Journal of Applied Econometrics

1986 - 2025

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Counterfactual decomposition of changes in wage distributions using quantile regression pp. 445-465: José A. F. Machado and José Mata
Discrete choice modelling in airline network management pp. 467-486: Joachim Grammig, Reinhard Hujer and Michael Scheidler
Semiparametric estimation of lifetime equivalence scales pp. 487-507: Krishna Pendakur
The effects of the gender of children on expenditure patterns in rural China: a semiparametric analysis pp. 509-527: Xiaodong Gong, Arthur van Soest and Ping Zhang
Walk or wait? An empirical analysis of street crossing decisions pp. 529-548: Sanghamitra Das, Charles Manski and Mark D. Manuszak
Analysis of job‐training effects on Korean women pp. 549-562: Myoung‐jae Lee and Sang‐jun Lee
I didn't tell, and I won't tell: dynamic response error in the SIPP pp. 563-569: Christopher Bollinger and Martin H. David
Structural time series modelling with STAMP 6.02 pp. 571-577: Gilles Teyssière

Valuation ratios and long‐horizon stock price predictability pp. 327-344: David E. Rapach and Mark Wohar
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers pp. 345-376: Lucio Sarno and Giorgio Valente
Parametric pricing of higher order moments in S&P500 options pp. 377-404: Guay Lim, G. M. Martin and V. L. Martin
Partially overlapping time series: a new model for volatility dynamics in commodity futures pp. 405-422: Aaron Smith
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables pp. 423-437: Fabio Spagnolo, Zacharias Psaradakis and Martin Sola
Replication of the results in ‘learning about heterogeneity in returns to schooling’ pp. 439-443: Joshua Chan

On the dynamics of business cycle analysis: editors' introduction pp. 147-150: Dick van Dijk, Herman van Dijk and Philip Hans Franses
A suggested framework for classifying the modes of cycle research pp. 151-159: Don Harding and Adrian Pagan
Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach pp. 161-183: Frank Smets and Raf Wouters
What caused the early millennium slowdown? Evidence based on vector autoregressions pp. 185-207: Gert Peersman
Comparing SVARs and SEMs: two models of the UK economy pp. 209-228: Jan Jacobs and Kenneth F. Wallis
The transmission of US shocks to Latin America pp. 229-251: Fabio Canova
How well do Markov switching models describe actual business cycles? The case of synchronization pp. 253-274: Penelope Smith and Peter Summers
Convergence in the trends and cycles of Euro‐zone income pp. 275-289: Vasco Carvalho and Andrew Harvey
Nonlinearity and the permanent effects of recessions pp. 291-309: Chang‐Jin Kim, James Morley and Jeremy Piger
Business and default cycles for credit risk pp. 311-323: Siem Jan Koopman and Andre Lucas

Duration dependence in the exit rate out of unemployment in Belgium. Is it true or spurious? pp. 1-23: Bart Cockx and Muriel Dejemeppe
An algorithm to reduce the occupational space in gender segregation studies pp. 25-37: Neus Herranz, Ricardo Mora Villarrubia and Javier Ruiz‐Castillo
Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity pp. 39-54: Jeffrey Wooldridge
Robust inference concerning recent trends in US environmental quality pp. 55-77: Esfandiar Maasoumi and Daniel Millimet
Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity pp. 79-98: Robert Sollis
Monitoring structural change in dynamic econometric models pp. 99-121: Achim Zeileis, Friedrich Leisch, Christian Kleiber and Kurt Hornik
A review of recent books on credit risk pp. 123-130: Til Schuermann
Bridging the gap between Ox and Gauss using OxGauss pp. 131-139: Sébastien Laurent and Jean-Pierre Urbain

Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach pp. 617-639: Douglas J. Hodgson, Oliver Linton and Keith Vorkink
Divergence in alternative Hicksian welfare measures: the case of revealed preference for public amenities pp. 641-666: Sudip Chattopadhyay
The stochastic volatility in mean model: empirical evidence from international stock markets pp. 667-689: Siem Jan Koopman and Eugenie Hol Uspensky
How to compute the BDS test: a software comparison pp. 691-699: Jorge Belaire‐Franch and Dulce Contreras
Stated choice methods: analysis and application, Jordan J. Louviere, David A. Hensher and Joffre D. Swait, Cambridge University Press, ISBN: 0‐521‐78830‐7 pp. 701-704: Wiebke Kuklys

Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems pp. 209-232: Richard Blundell and Jean-Marc Robin
The error structure of time series cross‐section hedonic models with sporadic event timing and serial correlation pp. 233-252: Gregory S. Amacher and Daniel Hellerstein
Testing the significance of income distribution changes over the 1980s business cycle: a cross‐national comparison pp. 253-272: Richard Burkhauser, Amy Cutts, Mary C. Daly and Stephen Jenkins
Common cycles in seasonal non‐stationary time series pp. 273-291: Gianluca Cubadda
Testing the random walk hypothesis for real exchange rates pp. 293-308: In Choi
Testing for a unit root in the volatility of asset returns pp. 309-318: Jonathan Wright
R: yet another econometric programming environment pp. 319-329: Francisco Cribari‐Neto and Spyros G. Zarkos

COMMON TRENDS AND COMMON CYCLES pp. 341-360: F. Vahid and R. F. Engle
How does the benefit effect vary as unemployment spells lengthen? pp. 361-381: W. Narendranathan and M. B. Stewart
A count‐amount model with endogenous recording of observations pp. 383-395: B. M. S. Van Praag and E. M. Vermeulen
A latent class poisson regression model for heterogeneous count data pp. 397-411: M. Wedel, W. S. Desarbo, J. R. Bult and V. Ramaswamy
Microfit 3.0: A review pp. 413-419: C. R. McKenzie
Seasonal adjustment as a practical problem, F. A. G. Den Butter and M. M. G. Fase. North‐Holland, 1991, ISBN 90‐267‐1264‐3, US $94.50/dfl 165, pp. 226. Modelling Seasonality, Edited by S. HYLLEBERG. Oxford University Press, 1992, ISBN 0‐19‐877317, $45, pp. 476 pp. 421-423: S. G. B. Henry
Applied econometric techniques, K. Cuthbertson, S. G. Hall, and M. P. Taylor. Philip Allan, Hemel Hempstead, 1992, ISBN 0‐86003‐084‐9, £45 hardback pp. 423-424: Martyn Andrews
International conference on: The micro‐econometrics of dynamic decision making pp. 425-425: Arie Kapteyn