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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 Downloads
Mario Forni, Alessandro Giovannelli, Marco Lippi and Stefano Soccorsi
UK term structure decompositions at the zero lower bound pp. 643-661 Downloads
Andrea Carriero, Sarah Mouabbi and Elisabetta Vangelista
What are the macroeconomic effects of high‐frequency uncertainty shocks? pp. 662-679 Downloads
Laurent Ferrara and Pierre Guérin
How the baby boomers' retirement wave distorts model‐based output gap estimates pp. 680-689 Downloads
Maik Wolters
Structural estimation of behavioral heterogeneity pp. 690-707 Downloads
Zhentao Shi and Huanhuan Zheng
Exploiting tail shape biases to discriminate between stable and student t alternatives pp. 708-726 Downloads
Pengfei Sun and Casper G. de Vries
Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions∗ pp. 727-747 Downloads
Roberto A. De Santis and Srečko Zimic
Ancestry and development: New evidence pp. 748-762 Downloads
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 Downloads
Marco Bernardini and Gert Peersman
Bayesian model comparison for time†varying parameter VARs with stochastic volatility pp. 509-532 Downloads
Joshua Chan and Eric Eisenstat
Cyclicality in losses on bank loans pp. 533-552 Downloads
Bart Keijsers, Bart Diris and Erik Kole
Exact computation of GMM estimators for instrumental variable quantile regression models pp. 553-567 Downloads
Le†Yu Chen and Sokbae Lee
A kink that makes you sick: The effect of sick pay on absence pp. 568-579 Downloads
Petri Böckerman, Ohto Kanninen and Ilpo Suoniemi
Intergenerational mobility: New evidence from consumption data pp. 580-593 Downloads
Gustaf Bruze
Information shocks and the empirical evaluation of training programs during unemployment spells pp. 594-616 Downloads
Bruno Crépon, Marc Ferracci, Gregory Jolivet and Gerard J. van den Berg
Genetic distance, trade, and the diffusion of development pp. 617-623 Downloads
Vincenzo Bove and Gunes Gokmen

Volume 33, issue 3, 2018

Improving Markov switching models using realized variance pp. 297-318 Downloads
Jia Liu and John M. Maheu
Policy uncertainty and aggregate fluctuations pp. 319-331 Downloads
Haroon Mumtaz and Paolo Surico
Time series copulas for heteroskedastic data pp. 332-354 Downloads
Rubén Loaiza Maya, Michael S. Smith and Worapree Maneesoonthorn
A multilevel factor model: Identification, asymptotic theory and applications pp. 355-377 Downloads
In Choi, Dukpa Kim, Yun Jung Kim and Noh†Sun Kwark
A generalized focused information criterion for GMM pp. 378-397 Downloads
Minsu Chang and Francis DiTraglia
Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements pp. 398-415 Downloads
Marco Bee, Debbie J. Dupuis and Luca Trapin
Self†employment among women: Do children matter more than we previously thought? pp. 416-434 Downloads
Anastasia Semykina
Identification issues in the public/private wage gap, with an application to Italy pp. 435-456 Downloads
Domenico Depalo
Increasing the credibility of the twin birth instrument pp. 457-472 Downloads
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 Downloads
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 Downloads
Shulin Shen and Jindong Pang

Volume 33, issue 2, 2018

Multivariate choices and identification of social interactions pp. 165-178 Downloads
Ethan Cohen†Cole, Xiaodong Liu and Yves Zenou
Binary response panel data models with sample selection and self†selection pp. 179-197 Downloads
Anastasia Semykina and Jeffrey M. Wooldridge
Do contractionary monetary policy shocks expand shadow banking? pp. 198-211 Downloads
Benjamin Nelson, Gabor Pinter and Konstantinos Theodoridis
Business, housing, and credit cycles pp. 212-226 Downloads
Gerhard Rünstler and Marente Vlekke
Identifying contagion pp. 227-250 Downloads
Mardi Dungey and Eric Renault
An efficient Bayesian approach to multiple structural change in multivariate time series pp. 251-270 Downloads
John M. Maheu and Yong Song
Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis pp. 271-289 Downloads
Sebastian Opitz, Henry Seidel and Alexander Szimayer
Normalized CES supply systems: Replication of Klump, McAdam, and Willman (2007) pp. 290-296 Downloads
Kenneth G. Stewart

