Journal of Applied Econometrics

1986 - 2025

Continuation of Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 29, issue 7, 2014

INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS pp. 1029-1030

Fabio Canova, Frank Schorfheide and Herman van Dijk

RARE SHOCKS, GREAT RECESSIONS pp. 1031-1052

Vasco Cúrdia, Marco Del Negro and Daniel Greenwald

ESTIMATING FISCAL LIMITS: THE CASE OF GREECE pp. 1053-1072

Huixin Bi and Nora Traum

SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS pp. 1073-1098

Edward Herbst and Frank Schorfheide

CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS pp. 1099-1117

Fabio Canova, Filippo Ferroni and Christian Matthes

MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS pp. 1118-1144

Claudia Foroni and Massimiliano Marcellino

PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS pp. 1145-1163

Dario Caldara, Richard Harrison and Anna Lipinska

POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA pp. 1164-1182

Nalan Baştürk, Cem Çakmaklı, Sanli Ceyhan Darendeli and Herman van Dijk

IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL MACROECONOMIC MODELS pp. 1183-1209

Frank Kleibergen and Sophocles Mavroeidis

SALES, INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS pp. 1210-1222

Luca Benati and Thomas A. Lubik

Volume 29, issue 6, 2014

WHO REALLY WANTS TO BE A MILLIONAIRE? ESTIMATES OF RISK AVERSION FROM GAMESHOW DATA pp. 861-879

Roger Hartley, Gauthier Lanot and Ian Walker

CHILD MENTAL HEALTH AND EDUCATIONAL ATTAINMENT: MULTIPLE OBSERVERS AND THE MEASUREMENT ERROR PROBLEM pp. 880-900

David Johnston, Carol Propper, Stephen Pudney and Michael Shields

SEMI‐PARAMETRIC ESTIMATION OF PROGRAM IMPACTS ON DISPERSION OF POTENTIAL WAGES pp. 901-919

Stacey H. Chen and Shakeeb Khan

IDENTIFYING CAUSAL MECHANISMS (PRIMARILY) BASED ON INVERSE PROBABILITY WEIGHTING pp. 920-943

Martin Huber

HOW BELIEFS ABOUT HIV STATUS AFFECT RISKY BEHAVIORS: EVIDENCE FROM MALAWI pp. 944-964

Aureo de Paula, Gil Shapira and Petra Todd

DOES CORESIDENCE IMPROVE AN ELDERLY PARENT'S HEALTH? pp. 965-983

Meliyanni Johar and Shiko Maruyama

RETURN TO EXPERIENCE AND INITIAL WAGE LEVEL: DO LOW WAGE WORKERS CATCH UP? pp. 984-1006

Kenneth Sørensen and Rune Vejlin

SMOOTH QUANTILE‐BASED MODELING OF BRAND SALES, PRICE AND PROMOTIONAL EFFECTS FROM RETAIL SCANNER PANELS pp. 1007-1028

Harry Haupt, Kathrin Kagerer and Winfried J. Steiner

Volume 29, issue 5, 2014

Forecasting interest rates with shifting endpoints pp. 693-712

Dick Dijk, Siem Jan Koopman, Michel Wel and Jonathan Wright

FORECASTING DISCONNECTED EXCHANGE RATES pp. 713-735

Travis Berge

CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS pp. 736-757

Wagner Gaglianone and Luiz Lima

THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION pp. 758-773

Hendrik Kaufmann, Florian Heinen and Philipp Sibbertsen

REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY pp. 774-799

Peter Hansen, Asger Lunde and Valeri Voev

THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINEAR TRIANGULAR SYSTEMS, WITH APPLICATIONS TO ASSET PRICING MODELS THAT INCLUDE A MISMEASURED FACTOR pp. 800-824

Todd Prono

MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL pp. 825-842

Yong Song

A MOMENT‐MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY FINITE‐STATE MARKOV CHAINS pp. 843-859

Nikolay Gospodinov and Damba Lkhagvasuren

Volume 29, issue 4, 2014

ESTIMATION OF CENSORED PANEL‐DATA MODELS WITH SLOPE HETEROGENEITY pp. 523-548

Jason Abrevaya and Shu Shen

A TIP OF THE ICEBERG? THE PROBABILITY OF CATCHING CARTELS pp. 549-566

Peter L. Ormosi

ROUNDING, FOCAL POINT ANSWERS AND NONRESPONSE TO SUBJECTIVE PROBABILITY QUESTIONS pp. 567-585

Kristin Kleinjans and Arthur van Soest

WHO BENEFITS FROM JOB CORPS? A DISTRIBUTIONAL ANALYSIS OF AN ACTIVE LABOR MARKET PROGRAM pp. 586-611

Ozkan Eren and Serkan Ozbeklik

MULTIPLE TESTING AND HETEROGENEOUS TREATMENT EFFECTS: RE‐EVALUATING THE EFFECT OF PROGRESA ON SCHOOL ENROLLMENT pp. 612-626

Soohyung Lee and Azeem Shaikh

MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING NON‐STOCHASTIC LOAN MATURITY pp. 627-648

