Journal of Applied Econometrics

1986 - 2020

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 35, issue 4, 2020

Prediction regions for interval‐valued time series pp. 373-390

Gloria Gonzalez‐Rivera, Yun Luo and Esther Ruiz

Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics pp. 391-409

Laura Coroneo and Fabrizio Iacone

Exchange rate predictability and dynamic Bayesian learning pp. 410-421

Joscha Beckmann, Gary Koop, Dimitris Korobilis and Rainer Alexander Schüssler

Complementary Bayesian method of moments strategies pp. 422-439

A. Ronald Gallant

Order‐invariant tests for proper calibration of multivariate density forecasts pp. 440-456

Jonas Dovern and Hans Manner

Estimation of firm‐level productivity in the presence of exports: Evidence from China's manufacturing pp. 457-480

Emir Malikov, Shunan Zhao and Subal C. Kumbhakar

Volume 35, issue 3, 2020

Assessing international commonality in macroeconomic uncertainty and its effects pp. 273-293

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Common correlated effects estimation of heterogeneous dynamic panel quantile regression models pp. 294-314

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

Shosei Sakaguchi

Mixed causal–noncausal autoregressions with exogenous regressors pp. 328-343

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

Antoine Djogbenou

Volume 35, issue 2, 2020

The effect of oil supply shocks on US economic activity: What have we learned? pp. 141-159

Ana María Herrera and Sandeep Kumar Rangaraju

The shale revolution and shifting crude dynamics pp. 160-175

Malick Sy and Liuren Wu

Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970 pp. 176-197

Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon

Interval censored regression with fixed effects pp. 198-216

Jason Abrevaya and Chris Muris

Estimation of a dynamic stochastic frontier model using likelihood‐based approaches pp. 217-247

Hung‐pin Lai and Subal Kumbhakar

Multivariate dynamic intensity peaks‐over‐threshold models pp. 248-272

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

James Morley and Benjamin Wong

Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models pp. 19-45

Christian Conrad and Onno Kleen

Modeling the conditional distribution of financial returns with asymmetric tails pp. 46-60

Stephen Thiele

Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach pp. 61-81

Christian Gross and Pierre L. Siklos

Interpreting shocks to the relative price of investment with a two‐sector model pp. 82-98

Luca Guerrieri, Dale Henderson and Jinill Kim

The next hundred years of growth and convergence pp. 99-113

Richard Startz

Introducing the Bank of Canada staff economic projections database pp. 114-129

Julien Champagne, Guillaume Poulin‐Bellisle and Rodrigo Sekkel

Refining the workhorse oil market model pp. 130-140

Xiaoqing Zhou

Volume 34, issue 7, 2019

Large time‐varying parameter VARs: A nonparametric approach pp. 1027-1049

George Kapetanios, Massimiliano Marcellino and Fabrizio Venditti

Macroeconomic forecast accuracy in a data‐rich environment pp. 1050-1072

Rachidi Kotchoni, Maxime Leroux and Dalibor Stevanovic

Likelihood evaluation of models with occasionally binding constraints pp. 1073-1085

Pablo Cuba‐Borda, Luca Guerrieri, Matteo Iacoviello and Molin Zhong

Endogenous censoring in the mixed proportional hazard model with an application to optimal unemployment insurance pp. 1086-1101

Arkadiusz Szydłowski

Measurement error in discrete health facility choice models: An example from urban Senegal pp. 1102-1120

Christopher J. Cronin, David K. Guilkey and Ilene S. Speizer

Extreme returns and intensity of trading pp. 1121-1140

Wei Lin and Gloria González‐Rivera

Volume 34, issue 6, 2019

Measuring mortgage credit availability: A frontier estimation approach pp. 865-882

Elliot Anenberg, Aurel Hizmo, Edward Kung and Raven Molloy

Structural changes in heterogeneous panels with endogenous regressors pp. 883-892

Badi Baltagi, Qu Feng and Chihwa Kao

Mostly harmless simulations? Using Monte Carlo studies for estimator selection pp. 893-910

