Journal of Applied Econometrics

Cover image for Vol. 29 Issue 5

Edited By: M. Hashem Pesaran

Impact Factor: 1.867

ISI Journal Citation Reports © Ranking: 2012: 7/45 (Social Sciences Mathematical Methods); 56/333 (Economics)

Online ISSN: 1099-1255

Virtual Issues


Virtual Issues from Journal of Applied Econometrics

Celebrating 25 years of the Journal of Applied Econometrics,

Published: 07 Dec 2009

Introduction: To celebrate the 25th anniversary of Journal of Applied Econometrics we have compiled a selection of highlights from the last 25 years. The articles included in this virtual issue include some of the most downloaded and most cited articles during the JAE's history, as well as articles awarded the Richard Stone Prize and a selection written by the Distinguished Authors

Annual miles drive used car prices
Maxim Engers, Monica Hartmann, Steven Stern


Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective
Nathan S. Balke, Mark E. Wohar


Does the option market produce superior forecasts of noise-corrected volatility measures?
Gael M. Martin, Andrew Reidy, Jill Wright


Efficiency and productivity of the US banking industry, 1998-2005: evidence from the Fourier cost function satisfying global regularity conditions
Guohua Feng, Apostolos Serletis


Growth, technological interdependence and spatial externalities: theory and evidence
Cem Ertur, Wilfried Koch


A discrete-choice model with social interactions: with an application to high school teen behavior
Adriaan R. Soetevent, Peter Kooreman


Heterogeneity and cross section dependence in panel data models: theory and applications introduction
Badi H. Baltagi, M. Hashem Pesaran


A simple panel unit root test in the presence of cross-section dependence
M. Hashem Pesaran


Panel unit root tests and spatial dependence
Badi H. Baltagi, Georges Bresson, Alain Pirotte


Exploring the international linkages of the euro area: a global VAR analysis
Stephane Dees, Filippo di Mauro, M. Hashem Pesaran, L. Vanessa Smith


Bayesian analysis of the two-part model with endogeneity: application to health care expenditure
Partha Deb, Murat K. Munkin, Pravin K. Trivedi


Estimating an economic model of crime using panel data from North Carolina
Badi H. Baltagi


Multivariate GARCH models: a survey
Luc Bauwens, Sébastien Laurent, Jeroen V. K. Rombouts


A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Peter R. Hansen, Asger Lunde


Estimating dynamic equilibrium economies: linear versus nonlinear likelihood
Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez


Semiparametric Bayesian inference in multiple equation models
Gary Koop, Dale J. Poirier, Justin Tobias


Counterfactual decomposition of changes in wage distributions using quantile regression
José A. F. Machado, José Mata


Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity
Jeffrey M. Wooldridge


Making inferences about the polarization, welfare and poverty of nations: a study of 101 countries 1970-1995
Gordon Anderson


On Markov error-correction models, with an application to stock prices and dividends
Zacharias Psaradakis, Martin Sola, Fabio Spagnolo


Multivariate GARCH models: software choice and estimation issues
Chris Brooks, Simon P. Burke, Gita Persand


Does peer ability affect student achievement?
Eric A. Hanushek, John F. Kain, Jacob M. Markman, Steven G. Rivkin


Evaluating interval forecasts of high-frequency financial data
Michael P. Clements, Nick Taylor


Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model
Philippe J. Deschamps


Computation and analysis of multiple structural change models
Jushan Bai, Pierre Perron


A simple framework for analysing bull and bear markets
Adrian R. Pagan, Kirill A. Sossounov


Some comments on risk
Clive W. J. Granger


Labour market institutions and employment in France
Guy Laroque, Bernard Salanié


Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
Alex Maynard, Peter C. B. Phillips


Non-linear error correction and the UK demand for broad money, 1878-1993
Timo Teräsvirta, Ann-Charlotte Eliasson


Bounds testing approaches to the analysis of level relationships
M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith


Measuring the equilibrium effects of unemployment benefits dispersion
Aico Van Vuuren, Gerard J. Van Den Berg, Geert Ridder


Mixed MNL models for discrete response
Daniel McFadden, Kenneth Train


Gender, race, pay and promotion in the British nursing profession: estimation of a generalized ordered probit model
Stephen Pudney, Michael Shields


Asymptotically perfect and relative convergence of productivity
Bart Hobijn, Philip Hans Franses


Applied econometrics rankings: 1989-1995
Badi H. Baltagi


Detecting periodically collapsing bubbles: a Markov-switching unit root test
Stephen G. Hall, Zacharias Psaradakis, Martin Sola


The dynamics of changes in the female wage distribution in the USA: a quantile regression approach
Moshe Buchinsky


Econometric methods for fractional response variables with an application to 401(k) plan participation rates
Leslie E. Papke, Jeffrey M. Wooldridge


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