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September 2011, Volume 26, Issue 6
- 999-1022 Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging
by Francesco Audrino & Marcelo C. Medeiros - 1023-1040 Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness
by James Mitchell & Kenneth F. Wallis - 1041-1047 How different is Africa? A comment on Masanjala and Papageorgiou
by Jesus Crespo Cuaresma - 1048-1050 How to use interaction terms in BMA: Reply to Crespo Cuaresma's comment on Masanjala and Papageorgiou (2008)
by Chris Papageorgiou - 1051-1057 Reconciling the evidence of Card and Krueger (1994) and Neumark and Wascher (2000)
by Olli Ropponen
August 2011, Volume 26, Issue 5
- 715-734 Conditional Markov chain and its application in economic time series analysis
by Jushan Bai & Peng Wang - 735-761 Forecasting large datasets with Bayesian reduced rank multivariate models
by Andrea Carriero & George Kapetanios & Massimiliano Marcellino - 762-782 Simulation‐based tests of forward‐looking models under VAR learning dynamics
by Luca Fanelli & Giulio Palomba - 783-824 Non‐parametric bounds on quantiles under monotonicity assumptions: with an application to the Italian education returns
by Pamela Giustinelli - 825-853 A comparison of treatment effects estimators using a structural model of AMI treatment choices and severity of illness information from hospital charts
by Ahmed Khwaja & Gabriel Picone & Martin Salm & Justin G. Trogdon - 854-871 Simulation estimation of two‐tiered dynamic panel Tobit models with an application to the labor supply of married women
by Sheng‐Kai Chang - 872-879 The frequency of visiting a doctor: Is the decision to go independent of the frequency?
by Hans Van Ophem - 880-885 Using gretl for Monte Carlo experiments
by Lee C. Adkins - 886-887 How does changing age distribution impact stock prices? a nonparametric approach
by Cheolbeom Park
June 2011, Volume 26, Issue 4
- 549-579 How does heterogeneity shape the socioeconomic gradient in health satisfaction?
by Andrew M. Jones & Stefanie Schurer - 580-612 Job and wage mobility with minimum wages and imperfect compliance
by Zvi Eckstein & Suqin Ge & Barbara Petrongolo - 613-640 Estimating the returns to schooling: a likelihood approach based on normal mixtures
by John K. Dagsvik & TorbjØrn HÆgeland & Arvid Raknerud - 641-668 Fertility and female employment dynamics in Europe: the effect of using alternative econometric modeling assumptions
by Pierre‐Carl Michaud & Konstantinos Tatsiramos - 669-707 An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
by Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier - 708-714 Biases in approximating log production
by Kai Sun & Daniel J. Henderson & Subal C. Kumbhakar
April 2011, Volume 26, Issue 3
- 351-351 Introduction: ‘Measurement and analysis of subjective expectations’
by Charles Bellemare & Charles F. Manski - 352-370 Measuring and interpreting expectations of equity returns
by Jeff Dominitz & Charles F. Manski - 371-392 When Kahneman meets Manski: Using dual systems of reasoning to interpret subjective expectations of equity returns
by Fabian Gouret & Guillaume Hollard - 393-415 Stock market crash and expectations of American households
by Péter Hudomiet & Gábor Kézdi & Robert J. Willis - 416-436 Stock market expectations of Dutch households
by Michael Hurd & Maarten Van Rooij & Joachim Winter - 437-453 Measuring the willingness to pay to avoid guilt: estimation using equilibrium and stated belief models
by Charles Bellemare & Alexander Sebald & Martin Strobel - 454-478 Measuring consumer uncertainty about future inflation
by Wändi Bruine De Bruin & Charles F. Manski & Giorgio Topa & Wilbert van der Klaauw - 479-497 Eliciting probabilistic expectations with visual aids in developing countries: how sensitive are answers to variations in elicitation design?
