Table of contents for issues of Journal of Applied Econometrics

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Volume 1, Number 1, January, 1986
Volume 1, Number 2, April, 1986
Volume 1, Number 3, June, 1986
Volume 1, Number 4, October, 1986
Volume 2, Number 1, January, 1987
Volume 2, Number 2, April, 1987
Volume 2, Number 3, July, 1987
Volume 2, Number 4, October, 1987
Volume 3, Number 1, January, 1988
Volume 3, Number 2, April, 1988
Volume 3, Number 3, July / September, 1988
Volume 3, Number 4, October / December, 1988
Volume 4, Number 1, January / March, 1989
Volume 4, Number 2, April / June, 1989
Volume 4, Number 3, July / September, 1989
Volume 4, Number 4, October / December, 1989
Volume 4, Number S1, December, 1989
Volume 5, Number 1, January / March, 1990
Volume 5, Number 2, April / June, 1990
Volume 5, Number 3, July / September, 1990
Volume 5, Number 4, September / December, 1990
Volume 6, Number 1, January / March, 1991
Volume 6, Number 2, April / June, 1991
Volume 6, Number 3, July / September, 1991
Volume 6, Number 4, October / December, 1991
Volume 7, Number 1, January / March, 1992
Volume 7, Number 2, April / June, 1992
Volume 7, Number 3, July / September, 1992
Volume 7, Number 4, October / December, 1992
Volume 7, Number S1, December, 1992
Volume 8, Number 1, January / March, 1993
Volume 8, Number 2, April / June, 1993
Volume 8, Number 3, July / September, 1993
Volume 8, Number 4, October / December, 1993
Volume 8, Number S1, December, 1993
Volume 9, Number 1, January / March, 1994
Volume 9, Number 2, April / June, 1994
Volume 9, Number 3, July / September, 1994
Volume 9, Number 4, October / December, 1994
Volume 9, Number S1, December, 1994
Volume 10, Number 1, January / March, 1995
Volume 10, Number 2, April / June, 1995
Volume 10, Number 3, July / September, 1995
Volume 10, Number 4, October / December, 1995
Volume 10, Number S1, December, 1995
Volume 11, Number 1, January, 1996
Volume 11, Number 2, March, 1996
Volume 11, Number 3, May, 1996
Volume 11, Number 4, July, 1996
Volume 11, Number 5, September, 1996
Volume 11, Number 6, November, 1996
Volume 12, Number 1, January, 1997
Volume 12, Number 2, March, 1997
Volume 12, Number 3, May, 1997
Volume 12, Number 4, July, 1997
Volume 12, Number 5, September / October, 1997
Volume 12, Number 6, November / December, 1997
Volume 13, Number 1, January / February, 1998
Volume 13, Number 2, March / April, 1998
Volume 13, Number 3, May / June, 1998
Volume 13, Number 4, July / August, 1998
Volume 13, Number 5, September / October, 1998
Volume 13, Number 6, November / December, 1998
Volume 14, Number 1, January / February, 1999
Volume 14, Number 2, March / April, 1999
Volume 14, Number 3, May / June, 1999
Volume 14, Number 4, July / August, 1999
Volume 14, Number 5, September / October, 1999
Volume 14, Number 6, November / December, 1999
Volume 15, Number 1, January / February, 2000
Volume 15, Number 2, March / April, 2000
Volume 15, Number 3, May / June, 2000
Volume 15, Number 4, July / August, 2000
Volume 15, Number 5, September / October, 2000
Volume 15, Number 6, November / December, 2000
Volume 16, Number 1, January / February, 2001
Volume 16, Number 2, March / April, 2001
Volume 16, Number 3, May / June, 2001
Volume 16, Number 4, July / August, 2001
Volume 16, Number 5, September / October, 2001
Volume 16, Number 6, November / December, 2001
Volume 17, Number 1, January / February, 2002
Volume 17, Number 2, March / April, 2002
Volume 17, Number 3, May / June, 2002
Volume 17, Number 4, July / August, 2002
Volume 17, Number 5, September / October, 2002
Volume 17, Number 6, December, 2002
Volume 18, Number 1, January / February, 2003
Volume 18, Number 2, March / April, 2003
Volume 18, Number 3, May / June, 2003
Volume 18, Number 4, July / August, 2003
Volume 18, Number 5, September / October, 2003
Volume 18, Number 6, November / December, 2003
Volume 19, Number 1, January / February, 2004
Volume 19, Number 2, March / April, 2004
Volume 19, Number 3, May / June, 2004
Volume 19, Number 4, July / August, 2004
Volume 19, Number 5, September / October, 2004
Volume 19, Number 6, 2004
Volume 19, Number 7, November / December, 2004
Volume 20, Number 1, January / February, 2005
Volume 20, Number 2, 2005
Volume 20, Number 3, March / April, 2005
Volume 20, Number 4, May / June, 2005
Volume 20, Number 5, July / August, 2005
Volume 20, Number 6, September / October, 2005
Volume 20, Number 7, December, 2005
Volume 21, Number 1, January / February, 2006
Volume 21, Number 2, March, 2006
Volume 21, Number 3, April, 2006
Volume 21, Number 4, May / June, 2006
Volume 21, Number 5, July / August, 2006
Volume 21, Number 6, September / October, 2006
Volume 21, Number 7, November, 2006
Volume 21, Number 8, December, 2006
Volume 22, Number 1, January / February, 2007
Volume 22, Number 2, March, 2007
Volume 22, Number 3, April / May, 2007
Volume 22, Number 4, June / July, 2007
Volume 22, Number 5, August, 2007
Volume 22, Number 6, September / October, 2007
Volume 22, Number 7, December, 2007
Volume 23, Number 1, January / February, 2008
Volume 23, Number 2, March, 2008
Volume 23, Number 3, April, 2008
Volume 23, Number 4, June, 2008
Volume 23, Number 5, August, 2008
Volume 23, Number 6, September / October, 2008
Volume 23, Number 7, November / December, 2008
Volume 24, Number 1, January / February, 2009
Volume 24, Number 2, March, 2009
Volume 24, Number 3, April / May, 2009
Volume 24, Number 4, June / July, 2009
Volume 24, Number 5, August, 2009
Volume 24, Number 6, September / October, 2009
Volume 24, Number 7, November / December, 2009
Volume 25, Number 1, January / February, 2010
Volume 25, Number 2, March, 2010
Volume 25, Number 3, April / May, 2010
Volume 25, Number 4, June / July, 2010
Volume 25, Number 5, August, 2010
Volume 25, Number 6, September / October, 2010
Volume 25, Number 7, November / December, 2010
Volume 26, Number 1, January / February, 2011
Volume 26, Number 2, March, 2011
Volume 26, Number 3, April / May, 2011
Volume 26, Number 4, June / July, 2011
Volume 26, Number 5, August, 2011
Volume 26, Number 6, September / October, 2011
Volume 26, Number 7, November / December, 2011
Volume 27, Number 1, January / February, 2012
Volume 27, Number 2, March, 2012
Volume 27, Number 3, April / May, 2012
Volume 27, Number 4, June / July, 2012
Volume 27, Number 5, August, 2012
Volume 27, Number 6, September / October, 2012
Volume 27, Number 7, November / December, 2012
Volume 28, Number 1, January / February, 2013
Volume 28, Number 2, March, 2013
Volume 28, Number 3, April / May, 2013
Volume 28, Number 4, June / July, 2013
Volume 28, Number 5, August, 2013
Volume 28, Number 6, September / October, 2013
Volume 28, Number 7, November / December, 2013
Volume 29, Number 1, January / February, 2014
Volume 29, Number 2, March, 2014
Volume 29, Number 3, April / May, 2014
Volume 29, Number 4, June / July, 2014
Volume 29, Number 5, August, 2014
Volume 29, Number 6, September / October, 2014
Volume 29, Number 7, November / December, 2014
Volume 30, Number 1, January / February, 2015
Volume 30, Number 2, March, 2015
Volume 30, Number 3, April / May, 2015
Volume 30, Number 4, June / July, 2015
Volume 30, Number 5, August, 2015
Volume 30, Number 6, September / October, 2015
Volume 30, Number 7, November / December, 2015
Volume 31, Number 1, January / February, 2016
Volume 31, Number 2, March, 2016
Volume 31, Number 3, April / May, 2016
Volume 31, Number 4, June / July, 2016
Volume 31, Number 5, August, 2016
Volume 31, Number 6, September / October, 2016
Volume 31, Number 7, November / December, 2016
Volume 32, Number 1, January / February, 2017
Volume 32, Number 2, March, 2017
Volume 32, Number 3, April / May, 2017
Volume 32, Number 4, June / July, 2017
Volume 32, Number 5, August, 2017
Volume 32, Number 6, September / October, 2017
Volume 32, Number 7, November / December, 2017
Volume 33, Number 1, January / February, 2018
Volume 33, Number 2, March, 2018
Volume 33, Number 3, April / May, 2018
Volume 33, Number 4, June / July, 2018
Volume 33, Number 5, August, 2018
Volume 33, Number 6, September / October, 2018
Volume 33, Number 7, November / December, 2018
Volume 34, Number 1, January / February, 2019
Volume 34, Number 2, March, 2019
Volume 34, Number 3, April / May, 2019
Volume 34, Number 4, June / July, 2019
Volume 34, Number 5, August, 2019
Volume 34, Number 6, September / October, 2019
Volume 34, Number 7, November / December, 2019
Volume 35, Number 1, January / February, 2020
Volume 35, Number 2, March, 2020
Volume 35, Number 3, April / May, 2020
Volume 35, Number 4, June / July, 2020
Volume 35, Number 5, August, 2020
Volume 35, Number 6, September / October, 2020
Volume 35, Number 7, November / December, 2020
Volume 36, Number 1, January / February, 2021
Volume 36, Number 2, March, 2021
Volume 36, Number 3, April / May, 2021
Volume 36, Number 4, June / July, 2021
Volume 36, Number 5, August, 2021
Volume 36, Number 6, September / October, 2021
Volume 36, Number 7, November / December, 2021
Volume 37, Number 1, January / February, 2022
Volume 37, Number 2, March, 2022
Volume 37, Number 3, April / May, 2022
Volume 37, Number 4, June / July, 2022
Volume 36, Number 7, June / July, 2022
Volume 37, Number 5, August, 2022
Volume 37, Number 6, September / October, 2022
Volume 37, Number 7, November / December, 2022
Volume 38, Number 1, January / February, 2023
Volume 38, Number 2, March, 2023
Volume 38, Number 3, April / May, 2023
Volume 38, Number 4, June / July, 2023
Volume 38, Number 5, August, 2023
Volume 38, Number 6, September / October, 2023


Journal of Applied Econometrics
Volume 1, Number 1, January, 1986

              M. Hashem Pesaran   Editorial statement  . . . . . . . . . . 1--4
                  Richard Stone   Nobel memorial lecture 1984. The
                                  accounts of society  . . . . . . . . . . 5--28
           A. Colin Cameron and   
              Pravin K. Trivedi   Econometric models based on count data.
                                  Comparisons and applications of some
                                  estimators and tests . . . . . . . . . . 29--53
           Richard Blundell and   
                  Costas Meghir   Selection criteria for a
                                  microeconometric model of labour supply  55--80
               Michael R. Veall   On estimating the effects of peak demand
                                  pricing  . . . . . . . . . . . . . . . . 81--93
                Hedley Rees and   
                      Anup Shah   An empirical analysis of self-employment
                                  in the U.K.  . . . . . . . . . . . . . . 95--108
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 1, Number 2, April, 1986

                      G. Ridder   An event history approach to the
                                  evaluation of training, recruitment and
                                  employment programmes  . . . . . . . . . 109--126
                    John Geweke   Exact inference in the inequality
                                  constrained normal linear regression
                                  model  . . . . . . . . . . . . . . . . . 127--141
                P. N. Smith and   
                  M. R. Wickens   An empirical investigation into the
                                  causes of failure of the monetary model
                                  of the exchange rate . . . . . . . . . . 143--162
                 S. G. Hall and   
             S. G. B. Henry and   
                    C. B. Johns   Forecasting with an econometric model:
                                  Some recent results using the national
                                  institute model  . . . . . . . . . . . . 163--183
           Camille Bronsard and   
           Lise Salvas-Bronsard   Commodity and asset demands with and
                                  without quantity constraints in the
                                  labour market  . . . . . . . . . . . . . 185--208
                      Anonymous   Calendar of events . . . . . . . . . . . 209--210
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 1, Number 3, June, 1986

             Matthew D. Shapiro   Capital utilization and capital
                                  accumulation: Theory and evidence  . . . 211--234
          Richard E. Quandt and   
                Harvey S. Rosen   Unemployment, disequilibrium and the
                                  short run Phillips curve: An econometric
                                  approach . . . . . . . . . . . . . . . . 235--253
              Keith Cuthbertson   The behaviour of U.K. export prices of
                                  manufactured goods 1970--1983  . . . . . 255--275
                   Michael Keen   Zero expenditures and the estimation of
                                  Engel curves . . . . . . . . . . . . . . 277--286
                 Baldev Raj and   
               Pierre L. Siklos   The role of fiscal policy in the St.
                                  Louis model: An evaluation and some new
                                  evidence . . . . . . . . . . . . . . . . 287--294
                      Anonymous   Calendar of events . . . . . . . . . . . 295--296
                      Anonymous   Call for paper: Journal of forecasting:
                                  Special issue on predicting saturation
                                  and logistic growth  . . . . . . . . . . 296--296
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 1, Number 4, October, 1986

