Journal of Applied Econometrics

2011 - 2018

Contiuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 33, issue 6, 2018

National natural rates of interest and the single monetary policy in the euro area pp. 763-779

Sébastien Fries, Jean‐Stéphane Mésonnier, Sarah Mouabbi and Jean‐Paul Renne

Testing for optimal monetary policy via moment inequalities pp. 780-796

Laura Coroneo, Valentina Corradi and Paulo Santos Monteiro

Homogeneity pursuit in panel data models: Theory and application pp. 797-815

Wuyi Wang, Peter C. B. Phillips and Liangjun Su

Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors pp. 816-836

Alexander Chudik, M Pesaran and Jui‐Chung Yang

Testing the rationality of expectations of qualitative outcomes pp. 837-852

Carlos Madeira

Risk premia and seasonality in commodity futures pp. 853-873

Constantino Hevia, Ivan Petrella and Martin Sola

Indirect inference with time series observed with error pp. 874-897

Eduardo Rossi and Paolo Santucci de Magistris

Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach pp. 898-935

Julien Hambuckers, Andreas Groll and Thomas Kneib

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 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 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 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 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