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 27, issue 7, 2012

Learning from peers in signaling game experiments pp. 1037-1058

Xiaodong Liu, John Kagel and Lung-Fei Lee

Is God in the details? A reexamination of the role of religion in economic growth pp. 1059-1075

Steven Durlauf, Andros Kourtellos and Chih Ming Tan

Estimating Engel curves under unit and item nonresponse pp. 1076-1099

Giuseppe De Luca and Franco Peracchi

Evaluating Californian under‐age drunk driving laws: endogenous policy lags pp. 1100-1115

Tzu‐Chun Kuo

Labor market entry and earnings dynamics: Bayesian inference using mixtures‐of‐experts Markov chain clustering pp. 1116-1137

Sylvia Frühwirth‐Schnatter, Christoph Pamminger, Andrea Weber and Rudolf Winter‐Ebmer

On the size distortion of tests after an overidentifying restrictions pretest pp. 1138-1160

Patrik Guggenberger and Gitanjali Kumar

An alternative measure of intergenerational income mobility based on a random coefficient model pp. 1161-1173

Irina Murtazashvili

Binary quantile regression: a Bayesian approach based on the asymmetric Laplace distribution pp. 1174-1188

Dries F. Benoit and Dirk Van den Poel

Finite‐sample comparison of alternative methods for estimating dynamic panel data models pp. 1189-1204

Alpaslan Akay

EViews 7.2 pp. 1205-1210

Colin McKenzie and Sumiko Takaoka

The Richard Stone Prize in Applied Econometrics pp. 1211-1212

Mohammad Pesaran

Volume 27, issue 6, 2012

Realized GARCH: a joint model for returns and realized measures of volatility pp. 877-906

Peter Hansen, Zhuo Huang and Howard Howan Shek

Multivariate high‐frequency‐based volatility (HEAVY) models pp. 907-933

Diaa Noureldin, Neil Shephard and Kevin Sheppard

On the forecasting accuracy of multivariate GARCH models pp. 934-955

Sébastien Laurent, Jeroen V. K. Rombouts and Francesco Violante

A comprehensive look at financial volatility prediction by economic variables pp. 956-977

Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf

Testing distributional assumptions: A GMM aproach pp. 978-1012

Christian Bontemps and Nour Meddahi

Risk aversion, intertemporal substitution, and the term structure of interest rates pp. 1013-1036

René Garcia and Richard Luger

Volume 27, issue 5, 2012

A PANEL DATA APPROACH FOR PROGRAM EVALUATION: MEASURING THE BENEFITS OF POLITICAL AND ECONOMIC INTEGRATION OF HONG KONG WITH MAINLAND CHINA pp. 705-740

Cheng Hsiao, H. Steve Ching and Shui Ki Wan

FOSTERING EDUCATIONAL ENROLMENT THROUGH SUBSIDIES: THE ISSUE OF TIMING pp. 741-772

Mario Fiorini

‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESISTANCE pp. 773-794

Kristian Behrens, Cem Ertur and Wilfried Koch

WEIGHTED SMOOTH TRANSITION REGRESSIONS pp. 795-811

Ralf Becker and Denise Osborn

BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS pp. 812-830

Markku Lanne, Arto Luoma and Jani Luoto

A RANK‐ORDERED LOGIT MODEL WITH UNOBSERVED HETEROGENEITY IN RANKING CAPABILITIES pp. 831-846

Dennis Fok, Richard Paap and Bram Van Dijk

INDIVIDUAL VERSUS AGGREGATE INCOME ELASTICITIES FOR HETEROGENEOUS POPULATIONS pp. 847-869

Michal Paluch, Alois Kneip and Werner Hildenbrand

COMPARISON OF MODEL AVERAGING TECHNIQUES: ASSESSING GROWTH DETERMINANTS pp. 870-876

Shahram M. Amini and Christopher Parmeter

Volume 27, issue 4, 2012

Optimal monetary policy using an unrestricted VAR pp. 525-553

Vito Polito and Michael Wickens

Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework pp. 554-573

Matthew Greenwood‐Nimmo, Viet Hoang Nguyen and Yongcheol Shin

Term structure surprises: the predictive content of curvature, level, and slope pp. 574-602