               Simon Wren-Lewis   An econometric model of U.K.
                                  manufacturing employment using survey
                                  data on expected output  . . . . . . . . 297--316
               Anil K. Bera and   
              Srinivasan Kannan   An adjustment procedure for predicting
                                  systematic risk  . . . . . . . . . . . . 317--332
            Shinichiro Nakamura   A flexible dynamic model of multiproduct
                                  technology for the West German economy   333--344
             James McIntosh and   
           Stephen Satchell and   
                    Anjum Nasim   Differential mortality in Rural
                                  Bangladesh . . . . . . . . . . . . . . . 345--353
          Keith Cuthbertson and   
                 Mark P. Taylor   Monetary anticipation and the demand for
                                  money in the U.K.: Testing rationality
                                  in the shock-absorber hypothesis . . . . 355--365
                      Anonymous   Calender of Events . . . . . . . . . . . 366--367
                      Anonymous   Call for Papers  . . . . . . . . . . . . 368--368
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 2, Number 1, January, 1987

       Stephen J. Turnovsky and   
                  Mark E. Wohar   Alternative modes of deficit financing
                                  and endogenous monetary and fiscal
                                  policy in the U.S.A. 1923--1982  . . . . 1--25
          Scott E. Atkinson and   
              Thomas D. Crocker   A Bayesian approach to assessing the
                                  robustness of hedonic property value
                                  studies  . . . . . . . . . . . . . . . . 27--45
                     S. G. Hall   A forward looking model of the exchange
                                  rate . . . . . . . . . . . . . . . . . . 47--60
           Allan W. Gregory and   
               Michael R. Veall   Formulating Wald tests of the
                                  restrictions implied by the rational
                                  expectations hypothesis  . . . . . . . . 61--68
               S. F. Mahmud and   
                 A. L. Robb and   
                   W. M. Scarth   On estimating dynamic factor demands . . 69--75
                  P. K. Trivedi   Software reviews . . . . . . . . . . . . 77--77
                    R. P. Byron   Shazam: A review . . . . . . . . . . . . 79--82
                      Anonymous   Calender of events . . . . . . . . . . . 83--84
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 2, Number 2, April, 1987

                      Anonymous   Announcement . . . . . . . . . . . . . . i--i
             Paul L. Joskow and   
            Richard Schmalensee   The performance of coal-burning electric
                                  generating units in the United States:
                                  1960--1980 . . . . . . . . . . . . . . . 85--109
                    E. P. Davis   A stock-flow consistent
                                  macro-econometric model of the UK
                                  economy --- Part I . . . . . . . . . . . 111--132
               William R. Parke   Macroeconometric model comparison and
                                  evaluation techniques: A practical
                                  appraisal  . . . . . . . . . . . . . . . 133--144
       Claude Montmarquette and   
                      Luc Monty   An empirical model of a household's
                                  choice of activities . . . . . . . . . . 145--158
               Chris M. Alaouze   Empirical evidence on the sign of the
                                  slope of the hazard rate from
                                  unemployment from a fixed effects model  159--168
                      Anonymous   Calender of events . . . . . . . . . . . 169--170
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 2, Number 3, July, 1987

                      Anonymous   Announcement . . . . . . . . . . . . . . i--i
                N. F. R. Crafts   Cliometrics, 1971--1986: A survey  . . . 171--192
            Lauren J. Feinstone   Minute by minute: Efficiency, normality,
                                  and randomness in intra-daily asset
                                  prices . . . . . . . . . . . . . . . . . 193--214
           Arthur Van Soest and   
                 Peter Kooreman   A micro-econometric analysis of vacation
                                  behaviour  . . . . . . . . . . . . . . . 215--226
             David A. Kodde and   
                  Franz C. Palm   A parametric test of the negativity of
                                  the substitution matrix  . . . . . . . . 227--235
               Richard J. Smith   Testing for exogeneity in limited
                                  dependent variable models using a
                                  simplified likelihood ratio statistic    237--245
          Richard E. Quandt and   
                Harvey S. Rosen   Unemployment, disequilibrium and the
                                  short-run Phillips curve: Correction and
                                  extension  . . . . . . . . . . . . . . . 247--249
                    C. A. Melfi   Limdep: A review . . . . . . . . . . . . 251--255
                      Anonymous   Calender of events . . . . . . . . . . . 257--258
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 2, Number 4, October, 1987

                      Anonymous   Announcement . . . . . . . . . . . . . . i--i
                    E. P. Davis   A stock-flow consistent
                                  macro-econometric model of the UK
                                  economy --- Part II  . . . . . . . . . . 259--307
             Hali J. Edison and   
              Jan Tore Klovland   A quantitative reassessment of the
                                  purchasing power parity hypothesis:
                                  Evidence from Norway and the United
                                  Kingdom  . . . . . . . . . . . . . . . . 309--333
                   F. X. Browne   Sluggish quantity adjustment in a
                                  non-clearing market --- a disequilibrium
                                  econometric application to the loan
                                  market . . . . . . . . . . . . . . . . . 335--349
                      Anonymous   Calender of events . . . . . . . . . . . 351--352
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 3, Number 1, January, 1988

              Meghnad Desai and   
                Guglielmo Weber   A Keynesian macro-econometric model of
                                  the UK: 1955--1984 . . . . . . . . . . . 1--33
                 P. M. Robinson   Semiparametric econometrics: A survey    35--51
                   Rafi Melnick   Prices, wages, and import prices in
                                  Israel: 1970--1983 . . . . . . . . . . . 53--67
                C. A. Melfi and   
                   A. J. Rogers   A test for the existence of allocative
                                  inefficiency in firms  . . . . . . . . . 69--80
             Giancarlo Gandolfo   Announcement . . . . . . . . . . . . . . 81--81
             Giancarlo Gandolfo   Book Review: \booktitleSources of
                                  international comparative advantage:
                                  Theory and evidence. By E. E. Leamer.
                                  (Cambridge, Massachusetts: MIT Press,
                                  1984. Pp. xxi + 353. \$60.75 cloth;
                                  \$16.95 paper) . . . . . . . . . . . . . 83--85
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 3, Number 2, April, 1988

               Adrian Pagan and   
                     Aman Ullah   The econometric analysis of models with
                                  risk terms . . . . . . . . . . . . . . . 87--105
                  P. A. Geroski   In pursuit of monopoly power: Recent
                                  quantitative work in industrial:
                                  Economics  . . . . . . . . . . . . . . . 107--123
             Markku Rahiala and   
           Timo Teräsvirta   Formation of firms' production decisions
                                  in Finnish manufacturing industries  . . 125--137
                  Roger Koenker   Asymptotic theory and econometric
                                  practice . . . . . . . . . . . . . . . . 139--147
       Christopher Cornwell and   
                   Peter Rupert   Efficient estimation with panel data: An
                                  empirical comparison of instrumental
                                  variables estimators . . . . . . . . . . 149--155
          Andrew Hughes Hallett   Professor Chow's \booktitleEconometrics:
                                  A review . . . . . . . . . . . . . . . . 157--164
                  Ignazio Visco   Book Review: \booktitleAdvanced
                                  Econometric Methods. By Thomas B. Fomby,
                                  R. Carter Hill AND Stanley R. Johnson.
                                  (Springer Verlag, New York, Berlin,
                                  Heidelberg, Tokyo, 1984. ISBN
                                  0-387-90908-7. \$54.00. pp. xix + 624)}  165--168
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 3, Number 3, July / September, 1988

             Nicholas M. Kiefer   Employment contracts, job search theory,
                                  and labour turnover: Preliminary
                                  empirical: Results . . . . . . . . . . . 169--186
          Thomas H. McCurdy and   
                Ieuan G. Morgan   Testing the martingale hypothesis in
                                  deutsche mark futures with models
                                  specifying the form of
                                  heteroscedasticity . . . . . . . . . . . 187--202
              Michael D. Hughes   A stochastic frontier cost function for
                                  residential child care provision . . . . 203--214
             Jean Mercenier and   
                  Khalid Sekkat   Money stock targeting and money supply:
                                  An intertemporal optimization approach
                                  (with an application to Canada)  . . . . 215--228
                 Andrew M. Gill   Choice of employment status and the
                                  wages of employees and the
                                  self-employed: Some further evidence . . 229--234
              Pravin K. Trivedi   Software reviews: Statistical software
                                  tools (SST) version 1.1: A review  . . . 235--239
                  Ronald Bewley   Autobox: A review  . . . . . . . . . . . 240--244
                    K. J. White   Shazam: A response . . . . . . . . . . . 245--247
             Francesco Carlucci   Book Review: \booktitleEconometric
                                  Methods, third edition, By J. Johnston.
                                  (McGraw-Hill, New York, 1984, pp. vii +
                                  568, ISBN 0-07-032685, \$28.95)} . . . . 249--254
               Pierre Malgrange   Book Review: \booktitleStructural
                                  Sensitivity in Econometric Models, By E.
                                  Kuh, J. Neese and P. Hollinger. (John
                                  Wiley, New York, 1985, pp. ix + 324,
                                  ISBN 0-471-81930-1, cloth \$49.50)}  . . 249--254
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 3, Number 4, October / December, 1988

               Denise R. Osborn   Seasonality and habit persistence in a
                                  life cycle model of consumption  . . . . 255--266
                Marzio Galeotti   Tobin's marginal ` q ' and tests of the
                                  firm's dynamic equilibrium . . . . . . . 267--277
               Ray Yeutien Chou   Volatility persistence and stock
                                  valuations: Some empirical evidence
                                  using GARCH  . . . . . . . . . . . . . . 279--294
         James G. Mackinnon and   
              Ross D. Milbourne   Are price equations really money demand
                                  equations on their heads?  . . . . . . . 295--305
            Frederic S. Mishkin   The information in the term structure:
                                  Some further results . . . . . . . . . . 307--314
               Giulio Cifarelli   Book Review: \booktitleMeasurement error
                                  models, W. A. Fuller, John Wiley and
                                  Sons, New York, 1987. ISBN
                                  0-471-86187-1. \$44.95, pp. xxiii + 440} 315--317
           Neil R. Ericsson and   
                     K. N. Berk   Softwear reviews: A review of data-fit:
                                  An interactive econometric modelling
                                  package for IBM-compatible PCs: 1.
                                  Introduction and methodological overview 319--332
           Timo Teräsvirta   A review of PC-give: A statistical
                                  package for econometric modelling  . . . 333--340
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 4, Number 1, January / March, 1989

         Francis X. Diebold and   
                   Marc Nerlove   The dynamics of exchange rate
                                  volatility: A multivariate latent factor
                                  ARCH model . . . . . . . . . . . . . . . 1--21
                Andrew M. Jones   A double-hurdle model of cigarette
                                  consumption  . . . . . . . . . . . . . . 23--39
                Vanessa Fry and   
                Panos Pashardes   Constructing the true cost of living
                                  index from the Engel curves of the
                                  PIGLOG model . . . . . . . . . . . . . . 41--56
        Kwabena Gyimah-Brempong   Production of public safety: Are
                                  socioeconomic characteristics of local
                                  communities important factors? . . . . . 57--71
             Jean-Louis Brillet   Econometric modelling on microcomputers:
                                  A review of major software packages  . . 73--92
               Kenneth J. White   NAG Fortran Workstation Library: A
                                  review . . . . . . . . . . . . . . . . . 93--96
              Harald Sonnberger   Book Review: \booktitleRegression
                                  diagnostics: Identifying influential
                                  data and sources of collinearity, by D.
                                  A. Belsley, K. Kuh and R. E. Welsch.
                                  (John Wiley and Sons, New York, 1980,
                                  pp. xv + 292, ISBN 0-471-05856-4, cloth
                                  \$39.95)}  . . . . . . . . . . . . . . . 97--99
                   Carlo Milana   Book Review: \booktitleApplied demand
                                  analysis, by R. L. Thomas. (Longman,
                                  London: 1987, pp. viii + 104, ISBN
                                  0-582-29723-0. \pounds 5.95 (paper)) . . 100--102
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 4, Number 2, April / June, 1989

            N. F. R. Crafts and   
            S. J. Leybourne and   
                    T. C. Mills   The climacteric in Late Victorian
                                  Britain and France: A reappraisal of the
                                  evidence . . . . . . . . . . . . . . . . 103--117
              Charles Engel and   
           Anthony P. Rodrigues   Tests of international CAPM with
                                  time-varying covariances . . . . . . . . 119--138
                   Gary S. Shea   Ex-post rational price approximations
                                  and the empirical reliability of the
                                  present-value relation . . . . . . . . . 139--159
              Maria Luisa Petit   Fiscal and monetary policy
                                  co-ordination: A differential game
                                  approach . . . . . . . . . . . . . . . . 161--179
       Claude Montmarquette and   
            Sophie Mahseredjian   Does school matter for educational
                                  achievement? A two-way nested-error
                                  components analysis  . . . . . . . . . . 181--193
             Francis X. Diebold   Structural time series analysis and
                                  modelling package: A review  . . . . . . 195--204
                 Mark W. Watson   MTS: A review  . . . . . . . . . . . . . 205--206
          Andrew Hughes Hallett   Book Review: \booktitleAdvances in
                                  econometrics, Fifth World Congress of
                                  the Econometric Society, Volumes I and
                                  II. Edited by T. F. Bewley, Cambridge
                                  University Press, Cambridge and New
                                  York, 1988 (Econometric Society
                                  Monographs 13 and 14), ISBN
                                  0-521-34430-1 and 0-521-34552, \pounds
                                  27.50 per volume (hardcover), pp. viii +
                                  313 and viii + 259 . . . . . . . . . . . 207--209
            Giorgia Giovannetti   Book Review: \booktitleThe linear
                                  regression model under test, by W. Krämer
                                  and H. Sonnberger. Physica Verlag,
                                  Heidelberg, 1986, ISBN 3-7908-0356-1
                                  cloth, D.M. 98.00, pp. i--ix + 189 . . . 209--211
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 4, Number 3, July / September, 1989

