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 25, issue 1, 2010

Introduction: ‘Model uncertainty and macroeconomics’ pp. 1-3

Steven N. Durlauf and Shaun Vahey

Averaging forecasts from VARs with uncertain instabilities pp. 5-29

Todd Clark and Michael McCracken

International evidence on the efficacy of new‐Keynesian models of inflation persistence pp. 31-54

Oleg Korenok, Stanislav Radchenko and Norman Swanson

Limited information estimation and evaluation of DSGE models pp. 55-70

Martin Fukač and Adrian Pagan

Large Bayesian vector auto regressions pp. 71-92

Marta Banbura, Domenico Giannone and Lucrezia Reichlin

Monetary policy and uncertainty in an empirical small open‐economy model pp. 93-128

Alejandro Justiniano and Bruce Preston

Welfare‐maximizing monetary policy under parameter uncertainty pp. 129-143

Rochelle M. Edge, Thomas Laubach and John Williams

Empirical and policy performance of a forward‐looking monetary model pp. 145-176

Alexei Onatski and Noah Williams

The Lucas critique and the stability of empirical models pp. 177-194

Thomas A. Lubik and Paolo Surico

Journal of applied econometrics distinguished authors pp. 195-195

Mohammad Pesaran

Volume 24, issue 7, 2009

Land of addicts? an empirical investigation of habit‐based asset pricing models pp. 1057-1093

Xiaohong Chen and Sydney C. Ludvigson

Measuring state dependence in individual poverty histories when there is feedback to employment status and household composition pp. 1095-1116

Martin Biewen

Estimating class‐specific parametric models under class uncertainty: local polynomial regression clustering in an hedonic analysis of wine markets pp. 1117-1135

Marco Costanigro, Ron C. Mittelhammer and Jill McCluskey

Dichotomous‐choice contingent valuation with ‘dont know’ responses and misreporting pp. 1137-1152

Kelvin Balcombe and Iain Fraser

Economic transition and growth pp. 1153-1185

Peter Phillips and Donggyu Sul

Forecasting US output growth using leading indicators: an appraisal using MIDAS models pp. 1187-1206

Michael Clements and Ana Galvão

The political economy of financial reform: are Abiad and Mody right? pp. 1207-1213

Yongfu Huang

Volume 21, issue 8, 2006

Inter‐state dynamics of invention activities, 1930–2000 pp. 1111-1134

Catherine Co, John S. Landon‐Lane and Myeong-Su Yun

Small‐sample confidence intervals for multivariate impulse response functions at long horizons pp. 1135-1155

Elena Pesavento and Barbara Rossi

Nonlinear dynamics of interest rate and inflation pp. 1157-1168

Markku Lanne

Is there a risk–return trade‐off? Evidence from high‐frequency data pp. 1169-1198

Turan G. Bali and Lin Peng

Modelling multi‐period inflation uncertainty using a panel of density forecasts pp. 1199-1219

Kajal Lahiri and Fushang Liu

An empirical model of the multi‐unit, sequential, clock auction pp. 1221-1247

Stephen G. Donald, Harry Paarsch and Jacques Robert

A re‐interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated pp. 1249-1264

Anindya Banerjee and Paul Mizen

Intergenerational mobility and sample selection in short panels pp. 1265-1293

Marco Francesconi and Cheti Nicoletti

Identification and estimation of bounds on school performance measures: a nonparametric analysis of a mixture model with verification pp. 1295-1326

Jeff Dominitz and Robert P. Sherman

Volume 21, issue 7, 2006

Cannabis, cocaine and jobs pp. 897-917

Jan van Ours

The costs of motherhood: an analysis using matching estimators pp. 919-934

Marianne Simonsen and Lars Skipper

Health insurance and retirement of married couples pp. 935-953

David Blau and Donna Gilleskie

A dynamic model of contraceptive choice of Spanish couples pp. 955-980

Jesus Carro and Pedro Mira

Age–period–cohort decomposition of aggregate data: an application to US and Japanese household saving rates pp. 981-998

Kosei Fukuda

The effect of household characteristics on living standards in South Africa 1993–1998: a quantile regression analysis with sample attrition pp. 999-1018

Pushkar Maitra and Farshid Vahid

The Engel curve for alcohol and the rank of demand systems pp. 1019-1038

Takashi Unayama

The welfare effects of restricted hospital choice in the US medical care market pp. 1039-1079

Kate Ho

Bayesian analysis of the two‐part model with endogeneity: application to health care expenditure pp. 1081-1099

Partha Deb, Murat Munkin and Pravin Trivedi

Convergence of productivity: a comment pp. 1101-1102

Zijun Wang

Teaching undergraduate econometrics with GRETL pp. 1103-1107

J. Mixon and Ryan J. Smith

Volume 21, issue 6, 2006

A small monetary system for the euro area based on German data pp. 683-702

Ralf Brüggemann and Helmut Lütkepohl

How quickly do forecasters incorporate news? Evidence from cross‐country surveys pp. 703-725

Gultekin Isiklar, Kajal Lahiri and Prakash Loungani

The emerging market crisis and stock market linkages: further evidence pp. 727-744

Jian Yang, Cheng Hsiao, Qi Li and Zijun Wang

Estimation and comparison of treasury auction formats when bidders are asymmetric pp. 745-779