Emanuel Moench

An identification‐robust test for time‐varying parameters in the dynamics of energy prices pp. 603-624

Jean-Thomas Bernard, Jean-Marie Dufour, Lynda Khalaf and Maral Kichian

A blocking and regularization approach to high‐dimensional realized covariance estimation pp. 625-645

Nikolaus Hautsch, Lada M. Kyj and Roel C. A. Oomen

A simple, flexible estimator for count and other ordered discrete data pp. 646-665

Thomas Mroz

Lose weight for a raise only if overweight: Marginal integration for semi‐linear panel models pp. 666-685

Kamhon Kan and Myoung-jae Lee

The impact of data revisions on the robustness of growth determinants—a note on ‘determinants of economic growth: Will data tell?’ pp. 686-694

Martin Feldkircher and Stefan Zeugner

The political economy of financial reform: How robust are huang's findings? pp. 695-699

Eelco Zandberg, Jakob de Haan and J.Paul Elhorst

Volume 27, issue 3, 2012

Estimation of nonlinear models with mismeasured regressors using marginal information pp. 347-385

Yingyao Hu and Geert Ridder

Modelling heterogeneity and dynamics in the volatility of individual wages pp. 386-414

Laura Hospido

Nonparametric estimation of the impact of taxes on female labor supply pp. 415-439

Anil Kumar

Revealing the preferences of the US Federal Reserve pp. 440-473

Pelin Ilbas

Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances pp. 474-499

Emma Iglesias and Garry Phillips

Modelling dependence using skew t copulas: Bayesian inference and applications pp. 500-522

Michael Smith, Quan Gan and Robert Kohn

Volume 27, issue 2, 2012

Estimation of sample selection models with spatial dependence pp. 173-204

Alfonso Flores‐Lagunes and Kurt Schnier

Productivity and efficiency dynamics in Indian banking: An input distance function approach incorporating quality of inputs and outputs pp. 205-234

Abhiman Das and Subal Kumbhakar

The impact of reserve prices on the perceived bias of expert appraisals of fine art pp. 235-252

Clare McAndrew, James Smith and Rex Thompson

Alternative technical efficiency measures: Skew, bias and scale pp. 253-268

Qu Feng and William Horrace

Dynamic stochastic copula models: estimation, inference and applications pp. 269-295

Christian Hafner and Hans Manner

Trade creation and diversion revisited: Accounting for model uncertainty and natural trading partner effects pp. 296-321

Theo Eicher, Christian Henn and Chris Papageorgiou

Specification and testing of models estimated by quadrature pp. 322-332

Geert Dhaene and João Santos Silva

From market shares to consumer types: Duality in differentiated product demand estimation pp. 333-342

Myrto Kalouptsidi

GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009) pp. 343-346

Helmut Farbmacher

Volume 27, issue 1, 2012

Dynamics and equilibrium in a structural model of wide‐body commercial aircraft markets pp. 1-33

Loren K. Smith

Traffic safety and vehicle choice: quantifying the effects of the ‘arms race’ on American roads pp. 34-62

Shanjun Li

Selection in a field experiment with voluntary participation pp. 63-84

Pieter Gautier and Bas van der Klaauw

Stochastic monotonicity in intergenerational mobility tables pp. 85-107

Valentino Dardanoni, Mario Fiorini and Antonio Forcina

Instrumental variables regressions with uncertain exclusion restrictions: a Bayesian approach pp. 108-128

Aart Kraay

Measuring the impact of nonignorability in panel data with non‐monotone nonresponse pp. 129-159

Hui Xie and Yi Qian

Innovation and competition: An unstable relationship pp. 160-166

Juan Correa

RStudio: A Platform‐Independent IDE for R and Sweave pp. 167-172

Jeffrey Racine