                George W. Evans   Output and unemployment dynamics in the
                                  United States: 1950--1985  . . . . . . . 213--237
         Panikos O. Demetriades   The relationship between the level and
                                  variability of inflation: Theory and
                                  evidence . . . . . . . . . . . . . . . . 239--250
             James McIntosh and   
        Fabio Schiantarelli and   
                    William Low   A qualitative response analysis of UK
                                  firms' employment and output decisions   251--264
           Jeffrey I. Bernstein   An examination of the equilibrium
                                  specification and structure of
                                  production for Canadian
                                  telecommunications . . . . . . . . . . . 265--282
                       U. Kohli   Consistent estimation when the left-hand
                                  variable is exogenous over part of the
                                  sample period  . . . . . . . . . . . . . 283--293
                Dean Corbae and   
                   Sam Ouliaris   A random walk through the Gibson paradox 295--303
             Richard T. Baillie   Forecast master: A review  . . . . . . . 305--307
              Harald Sonnberger   Book Review: \booktitleRobust regression
                                  and outlier detection, P. J. Rousseeuw
                                  and A. M. Leroy. John Wiley and Sons,
                                  New York, 1987. ISBN 0-471-85233-3.
                                  cloth \pounds 34.50, pp. xiv + 329 . . . 309--311
                   Carlo Milana   Book Review: \booktitleThe Cambridge
                                  multisectoral dynamic model of the
                                  British economy, edited by T. Barker and
                                  W. Peterson, Cambridge University Press,
                                  Cambridge, UK, 1987. ISBN 0-521-33004-1,
                                  \pounds 35, pp. xxiv + 507 . . . . . . . 311--313
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 4, Number 4, October / December, 1989

                      Anonymous   Acknowledgement of referees  . . . . . . 315--315
            David S. Turner and   
          Kenneth F. Wallis and   
                John D. Whitley   Differences in the properties of
                                  large-scale macroeconometric models: The
                                  role of labour market specifications . . 317--344
                    R. P. Smith   Models of military expenditure . . . . . 345--359
                Choon-Geol Moon   A Monte Carlo comparison of
                                  semiparametric Tobit estimators  . . . . 361--382
               E. Greenberg and   
              W. A. Pollard and   
                   W. T. Alpert   Statistical properties of data
                                  stretching . . . . . . . . . . . . . . . 383--391
          Richard Goldstein and   
          Jennifer Anderson and   
                 Arlene Ash and   
                  Ben Craig and   
           David Harrington and   
                Marcello Pagano   Survival analysis software on MS/PC--DOS
                                  computers  . . . . . . . . . . . . . . . 393--414
           Peter C. B. Phillips   Book Review: \booktitleLectures on
                                  Advanced Econometric Theory, Denis
                                  Sargan (edited by Meghnad Desai). Basil
                                  Blackwell, Oxford, 1988. Price (cloth):
                                  \pounds 25, pp. xi + 176 . . . . . . . . 415--418
                   Serena Sordi   Book Review: \booktitleContributions of
                                  business cycle surveys to empirical
                                  economics (papers presented at the 18th
                                  CIRET Conference, Zurich 1987), edited
                                  by K. H. Oppenländer and G. Poser.
                                  (Avebury, Aldershot, England: 1988, ISBN
                                  0-566-05629-1, \pounds 45.00 hardbound),
                                  pp. xxxv + 669 . . . . . . . . . . . . . 418--421
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 4, Number S1, December, 1989

                Michael McAleer   Introduction . . . . . . . . . . . . . . S1--S3
               Edward E. Leamer   Planning, criticism, and revision  . . . S5--S27
               Adrian Pagan and   
                    Frank Vella   Diagnostic tests for models based on
                                  individual data: A survey  . . . . . . . S29--S59
           Joel L. Horowitz and   
              George R. Neumann   Specification testing in censored
                                  regression models: Parametric and
                                  semiparametric methods . . . . . . . . . S61--S86
                John Kennan and   
                  Robert Wilson   Strategic bargaining models and
                                  interpretation of strike data  . . . . . S87--S130
           Dennis J. Aigner and   
                  Khalifa Ghali   Self-selection in the residential
                                  electricity time-of-use pricing
                                  experiments  . . . . . . . . . . . . . . S131--S144
           C. W. J. Granger and   
                      T. H. Lee   Investigation of production, sales and
                                  inventory relationships using
                                  multicointegration and non-symmetric
                                  error correction models  . . . . . . . . S145--S159
                 John B. Taylor   Monetary policy and the stability of
                                  macroeconomic relationships  . . . . . . S161--S178
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 5, Number 1, January / March, 1990

                  Aaron Han and   
               Jerry A. Hausman   Flexible parametric estimation of
                                  duration and competing risk models . . . 1--28
               Ian Domowitz and   
                Craig S. Hakkio   Interpreting an error correction model:
                                  Partial adjustment, forward-looking
                                  behaviour, and dynamic international
                                  money demand . . . . . . . . . . . . . . 29--46
              Albert Jaeger and   
                Robert M. Kunst   Seasonal adjustment and measuring
                                  persistence in output  . . . . . . . . . 47--58
            James L. Seale, Jr.   Estimating stochastic frontier systems
                                  with unbalanced panel data: The case of
                                  floor tile manufactories in Egypt  . . . 59--74
                K. P. Kalirajan   On measuring economic efficiency . . . . 75--85
                    Hans Larsen   Software reviews. A review of RATS 3.0:
                                  Software for econometric modelling,
                                  forecasting, and simulation  . . . . . . 87--91
                      Anonymous   Book Review: \booktitleSensitivity
                                  analysis in linear regression, S.
                                  Chatterjee and A. S. Hadi. John Wiley
                                  and Sons, New York, 1988. ISBN
                                  0-471-82216-7, \$25.95 hardbound, pp.
                                  xiv + 315} . . . . . . . . . . . . . . . 93--96
                      Anonymous   Book Review: \booktitleEmpirical
                                  macroeconomics for interdependent
                                  economies, (two volumes). Edited by R.
                                  C. Bryant, D. W. Henderson, G. Holtham.
                                  Hooper and S. Symansky. (The Brookings
                                  Institution, Washington, DC, 1988. pp.
                                  xvii --- 342 and viii + 347, ISBN
                                  0-8157-1 140-9 and 0-8157-1 139-5
                                  (Supplemental Volume). \pounds 30.50 the
                                  set) . . . . . . . . . . . . . . . . . . 96--98
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 5, Number 2, April / June, 1990

               Whitney K. Newey   Semiparametric efficiency bounds . . . . 99--135
       Frederic P. Sterbenz and   
              Giorgio Calzolari   Alternative specifications of the error
                                  process in the stochastic simulation of
                                  econometric models . . . . . . . . . . . 137--150
                Rob Alessie and   
             Raymond Gradus and   
             Bertrand Melenberg   The problem of not observing small
                                  expenditures in a consumer expenditure
                                  survey . . . . . . . . . . . . . . . . . 151--166
               Geoffrey P. Meen   The measurement of rationing and the
                                  treatment of structural change in the UK
                                  mortgage market  . . . . . . . . . . . . 167--187
             Amita Majumder and   
       Satya Ranjan Chakravarty   Distribution of personal income:
                                  Development of a new model and its
                                  application to U.S. income data  . . . . 189--196
                      Anonymous   Book Review: \booktitleModelling the
                                  Labour Market, edited by M. Beenstock.
                                  (Chapman and Hall, London, 1988, pp. xii
                                  + 206, ISBN 0-412-28830-3, \pounds
                                  32.50, hardcover)  . . . . . . . . . . . 197--199
                      Anonymous   Book Review: \booktitleMacroeconometric
                                  modelling of the Indian economy. Studies
                                  on inflation and growth, K. Krishnamurty
                                  and V. Pandit. Forword by L. R. Klein.
                                  (Hindustan Publishing Corporation,
                                  Dehli, 1985, pp. xii + 159, ISBN, cloth,
                                  \pounds )  . . . . . . . . . . . . . . . 199--202
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 5, Number 3, July / September, 1990

                 A. Monfort and   
               R. Rabemananjara   From a var model to a structural model,
                                  with an application to the wage-price
                                  spiral . . . . . . . . . . . . . . . . . 203--227
                D. A. Kodde and   
                 F. C. Plam and   
                    G. A. Pfann   Asymptotic least-squares estimation
                                  efficiency considerations and
                                  applications . . . . . . . . . . . . . . 229--243
              Matthew Black and   
             Robert Moffitt and   
                 John T. Warner   The dynamics of job separation: The case
                                  of federal employees . . . . . . . . . . 245--262
                  Glenn A. Gotz   Comment on `The dynamics of job
                                  separation: The case of federal
                                  employees' . . . . . . . . . . . . . . . 263--268
              Matthew Black and   
             Robert Moffitt and   
                    John Warner   Reply to comment by Glenn Gotz on ``The
                                  dynamics of job separation: The case of
                                  federal employees''  . . . . . . . . . . 269--272
                 M. W. Keil and   
                  W. Richardson   A comparison among partial adjustment,
                                  rational expectations and error
                                  correction estimates of the Canadian
                                  demand for money . . . . . . . . . . . . 273--291
                  Pin T. Ng and   
               Robin C. Sickles   `Xplore'-ing the world of nonparametric
                                  analysis . . . . . . . . . . . . . . . . 293--297
          Miguel A. Delgado and   
               Thanasis Stengos   N-kernel: A review . . . . . . . . . . . 299--304
                      Anonymous   Book Review: \booktitleThe theory and
                                  practice of econometrics, O. G. Judge,
                                  W. E. Griffith, R. C. Hill, C. H. Lee,
                                  and H. Lütkepohl, second edition, Wiley,
                                  New York, 1985. ISBN 0-471-89530-X,
                                  \pounds 45.65 Hardcover. Pp. xxix + 1019 305--306
                      Anonymous   Book Review: \booktitleIntroduction to
                                  the Theory and Practice of Econometrics,
                                  2nd ed. G. G. Judge, R. C. Hill, W. E.
                                  Griffiths, H. Lutkepohl, and T. Lee.
                                  John Wiley, New York, 1988, ISBN
                                  0-471-62414-4, cloth. \pounds 85.40. pp.
                                  xxxv + 1024  . . . . . . . . . . . . . . 306--308
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 5, Number 4, September / December, 1990

               Huntley Schaller   A re-examination of the $q$ theory of
                                  investment using U.S. firm data  . . . . 309--325
          Stephen J. Machin and   
                Mark B. Stewart   Unions and the financial performance of
                                  British private sector establishments    327--350
               Robert Kunst and   
                  Klaus Neusser   Cointegration in a macroeconomic system  351--365
                  Jayendu Patel   Purchasing power parity as a long-run
                                  relation . . . . . . . . . . . . . . . . 367--379
                Ray C. Fair and   
                 John B. Taylor   Full information estimation and
                                  stochastic simulation of models with
                                  rational expectations  . . . . . . . . . 381--392
                 S. G. Hall and   
               M. J. Stephenson   An algorithm for the solution of
                                  stochastic optimal control problems for
                                  large nonlinear econometric models . . . 393--399
            Badi H. Baltagi and   
             Sophon Khanti-Akom   On efficient estimation with panel data:
                                  An empirical comparison of instrumental
                                  variables estimators . . . . . . . . . . 401--406
                      Anonymous   Book Review: \booktitlePraclical methods
                                  of optimization, 2nd ed, R. Fletcher.
                                  John Wiley and ISBN 0-471-86187, \pounds
                                  24.50. pp. xii + 436. Sons, Chichester,
                                  1987 . . . . . . . . . . . . . . . . . . 407--409
                      Anonymous   Book Review: \booktitleComponent and
                                  Correspondence Analysis: Dimension
                                  Reduction by Functional Approximation,
                                  edited by J. L. Van Rijckevorsel and J.
                                  De Leeuw. Wiley, New York, 1988. ISBN
                                  0-471-9847-4, cloth. \pounds 19.95. pp.
                                  xii + 146  . . . . . . . . . . . . . . . 409--410
                      Anonymous   Call for papers. UCLA program on applied
                                  econometrics and the journal of applied
                                  econometrics . . . . . . . . . . . . . . 409--410
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 6, Number 1, January / March, 1991