John G. T. Watkins, Andrey Vasnev and Richard Gerlach

APPLYING BETA‐TYPE SIZE DISTRIBUTIONS TO HEALTHCARE COST REGRESSIONS pp. 649-670

Andrew Jones, James Lomas and Nigel Rice

ESTIMATING PERSON‐CENTERED TREATMENT (PeT) EFFECTS USING INSTRUMENTAL VARIABLES: AN APPLICATION TO EVALUATING PROSTATE CANCER TREATMENTS pp. 671-691

Anirban Basu

Volume 29, issue 3, 2014

STRATEGIC ASSET ALLOCATION FOR LONG‐TERM INVESTORS: PARAMETER UNCERTAINTY AND PRIOR INFORMATION pp. 353-376

Roy Hoevenaars, Roderick D. J. Molenaar, Peter C. Schotman and Tom B. M. Steenkamp

MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO AREA pp. 377-393

Mardi Dungey and Denise Osborn

UNCOVERING THE COMMON RISK‐FREE RATE IN THE EUROPEAN MONETARY UNION pp. 394-414

Rien J. L. M. Wagenvoort and Sanne Zwart

TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS pp. 415-430

Todd Clark and Michael McCracken

THE PREDICTABILITY OF AGGREGATE CONSUMPTION GROWTH IN OECD COUNTRIES: A PANEL DATA ANALYSIS pp. 431-453

Gerdie Everaert and Lorenzo Pozzi

THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL pp. 454-478

Lutz Kilian and Daniel Murphy

DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS pp. 479-496

Helmut Lütkepohl and Aleksei Netšunajev

IS ECONOMIC RECOVERY A MYTH? ROBUST ESTIMATION OF IMPULSE RESPONSES pp. 497-514

C. N. Teulings and Nick Zubanov

FURTHER EVIDENCE ON THE SPATIO‐TEMPORAL MODEL OF HOUSE PRICES IN THE UNITED STATES pp. 515-522

Badi Baltagi and Jing Li

Volume 29, issue 2, 2014

STATE DEPENDENCE AND HETEROGENEITY IN HEALTH USING A BIAS‐CORRECTED FIXED‐EFFECTS ESTIMATOR pp. 181-207

Jesus Carro and Alejandra Traferri

THE EFFECTS OF EXPANDING THE GENEROSITY OF THE STATUTORY SICKNESS INSURANCE SYSTEM pp. 208-230

Nicolas Ziebarth and Martin Karlsson

DIVORCE LAW REFORMS AND DIVORCE RATES IN THE USA: AN INTERACTIVE FIXED‐EFFECTS APPROACH pp. 231-245

Dukpa Kim and Tatsushi Oka

HOW SENSITIVE ARE RETIREMENT DECISIONS TO FINANCIAL INCENTIVES? A STATED PREFERENCE ANALYSIS pp. 246-264

Arthur van Soest and Hana Vonkova

TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE pp. 265-290

Michele Campolieti, Deborah Gefang and Gary Koop

THE DEMAND FOR GASOLINE: EVIDENCE FROM HOUSEHOLD SURVEY DATA pp. 291-313

Dongfeng Chang and Apostolos Serletis

IDENTIFYING THE RESPONSE OF FERTILITY TO FINANCIAL INCENTIVES pp. 314-332

Guy Laroque and Bernard Salanié

ENJOYING THE QUIET LIFE UNDER DEREGULATION? NOT QUITE pp. 333-343

Diego Restrepo‐Tobón and Subal Kumbhakar

MODEL PRIORS REVISITED: INTERACTION TERMS IN BMA GROWTH APPLICATIONS pp. 344-347

Mathias Moser and Paul Hofmarcher

crs: A PACKAGE FOR NONPARAMETRIC SPLINE ESTIMATION IN R pp. 348-352

Anson Ho, Kim Huynh and David T. Jacho‐ChÁvez

Volume 29, issue 1, 2014

AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS pp. 1-21

Hadi Esfahani, Kamiar Mohaddes and Mohammad Pesaran

EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN BLACK MARKETS pp. 22-41

Robert Gramacy, Samuel Malone and Enrique Ter Horst

INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH pp. 42-64

Hans Dewachter, Leonardo Iania and Marco Lyrio

SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES pp. 65-90

Borus Jungbacker, Siem Jan Koopman and Michel Wel

DO PEERS AFFECT STUDENT ACHIEVEMENT? EVIDENCE FROM CANADA USING GROUP SIZE VARIATION pp. 91-109

Vincent Boucher, Yann Bramoullé, Habiba Djebbari and Bernard Fortin

FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERALIZED TRUE RANDOM‐EFFECTS model pp. 110-132

Mike Tsionas and Subal Kumbhakar

MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA pp. 133-160

Marta Banbura and Michele Modugno

NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS pp. 161-171

James MacKinnon and Morten Nielsen

EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES, WE CAN!—A NOTE ON DIEBOLD AND YILMAZ (2009) pp. 172-179

Stefan Klößner and Sven Wagner