Arun Advani, Toru Kitagawa and Tymon Słoczyński

Two applications of wild bootstrap methods to improve inference in cluster‐IV models pp. 911-933

Keith Finlay and Leandro Magnusson

Decomposing the effects of monetary policy using an external instruments SVAR pp. 934-950

Aeimit Lakdawala

Exogenous uncertainty and the identification of structural vector autoregressions with external instruments pp. 951-971

Giovanni Angelini and Luca Fanelli

Tax shocks with high and low uncertainty pp. 972-993

Fabio Bertolotti and Massimiliano Marcellino

Estimation in a generalization of bivariate probit models with dummy endogenous regressors pp. 994-1015

Sukjin Han and Sungwon Lee

Hidden group patterns in democracy developments: Bayesian inference for grouped heterogeneity pp. 1016-1028

Jaeho Kim and Le Wang

Volume 34, issue 5, 2019

Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models pp. 621-640

Florian Huber, Gregor Kastner and Martin Feldkircher

Bayesian parametric and semiparametric factor models for large realized covariance matrices pp. 641-660

Xin Jin, John Maheu and Qiao Yang

The response of asset prices to monetary policy shocks: Stronger than thought pp. 661-672

Lucia Alessi and Mark Kerssenfischer

Monetary policy, housing rents, and inflation dynamics pp. 673-687

Daniel Dias and Joao Duarte

Mixed‐frequency models with moving‐average components pp. 688-706

Claudia Foroni, Massimiliano Marcellino and Dalibor Stevanovic

The demand for season of birth pp. 707-723

Damian Clarke, Sonia Oreffice and Climent Quintana‐Domeque

To pool or not to pool: What is a good strategy for parameter estimation and forecasting in panel regressions? pp. 724-745

Wendun Wang, Xinyu Zhang and Richard Paap

CCE in fixed‐T panels pp. 746-761

Joakim Westerlund, Yana Petrova and Milda Norkute

Tests of asset pricing with time‐varying factor loads pp. 762-778

Antonio F. Galvao, Gabriel Montes‐Rojas and Jose Olmo

Telling tales from the tails: High‐dimensional tail interdependence pp. 779-794

Arnold Polanski, Evarist Stoja and Frank Windmeijer

Estimating the U.S. output gap with state‐level data pp. 795-810

Manuel González‐Astudillo

Long‐run neutrality of demand shocks: Revisiting Blanchard and Quah (1989) with independent structural shocks pp. 811-819

Helmut Herwartz

A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in “measuring the effects of monetary policy” pp. 820-821

Davaajargal Luvsannyam and Khuslen Batmunkh

Bubbles and crises: Replicating the Anundsen et al. (2016) results pp. 822-826

Bowen Fu

Heterogeneity in risk aversion and risk sharing regressions pp. 827-835

Pierfederico Asdrubali, Simone Tedeschi and Luigi Ventura

Testing for time variation in the natural rate of interest pp. 836-842

Tino Berger and Bernd Kempa

Comovements and asymmetric tail dependence in state housing prices in the USA: A nonparametric approach pp. 843-849

Haitao Huang, Liang Peng and Vincent Yao

Does global inflation help forecast inflation in industrialized countries? pp. 850-857

Christian Gillitzer and Martin McCarthy

Expected market returns: SVIX, realized volatility, and the role of dividends pp. 858-864

Matthijs Lof

Volume 34, issue 4, 2019

Panel parametric, semiparametric, and nonparametric construction of counterfactuals pp. 463-481

Cheng Hsiao and Qiankun Zhou

Sibling spillover effects in school achievement pp. 482-501

Cheti Nicoletti and Birgitta Rabe

Catching up to girls: Understanding the gender imbalance in educational attainment within race pp. 502-525

Esteban M. Aucejo and Jonathan James

Estimation of linear dynamic panel data models with time‐invariant regressors pp. 526-546