                Bernard Salanie   Wage and price adjustment in a
                                  multimarket disequilibrium model . . . . 1--15
           Marlene A. Smith and   
                 David J. Smyth   Multiple and pairwise non-nested tests
                                  of the influence of taxes on money
                                  demand . . . . . . . . . . . . . . . . . 17--30
            Gregor W. Smith and   
                 Stanley E. Zin   Persistent deficits and the market value
                                  of government debt . . . . . . . . . . . 31--44
            Steven L. Green and   
                Knut Anton Mork   Toward efficiency in the crude-oil
                                  market . . . . . . . . . . . . . . . . . 45--66
                Michael Sampson   The effect of parameter uncertainty on
                                  forecast variances and confidence
                                  intervals for unit root and trend
                                  stationary time-series models  . . . . . 67--76
                   Asraul Hoque   An application and test for a random
                                  coefficient model in Bangladesh
                                  agriculture  . . . . . . . . . . . . . . 77--90
                   Erkin Bairam   Elasticity of substitution, technical
                                  progress and returns to scale in
                                  branches of Soviet industry: A new CES
                                  production function approach . . . . . . 91--96
              Pravin K. Trivedi   Statistical software tools (SST) Version
                                  2.0: An update . . . . . . . . . . . . . 97--101
                  Alfredo Rizzi   Book Review: \booktitleLinear
                                  structures, J. R. Magnus, Oxford, Oxford
                                  University Press, 1988. ISBN
                                  0-19-520655-X, cloth, \$49.95, pp. xii +
                                  205} . . . . . . . . . . . . . . . . . . 103--105
              P. E. Nüesch   Book Review: \booktitleOrder restricted
                                  statistical inference, T. Robertson, F.
                                  T. Wright, R. L. Dykstra Wiley Series in
                                  Probability and Mathematical Statistics,
                                  John Wiley and Sons, Chichester, 1988.
                                  ISBN 0-471-91787-7 cloth, \pounds 37.50,
                                  pp. 488  . . . . . . . . . . . . . . . . 105--107
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 6, Number 2, April / June, 1991

         Richard T. Baillie and   
                Robert J. Myers   Bivariate GARCH estimation of the
                                  optimal commodity futures Hedge  . . . . 109--124
               Fabio Canova and   
                  Takatoshi Ito   The time-series properties of the risk
                                  premium in the Yen/Dollar exchange
                                  market . . . . . . . . . . . . . . . . . 125--142
              Tom K. Y. Lee and   
                      Y. K. Tse   Term structure of interest rates in the
                                  Singapore Asian dollar market  . . . . . 143--152
                 G. J. Anderson   Expenditure allocation across
                                  nondurables, services, durables and
                                  savings: An empirical study of
                                  separability in the long run . . . . . . 153--168
                  Sanjiv Jaggia   Specification tests based on the
                                  heterogeneous generalized gamma model of
                                  duration: With an application to
                                  Kennan's strike data . . . . . . . . . . 169--180
            Rafiq Baccouche and   
        François Laisney   Describing the separability properties
                                  of empirical demand systems  . . . . . . 181--206
             Steven P. Peterson   Software review: A review of Stata 2.1   207--212
                   Chris Dineen   Progressive econometric modelling
                                  (PERM): A review . . . . . . . . . . . . 213--217
            Karl Gunnar Persson   Book Review: \booktitleDomesday economy:
                                  A new approach to Anglo--Norman history,
                                  J. McDonald and G. D. Snooks. Clarendon
                                  Press, Oxford, 1986. ISBN 0-19-82854-8,
                                  cloth \pounds 27.50, pp. xv + 240  . . . 219--220
                 Ulrich Kusters   Book Review: \booktitleElements of
                                  statistical computing-numerical
                                  computation, R. A. Thisted. Chapman and
                                  Hall, New York and London, 1988. ISBN
                                  0-412-01371-1, cloth \pounds 28.50, pp.
                                  xx + 427 . . . . . . . . . . . . . . . . 220--224
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 6, Number 3, July / September, 1991

              J. T. Grogger and   
                   R. T. Carson   Models for truncated counts  . . . . . . 225--238
                     M. J. Lord   Price formation in commodity markets . . 239--254
                      R. Nymoen   A small linear model of wage- and
                                  price-inflation in the Norwegian economy 255--269
                  K. Conrad and   
               M. Schröder   Demand for durable and nondurable goods,
                                  environmental policy and consumer
                                  welfare  . . . . . . . . . . . . . . . . 271--286
      Martien C. A. B. Hols and   
             Casper G. De Vries   The limiting distribution of extremal
                                  exchange rate returns  . . . . . . . . . 287--302
               F. T. Denton and   
                  B. G. Spencer   Resampling a time-series process: A
                                  method of estimating the probabilities
                                  associated with alternative plans for
                                  protecting pensions against inflation    303--314
                James Mackinnon   Announcement . . . . . . . . . . . . . . 315--315
               Michael R. Veall   Shazam 6.2: A review . . . . . . . . . . 317--320
           Neil R. Ericsson and   
                     Heidi Lyss   An update to PC-give: Version 6.01 . . . 321--325
                   Carlo Milana   Book Review: \booktitleFunctional form
                                  and utility. A Review of Consumer Demand
                                  Theory, Arthur S. Goldberger. Westview
                                  Press, Boulder, Colorado, 1987, ISBN
                                  0-8133-7489-8, paper \$24.95, pp. xii +
                                  121} . . . . . . . . . . . . . . . . . . 327--329
                   Laura Sabani   Book Review: \booktitleForecasting
                                  structural time series models and the
                                  Kalman filter, A. C. Harvey. Cambridge
                                  University Press, Cambridge, 1989. ISBN
                                  0-521-32196-4, cloth, \pounds 55.00 Pp.
                                  xvi + 554  . . . . . . . . . . . . . . . 329--331
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 6, Number 4, October / December, 1991

                      Anonymous   Editorial preface  . . . . . . . . . . . i--i
              P. C. B. Phillips   To criticize the critics: An objective
                                  Bayesian analysis of stochastic trends   333--364
                  Gary Koop and   
               Mark F. J. Steel   A comment on: `To criticize the critics:
                                  An objective Bayesian analysis of
                                  stochastic trends', By Peter C. B.
                                  Phillips . . . . . . . . . . . . . . . . 365--370
               Edward E. Leamer   Comment on `To criticize the critics'    371--373
                 In-Moo Kim and   
                  G. S. Maddala   Flat priors vs. ignorance priors in the
                                  analysis of the $ {\rm AR}(1) $ model    375--380
                Dale J. Poirier   A comment on `To criticize the critics:
                                  An objective Bayesian analysis of
                                  stochastic trends' . . . . . . . . . . . 381--386
          Peter C. Schotman and   
             Herman K. Van Dijk   On Bayesian routes to unit roots . . . . 387--401
                 James H. Stock   Bayesian approaches to the `unit root'
                                  problem: A comment . . . . . . . . . . . 403--411
            David N. Dejong and   
            Charles H. Whiteman   The case for trend-stationarity is
                                  stronger than we thought . . . . . . . . 413--421
            Christopher A. Sims   Comment by Christopher A. Sims on `To
                                  criticize the critics', by Peter C. B.
                                  Phillips . . . . . . . . . . . . . . . . 423--434
              P. C. B. Phillips   Bayesian routes and unit roots: De rebus
                                  prioribus semper est disputandum . . . . 435--473
                      Anonymous   UCLA Program in Applied Econometrics
                                  Conference on Nonlinear Dynamics and
                                  Econometrics. April 5--6, 1991 . . . . . 475--477
                      Anonymous   International conference on: Econometric
                                  inference using simulation techniques    478--478
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 7, Number 1, January / March, 1992

              M. Hashem Pesaran   Announcement . . . . . . . . . . . . . . 1--2
                      Anonymous   Acknowledgement to referees  . . . . . . 3--3
          R. Bergström and   
                     P.-A. Edin   Time aggregation and the distributional
                                  shape of unemployment duration . . . . . 5--30
               R. Cotterman and   
                    F. Peracchi   Classification and aggregation: An
                                  application to industrial classification
                                  in CPS data  . . . . . . . . . . . . . . 31--51
             Marcus J. Chambers   Estimation of a continuous-time dynamic
                                  demand system  . . . . . . . . . . . . . 53--64
                        G. Koop   `Objective' Bayesian unit root tests . . 65--82
                 S. G. Hall and   
             S. G. B. Henry and   
                   M. Pemberton   Testing a discrete switching
                                  disequilibrium model of the UK labour
                                  market . . . . . . . . . . . . . . . . . 83--91
               Michael R. Veall   Bootstrapping the process of model
                                  selection: an econometric example  . . . 93--99
                Tsunemasa Shiba   MICRO-EBA: Leamer's extreme bounds
                                  analysis on GAUSS  . . . . . . . . . . . 101--103
                      Gary Koop   Review of PCBRAP . . . . . . . . . . . . 105--107
             Francesco Carlucci   Book Review: \booktitleState-Space
                                  Modeling of Time Series, Masanao Aoki.
                                  Springer Verlag, Berlin, 1987. ISBN
                                  3-540-17257-2, paperback, DM 49.80, pp.
                                  xi + 314 . . . . . . . . . . . . . . . . 109--110
             Giancarlo Gandolfo   Book Review: \booktitleOptimal control,
                                  expectations and uncertainty, S. Holly
                                  and A. Hughes Hallett. Cambridge
                                  University Press, Cambridge and New
                                  York, 1989. ISBN 0-521-2644-8, cloth,
                                  \pounds 25. Pp. i-ix + 244 . . . . . . . 110--114
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 7, Number 2, April / June, 1992

               Joel L. Horowitz   The role of the list price in housing
                                  markets: Theory and an econometric model 115--129
                 R. W. Rich and   
              J. E. Raymond and   
                   J. S. Butler   The relationship between forecast
                                  dispersion and forecast uncertainty:
                                  Evidence from a survey data-arch model   131--148
                  G. Dionne and   
                     C. Vanasse   Automobile insurance ratemaking in the
                                  presence of asymmetrical information . . 149--165
                   Martin Weale   Estimation of data measured with error
                                  and subject to linear restrictions . . . 167--174
               D. Robertson and   
                      J. Symons   Some strange properties of panel data
                                  estimators . . . . . . . . . . . . . . . 175--189
                   E. Vogelvang   Hypotheses testing concerning
                                  relationships between spot prices of
                                  various types of coffee  . . . . . . . . 191--201
                    D. Greasley   The stationarity of British economic and
                                  productivity growth 1856--1913 . . . . . 203--209
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 211--213
            Richard G. Anderson   The GAUSS programming system: A review   215--219
      Christopher A. Pissarides   Book Review: \booktitleChallenges for
                                  Macroeconomic Modelling, W. Driehuis, M.
                                  M. G. Fase, and H. Den Hartog (editors).
                                  North-Holland, Amsterdam, 1988. ISBN
                                  0-444-70529-5, cloth, \$94.75. pp. xii +
                                  487} . . . . . . . . . . . . . . . . . . 221--223
                  Mauro Mellano   Book Review: \booktitleEconometric
                                  modelling of agricultural commodity
                                  markets, D. Hallam, Routledge, London
                                  and New York, 1990. ISBN 0-415-00405-5,
                                  cloth, \$35. Pp. iii + 191}  . . . . . . 223--224
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 7, Number 3, July / September, 1992

                    Marc Ivaldi   Survey evidence on the rationality of
                                  expectations . . . . . . . . . . . . . . 225--241
                Theo Nijman and   
                  Marno Verbeek   Nonresponse in panel data: The impact on
                                  estimates of a life cycle consumption
                                  function . . . . . . . . . . . . . . . . 243--257
                   Wen-Ling Lin   Alternative estimators for factor GARCH
                                  models --- A Monte Carlo comparison  . . 259--279
                     Baldev Raj   International evidence on persistence in
                                  output in the presence of an episodic
                                  change . . . . . . . . . . . . . . . . . 281--293
              Stephen R. Blough   The relationship between power and level
                                  for generic unit root tests in finite
                                  samples  . . . . . . . . . . . . . . . . 295--308
                    R. P. Byron   Polynomial approximations in
                                  cross-sectional models . . . . . . . . . 309--322
                Michael P. Kidd   A review of the econometrics toolkit
                                  (ET) . . . . . . . . . . . . . . . . . . 323--328
                    R. R. Neild   Book Review: \booktitleMacroeconomic
                                  policy in Britain 1974-1987, A. J. C.
                                  Britton. Cambridge University Press,
                                  1991, pp. 365. Price: \pounds 30.  . . . 329--332
                William Coleman   Book Review: \booktitleConceptual
                                  anomalies in Economics and Statistics.
                                  Lessons from the Social Experiment, L.
                                  G. Neuberg, first edition, Cambridge
                                  University Press, New York, 1989, ISBN
                                  0521-30444X, Hardcover, \$54.40. Pp. xiv
                                  + 365} . . . . . . . . . . . . . . . . . 333--334
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 7, Number 4, October / December, 1992