Volume 33, issue 1, 2018

Estimating global bank network connectedness pp. 1-15 Downloads
Mert Demirer, Francis X. Diebold, Laura Liu and Kamil Yilmaz
The evolution of scale economies in US banking pp. 16-28 Downloads
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 Downloads
Hugo Jales
Estimating the distribution of welfare effects using quantiles pp. 52-72 Downloads
Stefan Hoderlein and Anne Vanhems
Difference†in†differences when the treatment status is observed in only one period pp. 73-90 Downloads
Irene Botosaru and Federico H. Gutierrez
Decomposing economic mobility transition matrices pp. 91-108 Downloads
Jeremiah Richey and Alicia Rosburg
Weak†instrument robust inference for two†sample instrumental variables regression pp. 109-125 Downloads
Jaerim Choi, Jiaying Gu and Shu Shen
A sequential Monte Carlo approach to inference in multiple†equation Markov†switching models pp. 126-140 Downloads
Mark Bognanni and Edward Herbst
Sequentially testing polynomial model hypotheses using power transforms of regressors pp. 141-159 Downloads
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 Downloads
Anton Pak

Volume 32, issue 7, 2017

Doubly robust uniform confidence band for the conditional average treatment effect function pp. 1207-1225 Downloads
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 Downloads
Lena Boneva and Oliver Linton
Nonparametric methods and local†time†based estimation for dynamic power law distributions pp. 1244-1260 Downloads
Ricardo T. Fernholz
An endogenously clustered factor approach to international business cycles pp. 1261-1276 Downloads
Neville Francis, Michael T. Owyang and Ozge Savascin
Efficient estimation of Bayesian VARMAs with time†varying coefficients pp. 1277-1297 Downloads
Joshua Chan and Eric Eisenstat
Combining density forecasts using focused scoring rules pp. 1298-1313 Downloads
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 Downloads
Patrick Hummel and Randolph McAfee
Economies of diversification in the US credit union sector pp. 1329-1347 Downloads
Emir Malikov, Shunan Zhao and Subal C. Kumbhakar
Unobserved selection heterogeneity and the gender wage gap pp. 1348-1366 Downloads
Cecilia Machado
Estimating the economic costs of organized crime by synthetic control methods pp. 1367-1369 Downloads
Martin Becker and Stefan Klößner

