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 32, issue 7, 2017

Doubly robust uniform confidence band for the conditional average treatment effect function pp. 1207-1225

Sokbae (Simon) Lee, Ryo Okui and Yoon-Jae Whang

A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance pp. 1226-1243

Lena Boneva and Oliver Linton

Nonparametric methods and local†time†based estimation for dynamic power law distributions pp. 1244-1260

Ricardo Fernholz

An endogenously clustered factor approach to international business cycles pp. 1261-1276

Neville Francis, Michael Owyang and Ozge Savascin

Efficient estimation of Bayesian VARMAs with time†varying coefficients pp. 1277-1297

Joshua Chan and Eric Eisenstat

Combining density forecasts using focused scoring rules pp. 1298-1313

Anne Opschoor, Dick van Dijk and Michel van der Wel

Loss functions for predicted click†through rates in auctions for online advertising pp. 1314-1328

Patrick Hummel and Randolph McAfee

Economies of diversification in the US credit union sector pp. 1329-1347

Emir Malikov, Shunan Zhao and Subal Kumbhakar

Unobserved selection heterogeneity and the gender wage gap pp. 1348-1366

Cecilia Machado

Estimating the economic costs of organized crime by synthetic control methods pp. 1367-1369

Martin Becker and Stefan Klößner

Volume 32, issue 6, 2017

Anchoring the yield curve using survey expectations pp. 1055-1068

Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa

Structural FECM: Cointegration in large‐scale structural FAVAR models pp. 1069-1086

Anindya Banerjee, Massimiliano Marcellino and Igor Masten

Model selection with estimated factors and idiosyncratic components pp. 1087-1106

Jack Fosten

Efficient estimation of factor models with time and cross‐sectional dependence pp. 1107-1122

Alexander Heinemann

Identifying relevant and irrelevant variables in sparse factor models pp. 1123-1144

Sylvia Kaufmann and Christian Schumacher

Real exchange rate persistence and the excess return puzzle: The case of Switzerland versus the US pp. 1145-1155

Katarina Juselius and Katrin Assenmacher

Fat tails and spurious estimation of consumption‐based asset pricing models pp. 1156-1177

Alexis Akira Toda and Kieran James Walsh

Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances pp. 1178-1196

Leopoldo Catania and Anna Gloria Billé

The cycle of violence in the Second Intifada: Causality in nonlinear vector autoregressive models pp. 1197-1205

Muhammad Asali, Aamer S. Abu‐Qarn and Michael Beenstock

Volume 32, issue 5, 2017

Have Standard VARS Remained Stable Since the Crisis? pp. 931-951

Knut Are Aastveit, Andrea Carriero, Todd Clark and Massimiliano Marcellino

The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data pp. 952-964

Carlo Altavilla and Domenico Giannone

Monetary Policy and Asset Prices: A Markov‐Switching DSGE Approach pp. 965-982

Joonyoung Hur

An Empirical Comparison Between the Synthetic Control Method and HSIAO et al.'s Panel Data Approach to Program Evaluation pp. 983-1002

Javier Gardeazabal and Ainhoa Vega‐Bayo

Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models pp. 1003-1026

István Barra, Lennart Hoogerheide, Siem Jan Koopman and Andre Lucas

The Robust Relationship Between us Food Aid and Civil Conflict pp. 1027-1032

Chi‐Yang Chu, Daniel Henderson and Le Wang

Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) pp. 1033-1038

Peter Summers

Economic Transition and Growth: A Replication pp. 1039-1042

Joachim Schnurbus, Harry Haupt and Verena Meier

Work Ethic, Social Ethic, no Ethic: Measuring the Economic Values of Modern Christians pp. 1043-1053

Christopher Colvin and Matthew McCracken

Volume 32, issue 4, 2017

Dynamic Panel Data Models With Irregular Spacing: With an Application to Early Childhood Development pp. 725-743

Daniel Millimet and Ian McDonough

Estimating the Competitive Storage Model with Trending Commodity Prices pp. 744-763

Christophe Gouel and Nicolas Legrand

Loan Supply Shocks and the Business Cycle pp. 764-782

Luca Gambetti and Alberto Musso

Density Forecasts With Midas Models pp. 783-801

Knut Are Aastveit, Claudia Foroni and Francesco Ravazzolo

Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods pp. 802-818

Matthieu Droumaguet, Anders Warne and Tomasz Woźniak

On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in the USA pp. 819-840

Gerdie Everaert, Lorenzo Pozzi and Ruben Schoonackers

MM Algorithm for General Mixed Multinomial Logit Models pp. 841-857

Jonathan James

Using a Structural‐Form Model to Analyze the Impact of Home Ownership on Unemployment Duration pp. 858-876

Aico van Vuuren

Out‐of‐Sample Return Predictability: A Quantile Combination Approach pp. 877-895

Luiz Lima and Fanning Meng

Textual Analysis in Real Estate pp. 896-918

Adam Nowak and Patrick Smith

Narrow Replication of Fisman and Miguel's (2007a) ‘Corruption, Norms, and Legal Enforcement: Evidence from Diplomatic Parking Tickets’ pp. 919-922

