of high‐frequency uncertainty shocks? pp. 662-679

Laurent Ferrara and Pierre Guérin

How the baby boomers' retirement wave distorts model‐based output gap estimates pp. 680-689

Maik Wolters

Structural estimation of behavioral heterogeneity pp. 690-707

Zhentao Shi and Huanhuan Zheng

Exploiting tail shape biases to discriminate between stable and student t alternatives pp. 708-726

Pengfei Sun and Casper G. de Vries

Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions∗ pp. 727-747

Roberto A. De Santis and Srečko Zimic

Ancestry and development: New evidence pp. 748-762

Enrico Spolaore and Romain Wacziarg

Volume 33, issue 4, 2018

Private debt overhang and the government spending multiplier: Evidence for the United States pp. 485-508

Marco Bernardini and Gert Peersman

Bayesian model comparison for time†varying parameter VARs with stochastic volatility pp. 509-532

Joshua Chan and Eric Eisenstat

Cyclicality in losses on bank loans pp. 533-552

Bart Keijsers, Bart Diris and Erik Kole

Exact computation of GMM estimators for instrumental variable quantile regression models pp. 553-567

Le†Yu Chen and Sokbae Lee

A kink that makes you sick: The effect of sick pay on absence pp. 568-579

Petri Böckerman, Ohto Kanninen and Ilpo Suoniemi

Intergenerational mobility: New evidence from consumption data pp. 580-593

Gustaf Bruze

Information shocks and the empirical evaluation of training programs during unemployment spells pp. 594-616

Bruno Crépon, Marc Ferracci, Gregory Jolivet and Gerard J. van den Berg

Genetic distance, trade, and the diffusion of development pp. 617-623

Vincenzo Bove and Gunes Gokmen

Volume 33, issue 3, 2018

Improving Markov switching models using realized variance pp. 297-318

Jia Liu and John M. Maheu

Policy uncertainty and aggregate fluctuations pp. 319-331

Haroon Mumtaz and Paolo Surico

Time series copulas for heteroskedastic data pp. 332-354

Rubén Loaiza Maya, Michael S. Smith and Worapree Maneesoonthorn

A multilevel factor model: Identification, asymptotic theory and applications pp. 355-377

In Choi, Dukpa Kim, Yun Jung Kim and Noh†Sun Kwark

A generalized focused information criterion for GMM pp. 378-397

Minsu Chang and Francis DiTraglia

Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements pp. 398-415

Marco Bee, Debbie J. Dupuis and Luca Trapin

Self†employment among women: Do children matter more than we previously thought? pp. 416-434

Anastasia Semykina

Identification issues in the public/private wage gap, with an application to Italy pp. 435-456

Domenico Depalo

Increasing the credibility of the twin birth instrument pp. 457-472

Helmut Farbmacher, Raphael Guber and Johan Vikström

Comparing cross†country estimates of Lorenz curves using a Dirichlet distribution across estimators and datasets pp. 473-478

Andrew C. Chang, Phillip Li and Shawn M. Martin

Measuring the diffusion of housing prices across space and over time: Replication and further evidence pp. 479-484

Shulin Shen and Jindong Pang

Volume 33, issue 2, 2018

Multivariate choices and identification of social interactions pp. 165-178

Ethan Cohen†Cole, Xiaodong Liu and Yves Zenou

Binary response panel data models with sample selection and self†selection pp. 179-197

Anastasia Semykina and Jeffrey M. Wooldridge

Do contractionary monetary policy shocks expand shadow banking? pp. 198-211

Benjamin Nelson, Gabor Pinter and Konstantinos Theodoridis

Business, housing, and credit cycles pp. 212-226

Gerhard Rünstler and Marente Vlekke

Identifying contagion pp. 227-250

Mardi Dungey and Eric Renault

An efficient Bayesian approach to multiple structural change in multivariate time series pp. 251-270

