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 28, issue 7, 2013

SEMIPARAMETRIC VECTOR MEM pp. 1067-1086

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

THE ROLE OF TIME‐VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHANGES IN THE CRUDE OIL MARKET pp. 1087-1109

Christiane Baumeister and Gert Peersman

CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS pp. 1110-1137

Prosper Dovonon

ESTIMATION OF TIME‐VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER‐FLOW SHOCK pp. 1138-1152

Daniel Preve and Yiu‐Kuen Tse

HOW EFFECTIVE ARE UNEMPLOYMENT BENEFIT SANCTIONS? LOOKING BEYOND UNEMPLOYMENT EXIT pp. 1153-1178

Patrick Arni, Rafael Lalive and Jan van Ours

ARE THE CURRENT ACCOUNT IMBALANCES BETWEEN EMU COUNTRIES SUSTAINABLE? EVIDENCE FROM PARAMETRIC AND NON‐PARAMETRIC TESTS pp. 1179-1204

Christian Schoder, Christian Proaño and Willi Semmler

SEMI‐NONPARAMETRIC ESTIMATION OF CONSUMER SEARCH COSTS pp. 1205-1223

José Luis Moraga‐González, Zsolt Sándor and Matthijs Wildenbeest

EMBARRASSINGLY EASY EMBARRASSINGLY PARALLEL PROCESSING IN R pp. 1224-1230

Michael S. Delgado and Christopher Parmeter

Volume 28, issue 6, 2013

FACTOR ANALYSIS OF A LARGE DSGE MODEL pp. 903-928

Alexei Onatski and Francisco Ruge‐Murcia

NON‐LINEAR DSGE MODELS AND THE CENTRAL DIFFERENCE KALMAN FILTER pp. 929-955

Martin M. Andreasen

PANEL PROBIT WITH FLEXIBLE CORRELATED EFFECTS: QUANTIFYING TECHNOLOGY SPILLOVERS IN THE PRESENCE OF LATENT HETEROGENEITY pp. 956-981

Martin Burda and Matthew Harding

ESTIMATION OF TREATMENT EFFECTS WITHOUT AN EXCLUSION RESTRICTION: WITH AN APPLICATION TO THE ANALYSIS OF THE SCHOOL BREAKFAST PROGRAM pp. 982-1017

Daniel Millimet and Rusty Tchernis

COMPARING ALTERNATIVE MODELS OF HETEROGENEITY IN CONSUMER CHOICE BEHAVIOR pp. 1018-1045

Michael Keane and Nada Wasi

NONPARAMETRIC ESTIMATION OF ENTRY COST IN FIRST‐PRICE PROCUREMENT AUCTIONS pp. 1046-1065

Pai Xu

Volume 28, issue 5, 2013

MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES pp. 743-761

Luc Bauwens, Christian Hafner and Diane Pierret

EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR pp. 762-776

Jonathan Wright

GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS pp. 777-795

Drew Creal, Siem Jan Koopman and Andre Lucas

THE EFFECT OF PARENTAL EMPLOYMENT ON CHILD SCHOOLING pp. 796-822

John Ermisch and Marco Francesconi

TAX‐LIMITED REACTION FUNCTIONS pp. 823-839

Edoardo Di Porto and Federico Revelli

UNEMPLOYMENT, HUMAN CAPITAL DEPRECIATION, AND UNEMPLOYMENT INSURANCE POLICY pp. 840-863

Andreas Pollak

HOW IMPORTANT ARE ENDOGENOUS PEER EFFECTS IN GROUP LENDING? ESTIMATING A STATIC GAME OF INCOMPLETE INFORMATION pp. 864-882