Volume 32, issue 6, 2017

Anchoring the yield curve using survey expectations pp. 1055-1068 Downloads
Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa
Structural FECM: Cointegration in large‐scale structural FAVAR models pp. 1069-1086 Downloads
Anindya Banerjee, Massimiliano Marcellino and Igor Masten
Model selection with estimated factors and idiosyncratic components pp. 1087-1106 Downloads
Jack Fosten
Efficient estimation of factor models with time and cross‐sectional dependence pp. 1107-1122 Downloads
Alexander Heinemann
Identifying relevant and irrelevant variables in sparse factor models pp. 1123-1144 Downloads
Sylvia Kaufmann and Christian Schumacher
Real exchange rate persistence and the excess return puzzle: The case of Switzerland versus the US pp. 1145-1155 Downloads
Katarina Juselius and Katrin Assenmacher
Fat tails and spurious estimation of consumption‐based asset pricing models pp. 1156-1177 Downloads
Alexis Akira Toda and Kieran James Walsh
Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances pp. 1178-1196 Downloads
Leopoldo Catania and Anna Gloria Billé
The cycle of violence in the Second Intifada: Causality in nonlinear vector autoregressive models pp. 1197-1205 Downloads
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 Downloads
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 Downloads
Carlo Altavilla and Domenico Giannone
Monetary Policy and Asset Prices: A Markov‐Switching DSGE Approach pp. 965-982 Downloads
Joonyoung Hur
An Empirical Comparison Between the Synthetic Control Method and HSIAO et al.'s Panel Data Approach to Program Evaluation pp. 983-1002 Downloads
Javier Gardeazabal and Ainhoa Vega‐Bayo
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models pp. 1003-1026 Downloads
István Barra, Lennart Hoogerheide, Siem Jan Koopman and Andre Lucas
The Robust Relationship Between us Food Aid and Civil Conflict pp. 1027-1032 Downloads
Chi‐Yang Chu, Daniel Henderson and Le Wang
Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) pp. 1033-1038 Downloads
Peter Summers
Economic Transition and Growth: A Replication pp. 1039-1042 Downloads
Joachim Schnurbus, Harry Haupt and Verena Meier
Work Ethic, Social Ethic, no Ethic: Measuring the Economic Values of Modern Christians pp. 1043-1053 Downloads
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 Downloads
Daniel Millimet and Ian McDonough
Estimating the Competitive Storage Model with Trending Commodity Prices pp. 744-763 Downloads
Christophe Gouel and Nicolas Legrand
Loan Supply Shocks and the Business Cycle pp. 764-782 Downloads
Luca Gambetti and Alberto Musso
Density Forecasts With Midas Models pp. 783-801 Downloads
Knut Are Aastveit, Claudia Foroni and Francesco Ravazzolo
Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods pp. 802-818 Downloads
Matthieu Droumaguet, Anders Warne and Tomasz Woźniak
On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in the USA pp. 819-840 Downloads
Gerdie Everaert, Lorenzo Pozzi and Ruben Schoonackers
MM Algorithm for General Mixed Multinomial Logit Models pp. 841-857 Downloads
Jonathan James
Using a Structural‐Form Model to Analyze the Impact of Home Ownership on Unemployment Duration pp. 858-876 Downloads
Aico van Vuuren
Out‐of‐Sample Return Predictability: A Quantile Combination Approach pp. 877-895 Downloads
Luiz Renato Lima and Fanning Meng
Textual Analysis in Real Estate pp. 896-918 Downloads
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 Downloads
Matheus Albergaria and Luiz Paulo Fávero
Human Capital Spillovers and Regional Development pp. 923-930 Downloads
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 Downloads
Cem Ertur and Antonio Musolesi
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures pp. 504-532 Downloads
Worapree Maneesoonthorn, Catherine S. Forbes and Gael M. Martin
Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting pp. 533-553 Downloads
Todd E. Clark and Michael McCracken
Testing for Predictability in panels with General Predictors pp. 554-574 Downloads
Joakim Westerlund, Hande Karabiyik and Paresh Narayan
Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data pp. 575-599 Downloads
Jiaying Gu and Roger Koenker
Likelihood‐Based Inference and Prediction in Spatio‐Temporal Panel Count Models for Urban Crimes pp. 600-620 Downloads
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 Downloads
Melanie Krause
Teacher Quality and Student Achievement: Evidence from a Sample of Dutch Twins pp. 643-660 Downloads
Sander Gerritsen, Erik Plug and Dinand Webbink
Confronting Price Endogeneity in a Duration Model of Residential Subdivision Development pp. 661-682 Downloads
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 Downloads
Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi
In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area pp. 704-718 Downloads
Patrick Fève and Jean-Guillaume Sahuc
Income and Democracy: A Smooth Varying Coefficient Redux pp. 719-724 Downloads
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 Downloads
James MacKinnon and Matthew Webb
Estimation and Solution of Models with Expectations and Structural Changes pp. 255-274 Downloads
Mariano Kulish and Adrian Pagan
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump pp. 275-295 Downloads
Christiane Baumeister, Lutz Kilian and Thomas K. Lee
Global Credit Risk: World, Country and Industry Factors pp. 296-317 Downloads
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
Forecasting With the Standardized Self‐Perturbed Kalman Filter pp. 318-341 Downloads
Stefano Grassi, Nima Nonejad and Paolo Santucci De Magistris
Penalized Quantile Regression with Semiparametric Correlated Effects: An Application with Heterogeneous Preferences pp. 342-358 Downloads
Matthew Harding and Carlos Lamarche
Spotting the Danger Zone: Forecasting Financial Crises With Classification Tree Ensembles and Many Predictors pp. 359-378 Downloads
Felix Ward
Skewness Risk and Bond Prices pp. 379-400 Downloads
Francisco Ruge‐Murcia
Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis pp. 401-421 Downloads
Tatjana Dahlhaus
Transitions at Different Moments in Time: A Spatial Probit Approach pp. 422-439 Downloads
J.Paul Elhorst, Pim Heijnen, Anna Samarina and Jan Jacobs
Absenteeism, Gender and the Morbidity–Mortality Paradox pp. 440-462 Downloads
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 Downloads
Donald Lien, Yue Hu and Long Liu
Differences Between Classical and Bayesian Estimates for Mixed Logit Models: A Replication Study pp. 470-476 Downloads
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 Downloads
John Coglianese, Lucas W. Davis, Lutz Kilian and James H. Stock
Average and Marginal Returns to Upper Secondary Schooling in Indonesia pp. 16-36 Downloads
Pedro Carneiro, Michael Lokshin and Nithin Umapathi
Estimation of Poverty Transition Matrices with Noisy Data pp. 37-55 Downloads
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 Downloads
Martin Huber, Lukas Laffers and Giovanni Mellace
Identification and Estimation of Online Price Competition With an Unknown Number of Firms pp. 80-102 Downloads
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 Downloads
Anders Warne, Günter Coenen and Kai Christoffel
How to Identify and Forecast Bull and Bear Markets? pp. 120-139 Downloads
Erik Kole and Dick Dijk
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice pp. 140-158 Downloads
Laurent Callot, Anders Kock and Marcelo Medeiros
Forecasting Tail Risks pp. 159-170 Downloads
Gianni De Nicolò and Marcella Lucchetta
Modeling Financial Sector Joint Tail Risk in the Euro Area pp. 171-191 Downloads
Andre Lucas, Bernd Schwaab and Xin Zhang
State Prices of Conditional Quantiles: New Evidence on Time Variation in the Pricing Kernel pp. 192-217 Downloads
Konstantinos Metaxoglou and Aaron Smith
Replication of unconditional Quantile Regressions by Firpo, Fortin and Lemieux (2009) pp. 218-223 Downloads
Badi Baltagi and Pallab Kumar Ghosh
The Early Millennium Slowdown: Replicating the Peersman (2005) Results pp. 224-232 Downloads
Angelia Grant
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