              M. Hashem Pesaran   Announcement . . . . . . . . . . . . . . 335--335
                      Anonymous   Acknowledgement to referees  . . . . . . 337--337
               Insan Tunali and   
                   Ragui Assaad   Market structure and spells of
                                  employment and unemployment: Evidence
                                  from the construction sector in Egypt    339--367
               E. Mellander and   
                  A. Vredin and   
                       A. Warne   Stochastic trends and economic
                                  fluctuations in a small open economy . . 369--394
                        G. Koop   Aggregate shocks and macroeconomic
                                  fluctuations: A Bayesian approach  . . . 395--411
                       F. Vella   Simple tests for sample selection bias
                                  in censored and discrete choice models   413--421
         Matthew L. Higgins and   
                   Nabil Ltaifa   Microtsp version 7.0: A review . . . . . 423--429
                   Carlo Milana   Book Review: \booktitleDisaggregation in
                                  Econometric Modelling, edited by Terry
                                  Barker and M. Hashem Pesaran. Routledge,
                                  London, 1990, ISBN 0-415-00918-9,
                                  hardbound \pounds 45. pp. xiv + 348  . . 431--432
                     Teun Kloek   Book Review: \booktitleMisspecification
                                  tests in econometrics. L. G. Godfrey,
                                  Cambridge University Press, Cambridge,
                                  1988, pp. xii + 252. ISBN 0-521-26616-5.
                                  \pounds 35 hardcover . . . . . . . . . . 433--434
         Giuseppe De Arcangelis   Book Review: \booktitleStatistical
                                  analysis and forecasting of economic
                                  structural change. P. Hack (ed.)
                                  Springer-Verlag, Berlin, Heidelberg, New
                                  York, London, Paris, Tokyo, Hong Kong,
                                  1989, pp. xix + 488. ISBN 0-387-51454-6;
                                  hardbound  . . . . . . . . . . . . . . . 435--436
           Carlo Andrea Bollino   Book Review: \booktitleRecent modelling
                                  approaches in applied energy economics,
                                  O. Bjerkholt, O. Olsen and J. Vislie
                                  (eds) Chapman and Hall, London, 1990,
                                  pp. xix + 268, ISBN
                                  0-412-35340-7,\pounds 40 hardbound . . . 436--439
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 7, Number S1, December, 1992

          M. Hashem Pesaran and   
                Simon M. Potter   Nonlinear dynamics and econometrics: an
                                  introduction . . . . . . . . . . . . . . S1--S7
                      R. H. Day   Complex economic dynamics: Obvious in
                                  history, generic in theory, elusive in
                                  data . . . . . . . . . . . . . . . . . . S9--S23
                     T. Liu and   
           C. W. J. Granger and   
                   W. P. Heller   Using the correlation exponent to decide
                                  whether an economic series is chaotic    S25--S39
              W. D. Dechert and   
                      R. Gencay   Lyapunov exponents as a nonparametric
                                  diagnostic for stability analysis  . . . S41--S60
                   B. E. Hansen   The likelihood ratio test under
                                  nonstandard conditions: Testing the
                                  Markov switching model of GNP  . . . . . S61--S82
                     R. J. Town   Merger waves and the structure of merger
                                  and acquisition time-series  . . . . . . S83--S100
                  S. M. Burgess   Nonlinear dynamics in a structural model
                                  of employment  . . . . . . . . . . . . . S101--S118
              T. Terasvirta and   
                 H. M. Anderson   Characterizing nonlinearities in
                                  business cycles using smooth transition
                                  autoregressive models  . . . . . . . . . S119--S136
                     B. Lebaron   Forecast improvements using a volatility
                                  index  . . . . . . . . . . . . . . . . . S137--S149
                     B. Mizrach   Multivariate nearest-neighbour forecasts
                                  of EMS exchange rates  . . . . . . . . . S151--S163
                  C. Q. Cao and   
                     R. S. Tsay   Nonlinear time-series analysis of stock
                                  volatilities . . . . . . . . . . . . . . S165--S185
                     P. Rothman   The comparative power of the TR test
                                  against simple threshold models  . . . . S187--S195
                      Anonymous   Tinbergen Institute and
                                  \booktitleJournal of Applied
                                  Econometrics Conference on: Econometric
                                  Inference using Simulation Techniques.
                                  Erasmus University Rotterdam, The
                                  Netherlands 5--6 June, 1992  . . . . . . S197--S199
                      Anonymous   For a special issue on calibration
                                  techniques and econometrics  . . . . . . S201--S201
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 8, Number 1, January / March, 1993

          C. A. E. Goodhart and   
                 S. G. Hall and   
             S. G. B. Henry and   
                     B. Pesaran   News effects in a high-frequency model
                                  of the sterling-dollar exchange rate . . 1--13
                P. R. Locke and   
                   C. L. Sayers   Intra-day futures price volatility:
                                  Information effects and variance
                                  persistence  . . . . . . . . . . . . . . 15--30
           R. Rabemananjara and   
                  J. M. Zakoian   Threshold ARCH models and asymmetries in
                                  volatility . . . . . . . . . . . . . . . 31--49
                  C.-G Moon and   
                  J. G. Stotsky   Testing the differences between the
                                  determinants of Moody's and Standard and
                                  Poor's ratings: an application of smooth
                                  simulated maximum likelihood estimation  51--69
                    G. D. Hanse   The cyclical and secular behaviour of
                                  the labour input: Comparing efficiency
                                  units and hours worked . . . . . . . . . 71--80
                   T. Kinal and   
                      K. Lahiri   On the estimation of
                                  simultaneous-equations error-components
                                  models with an application to a model of
                                  developing country foreign trade . . . . 81--92
                  P. K. Trivedi   An analysis of publication lags in
                                  econometrics . . . . . . . . . . . . . . 93--100
                    A. Harrison   Gaim 1.1: A review . . . . . . . . . . . 101--107
                     Teun Kloek   Book Review: \booktitleStatistique et
                                  mod\`eles econométriques, (statistics and
                                  econometric models), in 2 volumes, C.
                                  Gourieroux and A. Monfort, Economica,
                                  Paris, 1989, ISBN 2-7178-1667-4 and
                                  2-7178-1668-2, paperback, FF 200 each,
                                  pp. 565 and 587  . . . . . . . . . . . . 109--111
         Giuseppe De Arcangelis   Book Review: \booktitleStructural
                                  Equations with Latent Variables, Kenneth
                                  A. Bollen. John Wiley and Sons, Inc.,
                                  New York, Chichester, Brisbane, Toronto,
                                  Singapore, 1989, ISBN 0-471-01171-1,
                                  \pounds 39.90 hardbound, pp. xiv + 514   111--113
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 8, Number 2, April / June, 1993

                   D. N. Dejong   Bayesian inference in limited dependent
                                  variable models. An application to
                                  measuring strike duration  . . . . . . . 115--128
                     P. Wolfson   Compositional change, aggregation, and
                                  dynamic factor demand. Estimates on a
                                  panel of manufacturing firms . . . . . . 129--148
              M. Landesmann and   
                       A. Snell   Structural shifts in the manufacturing
                                  export performance of OECD economies . . 149--162
                  P. Kugler and   
                     K. Neusser   International real interest rate
                                  equalization. A multivariate time-series
                                  approach . . . . . . . . . . . . . . . . 163--174
                    S. Nakamura   An adjustment cost model of long-term
                                  employment in Japan  . . . . . . . . . . 175--194
                P. J. Deschamps   Joint tests for regularity and
                                  autocorrelation in allocation systems    195--211
                     J. Hallman   Review of S-Plus . . . . . . . . . . . . 213--219
                  A. P. Kilduff   Pc-naive 6.01: A review  . . . . . . . . 221--225
                 Giuseppe Arbia   Book Review: \booktitleContinuous time
                                  econometric modelling, A. R. Bergstrom,
                                  Advanced Texts In Econometrics, Oxford
                                  University Press, Oxford, 1990, ISBN
                                  0-19-828367-9, Paperback \$17.50; ISBN
                                  0-19-829340-7, hardback \pounds 40.00;
                                  pp. x + 326} . . . . . . . . . . . . . . 227--229
                   Leonard Gill   Book Review: \booktitleA course in
                                  econometrics, by A. S. Goldberger,
                                  Harvard University Press, 1991, ISBN
                                  0-674-17544-1, XYP19.95 hardbound. pp.
                                  405  . . . . . . . . . . . . . . . . . . 229--230
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 8, Number 3, July / September, 1993

               A. C. Harvey and   
                      A. Jaeger   Detrending, stylized facts and the
                                  business cycle . . . . . . . . . . . . . 231--247
                      S. Pudney   Income and wealth inequality and the
                                  life cycle. A non-parametric analysis
                                  for China  . . . . . . . . . . . . . . . 249--276
                  A. A. Okunade   Production cost structure of us hospital
                                  pharmacies: Time-series, cross-sectional
                                  bed size evidence  . . . . . . . . . . . 277--294
                  R. J. Rossana   The long-run implications of the
                                  production smoothing model of
                                  inventories: An empirical test . . . . . 295--306
                        J. Rust   Gauss and MATLAB: A comparison . . . . . 307--324
             Richard T. Baillie   Book Review: \booktitleIntroduction to
                                  multiple time series analysis, H.
                                  LÜTKEPOHL. Springer-Verlag. Berlin And
                                  New York, 1991. ISBN 0-387-53194-7,
                                  cloth \pounds 31, pp. 1 + 545  . . . . . 325--326
          Andrew Hughes Hallett   Book Review: \booktitleControl Theory
                                  and Dynamic Games in Economic Policy
                                  Analysis, M. L. Petit, Cambridge
                                  University Press, Cambridge and New
                                  York, 1990, \pounds 30.00, ISBN 0521 385
                                  237, pp. xiv + 338 . . . . . . . . . . . 326--327
                 William Greene   Book Review: \booktitleComputational
                                  economics and econometrics, (papers
                                  presented at the annual meeting of the
                                  Society For Economic Dynamics and
                                  Control, Minneapolis, Minnesota, USA,
                                  June, 1990), Edited By H. Amman, D.
                                  Belsley, and L. Pau. Kluwer Academic
                                  Publishers, Boston, USA, 1992, ISBN
                                  0-7923-1287-2, hardback, pp. viii + 171  328--330
                 Robert Moffitt   Book Review: \booktitleModelling and
                                  empirical evaluation of labour supply
                                  behavior, Isolde Woittiez.
                                  Springer-Verlag, 1991, ISBN
                                  3-540-54054-7, pp. 232 . . . . . . . . . 330--331
                      Anonymous   First announcement . . . . . . . . . . . 333--333
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 8, Number 4, October / December, 1993

                      Anonymous   Acknowledgement to referees  . . . . . . 335--335
               M Hashem Pesaran   Announcement . . . . . . . . . . . . . . 337--337
                      Anonymous   Announcement. \booktitleJournal of
                                  Applied Econometrics FTP archive site    339--340
          W. Narendranathan and   
                  M. B. Stewart   How does the benefit effect vary as
                                  unemployment spells lengthen?  . . . . . 361--381
         B. M. S. Van Praag and   
                E. M. Vermeulen   A count-amount model with endogenous
                                  recording of observations  . . . . . . . 383--395
                   M. Wedel and   
              W. S. Desarbo and   
                 J. R. Bult and   
                   V. Ramaswamy   A latent class Poisson regression model
                                  for heterogeneous count data . . . . . . 397--411
                 C. R. McKenzie   Microfit 3.0: A review . . . . . . . . . 413--419
                 S. G. B. Henry   Book Reviews: \booktitleSeasonal
                                  adjustment as a practical problem, F. A.
                                  G. Den Butter and M. M. G. Fase.
                                  North-Holland, 1991, ISBN 90-267-1264-3,
                                  US \$94.50/DFL 165, pp. 226.
                                  \booktitle{Modelling Seasonality},
                                  Edited by S. Hylleberg. Oxford
                                  University Press, 1992, ISBN
                                  0-19-877317, \$45, pp. 476 . . . . . . . 421--423
                 Martyn Andrews   Book Review: \booktitleApplied
                                  econometric techniques, K. Cuthbertson,
                                  S. G. Hall, and M. P. Taylor. Philip
                                  Allan, Hemel Hempstead, 1992, ISBN
                                  0-86003-084-9, \pounds 45 hardback . . . 423--424
                   Arie Kapteyn   International conference on: The
                                  micro-econometrics of dynamic decision
                                  making . . . . . . . . . . . . . . . . . 425--425
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 8, Number S1, December, 1993

             Bryan W. Brown and   
              Alain Monfort and   
             Herman K. Van Dijk   Introduction . . . . . . . . . . . . . . S1--S3
              R. W. Andrews and   
               J. O. Berger and   
                    M. H. Smith   Bayesian estimation of manufacturing
                                  effects in a fuel economy model  . . . . S5--S18
                      J. Geweke   Bayesian treatment of the independent
                                  student- t linear model  . . . . . . . . S19--S40
              F. Kleibergen and   
                 H. K. van Dijk   Non-stationarity in GARCH models: A
                                  Bayesian analysis  . . . . . . . . . . . S41--S61
               A. A. Smith, Jr.   Estimating nonlinear time-series models
                                  using simulated vector autoregressions   S63--S84
              C. Gourieroux and   
                 A. Monfort and   
                     E. Renault   Indirect inference . . . . . . . . . . . S85--S118
                 G. Laroque and   
              B. Salanié   Simulation-based estimation of models
                                  with lagged latent variables . . . . . . S119--S133
                    N. Shephard   Fitting nonlinear time-series models
                                  with applications to stochastic variance
                                  models . . . . . . . . . . . . . . . . . S135--S152
              J. Danielsson and   
                  J.-F. Richard   Accelerated Gaussian importance sampler
                                  with application to dynamic latent
                                  variable models  . . . . . . . . . . . . S153--S173
                      Anonymous   Announcement. A special issue on
                                  calibration techniques techniques and
                                  econometric  . . . . . . . . . . . . . . S175--S175
                      Anonymous   Call for papers  . . . . . . . . . . . . S177--S177
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 9, Number 1, January / March, 1994