Shanjun Li, Yanyan Liu and Klaus Deininger

NONLINEAR GROWTH EFFECTS OF TAXATION: A SEMI‐PARAMETRIC APPROACH USING AVERAGE MARGINAL TAX RATES pp. 883-899

Kerim Arin, Michael Berlemann, Faik Koray and Torben Kuhlenkasper

DISTINGUISHED AUTHORS pp. 901-902

Mohammad Pesaran

Volume 28, issue 4, 2013

MEDICAL EXPENDITURE RISK AND HOUSEHOLD PORTFOLIO CHOICE pp. 527-550

Dana Goldman and Nicole Maestas

Categorical semiparametric varying‐coefficient models pp. 551-579

Qi Li, Desheng Ouyang and Jeffrey Racine

EFFICIENT AGGREGATION OF PANEL QUALITATIVE SURVEY DATA pp. 580-603

James Mitchell, Richard Smith and Martin Weale

BENEFIT DURATION, UNEMPLOYMENT DURATION AND JOB MATCH QUALITY: A REGRESSION‐DISCONTINUITY APPROACH pp. 604-627

Marco Caliendo, Konstantinos Tatsiramos and Arne Uhlendorff

THE RESPONSES OF YOUTH TO A CASH TRANSFER CONDITIONAL ON SCHOOLING: A QUASI‐EXPERIMENTAL STUDY pp. 628-649

Maria Humlum and Rune Vejlin

EUCLIDEAN REVEALED PREFERENCES: TESTING THE SPATIAL VOTING MODEL pp. 650-666

Marc Henry and Ismael Mourifié

ENTRY INTO PHARMACEUTICAL SUBMARKETS: A BAYESIAN PANEL PROBIT ANALYSIS pp. 667-701

Gianni Amisano and Maria Letizia Giorgetti

SPATIAL COMPETITION WITH CHANGING MARKET INSTITUTIONS pp. 702-719

Harrison Fell and Alan C. Haynie

SPATIAL FILTERING, MODEL UNCERTAINTY AND THE SPEED OF INCOME CONVERGENCE IN EUROPE pp. 720-741

Jesus Crespo Cuaresma and Martin Feldkircher

Volume 28, issue 3, 2013

REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING pp. 353-371

Min Wei and Jonathan Wright

EURO CORPORATE BOND RISK FACTORS pp. 372-391

Carolina Castagnetti and Eduardo Rossi

POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIRICAL EVIDENCE FOR SIX INDUSTRIALIZED COUNTRIES pp. 392-411

Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher

THE GROWTH AFTERMATH OF NATURAL DISASTERS pp. 412-434

Thomas Fomby, Yuki Ikeda and Norman Loayza

HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP pp. 435-457

Georgios Chortareas and George Kapetanios

REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS pp. 458-477

Michael Clements and Ana Galvão

LONG‐RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION pp. 478-497

Taeyoung Doh

TIME‐VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS pp. 498-525

Haroon Mumtaz and Laura Sunder‐Plassmann

Volume 28, issue 2, 2013

Forecasting with Medium and Large Bayesian VARS pp. 177-203

Gary Koop

VAR FORECASTING USING BAYESIAN VARIABLE SELECTION pp. 204-230

Dimitris Korobilis

WAS THE GOLD STANDARD REALLY DESTABILIZING? pp. 231-249

Gabriel Fagan, James Lothian and Paul McNelis

MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE pp. 250-274

Jan Groen, George Kapetanios and Simon Price

CARROT AND STICK: HOW RE‐EMPLOYMENT BONUSES AND BENEFIT SANCTIONS AFFECT EXIT RATES FROM WELFARE pp. 275-296

Bas van der Klaauw and Jan van Ours

MEASURING THE EFFECT OF NAPSTER ON RECORDED MUSIC SALES: DIFFERENCE‐IN‐DIFFERENCES ESTIMATES UNDER COMPOSITIONAL CHANGES pp. 297-324

Seung-Hyun Hong

DURATION DEPENDENCE VERSUS UNOBSERVED HETEROGENEITY IN TREATMENT EFFECTS: SWEDISH LABOR MARKET TRAINING AND THE TRANSITION RATE TO EMPLOYMENT pp. 325-351

Katarina Richardson and Gerard J. Berg

Volume 28, issue 1, 2013

Panel data estimates of the production function and product and labor market imperfections pp. 1-46

Sabien Dobbelaere and Jacques Mairesse

Estimation of dynamic panel data models with sample selection pp. 47-61

Anastasia Semykina and Jeffrey Wooldridge

Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy pp. 62-81

Markus Jochmann, Gary Koop, Roberto Leon‐Gonzalez and Rodney Strachan

Macroeconomic forecasting and structural change pp. 82-101

Antonello D'Agostino, Luca Gambetti and Domenico Giannone

Did China diversify its foreign reserves? pp. 102-125

Liugang Sheng

On the simultaneity problem in the aid and growth debate pp. 126-150

Markus Brückner

Investment decisions in manufacturing: assessing the effects of real oil prices and their uncertainty pp. 151-165

Konstantinos Drakos and Panagiotis Th. Konstantinou

Narrow and scientific replication of ‘The slave trade and the origins of mistrust in Africa' pp. 166-169

Koen Deconinck and Marijke Verpoorten

Microfit 5.0 pp. 170-175

Colin McKenzie and Sumiko Takaoka