Sebastian Kripfganz and Claudia Schwarz

Controlling for ability using test scores pp. 547-565

Benjamin Williams

The signal quality of grades across academic fields pp. 566-587

James Thomas

Towards causal estimates of children's time allocation on skill development pp. 588-605

Gregorio Caetano, Josh Kinsler and Hao Teng

Ethnic capital and intergenerational transmission of educational attainment pp. 606-611

Agnieszka Postepska

A robust approach to estimating production functions: Replication of the ACF procedure pp. 612-619

Kyoo il Kim, Yao Luo and Yingjun Su

Volume 34, issue 3, 2019

Dynamic specification tests for dynamic factor models pp. 325-346

Gabriele Fiorentini and Enrique Sentana

NETS: Network estimation for time series pp. 347-364

Matteo Barigozzi and Christian Brownlees

Systemic risk and bank business models pp. 365-384

Maarten van Oordt and Chen Zhou

Actual and counterfactual growth incidence and delta Lorenz curves: Estimation and inference pp. 385-402

Francisco Ferreira, Sergio Firpo and Antonio F. Galvao

Modeling the effects of grade retention in high school pp. 403-424

Bart Cockx, Matteo Picchio and Stijn Baert

Measuring the natural rate of interest: A note on transitory shocks pp. 425-436

Kurt F. Lewis and Francisco Vazquez‐Grande

Uncertainty across volatility regimes pp. 437-455

Giovanni Angelini, Emanuele Bacchiocchi, Giovanni Caggiano and Luca Fanelli

Real‐time forecast combinations for the oil price pp. 456-462

Anthony Garratt, Shaun Vahey and Yunyi Zhang

Volume 34, issue 2, 2019

Commodity prices and fiscal policy design: Procyclical despite a rule pp. 161-180

Hilde Bjørnland and Leif Thorsrud

An empirical investigation of direct and iterated multistep conditional forecasts pp. 181-204

Michael McCracken and Joseph T. McGillicuddy

Selecting structural innovations in DSGE models pp. 205-220

Filippo Ferroni, Stefano Grassi and Miguel A. León‐Ledesma

Structural VARs and noninvertible macroeconomic models pp. 221-246

Mario Forni, Luca Gambetti and Luca Sala

Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions pp. 247-267

Yohei Yamamoto

CCE estimation of factor‐augmented regression models with more factors than observables pp. 268-284

Hande Karabiyik, Jean-Pierre Urbain and Joakim Westerlund

Steady‐state modeling and macroeconomic forecasting quality pp. 285-314

Dimitrios Louzis

The cyclicality of R&D investment revisited pp. 315-324

Hans van Ophem, Noud Giersbergen, Kees Jan van Garderen and Maurice Bun

Volume 34, issue 1, 2019

Simultaneous confidence bands: Theory, implementation, and an application to SVARs pp. 1-17

José Luis Montiel Olea and Mikkel Plagborg‐Møller

The puzzling effects of monetary policy in VARs: Invalid identification or missing information? pp. 18-25

Mark Kerssenfischer

Cartel dating pp. 26-42

H. Peter Boswijk, Maurice J. G. Bun and Maarten Pieter Schinkel

Switching generalized autoregressive score copula models with application to systemic risk pp. 43-65

Mauro Bernardi and Leopoldo Catania

The two‐sample linear regression model with interval‐censored covariates pp. 66-81

David Pacini

(Under)Mining local residential property values: A semiparametric spatial quantile autoregression pp. 82-109

Emir Malikov, Yiguo Sun and Diane Hite

Estimating within‐cluster spillover effects using a cluster randomization with application to knowledge diffusion in rural India pp. 110-128

Arthur Alik‐Lagrange and Martin Ravallion

Information flows and stock market volatility pp. 129-148

Chew Lian Chua and Sarantis Tsiaplias

The approximate solution of finite‐horizon discrete‐choice dynamic programming models pp. 149-154

Philipp Eisenhauer

Private returns to R&D in the presence of spillovers, revisited pp. 155-159

Giovanni Millo