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Journal of Applied Econometrics

1986 - 2021

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 36, issue 3, 2021

Supply flexibility in the shale patch: Evidence from North Dakota pp. 273-292 Downloads
Hilde Bjørnland, Frode Martin Nordvik and Maximilian Rohrer
Measuring global economic activity pp. 293-303 Downloads
James D. Hamilton
Combining shrinkage and sparsity in conjugate vector autoregressive models pp. 304-327 Downloads
Niko Hauzenberger, Florian Huber and Luca Onorante
Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone pp. 328-345 Downloads
Isabel Casas, Jiti Gao, Bin Peng and Shangyu Xie
Testing monotonicity of conditional treatment effects under regression discontinuity designs pp. 346-366 Downloads
Yu‐Chin Hsu and Shu Shen

Volume 36, issue 2, 2021

Social interactions and social preferences in social networks pp. 165-189 Downloads
Chih-Sheng Hsieh and Xu Lin
Early child development and parents' labor supply pp. 190-208 Downloads
Lukáš Lafférs and Bernhard Schmidpeter
The price of forced attendance pp. 209-227 Downloads
Sacha Kapoor, Matthijs Oosterveen and Dinand Webbink
Efficient minimum distance estimation of Pareto exponent from top income shares pp. 228-243 Downloads
Alexis Akira Toda and Yulong Wang
Fueling conflict? (De)escalation and bilateral aid pp. 244-261 Downloads
Richard Bluhm, Martin Gassebner, Sarah Langlotz and Paul Schaudt
Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models pp. 262-270 Downloads
Florian Huber and Michael Pfarrhofer

Volume 36, issue 1, 2021

Measuring the slowly evolving trend in US inflation with professional forecasts pp. 1-17 Downloads
James Nason and Gregor Smith
Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices pp. 18-44 Downloads
Michele Aquaro, Natalia Bailey and M Pesaran
Real‐time detection of regimes of predictability in the US equity premium pp. 45-70 Downloads
David I. Harvey, Stephen J. Leybourne, Robert Sollis and Robert Taylor
Cointegration and control: Assessing the impact of events using time series data pp. 71-85 Downloads
Andrew Harvey and Stephen Thiele
Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data pp. 86-97 Downloads
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 Downloads
Romain Duval, Davide Furceri and Jakob Miethe
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models pp. 125-150 Downloads
Sinem Hacioglu Hoke and George Kapetanios
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence pp. 151-161 Downloads
Matei Demetrescu, Christoph Roling and Anna Titova

Volume 35, issue 7, 2020

The informativeness of estimation moments pp. 797-813 Downloads
Bo Honoré, Thomas Jørgensen and Aureo de Paula
Direct and indirect effects of continuous treatments based on generalized propensity score weighting pp. 814-840 Downloads
Martin Huber, Yu‐Chin Hsu, Ying‐Ying Lee and Layal Lettry
The evolution of the US family income–schooling relationship and educational selectivity pp. 841-859 Downloads
Christian Belzil and Jörgen Hansen
Testing for correlation in error‐component models pp. 860-878 Downloads
Koen Jochmans
Testing for overconfidence statistically: A moment inequality approach pp. 879-892 Downloads
Yanchun Jin and Ryo Okui
Who benefits from privileged peers? Evidence from siblings in schools pp. 893-916 Downloads
Marco Bertoni, Giorgio Brunello and Lorenzo Cappellari
Average treatment effects for stayers with correlated random coefficient models of panel data pp. 917-939 Downloads
Valentin Verdier
Perceived and actual option values of college enrollment pp. 940-959 Downloads
Yifan Gong, Todd Stinebrickner and Ralph Stinebrickner
Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere pp. 960-964 Downloads
Yana Petrova and Joakim Westerlund

Volume 35, issue 6, 2020

Negative interest rate policy and the yield curve pp. 653-672 Downloads
Jing Cynthia Wu and Fan Dora Xia
Does drawing down the US Strategic Petroleum Reserve help stabilize oil prices? pp. 673-691 Downloads
Lutz Kilian and Xiaoqing Zhou
Composite likelihood methods for large Bayesian VARs with stochastic volatility pp. 692-711 Downloads
Joshua Chan, Eric Eisenstat, Chenghan Hou and Gary Koop
Change point estimation in panel data with time‐varying individual effects pp. 712-727 Downloads
Otilia Boldea, Bettina Drepper and Zhuojiong Gan
Differencing versus nondifferencing in factor‐based forecasting pp. 728-750 Downloads
In Choi and Hanbat Jeong
The role of startups for local labor markets pp. 751-775 Downloads
Gerald Carlino and Thorsten Drautzburg
A cross‐section average‐based principal components approach for fixed‐T panels pp. 776-785 Downloads
Joakim Westerlund
Replicating the Levitt and Porter estimates of drunk driving pp. 786-796 Downloads
Richard Dunn and Nathan Tefft