John M. Maheu and Yong Song

Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis pp. 271-289

Sebastian Opitz, Henry Seidel and Alexander Szimayer

Normalized CES supply systems: Replication of Klump, McAdam, and Willman (2007) pp. 290-296

Kenneth G. Stewart

Volume 33, issue 1, 2018

Estimating global bank network connectedness pp. 1-15

Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz

The evolution of scale economies in US banking pp. 16-28

David C. Wheelock and Paul W. Wilson

Estimating the effects of the minimum wage in a developing country: A density discontinuity design approach pp. 29-51

Hugo Jales

Estimating the distribution of welfare effects using quantiles pp. 52-72

Stefan Hoderlein and Anne Vanhems

Difference†in†differences when the treatment status is observed in only one period pp. 73-90

Irene Botosaru and Federico H. Gutierrez

Decomposing economic mobility transition matrices pp. 91-108

Jeremiah Richey and Alicia Rosburg

Weak†instrument robust inference for two†sample instrumental variables regression pp. 109-125

Jaerim Choi, Jiaying Gu and Shu Shen

A sequential Monte Carlo approach to inference in multiple†equation Markov†switching models pp. 126-140

Mark Bognanni and Edward Herbst

Sequentially testing polynomial model hypotheses using power transforms of regressors pp. 141-159

Jin Seo Cho and Peter C. B. Phillips

Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?†pp. 160-163

Anton Pak

Volume 32, issue 7, 2017

Doubly robust uniform confidence band for the conditional average treatment effect function pp. 1207-1225

Sokbae Lee, Ryo Okui and Yoon†Jae Whang

A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance pp. 1226-1243

Lena Boneva and Oliver Linton

Nonparametric methods and local†time†based estimation for dynamic power law distributions pp. 1244-1260

Ricardo T. Fernholz

An endogenously clustered factor approach to international business cycles pp. 1261-1276

Neville Francis, Michael T. Owyang and Ozge Savascin

Efficient estimation of Bayesian VARMAs with time†varying coefficients pp. 1277-1297

Joshua Chan and Eric Eisenstat

Combining density forecasts using focused scoring rules pp. 1298-1313

Anne Opschoor, Dick van Dijk and Michel van der Wel

Loss functions for predicted click†through rates in auctions for online advertising pp. 1314-1328

Patrick Hummel and Randolph McAfee

Economies of diversification in the US credit union sector pp. 1329-1347

Emir Malikov, Shunan Zhao and Subal C. Kumbhakar

Unobserved selection heterogeneity and the gender wage gap pp. 1348-1366

Cecilia Machado

Estimating the economic costs of organized crime by synthetic control methods pp. 1367-1369

Martin Becker and Stefan Klößner

Volume 32, issue 6, 2017

Anchoring the yield curve using survey expectations pp. 1055-1068

Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa

Structural FECM: Cointegration in large‐scale structural FAVAR models pp. 1069-1086

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

Model selection with estimated factors and idiosyncratic components pp. 1087-1106

Jack Fosten

Efficient estimation of factor models with time and cross‐sectional dependence pp. 1107-1122

Alexander Heinemann

Identifying relevant and irrelevant variables in sparse factor models pp. 1123-1144

Sylvia Kaufmann and Christian Schumacher

Real exchange rate persistence and the excess return puzzle: The case of Switzerland versus the US pp. 1145-1155

Katarina Juselius and Katrin Assenmacher

Fat tails and spurious estimation of consumption‐based asset pricing models pp. 1156-1177

Alexis Akira Toda and Kieran James Walsh

Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances pp. 1178-1196

Leopoldo Catania and Anna Gloria Billé

The cycle of violence in the Second Intifada: Causality in nonlinear vector autoregressive models pp. 1197-1205

