Journal of Applied Econometrics

1986 - 2023

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 38, issue 4, 2023

Inflation expectations and nonlinearities in the Phillips curve pp. 453-471

Alexander Doser, Ricardo Nunes, Nikhil Rao and Viacheslav Sheremirov

Fiscal targets. A guide to forecasters? pp. 472-492

Joan Paredes, Javier J. Pérez and Gabriel Perez Quiros

Deep distributional time series models and the probabilistic forecasting of intraday electricity prices pp. 493-511

Nadja Klein, Michael Stanley Smith and David J. Nott

Quantifying investor narratives and their role during COVID‐19 pp. 512-532

Daniel Borup, Jorge Wolfgang Hansen, Benjamin Dybro Liengaard and Erik Christian Montes Schütte

Identifying and interpreting the factors in factor models via sparsity: Different approaches pp. 533-555

Thomas Despois and Catherine Doz

Subspace shrinkage in conjugate Bayesian vector autoregressions pp. 556-576

Florian Huber and Gary Koop

Bayesian optimization of hyperparameters from noisy marginal likelihood estimates pp. 577-595

Oskar Gustafsson, Mattias Villani and Pär Stockhammar

Robust forecast superiority testing with an application to assessing pools of expert forecasters pp. 596-622

Valentina Corradi, Sainan Jin and Norman R. Swanson

Inattention and the impact of monetary policy pp. 623-643

Zidong An, Salem Abo‐Zaid and Xuguang Simon Sheng

Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models pp. 644-667

Zhongjun Qu and Denis Tkachenko

Volume 38, issue 3, 2023

Identifying the effects of sanctions on the Iranian economy using newspaper coverage pp. 271-294

Dario Laudati and Mohammad Pesaran

Macroeconomic forecasting in times of crises pp. 295-320

Pablo Guerróon‐Quintana and Molin Zhong

Testing random assignment to peer groups pp. 321-333

Koen Jochmans

The employment effects of the minimum wage: A selection ratio approach to measuring treatment effects pp. 334-357

David Slichter

Inference in difference‐in‐differences: How much should we trust in independent clusters? pp. 358-369

Bruno Ferman

The shale oil revolution and the global oil supply curve pp. 370-387

Claudia Foroni and Livio Stracca

The multifaceted impact of US trade policy on financial markets pp. 388-406

Lukas Boer, Lukas Menkhoff and Malte Rieth

Testing identifying assumptions in bivariate probit models pp. 407-422

Santiago Acerenza, Otavio Bartalotti and Désiré Kédagni

New evidence on the importance of instruction time for student achievement on international assessments pp. 423-431

Jan Bietenbeck and Matthew Collins

Global financial uncertainty pp. 432-449

Giovanni Caggiano and Efrem Castelnuovo

Volume 38, issue 2, 2023

On the real‐time predictive content of financial condition indices for growth pp. 137-163

Aaron J. Amburgey and Michael W. McCracken

Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty pp. 164-185

Michael Clements and Ana Beatriz Galvão

Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies pp. 186-201

Katarzyna Budnik and Gerhard Rünstler

Real‐time macroeconomic projection using narrative central bank communication pp. 202-221

Jianhao Lin, Jiacheng Fan, Yifan Zhang and Liangyuan Chen

Forward guidance and expectation formation: A narrative approach pp. 222-241

Christopher S. Sutherland

Hierarchical random‐effects model for the insurance pricing of vehicles belonging to a fleet pp. 242-259

Denise Desjardins, Georges Dionne and Yang Lu

Reassessing the dependence between economic growth and financial conditions since 1973 pp. 260-267

Tony Chernis, Patrick Coe and Shaun P. Vahey

Volume 38, issue 1, 2023

The role of observed and unobserved heterogeneity in the duration of unemployment pp. 3-23

Hie Joo Ahn

Dynamic and non‐neutral productivity effects of foreign ownership: A nonparametric approach pp. 24-48

Yoonseok Lee, Mary E. Lovely and Hoang Pham

Structural VAR and financial networks: A minimum distance approach to spatial modeling pp. 49-68

Daniela Scidá

General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields pp. 69-87

Manfred M. Fischer, Niko Hauzenberger, Florian Huber and Michael Pfarrhofer

Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting pp. 88-104

Andrew C. Chang and Trace J. Levinson

Equity‐premium prediction: Attention is all you need pp. 105-122

Luiz Renato Lima and Lucas Lúcio Godeiro

Workplace heterogeneity and wage inequality in Denmark pp. 123-133

Annaïg Morin

Volume 37, issue 7, 2022

Regression with an imputed dependent variable pp. 1277-1294

Thomas Crossley, Peter Levell and Stavros Poupakis

Normal but skewed? pp. 1295-1313

Dante Amengual, Xinyue Bei and Enrique Sentana

Forecasting low‐frequency macroeconomic events with high‐frequency data pp. 1314-1333

