Journal of Applied Econometrics

1986 - 2025

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 38, issue 7, 2023

Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance pp. 989-1006

Wenting Liao, Jun Ma and Chengsi Zhang

Employment reconciliation and nowcasting pp. 1007-1017

Eiji Goto, Jan Jacobs, Tara Sinclair and Simon van Norden

Heterogeneous responses to corporate marginal tax rates: Evidence from small and large firms pp. 1018-1047

Ruhollah Eskandari and Morteza Zamanian

Recent changes in the nature of the distribution dynamics of the US county incomes pp. 1048-1067

Seonyoung Park and Donggyun Shin

A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models pp. 1068-1076

Shiu‐Sheng Chen

Approximating grouped fixed effects estimation via fuzzy clustering regression pp. 1077-1084

Daniel Lewis, Davide Melcangi, Laura Pilossoph and Aidan Toner‐Rodgers

Monetary policy and exchange rate anomalies in set‐identified SVARs: Revisited pp. 1085-1092

Sebastian Rüth and Wouter Van der Veken

Was Harold Zurcher myopic after all? Replicating Rust's engine replacement estimates pp. 1093-1100

Christopher Ferrall

The Federal Reserve's output gap: The unreliability of real‐time reliability tests pp. 1101-1111

Josefine Quast and Maik Wolters

Volume 38, issue 6, 2023

Testing for multiple level shifts with an integrated or stationary noise component pp. 801-819

Josep Lluís Carrion‐i‐Silvestre and María Dolores Gadea

Oil prices uncertainty, endogenous regime switching, and inflation anchoring pp. 820-839

Yoosoon Chang, Ana María Herrera and Elena Pesavento

Regression discontinuity design with multivalued treatments pp. 840-856

Carolina Caetano, Gregorio Caetano and Juan Carlos Escanciano

Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings pp. 857-877

Eric Hillebrand, Jakob Guldbæk Mikkelsen, Lars Spreng and Giovanni Urga

Oil prices in the real economy pp. 878-897

Haicheng Shu and Peter Spencer

Nowcasting from cross‐sectionally dependent panels pp. 898-919

Jack Fosten and Shaoni Nandi

Multiple testing with covariate adjustment in experimental economics pp. 920-939

John List, Azeem Shaikh and Atom Vayalinkal

Short T dynamic panel data models with individual, time and interactive effects pp. 940-967

Kazuhiko Hayakawa, Mohammad Pesaran and L. Vanessa Smith

The demand for money at the zero interest rate bound pp. 968-976

Tsutomu Watanabe and Tomoyoshi Yabu

US weekly economic index: Replication and extension pp. 977-985

Philipp Wegmüller and Christian Glocker

Volume 38, issue 5, 2023

Fast and reliable jackknife and bootstrap methods for cluster‐robust inference pp. 671-694

James MacKinnon, Morten Nielsen and Matthew Webb

On event studies and distributed‐lags in two‐way fixed effects models: Identification, equivalence, and generalization pp. 695-713

Kurt Schmidheiny and Sebastian Siegloch

Censored density forecasts: Production and evaluation pp. 714-734

James Mitchell and Martin Weale

When can we ignore measurement error in the running variable? pp. 735-750

Yingying Dong and Michal Kolesár

Understanding trend inflation through the lens of the goods and services sectors pp. 751-766

Yunjong Eo, Luis Uzeda and Benjamin Wong

Heavy tailed but not Zipf: Firm and establishment size in the United States pp. 767-785

Illenin Kondo, Logan Lewis and Andrea Stella

Revisiting the effect of growing up in a recession on attitudes towards redistribution pp. 786-794

Jan Bietenbeck and Petra Thiemann

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 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 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 Desire Kedagni

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 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 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 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