by Adeline Delavande & Xavier Giné & David McKenzie - 498-519 Individuals' uncertainty about future social security benefits and portfolio choice
by Adeline Delavande & Susann Rohwedder - 520-544 Can subjective expectations data be used in choice models? evidence on cognitive biases
by Basit Zafar - 545-546 Journal of Applied Econometrics distinguished authors
by M. Hashem Pesaran
March 2011, Volume 26, Issue 2
- 173-192 Default estimation, correlated defaults, and expert information
by Nicholas M. Kiefer - 193-212 Assessing and valuing the nonlinear structure of hedge fund returns
by Antonio Diez De Los Rios & René Garcia - 213-231 Measuring the diffusion of housing prices across space and over time
by Ryan R. Brady - 232-269 The response of prices, sales, and output to temporary changes in demand
by Adam Copeland & George Hall - 270-297 Stochastic error specification in primal and dual production systems
by Subal C. Kumbhakar & Efthymios G. Tsionas - 298-321 Regime shifts in stock–flow I(2)–I(1) systems: the case of US fiscal sustainability
by Vanessa Berenguer‐Rico & Josep Lluís Carrion‐i‐Silvestre - 322-343 Intertemporal consumption choices, transaction costs and limited participation in financial markets: reconciling data and theory
by Orazio P. Attanasio & Monica Paiella - 344-349 npRmpi: A package for parallel distributed kernel estimation in R
by Anson T. Y. Ho & Kim P. Huynh & David T. Jacho‐Chávez
January/February 2011, Volume 26, Issue 1
- 1-29 Hierarchical Markov normal mixture models with applications to financial asset returns
by John Geweke & Gianni Amisano - 30-55 Default priors and predictive performance in Bayesian model averaging, with application to growth determinants
by Theo S. Eicher & Chris Papageorgiou & Adrian E. Raftery - 56-88 A new poolability test for cointegrated panels
by Joakim Westerlund & Wolfgang Hess - 89-121 Dynamics of worker flows and vacancies: evidence from the sign restriction approach
by Shigeru Fujita - 122-150 An empirical model of mainframe computer investment
by Sung‐Jin Cho - 151-166 Estimating intergenerational schooling mobility on censored samples: consequences and remedies
by Monique De Haan & Erik Plug - 167-172 Mixed logit models: accuracy and software choice
by Jae Bong Chang & Jayson L. Lusk
January 2010, Volume 25, Issue 1
- 1-3 Introduction: ‘Model uncertainty and macroeconomics’
by Steven N. Durlauf & Shaun P. Vahey - 5-29 Averaging forecasts from VARs with uncertain instabilities
by Todd E. Clark & Michael W. McCracken - 31-54 International evidence on the efficacy of new‐Keynesian models of inflation persistence
by Oleg Korenok & Stanislav Radchenko & Norman R. Swanson - 55-70 Limited information estimation and evaluation of DSGE models
by Martin Fukač & Adrian Pagan - 71-92 Large Bayesian vector auto regressions
by Marta Bańbura & Domenico Giannone & Lucrezia Reichlin - 93-128 Monetary policy and uncertainty in an empirical small open‐economy model
by Alejandro Justiniano & Bruce Preston - 129-143 Welfare‐maximizing monetary policy under parameter uncertainty
by Rochelle M. Edge & Thomas Laubach & John C. Williams - 145-176 Empirical and policy performance of a forward‐looking monetary model
by Alexei Onatski & Noah Williams - 177-194 The Lucas critique and the stability of empirical models
by Thomas A. Lubik & Paolo Surico - 195-195 Journal of applied econometrics distinguished authors
by M. Hashem Pesaran
November 2009, Volume 24, Issue 7
- 1057-1093 Land of addicts? an empirical investigation of habit‐based asset pricing models
by Xiaohong Chen & Sydney C. Ludvigson - 1095-1116 Measuring state dependence in individual poverty histories when there is feedback to employment status and household composition
by Martin Biewen - 1117-1135 Estimating class‐specific parametric models under class uncertainty: local polynomial regression clustering in an hedonic analysis of wine markets
by Marco Costanigro & Ron C. Mittelhammer & Jill J. McCluskey - 1137-1152 Dichotomous‐choice contingent valuation with ‘dont know’ responses and misreporting
by Kelvin Balcombe & Iain Fraser - 1153-1185 Economic transition and growth
by Peter C. B. Phillips & Donggyu Sul - 1187-1206 Forecasting US output growth using leading indicators: an appraisal using MIDAS models
by Michael P. Clements & Ana Beatriz Galvão - 1207-1213 The political economy of financial reform: are Abiad and Mody right?
