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 30, issue 7, 2015

What Drives Oil Prices? Emerging Versus Developed Economies pp. 1013-1028

Knut Are Aastveit, Hilde Bjørnland and Leif Thorsrud

The Measurement and Characteristics of Professional Forecasters' Uncertainty pp. 1029-1046

Gianna Boero, Jeremy Smith and Kenneth Wallis

Fiscal Policies and Credit Regimes: A TVAR Approach pp. 1047-1072

Tommaso Ferraresi, Andrea Roventini and Giorgio Fagiolo

Extracting Nonlinear Signals from Several Economic Indicators pp. 1073-1089

Maximo Camacho, Gabriel Perez‐Quiros and Pilar Poncela

Anticipating Long‐Term Stock Market Volatility pp. 1090-1114

Christian Conrad and Karin Loch

Estimating Incentive and Selection Effects in the Medigap Insurance Market: An Application with Dirichlet Process Mixture Model pp. 1115-1143

Xuequn Hu, Murat Munkin and Pravin Trivedi

A Test of the Conditional Independence Assumption in Sample Selection Models pp. 1144-1168

Martin Huber and Blaise Melly

Isolating the Roles of Individual Covariates in Reweighting Estimation pp. 1169-1191

Todd Elder, John H. Goddeeris and Steven Haider

Refining Stylized Facts from Factor Models of Inflation pp. 1192-1209

Ferre De Graeve and Karl Walentin

A Hidden Markov Model Approach to Information‐Based Trading: Theory and Applications pp. 1210-1234

Xiangkang Yin and Jing Zhao

Volume 30, issue 6, 2015

Commodity Price Volatility and the Sources of Growth pp. 857-873

Tiago Cavalcanti, Kamiar Mohaddes and Mehdi Raissi

Purchasing Power Parity and the Taylor Rule pp. 874-903

Hyeongwoo Kim, Ippei Fujiwara, Bruce Hansen and Masao Ogaki

On the Empirical Failure of Purchasing Power Parity Tests pp. 904-923

Matteo Pelagatti and Emilio Colombo

Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test pp. 924-947

Efrem Castelnuovo and Luca Fanelli

The Environmental Kuznets Curve, Cointegration and Nonlinearity pp. 948-967

Martin Wagner

Macroeconomic Effects of Precautionary Demand for Oil pp. 968-986

Alessio Anzuini, Patrizio Pagano and Massimiliano Pisani

Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model pp. 987-1009

Constantino Hevia, Martin Gonzalez‐Rozada, Martin Sola and Fabio Spagnolo

Lag Order and Critical Values of the Augmented Dickey–Fuller Test: A Replication pp. 1010-1010

Tamer Kulaksizoglu

Volume 30, issue 5, 2015

Spline Regression in the Presence of Categorical Predictors pp. 705-717

Shujie Ma, Jeffrey Racine and Lijian Yang

Combining Matching and Nonparametric Instrumental Variable Estimation: Theory and An Application to the Evaluation of Active Labour Market Policies pp. 718-738

Markus Frölich and Michael Lechner

Replacing Sample Trimming with Boundary Correction in Nonparametric Estimation of First‐Price Auctions pp. 739-762

Brent R. Hickman and Timothy Hubbard

Doubly Robust Estimation of Causal Effects with Multivalued Treatments: An Application to the Returns to Schooling pp. 763-786

Selver Uysal

When Does the Stepping‐Stone Work? Fixed‐Term Contracts Versus Temporary Agency Work in Changing Economic Conditions pp. 787-805

Pauline Givord and Lionel Wilner

A New Utility‐Consistent Econometric Approach to Multivariate Count Data Modeling pp. 806-825

Chandra R. Bhat, Rajesh Paleti and Marisol Castro

Effect of FDI and Time on Catching Up: New Insights from a Conditional Nonparametric Frontier Analysis pp. 826-847

Camilla Mastromarco and Leopold Simar

Gender‐Biased Breastfeeding in Egypt: Examining the Fertility Preference Hypotheses of Jayachandran and Kuziemko (2011) pp. 848-855

Abhishek Chakravarty

Volume 30, issue 4, 2015

Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts pp. 529-550

Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci

Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility pp. 551-575

Todd Clark and Francesco Ravazzolo

Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting pp. 576-595

Julieta Fuentes, Pilar Poncela and Julio Rodríguez

The Contribution of Structural Break Models to Forecasting Macroeconomic Series pp. 596-620

