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Journal of Applied Econometrics

1986 - 2022

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 37, issue 3, 2022

Common factors of commodity prices pp. 461-476 Downloads
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
(Un)expected monetary policy shocks and term premia pp. 477-499 Downloads
Martin Kliem and Alexander Meyer‐Gohde
Expanding health insurance for the elderly of the Philippines pp. 500-520 Downloads
Michael Abrigo, Timothy J. Halliday and Teresa Molina
The dynamic interdependence in the demand of primary and emergency secondary care: A hidden Markov approach pp. 521-536 Downloads
Mauro Laudicella and Paolo Li Donni
Nonparametric tests of tail behavior in stochastic frontier models pp. 537-562 Downloads
William C. Horrace and Yulong Wang
Real estate agents' influence on housing search pp. 563-582 Downloads
Seung‐Hyun Hong
An automated prior robustness analysis in Bayesian model comparison pp. 583-602 Downloads
Joshua Chan, Liana Jacobi and Dan Zhu
Does model complexity add value to asset allocation? Evidence from machine learning forecasting models pp. 603-639 Downloads
Iason Kynigakis and Ekaterini Panopoulou
Individual forecaster perceptions of the persistence of shocks to GDP pp. 640-656 Downloads
Michael Clements
Large devaluations and inflation inequality: Replicating Cravino and Levchenko (2017) with evidence from Brazil pp. 657-664 Downloads
Raphael Gouvêa

Volume 37, issue 2, 2022

Dynamic evaluation of job search assistance pp. 227-241 Downloads
Stephen Kastoryano and Bas van der Klaauw
Dynamic treatment effects of job training pp. 242-269 Downloads
Jorge Rodríguez, Fernando Saltiel and Sergio Urzúa
Dependence‐robust inference using resampled statistics pp. 270-285 Downloads
Michael Leung
Individual consumption in collective households: Identification using repeated observations with an application to PROGRESA pp. 286-304 Downloads
Senay Sokullu and Christine Valente
The bilateral trade effects of announcement shocks: Brexit as a natural field experiment pp. 305-329 Downloads
Mustapha Douch and Terence Huw Edwards
Declining discount rates in Singapore's market for privately developed apartments pp. 330-350 Downloads
Eric Fesselmeyer, Haoming Liu and Alberto Salvo
A Bayesian approach to account for misclassification in prevalence and trend estimation pp. 351-367 Downloads
Martijn van Hasselt, Christopher R. Bollinger and Jeremy Bray
Information gains from using short‐dated options for measuring and forecasting volatility pp. 368-391 Downloads
Viktor Todorov and Yang Zhang
Commodity prices and inflation risk pp. 392-414 Downloads
Anthony Garratt and Ivan Petrella
Contagious switching pp. 415-432 Downloads
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 Downloads
Gerdie Everaert and Lorenzo Pozzi
The deposits channel revisited pp. 450-458 Downloads
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 Downloads
Giovanni Angelini, Giuseppe Cavaliere and Luca Fanelli
Forecast uncertainty, disagreement, and the linear pool pp. 23-41 Downloads
Malte Knüppel and Fabian Krüger
Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions pp. 42-62 Downloads
Nikoleta Anesti, Ana Beatriz Galvão and Silvia Miranda‐Agrippino
News media versus FRED‐MD for macroeconomic forecasting pp. 63-81 Downloads
Jon Ellingsen, Vegard H. Larsen and Leif Thorsrud
The economics of state fragmentation: Assessing the economic impact of secession pp. 82-115 Downloads
Jo Reynaerts and Jakob Vanschoonbeek
Cyclical labour income risk in Great Britain pp. 116-130 Downloads
Konstantinos Angelopoulos, Spyridon Lazarakis and Jim Malley
International spillovers of forward guidance shocks pp. 131-160 Downloads
Callum Jones, Mariano Kulish and Daniel Rees
Aggregate consumption and wealth in the long run: The impact of financial liberalization pp. 161-186 Downloads
Malin Gardberg and Lorenzo Pozzi
Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China pp. 187-209 Downloads
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 Downloads
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Are there no wage returns to compulsory schooling in Germany? A reassessment pp. 218-223 Downloads
Kamila Cygan‐Rehm