Muhammad Asali, Aamer S. Abu‐Qarn and Michael Beenstock

Volume 32, issue 5, 2017

Have Standard VARS Remained Stable Since the Crisis? pp. 931-951

Knut Are Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Marcellino

The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data pp. 952-964

Carlo Altavilla and Domenico Giannone

Monetary Policy and Asset Prices: A Markov‐Switching DSGE Approach pp. 965-982

Joonyoung Hur

An Empirical Comparison Between the Synthetic Control Method and HSIAO et al.'s Panel Data Approach to Program Evaluation pp. 983-1002

Javier Gardeazabal and Ainhoa Vega‐Bayo

Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models pp. 1003-1026

István Barra, Lennart Hoogerheide, Siem Jan Koopman and Andre Lucas

The Robust Relationship Between us Food Aid and Civil Conflict pp. 1027-1032

Chi‐Yang Chu, Daniel Henderson and Le Wang

Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) pp. 1033-1038

Peter Summers

Economic Transition and Growth: A Replication pp. 1039-1042

Joachim Schnurbus, Harry Haupt and Verena Meier

Work Ethic, Social Ethic, no Ethic: Measuring the Economic Values of Modern Christians pp. 1043-1053

Christopher Colvin and Matthew McCracken

Volume 32, issue 4, 2017

Dynamic Panel Data Models With Irregular Spacing: With an Application to Early Childhood Development pp. 725-743

Daniel Millimet and Ian McDonough

Estimating the Competitive Storage Model with Trending Commodity Prices pp. 744-763

Christophe Gouel and Nicolas Legrand

Loan Supply Shocks and the Business Cycle pp. 764-782

Luca Gambetti and Alberto Musso

Density Forecasts With Midas Models pp. 783-801

Knut Are Aastveit, Claudia Foroni and Francesco Ravazzolo

Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods pp. 802-818

Matthieu Droumaguet, Anders Warne and Tomasz Woźniak

On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in the USA pp. 819-840

Gerdie Everaert, Lorenzo Pozzi and Ruben Schoonackers

MM Algorithm for General Mixed Multinomial Logit Models pp. 841-857

Jonathan James

Using a Structural‐Form Model to Analyze the Impact of Home Ownership on Unemployment Duration pp. 858-876

Aico van Vuuren

Out‐of‐Sample Return Predictability: A Quantile Combination Approach pp. 877-895

Luiz Renato Lima and Fanning Meng

Textual Analysis in Real Estate pp. 896-918

Adam Nowak and Patrick Smith

Narrow Replication of Fisman and Miguel's (2007a) ‘Corruption, Norms, and Legal Enforcement: Evidence from Diplomatic Parking Tickets’ pp. 919-922

Matheus Albergaria and Luiz Paulo Fávero

Human Capital Spillovers and Regional Development pp. 923-930

Marcos Sanso‐Navarro, Maria Vera‐Cabello and Domingo P. Ximénez‐ De‐Embún

Volume 32, issue 3, 2017

Weak and Strong Cross‐Sectional Dependence: A Panel Data Analysis of International Technology Diffusion pp. 477-503

Cem Ertur and Antonio Musolesi

Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures pp. 504-532

Worapree Maneesoonthorn, Catherine S. Forbes and Gael M. Martin

Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting pp. 533-553

Todd E. Clark and Michael McCracken

Testing for Predictability in panels with General Predictors pp. 554-574

Joakim Westerlund, Hande Karabiyik and Paresh Narayan

Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data pp. 575-599

Jiaying Gu and Roger Koenker

Likelihood‐Based Inference and Prediction in Spatio‐Temporal Panel Count Models for Urban Crimes pp. 600-620

Roman Liesenfeld, Jean-Francois Richard and Jan Vogler

The Millennium Peak in Club Convergence: A New Look at Distributional Changes in The Wealth of Nations pp. 621-642

Melanie Krause

Teacher Quality and Student Achievement: Evidence from a Sample of Dutch Twins pp. 643-660

Sander Gerritsen, Erik Plug and Dinand Webbink

Confronting Price Endogeneity in a Duration Model of Residential Subdivision Development pp. 661-682