Olivier Armantier and Erwann Sbai

Semi‐parametric estimation of consumption‐based equivalence scales: the case of Germany pp. 781-802

Ralf Wilke

Sectoral labour supply, choice restrictions and functional form pp. 803-826

John K. Dagsvik and Steinar Strøm

The case against JIVE pp. 827-833

Russell Davidson and James MacKinnon

Comment on ‘The case against JIVE’ pp. 835-838

Daniel Ackerberg and Paul Devereux

The case against JIVE: a comment pp. 839-841

Sören Blomquist and Matz Dahlberg

Reply to Ackerberg and Devereux and Blomquist and Dahlberg on ‘The case against JIVE’ pp. 843-844

Russell Davidson and James MacKinnon

Wealth dynamics: reducing noise in panel data pp. 845-860

Daniel H. Hill

How do respondents process stated choice experiments? Attribute consideration under varying information load pp. 861-878

David Hensher

Assessing the effects of measurement errors on the estimation of production functions pp. 879-891

Carmine Ornaghi

Calculus attainment and grades received in intermediate economic theory pp. 893-896

Mingliang Li and Justin L. Tobias

Volume 21, issue 5, 2006

Deriving target selection rules from endogenously selected samples pp. 549-562

Bas Donkers, Richard Paap, Jedid‐Jah Jonker and Philip Hans Franses

Disaggregate evidence on the persistence of consumer price inflation pp. 563-587

Todd Clark

A nonparametric measure of convergence towards purchasing power parity pp. 589-604

Mototsugu Shintani

Empirical evidence of income dynamics across EU regions pp. 605-628

Maria Grazia Pittau and Roberto Zelli

Estimates of semiparametric equivalence scales pp. 629-639

Thanasis Stengos, Yiguo Sun and Dianqin Wang

Modelling firm‐size distribution using Box–Cox heteroscedastic regression pp. 641-653

Z. L. Yang and Y. K. Tse

Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment pp. 655-668

Ivan Paya and David Peel

Inference in dynamic stochastic frontier models pp. 669-676

Mike Tsionas

A review of TESTU01 pp. 677-682

B McCullough

Volume 21, issue 4, 2006

Generalized long memory processes, failure of cointegration tests and exchange rate dynamics pp. 409-417

Aaron D. Smallwood and Stefan Norrbin

Tests of seasonal integration and cointegration in multivariate unobserved component models pp. 419-438

Fabio Busetti

A joint model for the term structure of interest rates and the macroeconomy pp. 439-462

Hans Dewachter, Marco Lyrio and Konstantijn Maes

Structural break threshold VARs for predicting US recessions using the spread pp. 463-487

Ana Beatriz C. Galvão

Estimating the effect of smoking on birth outcomes using a matched panel data approach pp. 489-519

Jason Abrevaya

Permanent vs transitory components and economic fundamentals pp. 521-542

Anthony Garratt, Donald Robertson and Stephen Wright

Estimating an economic model of crime using panel data from North Carolina pp. 543-547

Badi Baltagi

Volume 21, issue 3, 2006

How do changes in monetary policy affect bank lending? An analysis of Austrian bank data pp. 275-305

Sylvia Frühwirth‐Schnatter and Sylvia Kaufmann

Normal mixture GARCH(1,1): applications to exchange rate modelling pp. 307-336

Carol Alexander and Emese Lazar

Magazine prices revisited pp. 337-344

Jonathan Willis

Estimating and predicting multivariate volatility thresholds in global stock markets pp. 345-369

Francesco Audrino and Fabio Trojani

Intertemporal pricing and price discrimination: a semiparametric hedonic analysis of the personal computer market pp. 371-386

Thanasis Stengos and Eleftherios Zacharias

Smoothed binary regression quantiles pp. 387-407

Gregory Kordas

Volume 21, issue 2, 2006

Estimation of multivariate models for time series of possibly different lengths pp. 147-173

Andrew Patton

Timing structural change: a conditional probabilistic approach pp. 175-190

David N. DeJong, Roman Liesenfeld and Jean-Francois Richard

Bayes model averaging of cyclical decompositions in economic time series pp. 191-212

Richard Kleijn and Herman van Dijk

A bivariate count data model for household tourism demand pp. 213-226

Jörgen Hellström

Measuring welfare effects in models with random coefficients pp. 227-244

Erik Meijer and Jan Rouwendal

Job separation in a non‐stationary search model: a structural estimation to evaluate alternative unemployment insurance systems pp. 245-272

J. Ignacio García‐Pérez

Volume 21, issue 1, 2006

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns pp. 1-22

Massimo Guidolin and Allan Timmermann

High school completion and future youth unemployment: new evidence from High School and Beyond pp. 23-53

Mingliang Li

The policy preferences of the US Federal Reserve pp. 55-77

Richard Dennis

Multivariate GARCH models: a survey pp. 79-109

Luc Bauwens, Sébastien Laurent and Jeroen V. K. Rombouts

Economic development and the return to human capital: a smooth coefficient semiparametric approach pp. 111-132

Theofanis P. Mamuneas, Andreas Savvides and Thanasis Stengos

gnuplot 4.0: a portable interactive plotting utility pp. 133-141

Jeffrey Racine