Luc Bauwens, Gary Koop, Dimitris Korobilis and Jeroen V.K. Rombouts

Speculation in the Oil Market pp. 621-649

Luciana Juvenal and Ivan Petrella

Priors and Posterior Computation in Linear Endogenous Variable Models with Imperfect Instruments pp. 650-674

Joshua Chan and Justin Tobias

Simple Identification and Specification of Cointegrated Varma Models pp. 675-702

Christian Kascha and Carsten Trenkler

Narrow Replication of ‘A Spatio‐Temporal Model of House Prices in the Usa’ Using R pp. 703-704

Giovanni Millo

Volume 30, issue 3, 2015

A Bayesian Semiparametric Competing Risk Model with Unobserved Heterogeneity pp. 353-376

Martin Burda, Matthew Harding and Jerry Hausman

Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation pp. 377-397

Fulvio Corsi, Stefano Peluso and Francesco Audrino

Analysis of Hospital Production: An Output Index Approach pp. 398-421

Martin Gaynor, Samuel Kleiner and William B. Vogt

Regression Discontinuity Applications with Rounding Errors in the Running Variable pp. 422-446

Yingying Dong

Visual Attention and Attribute Attendance in Multi‐Attribute Choice Experiments pp. 447-467

Kelvin Balcombe, Iain Fraser and Eugene McSorley

Unraveling the Relationship Between Presidential Approval and the Economy: A Multidimensional Semiparametric Approach pp. 468-486

Michael Berlemann, Sören Enkelmann and Torben Kuhlenkasper

Identification and Estimation of Engel Curves with Endogenous and Unobserved Expenditures pp. 487-508

Erich Battistin and Michele De Nadai

Hedonic Housing Prices in Paris: An Unbalanced Spatial Lag Pseudo‐Panel Model with Nested Random Effects pp. 509-528

Badi Baltagi, Georges Bresson and Jean‐Michel Etienne

Volume 30, issue 2, 2015

Is infrastructure capital productive? A dynamic heterogeneous approach pp. 177-198

Cesar Calderon, Enrique Moral‐Benito and Luis Servén

Monetary Policy and the Housing Market: A Structural Factor Analysis pp. 199-218

Matteo Luciani

Dsge Models in the Frequency Domains pp. 219-240

Luca Sala

Has the Euro‐Mediterranean Partnership Affected Mediterranean Business Cycles? pp. 241-262

Fabio Canova and Alain Schlaepfer

Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations? pp. 263-290

Nikolaus Hautsch, Lada M. Kyj and Peter Malec

Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market pp. 291-312

Fabian Y. R. P. Bocart and Christian Hafner

Cost and Preference Heterogeneity in Risky Financial Markets pp. 313-332

Graciela Sanroman

Finding Sensitivity to Scope in Nonmarket Valuation pp. 333-349

Juha Siikamäki and Douglas M. Larson

R&D, Innovation and Knowledge Spillovers: A Reappraisal of Bottazzi and Peri (2007) in the Presence of Cross‐Sectional Dependence pp. 350-352

Anna Bottasso, Carolina Castagnetti and Maurizio Conti

Volume 30, issue 1, 2015

Cointegration in Panel Data with Structural Breaks and Cross‐Section Dependence pp. 1-23

Anindya Banerjee and Josep Lluís Carrion‐i‐Silvestre

When Does Government Debt Crowd Out Investment? pp. 24-45

Nora Traum and Shu-Chun Yang

Bayesian VARs: Specification Choices and Forecast Accuracy pp. 46-73

Andrea Carriero, Todd Clark and Massimiliano Marcellino

Evaluating Point and Density Forecasts of DSGE Models pp. 74-96

Maik Wolters

A Theoretical Foundation for the Nelson–Siegel Class of Yield Curve Models pp. 97-118

Leo Krippner

Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors pp. 119-144

Pierre Perron and Yohei Yamamoto

Econometric Regime Shifts and the US Subprime Bubble pp. 145-169

Andre Anundsen

Relative Risk Aversion and Power‐Law Distribution of Macroeconomic Disasters pp. 170-175

Michał Brzeziński