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 31, issue 7, 2016

Mismatch Shocks and Unemployment During the Great Recession pp. 1197-1214

Francesco Furlanetto and Nicolas Groshenny

Time Variation in Macro‐Financial Linkages pp. 1215-1233

Esteban Prieto, Sandra Eickmeier and Massimiliano Marcellino

On the Importance of Sectoral and Regional Shocks for Price‐Setting pp. 1234-1253

Guenter Beck, Kirstin Hubrich and Massimiliano Marcellino

Forecasting Consumption: the Role of Consumer Confidence in Real Time with many Predictors pp. 1254-1275

Kajal Lahiri, George Monokroussos and Yongchen Zhao

Combining Time Variation and Mixed Frequencies: an Analysis of Government Spending Multipliers in Italy pp. 1276-1290

Jacopo Cimadomo and Antonello D'Agostino

Bubbles and Crises: The Role of House Prices and Credit pp. 1291-1311

Andre Anundsen, Karsten Gerdrup, Frank Hansen and Kasper Kragh‐Sørensen

Optimal Portfolio Choice Under Decision‐Based Model Combinations pp. 1312-1332

Davide Pettenuzzo and Francesco Ravazzolo

Nonlinear Granger Causality: Guidelines for Multivariate Analysis pp. 1333-1351

Cees Diks and Marcin Wolski

Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model pp. 1352-1370

Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk

Forecasting with Global Vector Autoregressive Models: a Bayesian Approach pp. 1371-1391

Jesus Crespo Cuaresma, Martin Feldkircher and Florian Huber

Noncausal Bayesian Vector Autoregression pp. 1392-1406

Markku Lanne and Jani Luoto

A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of us Banks in 2001–2010 pp. 1407-1429

Emir Malikov, Subal Kumbhakar and Mike Tsionas

Optimal Control of Heteroscedastic Macroeconomic Models pp. 1430-1444

Vito Polito and Peter Spencer

Outlier‐Robust Bayesian Multinomial Choice Modeling pp. 1445-1466

Dries F. Benoit, Stefan Van Aelst and Dirk Van den Poel

Demographics and Business Cycle Volatility: A Spurious Relationship? pp. 1467-1477

Gerdie Everaert and Hauke Vierke

Replicating the Results in ‘A New Model of Trend Inflation’ Using Particle Markov Chain Monte Carlo pp. 1478-1483

Nima Nonejad

Volume 31, issue 6, 2016

Exponent of Cross‐Sectional Dependence: Estimation and Inference pp. 929-960

Natalia Bailey, George Kapetanios and Mohammad Pesaran

Panicca: Panic on Cross‐Section Averages pp. 961-981

Simon Reese and Joakim Westerlund

Error Correction Testing in Panels with Common Stochastic Trends pp. 982-1004

Christian Gengenbach, Jean-Pierre Urbain and Joakim Westerlund

Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions pp. 1005-1025

Tim Bollerslev, Andrew Patton and Wenjing Wang

Bayesian Fuzzy Regression Discontinuity Analysis and Returns to Compulsory Schooling pp. 1026-1047

Siddhartha Chib and Liana Jacobi

Accounting for the Political Uncertainty Factor pp. 1048-1064

Eric Scheffel

State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a Panel of Countries pp. 1065-1082

Stefanos Dimitrakopoulos and Michalis Kolossiatis

Forecasting with Bayesian Vector Autoregressions Estimated Using Professional Forecasts pp. 1083-1099

Christoph Frey and Frieder Mokinski

Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations pp. 1100-1119

George Athanasopoulos, Donald Poskitt, Farshid Vahid and Wenying Yao

Effect of Online Dating on Assortative Mating: Evidence from South Korea pp. 1120-1139

Soohyung Lee

Estimating Health Demand for an Aging Population: A Flexible and Robust Bayesian Joint Model pp. 1140-1158

Arnab Mukherji, Satrajit Roychoudhury, Pulak Ghosh and Sarah Brown

Modelling Hospital Admission and Length of Stay by Means of Generalised Count Data Models pp. 1159-1182

Helmut Herwartz, Nadja Klein and Christoph Strumann

Reassessing the Relative Power of the Yield Spread in Forecasting Recessions pp. 1183-1191

Dean Croushore and Katherine Marsten

Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effects of Uncertainty on Inflation and Output Growth pp. 1192-1196

Christos Savva

Volume 31, issue 5, 2016

Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models pp. 773-804

Jason Blevins

Modelling Inflation Volatility pp. 805-820

Eric Eisenstat and Rodney Strachan

Factor‐Based Identification‐Robust Interference in IV Regressions pp. 821-842

George Kapetanios, Lynda Khalaf and Massimiliano Marcellino

A Semi‐Parametric Analysis of Two‐Sided Markets: An Application to the Local Daily Newspapers in the USA pp. 843-864

Senay Sokullu

Borrowing Constraints and Credit Demand in a Developing Economy pp. 865-891

Jaime Ruiz‐Tagle and Francis Vella

Econometric Methods for Modelling Systems With a Mixture of i(1) and i(0) Variables pp. 892-911

