Journal of Applied Econometrics

Cover image for Vol. 29 Issue 6

Edited By: M. Hashem Pesaran

Impact Factor: 1.562

ISI Journal Citation Reports © Ranking: 2013: 12/45 (Social Sciences Mathematical Methods); 70/332 (Economics)

Online ISSN: 1099-1255

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JOURNAL OF APPLIED ECONOMETRICS DISTINGUISHED AUTHORS

The Journal of Applied Econometrics is pleased to welcome the following as Distinguished Authors in 2012:

Professor Denise R. Osborn
University of Manchester

Denise R. Osborn has published the following articles in the Journal of Applied Econometrics:
1. “Seasonality and habit persistence in a life cycle model of consumption” by Denise R. Osborn, JAE, 1988, Vol. 3, pp. 255-266
2. “Business cycle non-linearities in UK consumption and production” by Nadir Öcal and Denise R. Osborn, JAE, 2000, Vol. 15, pp. 27–43
3. “Nonlinearity in the Fed's monetary policy rule” by Dong Heon Kim, Denise R. Osborn and Marianne Sensier, JAE, 2005, Vol. 20, pp. 621-639
4. “The effect of seasonal adjustment on the properties of business cycle regimes” by Antonio Matas-Mir, Denise R. Osborn and Marco J. Lombardi, JAE, 2008, Vol. 23, pp. 257-278
5. “Weighted smooth transition regressions” by Ralf Becker and Denise R. Osborn, JAE, 2012, Vol. 27, pp. 795-811

Professor Richard Paap
Econometric Institute, Erasmus University Rotterdam

Richard Paap has published the following articles in the Journal of Applied Econometrics:
1. “A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables” by Richard Paap and Philip Hans Franses, JAE, 2000, Vol. 15, pp. 717–744
2. “Censored latent effects autoregression, with an application to US unemployment” by Philip Hans Franses and Richard Paap, JAE, 2002, Vol. 17, pp. 347–366
3. “Modelling and forecasting level shifts in absolute returns” by Philip Hans Franses, Marco Van Der Leij and Richard Paap, JAE, 2002, Vol. 17, pp. 601–616
4. “Deriving target selection rules from endogenously selected samples” by Bas Donkers, Richard Paap, Jedid-Jah Jonker and Philip Hans Franses, JAE, 2006, Vol. 21, pp. 549-562
5. “Modeling category-level purchase timing with brand-level marketing variables” by Dennis Fok and Richard Paap, JAE, 2009, Vol. 24, pp. 469–489
6. “A rank-ordered logit model with unobserved heterogeneity in ranking capabilities” by Dennis Fok, Richard Paap and Bram Van Dijk, JAE, 2012, Vol. 27, pp. 831–846

For more information about the prize and to read a selection of free articles by previous winners, please visit the JAE Distinguished Authors page



JOURNAL OF APPLIED ECONOMETRICS DISSERTATION PRIZE

The Journal of Applied Econometrics wishes to draw your attention to its Dissertation Prize, launched in 2002, and invites submission of nominations. The Prize is open to PhD students in economics writing a dissertation with a substantive empirical application. Students who are still working on their dissertation, or who complete their dissertation in the period September 2012 – August 2013, qualify as suitable candidates. The empirical application may be in any field, such as labour economics, monetary economics, empirical finance, business cycle, international trade, public economics, and applied topics in the field of microeconomics.

Nominations must be submitted by 15 July 2013, and must include a draft dissertation chapter or other paper taken from the dissertation, and two covering letters: one from a faculty member with knowledge of the dissertation work, and one from the student. Nominations should be sent to the JAE Editorial Office, Department of Economics, University of Southern California, 3620 S. Vermont Avenue, KAP 300, Los Angeles, CA 90089-0253, USA, or by e-mail to econjae@usc.edu.

In the evaluation of nominations, the emphasis will be on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the nominated chapter or paper will be stressed. Clear expression and good use of English are important.

Successful applicants will be selected and notified by 30 September 2013 and will receive a prize of $2500 each for research support. It is a condition of the prize that the Journal of Applied Econometrics is given first refusal to publish the dissertation supported by the award.

M. Hashem Pesaran, Editor



THE RICHARD STONE PRIZE IN APPLIED ECONOMETRICS

It is my pleasure to announce the winner of the eleventh Richard Stone Prize in Applied Econometrics, selected by the Editorial Board of the Journal of Applied Econometrics from the papers published in 2010 and 2011 (Volumes 25 and 26).

The Prize was established in December 1991 and is awarded biennially for the best paper with substantive econometric application that has been published in the preceding two volumes of the JAE. Survey papers, special lectures, and papers published by co-editors (jointly or singly) are excluded from consideration. The value of the Prize is $2000.

The Prize in 2012 has been awarded jointly to:

Professor Neil Shephard
University of Oxford

and

Professor Kevin Sheppard
University of Oxford

for their paper

Realising the Future: Forecasting with High-Frequency-Based Volatility (HEAVY) Models

which was published in 2010 (Volume 25, Number 2)

AND

Professor Julien Prat
Institute for Economic Analysis, Barcelona

for his paper

The Rate of Learning-by-Doing: Estimates from a Search-Matching Model

which was published in 2010 (Volume 25, Number 6)

To read the previous prize-winning articles please visit the Richard Stone Prize page

M. Hashem Pesaran, Editor



EXTENSION OF THE REPLICATION SECTION’S COVERAGE

The JAE Replication Section, introduced in January 2003 under the editorship of Badi H. Baltagi, was initially devoted exclusively to the issue of replication of empirical results published in papers of the Journal of Applied Econometrics.

Given the encouraging response that the JAE has received, we have now decided to extend the coverage of the section. We are now inviting submissions of replication of empirical results that have been published in the following additional journals:

  • Econometrica
  • American Economic Review
  • Journal of Political Economy
  • Quarterly Journal of Economics
  • Review of Economics and Statistics
  • Review of Economic Studies
  • Journal of Econometrics
  • Journal of Business and Economic Statistics
  • Economic Journal

Replicability is an important part of every science, although what is meant by replication varies quite widely across different disciplines. At JAE we already require authors to provide their data sets and any specialized computer programs as a precondition for publication, with the aim of facilitating the replication of results that we publish. We are now proposing to take the next natural step of providing an outlet and opportunity for researchers to report on successful as well as unsuccessful replications. We also hope that this will encourage students and teachers of applied econometrics to replicate the published work in the classroom.

There are two aspects to replication of results published in JAE:

  • Replication in a narrow sense: This would involve checking the submitted data against the primary sources (when applicable) for consistency and accuracy, checking the validity of computations either directly or by carrying out the estimation (including the computation of standard errors) using other computer packages.

  • Replication in a wide sense: This assumes that replication in the narrow sense has been successful, but asks if the substantive empirical finding of the paper can be replicated using data from other periods, countries, regions, or other entities as appropriate. Replicators are required to submit their output, preferably using different software from that used by the original article, as well as a short write up of their results. In cases where the results are not replicable, the authors will be given the opportunity to review the submission.

Electronic submissions of replications can be made online, as an Adobe PDF file, at the JAE online submission page. Further information on instructions to authors can be found at http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1099-1255/homepage/ForAuthors.html.

Read a recent replication free: GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009) by Helmut Farbmacher

M. Hashem Pesaran, Editor

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