by Yongfu Huang
December 2006, Volume 21, Issue 8
- 1111-1134 Inter‐state dynamics of invention activities, 1930–2000
by Catherine Y. Co & John S. Landon‐Lane & Myeong‐Su Yun - 1135-1155 Small‐sample confidence intervals for multivariate impulse response functions at long horizons
by Elena Pesavento & Barbara Rossi - 1157-1168 Nonlinear dynamics of interest rate and inflation
by Markku Lanne - 1169-1198 Is there a risk–return trade‐off? Evidence from high‐frequency data
by Turan G. Bali & Lin Peng - 1199-1219 Modelling multi‐period inflation uncertainty using a panel of density forecasts
by Kajal Lahiri & Fushang Liu - 1221-1247 An empirical model of the multi‐unit, sequential, clock auction
by Stephen G. Donald & Harry J. Paarsch & Jacques Robert - 1249-1264 A re‐interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated
by Anindya Banerjee & Paul Mizen - 1265-1293 Intergenerational mobility and sample selection in short panels
by Marco Francesconi & Cheti Nicoletti - 1295-1326 Identification and estimation of bounds on school performance measures: a nonparametric analysis of a mixture model with verification
by Jeff Dominitz & Robert P. Sherman
November 2006, Volume 21, Issue 7
- 897-917 Cannabis, cocaine and jobs
by Jan C. van Ours - 919-934 The costs of motherhood: an analysis using matching estimators
by Marianne Simonsen & Lars Skipper - 935-953 Health insurance and retirement of married couples
by David M. Blau & Donna B. Gilleskie - 955-980 A dynamic model of contraceptive choice of Spanish couples
by Jesús M. Carro & Pedro Mira - 981-998 Age–period–cohort decomposition of aggregate data: an application to US and Japanese household saving rates
by Kosei Fukuda - 999-1018 The effect of household characteristics on living standards in South Africa 1993–1998: a quantile regression analysis with sample attrition
by Pushkar Maitra & Farshid Vahid - 1019-1038 The Engel curve for alcohol and the rank of demand systems
by Takashi Unayama - 1039-1079 The welfare effects of restricted hospital choice in the US medical care market
by Katherine Ho - 1081-1099 Bayesian analysis of the two‐part model with endogeneity: application to health care expenditure
by Partha Deb & Murat K. Munkin & Pravin K. Trivedi - 1101-1102 Convergence of productivity: a comment
by Zijun Wang - 1103-1107 Teaching undergraduate econometrics with GRETL
by J. Wilson Mixon Jr & Ryan J. Smith
September 2006, Volume 21, Issue 6
- 683-702 A small monetary system for the euro area based on German data
by Ralf Brüggemann & Helmut Lütkepohl - 703-725 How quickly do forecasters incorporate news? Evidence from cross‐country surveys
by Gultekin Isiklar & Kajal Lahiri & Prakash Loungani - 727-744 The emerging market crisis and stock market linkages: further evidence
by Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang - 745-779 Estimation and comparison of treasury auction formats when bidders are asymmetric
by Olivier Armantier & Erwann SbaÏ - 781-802 Semi‐parametric estimation of consumption‐based equivalence scales: the case of Germany
by Ralf A. Wilke - 803-826 Sectoral labour supply, choice restrictions and functional form
by John K. Dagsvik & Steinar StrØm - 827-833 The case against JIVE
by Russell Davidson & James G. MacKinnon - 835-838 Comment on ‘The case against JIVE’
by Daniel A. Ackerberg & Paul J. Devereux - 839-841 The case against JIVE: a comment
by Sören Blomquist & Matz Dahlberg - 843-844 Reply to Ackerberg and Devereux and Blomquist and Dahlberg on ‘The case against JIVE’
by Russell Davidson & James G. MacKinnon - 845-860 Wealth dynamics: reducing noise in panel data
by Daniel H. Hill - 861-878 How do respondents process stated choice experiments? Attribute consideration under varying information load
by David A. Hensher - 879-891 Assessing the effects of measurement errors on the estimation of production functions
by Carmine Ornaghi - 893-896 Calculus attainment and grades received in intermediate economic theory
by Mingliang Li & Justin L. Tobias
July 2006, Volume 21, Issue 5
- 549-562 Deriving target selection rules from endogenously selected samples
by Bas Donkers & Richard Paap & Jedid‐Jah Jonker & Philip Hans Franses - 563-587 Disaggregate evidence on the persistence of consumer price inflation
by Todd E. Clark - 589-604 A nonparametric measure of convergence towards purchasing power parity
by Mototsugu Shintani - 605-628 Empirical evidence of income dynamics across EU regions
by Maria Grazia Pittau & Roberto Zelli - 629-639 Estimates of semiparametric equivalence scales