Volume 35, issue 5, 2020

Endogeneity and non‐response bias in treatment evaluation – nonparametric identification of causal effects by instruments pp. 481-504 Downloads
Hans Fricke, Markus Frölich, Martin Huber and Michael Lechner
A distributional synthetic control method for policy evaluation pp. 505-525 Downloads
Yi‐Ting Chen
Comparing econometric methods to empirically evaluate activation programs for job seekers pp. 526-547 Downloads
Paul Muller, Bas van der Klaauw and Arjan Heyma
Multidimensional skills and the returns to schooling: Evidence from an interactive fixed‐effects approach and a linked survey‐administrative data set pp. 548-566 Downloads
Mohitosh Kejriwal, Xiaoxiao Li and Evan Totty
Family planning in a life‐cycle model with income risk pp. 567-586 Downloads
Mette Ejrnæs and Thomas Jørgensen
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations pp. 587-613 Downloads
Norman Swanson, Weiqi Xiong and Xiye Yang
Is deflation costly after all? The perils of erroneous historical classifications pp. 614-628 Downloads
Daniel Kaufmann
Forecasting stock returns with model uncertainty and parameter instability pp. 629-644 Downloads
Hongwei Zhang, Qiang He, Ben Jacobsen and Fuwei Jiang
Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001) pp. 645-652 Downloads
Marcin Błażejowski, Pawel Kufel and Jacek Kwiatkowski

Volume 35, issue 4, 2020

Prediction regions for interval‐valued time series pp. 373-390 Downloads
Gloria Gonzalez‐Rivera, Yun Luo and Esther Ruiz
Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics pp. 391-409 Downloads
Laura Coroneo and Fabrizio Iacone
Exchange rate predictability and dynamic Bayesian learning pp. 410-421 Downloads
Joscha Beckmann, Gary Koop, Dimitris Korobilis and Rainer Alexander Schüssler
Complementary Bayesian method of moments strategies pp. 422-439 Downloads
A. Ronald Gallant
Order‐invariant tests for proper calibration of multivariate density forecasts pp. 440-456 Downloads
Jonas Dovern and Hans Manner
Estimation of firm‐level productivity in the presence of exports: Evidence from China's manufacturing pp. 457-480 Downloads
Emir Malikov, Shunan Zhao and Subal Kumbhakar

Volume 35, issue 3, 2020

Assessing international commonality in macroeconomic uncertainty and its effects pp. 273-293 Downloads
Andrea Carriero, Todd Clark and Massimiliano Marcellino
Common correlated effects estimation of heterogeneous dynamic panel quantile regression models pp. 294-314 Downloads
Matthew Harding, Carlos Lamarche and M Pesaran
Estimation of average treatment effects using panel data when treatment effect heterogeneity depends on unobserved fixed effects pp. 315-327 Downloads
Shosei Sakaguchi
Mixed causal–noncausal autoregressions with exogenous regressors pp. 328-343 Downloads
Alain Hecq, João Issler and Sean Telg
Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors pp. 344-370 Downloads
Antoine Djogbenou

Volume 35, issue 2, 2020

The effect of oil supply shocks on US economic activity: What have we learned? pp. 141-159 Downloads
Ana María Herrera and Sandeep Kumar Rangaraju
The shale revolution and shifting crude dynamics pp. 160-175 Downloads
Malick Sy and Liuren Wu
Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970 pp. 176-197 Downloads
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
Interval censored regression with fixed effects pp. 198-216 Downloads
Jason Abrevaya and Chris Muris
Estimation of a dynamic stochastic frontier model using likelihood‐based approaches pp. 217-247 Downloads
Hung‐pin Lai and Subal Kumbhakar
Multivariate dynamic intensity peaks‐over‐threshold models pp. 248-272 Downloads
Nikolaus Hautsch and Rodrigo Herrera

Volume 35, issue 1, 2020

Estimating and accounting for the output gap with large Bayesian vector autoregressions pp. 1-18 Downloads
James Morley and Benjamin Wong
Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models pp. 19-45 Downloads
Christian Conrad and Onno Kleen
Modeling the conditional distribution of financial returns with asymmetric tails pp. 46-60 Downloads
Stephen Thiele
Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach pp. 61-81 Downloads
Christian Gross and Pierre L. Siklos
Interpreting shocks to the relative price of investment with a two‐sector model pp. 82-98 Downloads
Luca Guerrieri, Dale Henderson and Jinill Kim
The next hundred years of growth and convergence pp. 99-113 Downloads
Richard Startz
Introducing the Bank of Canada staff economic projections database pp. 114-129 Downloads
Julien Champagne, Guillaume Poulin‐Bellisle and Rodrigo Sekkel
Refining the workhorse oil market model pp. 130-140 Downloads
Xiaoqing Zhou
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