               N. M. Arguea and   
                   C. Hsiao and   
                   G. A. Taylor   Estimating consumer preferences using
                                  market data --- an application to us
                                  automobile demand  . . . . . . . . . . . 1--18
                  M. Bonomo and   
                      R. Garcia   Can a well-fitted equilibrium
                                  asset-pricing model produce mean
                                  reversion? . . . . . . . . . . . . . . . 19--29
                     F. De Jong   A univariate analysis of EMS exchange
                                  rates using a target zone model  . . . . 31--45
             R. S. Chirinko and   
                  S. M. Fazzari   Economic fluctuations, market power, and
                                  returns to scale: Evidence from
                                  firm-level data  . . . . . . . . . . . . 47--69
                 A. M. Yuengert   Immigrant earnings, relative to what?
                                  The importance of earnings function
                                  specification and comparison points  . . 71--90
                  H. J. Paarsch   Limdep, version 6.0: A review  . . . . . 91--98
            Michael P. Clements   Book Review: \booktitleNew directions in
                                  econometric practice, W. W. Charemza and
                                  D. F. Deadman, Edward Elgar Publishing.
                                  Aldershot, 1992. ISBN 1-85278-461-x,
                                  hardcover, \pounds 45.00, pp. 370  . . . 99--101
                Martin Browning   Book Review: \booktitleUnderstanding
                                  consumption, Angus Deaton, Oxford
                                  University Press, Oxford, 1992, ISBN
                                  0-19-828759-3, \pounds 17.95, hard
                                  cover, pp. 240 . . . . . . . . . . . . . 101--103
                      Anonymous   Call for papers  . . . . . . . . . . . . 105--105
                      Anonymous   Guidelines for users . . . . . . . . . . 106--107
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 9, Number 2, April / June, 1994

            V. A. Hajivassiliou   A simulation estimation analysis of the
                                  external debt crises of developing
                                  countries  . . . . . . . . . . . . . . . 109--131
                  E. Eggink and   
                  J. P. Hop and   
             B. M. S. Van Praag   A symmetric approach to the labour
                                  market with the household as the unit of
                                  observation  . . . . . . . . . . . . . . 133--161
                H. Tanizaki and   
                  R. S. Mariano   Prediction, filtering and smoothing in
                                  non-linear and non-normal cases using
                                  Monte Carlo integration  . . . . . . . . 163--179
            Nathan S. Balke and   
                Thomas B. Fomby   Large shocks, small shocks, and economic
                                  fluctuations: Outliers in macroeconomic
                                  time series  . . . . . . . . . . . . . . 181--200
          Janet Hunt-McCool and   
                B. F. Kiker and   
                    Ying Chu Ng   Estimates of the demand for medical care
                                  under different functional forms . . . . 201--218
                      G. Austin   SC version 1.107: A review . . . . . . . 219--223
                 Jerzy Szroeter   Book Review: \booktitleLearning and
                                  practicing econometrics, William E.
                                  Griffiths, R. Carter Hill and George G.
                                  Judge. John Wiley, New York, 1993, ISBN
                                  0-471-59951-4, pp. 866. price \pounds
                                  19.95  . . . . . . . . . . . . . . . . . 225--226
                      Anonymous   Forthcoming papers . . . . . . . . . . . 227--227
                      Anonymous   Announcement and call for papers . . . . 228--228
                      Anonymous   Guidelines for users . . . . . . . . . . 229--230
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 9, Number 3, July / September, 1994

                J. Davidson and   
                 G. Madonia and   
                    P. Westaway   Modelling the UK gilt-edged market . . . 231--253
                 Peter Kooreman   Estimation of econometric models of some
                                  discrete games . . . . . . . . . . . . . 255--268
                 C. J. Morrison   The cyclical nature of markups in
                                  Canadian manufacturing: A production
                                  theory approach  . . . . . . . . . . . . 269--282
               D. J. Aigner and   
                  J. Newman and   
                     A. Tishler   The response of small and medium-size
                                  business customers to Time-of-Use (TOU)
                                  electricity rates in Israel  . . . . . . 283--304
              P. Ilmakunnas and   
             H. Törmä   Energy crises and change of technology   305--320
                   B. P. McCall   Testing the proportional hazards
                                  assumption in the presence of unmeasured
                                  heterogeneity  . . . . . . . . . . . . . 321--334
                  N. Davies and   
                 A. R. Tremayne   Review of statgraphics . . . . . . . . . 335--341
               Tilak Abeysinghe   Book Review: \booktitleEconometrics:
                                  Alchemy or science? essays in
                                  econometric methodology, David F.
                                  Hendry. Oxford, UK and Cambridge, USA:
                                  Blackwell, 1993, pp. 518, ISBN
                                  1-55786-264-8, \pounds 50-00 (hardbound) 343--344
                      Anonymous   Forthcoming papers . . . . . . . . . . . 345--345
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 9, Number 4, October / December, 1994

               M Hashem Pesaran   Announcement . . . . . . . . . . . . . . 347--347
                      Anonymous   Forthcoming papers . . . . . . . . . . . 348--348
                      Anonymous   Acknowledgement to referees  . . . . . . 349--349
                 D. Mark Kennet   A structural model of aircraft engine
                                  maintenance  . . . . . . . . . . . . . . 351--368
                    G. Koop and   
                  D. J. Poirier   Rank-ordered logit models: An empirical
                                  analysis of Ontario voter preferences    369--388
                      P. Storer   Unemployment dynamics and labour market
                                  tightness: An empirical evaluation of
                                  matching function models . . . . . . . . 389--419
         G. J. Den Van Berg and   
               M. Lindeboom and   
                      G. Ridder   Attrition in longitudinal panel data and
                                  the empirical analysis of dynamic labour
                                  market behaviour . . . . . . . . . . . . 421--435
                  J. Hartog and   
                  G. Ridder and   
                      M. Visser   Allocation of individuals to job levels
                                  under rationing  . . . . . . . . . . . . 437--451
                 J. Borland and   
                    S. Ouliaris   The determinants of Australian trade
                                  union membership . . . . . . . . . . . . 453--468
                     C. Ferrall   Software review: a review of Stata 3.1   469--477
                 Colin McKenzie   Book Review: \booktitleModelling
                                  nonlinear economic relationships, C. W.
                                  J. Granger and T. Teräsvirta. Oxford
                                  University Press: 1993, ISBN
                                  0-19-877320x, \pounds 14.95 paperback,
                                  pp. x + 187  . . . . . . . . . . . . . . 479--480
                 Mark W. Watson   Call for papers  . . . . . . . . . . . . 481--481
                      Anonymous   Announcements  . . . . . . . . . . . . . 483--483
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 9, Number S1, December, 1994

                   Adrian Pagan   Introduction calibration and econometric
                                  research: An overview  . . . . . . . . . S1--S10
        Patrick Féve and   
         François Langot   The RBC models through statistical
                                  inference: An application with French
                                  data . . . . . . . . . . . . . . . . . . S11--S35
             James M. Nason and   
                 Timothy Cogley   Testing the implications of long-run
                                  neutrality for monetary business cycle
                                  models . . . . . . . . . . . . . . . . . S37--S70
              Stephen J. Fisher   Asset trading, transaction costs and the
                                  equity premium . . . . . . . . . . . . . S71--S94
            Carlo A. Favero and   
          M. Hashem Pesaran and   
                   Sunil Sharma   A duration model of irreversible oil
                                  investment: Theory and empirical
                                  evidence . . . . . . . . . . . . . . . . S95--S112
            Paul Söderlind   Cyclical properties of a real business
                                  cycle model  . . . . . . . . . . . . . . S113--S122
                   Fabio Canova   Statistical inference in calibrated
                                  models . . . . . . . . . . . . . . . . . S123--S144
                Tom Engsted and   
                  Niels Haldrup   The linear quadratic adjustment cost
                                  model and the demand for labour  . . . . S145--S159
                 Mark W. Watson   Call for papers  . . . . . . . . . . . . S161--S161
                      Anonymous   Conference programme . . . . . . . . . . S163--S163
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 10, Number 1, January / March, 1995

                  Pim Adang and   
             Bertrand Melenberg   Nonnegativity constraints and
                                  intratemporal uncertainty in a
                                  multi-good life-cycle model  . . . . . . 1--15
               Allan Timmermann   Cointegration tests of present value
                                  models with a time-varying discount
                                  factor . . . . . . . . . . . . . . . . . 17--31
         Subal C. Kumbhakar and   
            Lennart Hjalmarsson   Labour-use efficiency in Swedish social
                                  insurance offices  . . . . . . . . . . . 33--47
                  Byung-Joo Lee   Separability test for the electricity
                                  supply industry  . . . . . . . . . . . . 49--60
                J. C. Glass and   
             D. G. McKillop and   
                     N. Hyndman   Efficiency in the provision of
                                  university teaching and research: An
                                  empirical analysis of UK universities    61--72
          Steven B. Caudill and   
                Jon M. Ford and   
              David L. Kaserman   Certificate-of-need regulation and the
                                  diffusion of innovations: A random
                                  coefficient model  . . . . . . . . . . . 73--78
               Alvaro Escribano   PCgive professional 8: A review  . . . . 79--86
           Peter C. B. Phillips   Nonstationary time series and
                                  cointegration  . . . . . . . . . . . . . 87--94
                      Anonymous   Announcement and call for papers . . . . 96--96
                      Anonymous   Forthcoming papers . . . . . . . . . . . 96--96
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 10, Number 2, April / June, 1995

          Andrew B. Bernard and   
              Steven N. Durlauf   Convergence in international output  . . 97--108
                Simon M. Potter   A nonlinear approach to US GNP . . . . . 109--125
        Michael P. Clements and   
                David F. Hendry   Forecasting in cointegrated systems  . . 127--146
                      Serena Ng   Testing for homogeneity in demand
                                  systems when the regressors are
                                  nonstationary  . . . . . . . . . . . . . 147--163
               Jeremy Smith and   
                Michael McAleer   Alternative procedures for converting
                                  qualitative response data to
                                  quantitative expectations: An
                                  application to Australian manufacturing  165--185
                 Myoung-Jae Lee   Semi-parametric estimation of
                                  simultaneous equations with limited
                                  dependent variables: A case study of
                                  female labour supply . . . . . . . . . . 187--200
          James B. McDonald and   
                 Anand Mantrala   The distribution of personal income:
                                  Revisited  . . . . . . . . . . . . . . . 201--204
                      Serena Ng   Review of Coint 2.0  . . . . . . . . . . 205--210
                   Terry Barker   Book Review: \booktitleMacroeconomic
                                  modelling of the long run, Colin
                                  Hargreaves (ed.) Edward Elgar,
                                  Aldershot, 1992, ISBN 1-85278-657-4, pp.
                                  xv + 394. Price \pounds 49.95 (hb) . . . 211--212
              Jan R. Magnus and   
                 Mary S. Morgan   An experiment in applied econometrics
                                  --- Call for participants  . . . . . . . 213--216
                      Anonymous   Guidelines for users: \booktitleJournal
                                  of Applied Econometrics Data Archive . . 217--218
                      Anonymous   Forthcoming papers . . . . . . . . . . . 219--219
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 10, Number 3, July / September, 1995

                     Kevin Rask   The structure of technology in Brazilian
                                  sugarcane production, 1975-87: An
                                  application of a modified symmetric
                                  generalized McFadden cost function . . . 221--232
                     Baldev Raj   Institutional hypothesis of the long-run
                                  income velocity of money and parameter
                                  stability of the equilibrium
                                  relationship . . . . . . . . . . . . . . 233--253
               Wai Mun Fong and   
                   Sam Ouliaris   Spectral tests of the martingale
                                  hypothesis for exchange rates  . . . . . 255--271
               Shi-Miin Liu and   
                B. Wade Brorsen   Maximum likelihood estimation of a
                                  GARCH-stable model . . . . . . . . . . . 273--285
               Nicole M. Fortin   Heterogeneity biases, distributional
                                  effects, and aggregate consumption: An
                                  empirical analysis using stratified
                                  microdata  . . . . . . . . . . . . . . . 287--311
             Jon A. Breslaw and   
                 J. Barry Smith   A simple and efficient method for
                                  estimating the magnitude and precision
                                  of welfare changes . . . . . . . . . . . 313--327
                John Hutton and   
                   James Hutton   The Maple computer algebra system: A
                                  review . . . . . . . . . . . . . . . . . 329--337
               Richard J. Smith   Book Review: \booktitleEstimation and
                                  inference in econometrics, R. Davidson
                                  and J. G. Mackinnon. Oxford University,
                                  New York, 1993, pp. 871, ISBN
                                  0-19-506011-3. Price \pounds 25.00
                                  hardbound  . . . . . . . . . . . . . . . 339--341
                      Anonymous   \booktitleJournal of Applied
                                  Econometrics Data Archive: updated
                                  information for users  . . . . . . . . . 342--342
                      Anonymous   Forthcoming papers . . . . . . . . . . . 343--343
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 10, Number 4, October / December, 1995

              M. Hashem Pesaran   Announcement . . . . . . . . . . . . . . 345--345
            Chung-Ming Kuan and   
                       Tung Liu   Forecasting exchange rates using
                                  feedforward and recurrent neural
                                  networks . . . . . . . . . . . . . . . . 347--364
          Steven N. Durlauf and   
                Paul A. Johnson   Multiple regimes and cross-country
                                  growth behaviour . . . . . . . . . . . . 365--384
         Christopher L. Gilbert   Modelling market fundamentals: A model
                                  of the aluminium market  . . . . . . . . 385--410
              Glenn T. Sueyoshi   A class of binary response models for
                                  grouped duration data  . . . . . . . . . 411--431
             Christian E. Weber   Cyclical output, cyclical unemployment,
                                  and Okun's coefficient: A new approach   433--445
                   Wen-Ling Lin   Japan's financial deregulation and
                                  linkage of the Gensaki and Euroyen
                                  deposit markets  . . . . . . . . . . . . 447--467
                    R. J. Black   Review of SIMPC 3.81 . . . . . . . . . . 469--476
                 James Davidson   Book Review: \booktitleEstimation,
                                  inference and specification analysis, by
                                  H. White. Econometric Society Monographs
                                  No. 22, Cambridge University Press,
                                  1994, pp. x + 380. ISBN 0-521-25280-6;
                                  Price \pounds 30 (hardback)  . . . . . . 477--479
                      Anonymous   Acknowledge to referees  . . . . . . . . 481--482
                      Anonymous   Forthcoming papers . . . . . . . . . . . 483--483
                      Anonymous   \booktitleJournal of Applied
                                  Econometrics Data Archive: Updated
                                  information for users  . . . . . . . . . 484--484
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 10, Number S1, December, 1995