by Thanasis Stengos & Yiguo Sun & Dianqin Wang - 641-653 Modelling firm‐size distribution using Box–Cox heteroscedastic regression
by Z. L. Yang & Y. K. Tse - 655-668 Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
by Ivan Paya & David A. Peel - 669-676 Inference in dynamic stochastic frontier models
by Efthymios G. Tsionas - 677-682 A review of TESTU01
by B. D. McCullough
May 2006, Volume 21, Issue 4
- 409-417 Generalized long memory processes, failure of cointegration tests and exchange rate dynamics
by Aaron D. Smallwood & Stefan C. Norrbin - 419-438 Tests of seasonal integration and cointegration in multivariate unobserved component models
by Fabio Busetti - 439-462 A joint model for the term structure of interest rates and the macroeconomy
by Hans Dewachter & Marco Lyrio & Konstantijn Maes - 463-487 Structural break threshold VARs for predicting US recessions using the spread
by Ana Beatriz C. Galvão - 489-519 Estimating the effect of smoking on birth outcomes using a matched panel data approach
by Jason Abrevaya - 521-542 Permanent vs transitory components and economic fundamentals
by Anthony Garratt & Donald Robertson & Stephen Wright - 543-547 Estimating an economic model of crime using panel data from North Carolina
by Badi H. Baltagi
April 2006, Volume 21, Issue 3
- 275-305 How do changes in monetary policy affect bank lending? An analysis of Austrian bank data
by Sylvia Frühwirth‐Schnatter & Sylvia Kaufmann - 307-336 Normal mixture GARCH(1,1): applications to exchange rate modelling
by Carol Alexander & Emese Lazar - 337-344 Magazine prices revisited
by Jonathan L. Willis - 345-369 Estimating and predicting multivariate volatility thresholds in global stock markets
by Francesco Audrino & Fabio Trojani - 371-386 Intertemporal pricing and price discrimination: a semiparametric hedonic analysis of the personal computer market
by T. Stengos & E. Zacharias - 387-407 Smoothed binary regression quantiles
by Gregory Kordas
March 2006, Volume 21, Issue 2
- 147-173 Estimation of multivariate models for time series of possibly different lengths
by Andrew J. Patton - 175-190 Timing structural change: a conditional probabilistic approach
by David N. DeJong & Roman Liesenfeld & Jean‐Francois Richard - 191-212 Bayes model averaging of cyclical decompositions in economic time series
by Richard Kleijn & Herman K. van Dijk - 213-226 A bivariate count data model for household tourism demand
by Jörgen Hellström - 227-244 Measuring welfare effects in models with random coefficients
by Erik Meijer & Jan Rouwendal - 245-272 Job separation in a non‐stationary search model: a structural estimation to evaluate alternative unemployment insurance systems
by J. Ignacio García‐Pérez
January 2006, Volume 21, Issue 1
- 1-22 An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
by Massimo Guidolin & Allan Timmermann - 23-53 High school completion and future youth unemployment: new evidence from High School and Beyond
by Mingliang Li - 55-77 The policy preferences of the US Federal Reserve
by Richard Dennis - 79-109 Multivariate GARCH models: a survey
by Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts - 111-132 Economic development and the return to human capital: a smooth coefficient semiparametric approach
by Theofanis P. Mamuneas & Andreas Savvides & Thanasis Stengos - 133-141 gnuplot 4.0: a portable interactive plotting utility
by Jeff Racine
May 2005, Volume 20, Issue 4
- 445-465 Counterfactual decomposition of changes in wage distributions using quantile regression
by José A. F. Machado & José Mata - 467-486 Discrete choice modelling in airline network management
by Joachim Grammig & Reinhard Hujer & Michael Scheidler - 487-507 Semiparametric estimation of lifetime equivalence scales
by Krishna Pendakur - 509-527 The effects of the gender of children on expenditure patterns in rural China: a semiparametric analysis
by Xiaodong Gong & Arthur van Soest & Ping Zhang - 529-548 Walk or wait? An empirical analysis of street crossing decisions
by Sanghamitra Das & Charles F. Manski & Mark D. Manuszak - 549-562 Analysis of job‐training effects on Korean women
by Myoung‐jae Lee & Sang‐jun Lee - 563-569 I didn't tell, and I won't tell: dynamic response error in the SIPP
by Christopher R. Bollinger & Martin H. David - 571-577 Structural time series modelling with STAMP 6.02
by Gilles Teyssière
March 2005, Volume 20, Issue 3
- 327-344 Valuation ratios and long‐horizon stock price predictability
by David E. Rapach & Mark E. Wohar - 345-376 Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
by Lucio Sarno & Giorgio Valente - 377-404 Parametric pricing of higher order moments in S&P500 options