Douglas H. Wrenn, Henry Klaiber and David Newburn

Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area pp. 683-703

Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi

In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area pp. 704-718

Patrick Fève and Jean-Guillaume Sahuc

Income and Democracy: A Smooth Varying Coefficient Redux pp. 719-724

Alexander L. Lundberg, Kim Huynh and David T. Jacho‐Chávez

Volume 32, issue 2, 2017

Wild Bootstrap Inference for Wildly Different Cluster Sizes pp. 233-254

James MacKinnon and Matthew Webb

Estimation and Solution of Models with Expectations and Structural Changes pp. 255-274

Mariano Kulish and Adrian Pagan

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump pp. 275-295

Christiane Baumeister, Lutz Kilian and Thomas K. Lee

Global Credit Risk: World, Country and Industry Factors pp. 296-317

Bernd Schwaab, Siem Jan Koopman and Andre Lucas

Forecasting With the Standardized Self‐Perturbed Kalman Filter pp. 318-341

Stefano Grassi, Nima Nonejad and Paolo Santucci De Magistris

Penalized Quantile Regression with Semiparametric Correlated Effects: An Application with Heterogeneous Preferences pp. 342-358

Matthew Harding and Carlos Lamarche

Spotting the Danger Zone: Forecasting Financial Crises With Classification Tree Ensembles and Many Predictors pp. 359-378

Felix Ward

Skewness Risk and Bond Prices pp. 379-400

Francisco Ruge‐Murcia

Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis pp. 401-421

Tatjana Dahlhaus

Transitions at Different Moments in Time: A Spatial Probit Approach pp. 422-439

J.Paul Elhorst, Pim Heijnen, Anna Samarina and Jan Jacobs

Absenteeism, Gender and the Morbidity–Mortality Paradox pp. 440-462

Daniel Avdic and Per Johansson

Subjective Well‐Being and Income: A Re‐Examination of Satiation Using the Regression Kink Model With an Unknown Threshold pp. 463-469

Donald Lien, Yue Hu and Long Liu

Differences Between Classical and Bayesian Estimates for Mixed Logit Models: A Replication Study pp. 470-476

Ossama Elshiewy, German Zenetti and Yasemin Boztug

Volume 32, issue 1, 2017

Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand pp. 1-15

John Coglianese, Lucas W. Davis, Lutz Kilian and James H. Stock

Average and Marginal Returns to Upper Secondary Schooling in Indonesia pp. 16-36

Pedro Carneiro, Michael Lokshin and Nithin Umapathi

Estimation of Poverty Transition Matrices with Noisy Data pp. 37-55

Nayoung Lee, Geert Ridder and John Strauss

Sharp IV Bounds on Average Treatment Effects on the Treated and Other Populations Under Endogeneity and Noncompliance pp. 56-79

Martin Huber, Lukas Laffers and Giovanni Mellace

Identification and Estimation of Online Price Competition With an Unknown Number of Firms pp. 80-102

Yonghong An, Michael R. Baye, Yingyao Hu, John Morgan and Matt Shum

Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models pp. 103-119

Anders Warne, Günter Coenen and Kai Christoffel

How to Identify and Forecast Bull and Bear Markets? pp. 120-139

Erik Kole and Dick Dijk

Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice pp. 140-158

Laurent Callot, Anders Kock and Marcelo Medeiros

Forecasting Tail Risks pp. 159-170

Gianni De Nicolò and Marcella Lucchetta

Modeling Financial Sector Joint Tail Risk in the Euro Area pp. 171-191

Andre Lucas, Bernd Schwaab and Xin Zhang

State Prices of Conditional Quantiles: New Evidence on Time Variation in the Pricing Kernel pp. 192-217

Konstantinos Metaxoglou and Aaron Smith

Replication of unconditional Quantile Regressions by Firpo, Fortin and Lemieux (2009) pp. 218-223

Badi Baltagi and Pallab Kumar Ghosh

The Early Millennium Slowdown: Replicating the Peersman (2005) Results pp. 224-232

Angelia Grant