               Arie Kapteyn and   
           Nicholas Kieffer and   
                      John Rust   The microeconometrics of dynamic
                                  decision making  . . . . . . . . . . . . S1--S7
               Angus Deaton and   
                    Guy Laroque   Estimating a nonlinear rational
                                  expectations commodity price model with
                                  unobservable state variables . . . . . . S9--S40
           Mario J. Miranda and   
              Gary D. Schnitkey   An empirical model of asset replacement
                                  in dairy production  . . . . . . . . . . S41--S55
                Bill Provencher   An investigation of the harvest decision
                                  of timber firms in the south-east United
                                  States . . . . . . . . . . . . . . . . . S57--S74
                  John Rust and   
              Geoffrey Rothwell   Optimal response to a shift in
                                  regulatory regime: The case of the US
                                  nuclear power industry . . . . . . . . . S75--S118
            Audra J. Bowlus and   
         Nicholas M. Kiefer and   
              George R. Neumann   Estimation of equilibrium wage
                                  distributions with heterogeneity . . . . S119--S131
              Pierre Koning and   
               Geert Ridder and   
         Gerard J. Van Den Berg   Structural and frictional unemployment
                                  in an equilibrium search model with
                                  heterogeneous agents . . . . . . . . . . S133--S151
             Thierry Magnac and   
            Jean-Marc Robin and   
                 Michael Visser   Analysing incomplete individual
                                  employment histories using indirect
                                  inference  . . . . . . . . . . . . . . . S153--S169
           Christophe Aubin and   
            Denis Foug\`ere and   
            Emmanuel Husson and   
                    Marc Ivaldi   Real-time pricing of electricity for
                                  residential customers: Econometric
                                  analysis of an experiment  . . . . . . . S171--S191
                      Anonymous   National Bureau of Economic Research
                                  National Science Foundation
                                  \booktitleJournal of Applied
                                  Econometrics: Conference on forecasting  S193--S193
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 11, Number 1, January, 1996

       Peter C. B. Phillips and   
         James W. McFarland and   
             Patrick C. McMahon   Robust tests of forward exchange market
                                  efficiency with empirical evidence from
                                  the 1920s  . . . . . . . . . . . . . . . 1--22
         Richard T. Baillie and   
            Ching-Fan Chung and   
              Margie A. Tieslau   Analysing inflation by the fractionally
                                  integrated ARFIMA--GARCH model . . . . . 23--40
              Chang-Jin Kim and   
                  Myung-Jig Kim   Transient fads and the crash of '87  . . 41--58
         Bertrand Melenberg and   
               Arthur Van Soest   Parametric and semi-parametric modelling
                                  of vacation expenditures . . . . . . . . 59--76
                   T. J. Coelli   Measurement of total factor productivity
                                  growth and biases in technological
                                  change in Western Australian agriculture 77--91
            Robert A. Amano and   
               Tony S. Wirjanto   Money stock targeting and money supply:
                                  A closer examination of the data . . . . 93--104
                  Mark E. Wohar   PcGive professional (version 8) and
                                  reviews (MicroTSP for Windows version
                                  1.1a): a comparative review  . . . . . . 105--115
                      Anonymous   Announcements and calls for papers . . . 117--117
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 11, Number 2, March, 1996

           Thomas F. Cooley and   
                    Masao Ogaki   A time series analysis of real wages,
                                  consumption and asset returns  . . . . . 119--134
            Anthony Garratt and   
                Stephen G. Hall   Measuring underlying economic activity   135--151
             Gail Blattenberger   Money demand revisited: An operational
                                  subjective approach  . . . . . . . . . . 153--168
        Solomon W. Polachek and   
                 Bong Joon Yoon   Panel estimates of a two-tiered earnings
                                  frontier . . . . . . . . . . . . . . . . 169--178
                    Dek Terrell   Incorporating monotonicity and concavity
                                  conditions in flexible functional forms  179--194
                Bruce E. Hansen   Erratum: The likelihood ratio test under
                                  nonstandard conditions: Testing the
                                  Markov switching model of GNP  . . . . . 195--198
          Dirk Eddelbüttel   Software review: Object-oriented
                                  econometrics: Matrix programming in C++
                                  using GCC and \tt newmat . . . . . . . . 199--209
                      Les Oxley   Book Review: \booktitleCointegration
                                  analysis in econometric modelling, R. I.
                                  D. Harris, Harvester, Wheatsheaf,
                                  London, 1995, ISBN 0-13-35582-4, pp. ix
                                  + 176, \pounds 15.95 . . . . . . . . . . 211--215
                      Anonymous   Forthcoming Papers . . . . . . . . . . . 217--217
                      Anonymous   \booktitleJournal of Applied
                                  Econometrics Data Archive  . . . . . . . 218--218
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 11, Number 3, May, 1996

               Simon van Norden   Regime switching as a test for exchange
                                  rate bubbles . . . . . . . . . . . . . . 219--251
                   C. W. Li and   
                       W. K. Li   On a double-threshold autoregressive
                                  heteroscedastic time series model  . . . 253--274
                 Partha Deb and   
          Pravin K. Trivedi and   
             Panayotis Varangis   The excess co-movement of commodity
                                  prices reconsidered  . . . . . . . . . . 275--291
            Fabrizia Mealli and   
                 Stephen Pudney   Occupational pensions and job mobility
                                  in Britain: Estimation of a
                                  random-effects competing risks model . . 293--320
                 Michael Gerfin   Parametric and semi-parametric
                                  estimation of the binary response model
                                  of labour market participation . . . . . 321--339
                      Anonymous   Forthcoming Papers . . . . . . . . . . . 341--341
                      Anonymous   \booktitleJournal of Applied
                                  Econometrics Data Archive  . . . . . . . 342--342
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 11, Number 4, July, 1996

           Tor Jakob Klette and   
                  Zvi Griliches   The inconsistency of common scale
                                  estimators when output prices are
                                  unobserved and endogenous  . . . . . . . 343--361
        Paul Söderlind and   
                  Anders Vredin   Applied cointegration analysis in the
                                  mirror of macroeconomic theory . . . . . 363--381
               Tommaso Proietti   Persistence of shocks on seasonal
                                  processes  . . . . . . . . . . . . . . . 383--398
        Gabriele Fiorentini and   
          Giorgio Calzolari and   
              Lorenzo Panattoni   Analytic derivatives and the computation
                                  of GARCH estimates . . . . . . . . . . . 399--417
              John W. Galbraith   Credit rationing and threshold effects
                                  in the relation between money and output 419--429
                    Ray C. Fair   Computing median unbiased estimates in
                                  macroeconometric models  . . . . . . . . 431--435
                    Julian Silk   Systems estimation: A comparison of SAS,
                                  SHAZAM and TSP . . . . . . . . . . . . . 437--450
                      Anonymous   Forthcoming Papers . . . . . . . . . . . 451--451
                      Anonymous   \booktitleJournal of Applied
                                  Econometrics Data Archive  . . . . . . . 452--452
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 11, Number 5, September, 1996

         Francis X. Diebold and   
                 Mark W. Watson   Introduction: Econometric forecasting    453--454
            Clive W. J. Granger   Can we improve the perceived quality of
                                  economic forecasts?  . . . . . . . . . . 455--473
        Michael P. Clements and   
                David F. Hendry   Intercept corrections and structural
                                  change . . . . . . . . . . . . . . . . . 475--494
          Dennis L. Hoffman and   
               Robert H. Rasche   Assessing forecast performance in a
                                  cointegrated system  . . . . . . . . . . 495--517
               Jin-Lung Lin and   
                   Ruey S. Tsay   Co-integration constraint and
                                  forecasting: An empirical examination    519--538
                Andrew A. Weiss   Estimating time series models using the
                                  relevant cost function . . . . . . . . . 539--560
    Peter F. Christoffersen and   
             Francis X. Diebold   Further results on forecasting and model
                                  selection under asymmetric loss  . . . . 561--571
          James D. Hamilton and   
                       Gang Lin   Stock market volatility and the business
                                  cycle  . . . . . . . . . . . . . . . . . 573--593
                      Anonymous   Forthcoming Papers . . . . . . . . . . . 595--596
                      Anonymous   \booktitleJournal of Applied
                                  Econometrics Data Archive  . . . . . . . 597--597
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi

Journal of Applied Econometrics
Volume 11, Number 6, November, 1996

                      Anonymous   Announcement . . . . . . . . . . . . . . 599--599
             James G. MacKinnon   Numerical distribution functions for
                                  unit root and cointegration tests  . . . 601--618
            Leslie E. Papke and   
          Jeffrey M. Wooldridge   Econometric methods for fractional
                                  response variables with an application
                                  to 401(k) plan participation rates . . . 619--632
             Paul M. Anglin and   
          Ramazan Gençay   Semiparametric estimation of a hedonic
                                  price function . . . . . . . . . . . . . 633--648
                Marc Ivaldi and   
             Norbert Ladoux and   
        Hervé Ossard and   
                 Michel Simioni   Comparing Fourier and translog
                                  specifications of multiproduct
                                  technology: Evidence from an incomplete
                                  panel of French farmers  . . . . . . . . 649--667
                John Creedy and   
                  Jenny Lye and   
                Vance L. Martin   A non-linear model of the real US/UK
                                  exchange rate  . . . . . . . . . . . . . 669--686
              Richard G. Pierse   GAUSSX: Version 3.4  . . . . . . . . . . 687--693
               Denzil G. Fiebig   Book Review: \booktitleBook review:
                                  Bayesian analysis in statistics and
                                  econometrics: Essays in honor of Arnold
                                  Zellner. Edited by Donald A. Berry,
                                  Kathryn M. Challoner and John Geweke.
                                  John Wiley, New York, 1996, ISBN
                                  0-471-11856-7, hardbound, \pounds 90,
                                  pp.xxii + 577  . . . . . . . . . . . . . 695--697
                      Anonymous   Masthead . . . . . . . . . . . . . . . . fmi--fmi


Journal of Applied Econometrics
Volume 12, Number 1, January, 1997

               Insan Tunali and   
          Jonathan B. Pritchett   Cox regression with alternative concepts
                                  of waiting time: the New Orleans yellow
                                  fever epidemic of 1853 . . . . . . . . . 1--25
                 Morten O. Ravn   Permanent and transitory shocks, and the
                                  UK business cycle  . . . . . . . . . . . 27--48
              Fabio Fornari and   
                   Antonio Mele   Sign- and volatility-switching ARCH
                                  models: theory and applications to
                                  international stock markets  . . . . . . 49--65
           Edward Greenberg and   
                Robert P. Parks   A predictive approach to model selection
                                  and multicollinearity  . . . . . . . . . 67--75
         Francisco Cribari-Neto   Econometric programming environments:
                                  GAUSS, Ox and S-Plus . . . . . . . . . . 77--89
                Guido W. Imbens   Book Review: \booktitleThe Foundations
                                  of Econometric Analysis, David F. Hendry
                                  and Mary S. Morgan, Cambridge University
                                  Press, Cambridge, ISBN 0-521-38043-X,
                                  558pp, \pounds 40 hb.  . . . . . . . . . 91--94

Journal of Applied Econometrics
Volume 12, Number 2, March, 1997

            K. Rao Kadiyala and   
                  Sune Karlsson   Numerical methods for estimation and
                                  inference in Bayesian VAR-models . . . . 99--132
           Jeffrey A. Mills and   
            Sourushe Zandvakili   Statistical inference via bootstrapping
                                  for measures of inequality . . . . . . . 133--150
            Stephen G. Hall and   
       Zacharias Psaradakis and   
                    Martin Sola   Cointegration and changes in regime: the
                                  Japanese consumption function  . . . . . 151--168
                    Jeff Racine   Feasible cross--validatory model
                                  selection for general stationary
                                  processes  . . . . . . . . . . . . . . . 169--179
               B. D. Mccullough   A review of RATS v4.2: benchmarking
                                  numerical accuracy . . . . . . . . . . . 181--190
                Michael Mcaleer   Book review  . . . . . . . . . . . . . . 191--193