Ana Beatriz Galvão and Michael Owyang

Long‐run predictability tests are even worse than you thought pp. 1334-1355

Erik Hjalmarsson and Tamas Kiss

Bayesian estimation of multivariate panel probits with higher‐order network interdependence and an application to firms' global market participation in Guangdong pp. 1356-1378

Badi Baltagi, Peter Egger and Michaela Kesina

Did earnings mobility change after minimum wage introduction? Evidence from parametric and semi‐nonparametric methods in Germany pp. 1379-1402

Costanza Naguib

Reevaluating the evidence on seasonality in housing market match quality: Replication of Ngai and Tenreyro (2014) pp. 1403-1409

Dean Scrimgeour

Volume 37, issue 6, 2022

Covariate distribution balance via propensity scores pp. 1093-1120

Pedro H. C. Sant'Anna, Xiaojun Song and Qi Xu

Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations pp. 1121-1137

Koen Jochmans and Vincenzo Verardi

Do words hurt more than actions? The impact of trade tensions on financial markets pp. 1138-1159

Massimo Ferrari Minesso, Frederik Kurcz and Maria Sole Pagliari

Count Roy model with finite mixtures pp. 1160-1181

Murat K. Munkin

Trade openness and growth: A network‐based approach pp. 1182-1203

Georg Duernecker, Moritz Meyer and Fernando Vega‐Redondo

Matching theory and evidence on Covid‐19 using a stochastic network SIR model pp. 1204-1229

Mohammad Pesaran and Cynthia Fan Yang

Macroeconomic forecasting in a multi‐country context pp. 1230-1255

Yu Bai, Andrea Carriero, Todd Clark and Massimiliano Marcellino

Identification of dynamic latent factor models of skill formation with translog production pp. 1256-1265

Emilia Del Bono, Josh Kinsler and Ronni Pavan

Do rural banks matter that much? Burgess and Pande (2005) reconsidered pp. 1266-1274

Nino Buliskeria and Jaromir Baxa

Volume 37, issue 5, 2022

Nowcasting tail risk to economic activity at a weekly frequency pp. 843-866

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Oil prices, gasoline prices, and inflation expectations pp. 867-881

Lutz Kilian and Xiaoqing Zhou

The role of precautionary and speculative demand in the global market for crude oil pp. 882-895

Jamie L. Cross, Bao H. Nguyen and Trung Duc Tran

Making text count: Economic forecasting using newspaper text pp. 896-919

Eleni Kalamara, Arthur Turrell, Chris Redl, George Kapetanios and Sujit Kapadia

How is machine learning useful for macroeconomic forecasting? pp. 920-964

Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic and Stéphane Surprenant

Optimal forecast under structural breaks pp. 965-987

Tae Hwy Lee, Shahnaz Parsaeian and Aman Ullah

Extremal connectedness of hedge funds pp. 988-1009

Linda Mhalla, Julien Hambuckers and Marie Lambert

Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters pp. 1010-1030

Matei Demetrescu, Christoph Hanck and Robinson Kruse‐Becher

Recurrent conditional heteroskedasticity pp. 1031-1054

Trong‐Nghia Nguyen, Minh‐Ngoc Tran and Robert Kohn

Generalized band spectrum estimation with an application to the New Keynesian Phillips curve pp. 1055-1078

Jinho Choi, Juan Carlos Escanciano and Junjie Guo

ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R pp. 1079-1090

Kleanthis Natsiopoulos and Nickolaos G. Tzeremes

Volume 37, issue 4, 2022

Measuring real activity using a weekly economic index pp. 667-687

Daniel Lewis, Karel Mertens, James H. Stock and Mihir Trivedi

How to estimate a vector autoregression after March 2020 pp. 688-699

Michele Lenza and Giorgio Primiceri

The global component of inflation volatility pp. 700-721

Andrea Carriero, Francesco Corsello and Massimiliano Marcellino

Identifying factor‐augmented vector autoregression models via changes in shock variances pp. 722-745

Yohei Yamamoto and Naoko Hara

The impact of product and labour market reform on growth: Evidence for OECD countries based on local projections pp. 746-770

Jakob de Haan and Rasmus Wiese

Early‐life famine exposure, hunger recall, and later‐life health pp. 771-787

Zichen Deng and Maarten Lindeboom

A regularization approach to common correlated effects estimation pp. 788-810

Artūras Juodis

Revisiting Sweden's comprehensive school reform: Effects on education and earnings pp. 811-819

Martin Fischer, Gawain Heckley, Martin Karlsson and Therese Nilsson

Small world: Narrow, wide, and long replication of Goyal, van der Leij and Moraga‐Gonzélez (JPE 2006) and a comparison of EconLit and Scopus pp. 820-828

Michael Rose

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 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 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 Rodriguez, 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 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