by G. C. Lim & G. M. Martin & V. L. Martin - 405-422 Partially overlapping time series: a new model for volatility dynamics in commodity futures
by Aaron Smith - 423-437 Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
by Fabio Spagnolo & Zacharias Psaradakis & Martin Sola - 439-443 Replication of the results in ‘learning about heterogeneity in returns to schooling’
by Joshua C. C. Chan
2005, Volume 20, Issue 2
- 147-150 On the dynamics of business cycle analysis: editors' introduction
by Dick van Dijk & Herman K. van Dijk & Philip Hans Franses - 151-159 A suggested framework for classifying the modes of cycle research
by Don Harding & Adrian Pagan - 161-183 Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach
by Frank Smets & Raf Wouters - 185-207 What caused the early millennium slowdown? Evidence based on vector autoregressions
by Gert Peersman - 209-228 Comparing SVARs and SEMs: two models of the UK economy
by Jan P. A. M. Jacobs & Kenneth F. Wallis - 229-251 The transmission of US shocks to Latin America
by Fabio Canova - 253-274 How well do Markov switching models describe actual business cycles? The case of synchronization
by Penelope A. Smith & Peter M. Summers - 275-289 Convergence in the trends and cycles of Euro‐zone income
by Vasco M. Carvalho & Andrew C. Harvey - 291-309 Nonlinearity and the permanent effects of recessions
by Chang‐Jin Kim & James Morley & Jeremy Piger - 311-323 Business and default cycles for credit risk
by Siem Jan Koopman & André Lucas
January 2005, Volume 20, Issue 1
- 1-23 Duration dependence in the exit rate out of unemployment in Belgium. Is it true or spurious?
by Bart Cockx & Muriel Dejemeppe - 25-37 An algorithm to reduce the occupational space in gender segregation studies
by Neus Herranz & Ricardo Mora & Javier Ruiz‐Castillo - 39-54 Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity
by Jeffrey M. Wooldridge - 55-77 Robust inference concerning recent trends in US environmental quality
by Esfandiar Maasoumi & Daniel L. Millimet - 79-98 Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity
by Robert Sollis - 99-121 Monitoring structural change in dynamic econometric models
by Achim Zeileis & Friedrich Leisch & Christian Kleiber & Kurt Hornik - 123-130 A review of recent books on credit risk
by Til Schuermann - 131-139 Bridging the gap between Ox and Gauss using OxGauss
by Sébastien Laurent & Jean‐Pierre Urbain
December 2002, Volume 17, Issue 6
- 617-639 Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
by Douglas J. Hodgson & Oliver Linton & Keith Vorkink - 641-666 Divergence in alternative Hicksian welfare measures: the case of revealed preference for public amenities
by Sudip Chattopadhyay - 667-689 The stochastic volatility in mean model: empirical evidence from international stock markets
by Siem Jan Koopman & Eugenie Hol Uspensky - 691-699 How to compute the BDS test: a software comparison
by Jorge Belaire‐Franch & Dulce Contreras - 701-704 Stated choice methods: analysis and application, Jordan J. Louviere, David A. Hensher and Joffre D. Swait, Cambridge University Press, ISBN: 0‐521‐78830‐7
by Wiebke Kuklys
May 1999, Volume 14, Issue 3
- 209-232 Estimation in large and disaggregated demand systems: an estimator for conditionally linear systems
by Richard Blundell & Jean Marc Robin - 233-252 The error structure of time series cross‐section hedonic models with sporadic event timing and serial correlation
by Gregory S. Amacher & Daniel Hellerstein - 253-272 Testing the significance of income distribution changes over the 1980s business cycle: a cross‐national comparison
by Richard V. Burkhauser & Amy Crews Cutts & Mary C. Daly & Stephen P. Jenkins - 273-291 Common cycles in seasonal non‐stationary time series
by Gianluca Cubadda - 293-308 Testing the random walk hypothesis for real exchange rates
by In Choi - 309-318 Testing for a unit root in the volatility of asset returns
by Jonathan H. Wright - 319-329 R: yet another econometric programming environment
by Francisco Cribari‐Neto & Spyros G. Zarkos
January 1986, Volume 1, Issue 1
- 1-4 Editorial statement
by M. Hashem Pesaran - 5-28 Nobel memorial lecture 1984. The accounts of society
by Richard Stone - 29-53 Econometric models based on count data. Comparisons and applications of some estimators and tests
by A. Colin Cameron & Pravin K. Trivedi - 55-80 Selection criteria for a microeconometric model of labour supply
by Richard Blundell & Costas Meghir - 81-93 On estimating the effects of peak demand pricing
by Michael R. Veall - 95-108 An empirical analysis of self‐employment in the U.K
by Hedley Rees & Anup Shah