Matheus Albergaria and Luiz Paulo Fávero

Human Capital Spillovers and Regional Development pp. 923-930

Marcos Sanso‐Navarro, Maria Vera‐Cabello and Domingo P. Ximénez‐ De‐Embún

Volume 32, issue 3, 2017

Weak and Strong Cross‐Sectional Dependence: A Panel Data Analysis of International Technology Diffusion pp. 477-503

Cem Ertur and Antonio Musolesi

Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures pp. 504-532

Worapree Maneesoonthorn, Catherine Forbes and Gael M. Martin

Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting pp. 533-553

Todd Clark and Michael McCracken

Testing for Predictability in panels with General Predictors pp. 554-574

Joakim Westerlund, Hande Karabiyik and Paresh Narayan

Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data pp. 575-599

Jiaying Gu and Roger Koenker

Likelihood‐Based Inference and Prediction in Spatio‐Temporal Panel Count Models for Urban Crimes pp. 600-620

Roman Liesenfeld, Jean-Francois Richard and Jan Vogler

The Millennium Peak in Club Convergence: A New Look at Distributional Changes in The Wealth of Nations pp. 621-642

Melanie Krause

Teacher Quality and Student Achievement: Evidence from a Sample of Dutch Twins pp. 643-660

Sander Gerritsen, Erik Plug and Dinand Webbink

Confronting Price Endogeneity in a Duration Model of Residential Subdivision Development pp. 661-682

Douglas Wrenn, Henry Klaiber and David Newburn

Euromind‐ D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area pp. 683-703

Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi

In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area pp. 704-718

Patrick Fève and Jean-Guillaume Sahuc

Income and Democracy: A Smooth Varying Coefficient Redux pp. 719-724

Alexander L. Lundberg, Kim Huynh and David T. Jacho‐Chávez

Volume 32, issue 2, 2017

Wild Bootstrap Inference for Wildly Different Cluster Sizes pp. 233-254

James MacKinnon and Matthew Webb

Estimation and Solution of Models with Expectations and Structural Changes pp. 255-274

Mariano Kulish and Adrian Pagan

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump pp. 275-295

Christiane Baumeister, Lutz Kilian and Thomas K. Lee

Global Credit Risk: World, Country and Industry Factors pp. 296-317

Bernd Schwaab, Siem Jan Koopman and Andre Lucas

Forecasting With the Standardized Self‐Perturbed Kalman Filter pp. 318-341

Stefano Grassi, Nima Nonejad and Paolo Santucci De Magistris

Penalized Quantile Regression with Semiparametric Correlated Effects: An Application with Heterogeneous Preferences pp. 342-358

Matthew Harding and Carlos Lamarche

Spotting the Danger Zone: Forecasting Financial Crises With Classification Tree Ensembles and Many Predictors pp. 359-378

Felix Ward

Skewness Risk and Bond Prices pp. 379-400

Francisco Ruge‐Murcia

Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis pp. 401-421

Tatjana Dahlhaus

Transitions at Different Moments in Time: A Spatial Probit Approach pp. 422-439

J.Paul Elhorst, Pim Heijnen, Anna Samarina and Jan Jacobs

Absenteeism, Gender and the Morbidity–Mortality Paradox pp. 440-462

Daniel Avdic and Per Johansson

Subjective Well‐Being and Income: A Re‐Examination of Satiation Using the Regression Kink Model With an Unknown Threshold pp. 463-469

Donald Lien, Yue Hu and Long Liu

Differences Between Classical and Bayesian Estimates for Mixed Logit Models: A Replication Study pp. 470-476

Ossama Elshiewy, German Zenetti and Yasemin Boztug

Volume 32, issue 1, 2017

Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand pp. 1-15

John Coglianese, Lucas Davis, Lutz Kilian and James H. Stock

Average and Marginal Returns to Upper Secondary Schooling in Indonesia pp. 16-36

Pedro Carneiro, Michael Lokshin and Nithin Umapathi

Estimation of Poverty Transition Matrices with Noisy Data pp. 37-55

Nayoung Lee, Geert Ridder and John Strauss

Sharp IV Bounds on Average Treatment Effects on the Treated and Other Populations Under Endogeneity and Noncompliance pp. 56-79

Martin Huber, Lukas Laffers and Giovanni Mellace

Identification and Estimation of Online Price Competition With an Unknown Number of Firms pp. 80-102

Yonghong An, Michael Baye, Yingyao Hu, John Morgan and Matt Shum

Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models pp. 103-119

Anders Warne, Günter Coenen and Kai Christoffel

How to Identify and Forecast Bull and Bear Markets? pp. 120-139

Erik Kole and Dick Dijk

Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice pp. 140-158

Laurent Callot, Anders Kock and Marcelo Medeiros

Forecasting Tail Risks pp. 159-170

Gianni De Nicolò and Marcella Lucchetta

Modeling Financial Sector Joint Tail Risk in the Euro Area pp. 171-191

Andre Lucas, Bernd Schwaab and Xin Zhang

State Prices of Conditional Quantiles: New Evidence on Time Variation in the Pricing Kernel pp. 192-217

Konstantinos Metaxoglou and Aaron Smith

Replication of unconditional Quantile Regressions by Firpo, Fortin and Lemieux (2009) pp. 218-223

Badi Baltagi and Pallab Kumar Ghosh

The Early Millennium Slowdown: Replicating the Peersman (2005) Results pp. 224-232

Angelia Grant