Volume 36, issue 7, 2021

Permutation tests for equality of distributions of functional data pp. 861-877 Downloads
Federico Bugni and Joel L. Horowitz
Endogenous health groups and heterogeneous dynamics of the elderly pp. 878-897 Downloads
Dante Amengual, Jesús Bueren and Julio A. Crego
Tracking and specialization of high schools: Heterogeneous effects of school choice pp. 898-916 Downloads
Olivier De Groote and Koen Declercq
What time use surveys can (and cannot) tell us about labor supply pp. 917-937 Downloads
Cheng Chou and Ruoyao Shi
How does the financial market update beliefs about the real economy? Evidence from the oil market pp. 938-961 Downloads
Stanislav Anatolyev, Sergei Seleznev and Veronika Selezneva
Semiparametric estimation and variable selection for single‐index copula models pp. 962-988 Downloads
Bingduo Yang, Christian Hafner, Guannan Liu and Wei Long
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors pp. 989-1012 Downloads
Simon Beyeler and Sylvia Kaufmann
Inferring financial bubbles from option data pp. 1013-1046 Downloads
Robert Jarrow and Simon S. Kwok
Transitory and permanent shocks in the global market for crude oil pp. 1047-1064 Downloads
Nooman Rebei and Rashid Sbia
Revisiting gender identity and relative income within households: A cautionary tale on the potential pitfalls of density estimators pp. 1065-1073 Downloads
Daniel Kuehnle, Michael Oberfichtner and Kerstin Ostermann

Volume 36, issue 6, 2021

Ranking intersecting distribution functions pp. 639-662 Downloads
Rolf Aaberge, Tarjei Havnes and Magne Mogstad
If not now, when? The timing of childbirth and labor market outcomes pp. 663-685 Downloads
Matteo Picchio, Claudia Pigini, Stefano Staffolani and Alina Verashchagina
Labour supply, service intensity, and contracts: Theory and evidence on physicians pp. 686-702 Downloads
Bernard Fortin, Nicolas Jacquemet and Bruce Shearer
Sparse change‐point VAR models pp. 703-727 Downloads
Arnaud Dufays, Zhuo Li, Jeroen V.K. Rombouts and Yong Song
Interpretation of point forecasts with unknown directive pp. 728-743 Downloads
Patrick Schmidt, Matthias Katzfuss and Tilmann Gneiting
The government spending multiplier at the zero lower bound: International evidence from historical data pp. 744-759 Downloads
Mathias Klein and Roland Winkler
The double‐edged sword of global integration: Robustness, fragility, and contagion in the international firm network pp. 760-783 Downloads
Everett Grant and Julieta Yung
Consumer inflation expectations, income changes and economic downturns pp. 784-807 Downloads
Sarantis Tsiaplias
Productivity effects of internationalisation through the domestic supply chain pp. 808-832 Downloads
Bruno Merlevede and Angelos Theodorakopoulos
A one covariate at a time, multiple testing approach to variable selection in high‐dimensional linear regression models: A replication in a narrow sense pp. 833-841 Downloads
Hector Nuñez and Jesús Otero
The impact of HIV/AIDS on human capital investment in Sub‐Saharan Africa: New evidence pp. 842-852 Downloads
Luke Chicoine, Emily Lyons and Alexia Sahue
Did Protestantism promote prosperity via higher human capital? Replicating the Becker–Woessmann (2009) results pp. 853-858 Downloads
Jeremy Edwards

Volume 36, issue 5, 2021

No‐arbitrage priors, drifting volatilities, and the term structure of interest rates pp. 495-516 Downloads
Andrea Carriero, Todd Clark and Massimiliano Marcellino
Focused Bayesian prediction pp. 517-543 Downloads
Ruben Loaiza‐Maya, Gael M. Martin and David T. Frazier
Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume pp. 544-565 Downloads
Marina Balboa, Paulo Rodrigues, Antonio Rubia and Robert Taylor
Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data pp. 566-586 Downloads
Arnoud Stevens and Joris Wauters
Measurement of factor strength: Theory and practice pp. 587-613 Downloads
Natalia Bailey, George Kapetanios and M Pesaran
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction pp. 614-627 Downloads
Mengheng Li and Siem Jan Koopman
Estimating household consumption insurance pp. 628-635 Downloads
Arpita Chatterjee, James Morley and Aarti Singh

Volume 36, issue 4, 2021

How far can we forecast? Statistical tests of the predictive content pp. 369-392 Downloads
Jörg Breitung and Malte Knüppel
Migration in China: To work or to wed? pp. 393-415 Downloads
Arnaud Dupuy
Counterfactual analysis under partial identification using locally robust refinement pp. 416-436 Downloads
Nathan Canen and Kyungchul Song
When are instruments generated from geographic characteristics in bilateral relationships invalid? pp. 437-452 Downloads
Sabine Deij, Jakob Madsen and Laura Puzzello
Understanding women's wage growth using indirect inference with importance sampling pp. 453-473 Downloads
Robert Sauer and Christopher Taber
Measurement error in earnings data: Replication of Meijer, Rohwedder, and Wansbeek's mixture model approach to combining survey and register data pp. 474-483 Downloads
Stephen Jenkins and Fernando Rios‐Avila
Bayesian estimation of the exact affine Stone index demand system: Replicating the Lewbel and Pendakur (2009) results pp. 484-491 Downloads
Andrés Ramírez‐Hassan

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 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
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