Lance A. Fisher, Hyeon-seung Huh and Adrian Pagan

Reanalyzing Zero Returns to Education in Germany pp. 912-919

Daniel A. Kamhöfer and Hendrik Schmitz

Successful Scientific Replication and Extension of Levitt (2008): Child Seats are Still No Safer Than Seat Belts pp. 920-928

Lauren E. Jones and Nicolas Ziebarth

Volume 31, issue 4, 2016

ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates pp. 613-629

Lars Winkelmann, Markus Bibinger and Tobias Linzert

The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model pp. 630-651

Yasuo Hirose and Atsushi Inoue

Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulation is Endogenous pp. 652-677

Daniel Millimet and Jayjit Roy

GMM with Multiple Missing Variables pp. 678-706

Saraswata Chaudhuri and David K. Guilkey

A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market pp. 707-733

Stan Hurn, Annastiina Silvennoinen and Timo Teräsvirta

Maintaining (Locus of) Control? Data Combination for the Identification and Inference of Factor Structure Models pp. 734-755

Rémi Piatek and Pia Pinger

Simulation Estimation of Two‐tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment pp. 756-761

Zhou Xun and Michel Lubrano

Estimating Bayesian Decision Problems with Heterogeneous Expertise pp. 762-771

Stephen Hansen, Michael McMahon and Sorawoot Srisuma

Volume 31, issue 3, 2016

Identification and Estimation of Distributional Impacts of Interventions Using Changes in Inequality Measures pp. 457-486

Sergio Firpo and Cristine Pinto

Labor Supply as a Choice Among Latent Jobs: Unobserved Heterogeneity and Identification pp. 487-506

John K. Dagsvik and Zhiyang Jia

Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts pp. 507-532

Barbara Rossi and Tatevik Sekhposyan

The Measurement and Behavior of Uncertainty: Evidence from the ECB Survey of Professional Forecasters pp. 533-550

Joshua Abel, Robert Rich, Joseph Song and Joseph Tracy

A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve pp. 551-565

Joshua Chan, Gary Koop and Simon Potter

On the Low‐Frequency Relationship Between Public Deficits and Inflation pp. 566-583

Martin Kliem, Alexander Kriwoluzky and Samad Sarferaz

Growth Empirics in Panel Data Under Model Uncertainty and Weak Exogeneity pp. 584-602

Enrique Moral‐Benito

Flexible Estimation of Copulas: An Application to the US Housing Crisis pp. 603-610

Anson Ho, Kim Huynh and David T. Jacho‐Chávez

Volume 31, issue 2, 2016

A Social Interactions Model with Endogenous Friendship Formation and Selectivity pp. 301-319

Chih-Sheng Hsieh and Lung-Fei Lee

Price Sensitivity of Demand for Prescription Drugs: Exploiting a Regression Kink Design pp. 320-337

Marianne Simonsen, Lars Skipper and Niels Skipper

An Empirical Test of Pricing Kernel Monotonicity pp. 338-356

Brendan Beare and Lawrence Schmidt

Bayesian Graphical Models for STructural Vector Autoregressive Processes pp. 357-386

Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin

An Extension of the J‐Test to a Spatial Panel Data Framework pp. 387-402

Harry H. Kelejian and Gianfranco Piras

A Silver Lifeboat, not Silver Fetters: Why and how the Silver Standard Insulated China from the 1929 Great Depression pp. 403-419

Tai‐kuang Ho and Cheng‐chung Lai

Identifying the Independent Sources of Consumption Variation pp. 420-449

Matteo Barigozzi and Alessio Moneta

Lasso for Instrumental Variable Selection: A Replication Study pp. 450-454

Martin Spindler

Volume 31, issue 1, 2016

Cross‐Sectional Dependence in Panel Data Models: A Special Issue pp. 1-3

Jushan Bai, Badi Baltagi and Mohammad Pesaran

Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models pp. 4-31

Matei Demetrescu and Ulrich Homm

Endogenous Spatial Regression and Delineation of Submarkets: A New Framework with Application to Housing Markets pp. 32-57

Arnab Bhattacharjee, Eduardo Castro, Taps Maiti and João Marques

Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market pp. 58-84

Liudas Giraitis, George Kapetanios, Anne Wetherilt and Filip Žikeš

Estimation of Dynamic Panel Data Models with Cross‐Sectional Dependence: Using Cluster Dependence for Efficiency pp. 85-105

Valentin Verdier

Growth Determinants Revisited Using Limited‐Information Bayesian Model Averaging pp. 106-132

Alin Mirestean and Charalambos Tsangarides

Identification of Spatial Durbin Panel Models pp. 133-162

Lung-Fei Lee and Jihai Yu

Panel Data Models with Grouped Factor Structure Under Unknown Group Membership pp. 163-191

Tomohiro Ando and Jushan Bai

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market pp. 192-213

Lena Boneva, Oliver Linton and Michael Vogt

Firm‐Level Productivity Spillovers in China's Chemical Industry: A Spatial Hausman‐Taylor Approach pp. 214-248

Badi Baltagi, Peter Egger and Michaela Kesina

A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence pp. 249-280

Natalia Bailey, Sean Holly and Mohammad Pesaran

Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Frontier Panels pp. 281-297

Camilla Mastromarco, Laura Serlenga and Yongcheol Shin