Journal of Applied Econometrics
Volume 12, Number 3, May, 1997

              Pravin K. Trivedi   Econometric models of event counts . . . 199--201
           A. Colin Cameron and   
                  Per Johansson   Count data regression using series
                                  expansions: with applications  . . . . . 203--223
                 Shiferaw Gurmu   Semi-parametric estimation of Hurdle
                                  regression models with an application to
                                  Medicaid3 utilization  . . . . . . . . . 225--242
        Bruno Crépon and   
                Emmanuel Duguet   Estimating the innovation function from
                                  patent numbers: GMM on count panel data  243--263
                Michele Cincera   Patents, R&D, and technological
                                  spillovers at the firm level: some
                                  evidence from econometric count models
                                  for panel data . . . . . . . . . . . . . 265--280
        F. A. G. Windmeijer and   
          J. M. C. Santos Silva   Endogeneity in count data models: an
                                  application to demand for health care    281--294
                 Peter Geil and   
            Andreas Million and   
                Ralph Rotte and   
            Klaus F. Zimmermann   Economic incentives and hospitalization
                                  in Germany . . . . . . . . . . . . . . . 295--311
                 Partha Deb and   
              Pravin K. Trivedi   Demand for medical care by the elderly:
                                  a finite mixture approach  . . . . . . . 313--336
                   John Mullahy   Heterogeneity, excess zeros, and the
                                  structure of count data models . . . . . 337--350

Journal of Applied Econometrics
Volume 12, Number 4, July, 1997

                  Kevin Lee and   
          M. Hashem Pesaran and   
                      Ron Smith   Growth and convergence in a
                                  multi-country empirical stochastic Solow
                                  model  . . . . . . . . . . . . . . . . . 357--392
                  Marco Bianchi   Testing for convergence: evidence from
                                  non-parametric multimodality tests . . . 393--409
                 Stephen Gordon   Stochastic trends, deterministic trends,
                                  and business cycle turning points  . . . 411--434
            Sarah E. Culver and   
                David H. Papell   Is there a unit root in the inflation
                                  rate? Evidence from sequential break and
                                  panel data models  . . . . . . . . . . . 435--444
                    Julian Silk   TSP 4.4: a review  . . . . . . . . . . . 445--453
                Jakob B. Madsen   Book review: \booktitleQuantitative
                                  Financial Economics: Stocks, Bonds and
                                  Foreign Exchange. Keith Cuthbertson.
                                  John Wiley, New York, 1996. ISBN
                                  0-471-95359-8 (cased), 0-471-95360-1
                                  pp470. Price: US\$95 (cased), US\$60
                                  (paperback)  . . . . . . . . . . . . . . 455--457

Journal of Applied Econometrics
Volume 12, Number 5, September / October, 1997

              Jan R. Magnus and   
                 Mary S. Morgan   Design of the experiment . . . . . . . . 459--465
              Jan R. Magnus and   
                 Mary S. Morgan   Organization of the experiment . . . . . 467--476
        Heather M. Anderson and   
                  Farshid Vahid   On the correspondence between individual
                                  and aggregate food consumption
                                  functions: evidence from the USA and The
                                  Netherlands  . . . . . . . . . . . . . . 477--507
             Hans Van Driel and   
              Venuta Nadall and   
                Kees Zeelenberg   The demand for food in the United States
                                  and The Netherlands: a systems approach
                                  with the CBS model . . . . . . . . . . . 509--532
               Edward E. Leamer   Revisiting Tobin's 1950 study of food
                                  expenditure  . . . . . . . . . . . . . . 533--561
            Peter M. Bearse and   
         Hamparsum Bozdogan and   
            Alan M. Schlottmann   Empirical econometric modelling of food
                                  consumption using a new informational
                                  complexity approach  . . . . . . . . . . 563--592
                Haiyan Song and   
                Xiaming Liu and   
                  Peter Romilly   A comparative study of modelling the
                                  demand for food in the United States and
                                  The Netherlands  . . . . . . . . . . . . 593--613
       Denis De Crombrugghe and   
              Franz C. Palm and   
             Jean-Pierre Urbain   Statistical demand functions for food in
                                  the USA and the Netherlands  . . . . . . 615--645
                    James Tobin   Comments by Professor James Tobin  . . . 647--650
              Jan R. Magnus and   
                 Mary S. Morgan   The data: a brief description  . . . . . 651--661

Journal of Applied Econometrics
Volume 12, Number 6, November / December, 1997

               Arie Kapteyn and   
           Sara van de Geer and   
          Huib Van de Stadt and   
                   Tom Wansbeek   Interdependent preferences: an
                                  econometric analysis . . . . . . . . . . 665--686
             Adrian R. Fleissig   The dynamic Laurent flexible form and
                                  the demand for money . . . . . . . . . . 687--699
            E. Philip Davis and   
                  Gabriel Fagan   Are financial spreads useful indicators
                                  of future inflation and output growth in
                                  EU countries?  . . . . . . . . . . . . . 701--714
                  Weike Hai and   
             Nelson C. Mark and   
                      Yangru Wu   Understanding spot and forward exchange
                                  rate regressions . . . . . . . . . . . . 715--734
     Francisco Cribari-Neto and   
                 Mark J. Jensen   MATLAB as an econometric programming
                                  environment  . . . . . . . . . . . . . . 735--744
                 Colin McKenzie   Book Reviews: \booktitleUndergraduate
                                  econometrics, R. C. Hill, W. E.
                                  Griffiths, and G. G. Judge, John Wiley,
                                  New York, 1997, A\$57.95, ISBN
                                  0-471-13993-9, pp. xiv + 366.
                                  \booktitle{Instructor's resource guide
                                  to accompany undergraduate
                                  econometrics}, W. E. Griffiths, R. C.
                                  Hill, and L. C. Marsh, John Wiley, New
                                  York, 1997, ISBN 0-471-19189-2, pp. 510
                                  + floppy disk} . . . . . . . . . . . . . 745--749


Journal of Applied Econometrics
Volume 13, Number 1, January / February, 1998

                Moshe Buchinsky   The dynamics of changes in the female
                                  wage distribution in the USA: a quantile
                                  regression approach  . . . . . . . . . . 1--30
            Kees G. Koedijk and   
            Philip A. Stork and   
             Casper G. De Vries   An EMS target zone model in discrete
                                  time . . . . . . . . . . . . . . . . . . 31--48
                      Y. K. Tse   The conditional heteroscedasticity of
                                  the yen-dollar exchange rate . . . . . . 49--55
                  Andreas Beyer   Modelling money demand in Germany  . . . 57--76
                 C. R. McKenzie   Microfit 4.0 . . . . . . . . . . . . . . 77--89
                  Kenneth Leong   Book Review: \booktitlePeriodicity and
                                  Stochastic Trends in Economic Time
                                  Series, Philip Hans Franses, Oxford
                                  University Press, Oxford, 1996, \pounds
                                  35.00 (hardback), ISBN 0-19-877453-2
                                  (hardback), pp. xii + 230  . . . . . . . 91--95

Journal of Applied Econometrics
Volume 13, Number 2, March / April, 1998

             Arnold Zellner and   
                       Hang Ryu   Alternative functional forms for
                                  production, cost and returns to scale
                                  functions  . . . . . . . . . . . . . . . 101--127
               Eric Ghysels and   
        Robert E. McCulloch and   
                   Ruey S. Tsay   Bayesian inference for periodic
                                  regime-switching models  . . . . . . . . 129--143
          Miguel A. Delgado and   
                      Juan Mora   Testing non-nested semiparametric
                                  models: an application to Engel curves
                                  specification  . . . . . . . . . . . . . 145--162
              Francis Vella and   
                  Marno Verbeek   Whose wages do unions raise? A dynamic
                                  model of unionism and wage rate
                                  determination for young men  . . . . . . 163--183
               J. S. Butler and   
         T. Aldrich Finegan and   
              John J. Siegfried   Does more calculus improve student
                                  learning in intermediate micro- and
                                  macroeconomic theory?  . . . . . . . . . 185--202
               Peter S. Sephton   Easyreg: version 1.12  . . . . . . . . . 203--207
                Jakob B. Madsen   Book review: \booktitleBasic
                                  Econometrics, Damodar N. Gujarati,
                                  McGraw-Hill, New York, 1995, ISBN
                                  0-07-025214-9 (paperback), pp. 838.
                                  Price US\$74.95}, \pounds 23.50
                                  (paperback)} . . . . . . . . . . . . . . 209--212

Journal of Applied Econometrics
Volume 13, Number 3, May / June, 1998

        Tobias Rydén and   
       Timo Teräsvirta and   
           Stefan Åsbrink   Stylized facts of daily return series
                                  and the hidden Markov model  . . . . . . 217--244
             Martin Martens and   
                Paul Kofman and   
                Ton C. F. Vorst   A threshold error-correction model for
                                  intraday futures and index returns . . . 245--263
           Michel Normandin and   
                Pascal St-Amour   Substitution, risk aversion, taste
                                  shocks and equity premia . . . . . . . . 265--281
              Marco Bianchi and   
                    Gylfi Zoega   Unemployment persistence: does the size
                                  of the shock matter? . . . . . . . . . . 283--304
                   Kenneth Kasa   Identifying the source of dynamics in
                                  disaggregated import data  . . . . . . . 305--320
                    David Tufte   CATS in RATS: cointegration analysis of
                                  time series: version 1.01  . . . . . . . 321--330

Journal of Applied Econometrics
Volume 13, Number 4, July / August, 1998

           Ronald J. Mahieu and   
              Peter C. Schotman   An empirical application of stochastic
                                  volatility models  . . . . . . . . . . . 333--360
          Jonathan R. W. Temple   Robustness tests of the augmented Solow
                                  model  . . . . . . . . . . . . . . . . . 361--375
           Robin C. Sickles and   
           Mary L. Streitwieser   An analysis of technology, productivity,
                                  and regulatory distortion in the
                                  interstate natural gas transmission
                                  industry: 1977--1985 . . . . . . . . . . 377--395
                  Mark M. Trede   The age profile of mobility measures: an
                                  application to earnings in West Germany  397--409
                  Jaime Marquez   Review of PcGive Professional 9.0 For
                                  Windows  . . . . . . . . . . . . . . . . 411--420
             Darrell Turkington   Book review: \booktitleHandbook of
                                  Matrices, Helmut Lütkepohl, Wiley, New
                                  York, 1996, ISBN 0-471-96688-6
                                  (hardback), pp. xvi + 304. Price
                                  A\$195.95 (hardback), A\$89.95
                                  (paperback)  . . . . . . . . . . . . . . 421--423

Journal of Applied Econometrics
Volume 13, Number 5, September / October, 1998

              Joel Horowitz and   
             Myoung-Jae Lee and   
         Bertrand Melenberg and   
               Arthur van Soest   Introduction: application of
                                  semiparametric methods for micro-data    431--433
           Richard Blundell and   
                Alan Duncan and   
               Krishna Pendakur   Semiparametric estimation and consumer
                                  demand . . . . . . . . . . . . . . . . . 435--461
             Sonia Bhalotra and   
                 Cliff Attfield   Intrahousehold resource allocation in
                                  rural Pakistan: a semiparametric
                                  analysis . . . . . . . . . . . . . . . . 463--480
         Marcia M. A. Schafgans   Ethnic wage differences in Malaysia:
                                  parametric and semiparametric estimation
                                  of the Chinese--Malay wage gap . . . . . 481--504
                 Andrew Chesher   Individual demands from household
                                  aggregates: time and age variation in
                                  the composition of diet  . . . . . . . . 505--524
           Michael C. Burda and   
       Wolfgang Härdle and   
        Marlene Müller and   
                   Axel Werwatz   Semiparametric analysis of German
                                  East-West migration intentions: facts
                                  and theory . . . . . . . . . . . . . . . 525--541
                 Craig A. Olson   A comparison of parametric and
                                  semiparametric estimates of the effect
                                  of spousal health insurance coverage on
                                  weekly hours worked by wives . . . . . . 543--565
                 Rob Euwals and   
         Bertrand Melenberg and   
               Arthur van Soest   Testing the predictive value of
                                  subjective labour supply data  . . . . . 567--585

Journal of Applied Econometrics
Volume 13, Number 6, November / December, 1998

          David De La Croix and   
             Jean-Pierre Urbain   Intertemporal substitution in import
                                  demand and habit formation . . . . . . . 589--612
               Stephen J. Perez   Causal ordering and `The bank lending
                                  channel' . . . . . . . . . . . . . . . . 613--626
              David Johnson and   
              Robert McClelland   A general dependence test and
                                  applications . . . . . . . . . . . . . . 627--644
            Badi H. Baltagi and   
           James M. Griffin and   
              Sharada R. Vadali   Excess capacity: a permanent
                                  characteristic of US airlines? . . . . . 645--657
        Prasad V. Bidarkota and   
            J. Huston McCulloch   Optimal univariate inflation forecasting
                                  with symmetric stable shocks . . . . . . 659--670
          Steven S. Vickner and   
              Stephen P. Davies   Comment: on the estimation of
                                  simultaneous-equations error-components
                                  models with an application to a model of
                                  developing country foreign trade . . . . 671--671
             Gilles Teyssi\`ere   XploRe 4.0, an interactive statistical
                                  computing environment  . . . . . . . . . 673--679
                 Colin McKenzie   Book Review: \booktitleTime Series and
                                  Dynamic Models, Christian Gourieroux and
                                  Alain Monfort, Cambridge University
                                  Press, Cambridge, 1997, ISBN
                                  0-521-41146-7 (hardbound), ISBN
                                  0-521-42308-2 (paperback), pp. xv + 668.
                                  Price \pounds 65.00 (hardbound), \pounds
                                  22.95 (paperback)  . . . . . . . . . . . 681--684


Journal of Applied Econometrics
Volume 14, Number 1, January / February, 1999

              Michael K. Salemi   Estimating the natural rate of
                                  unemployment and testing the natural
                                  rate hypothesis  . . . . . . . . . . . . 1--25
          Regina Celia Cati and   
        Marcio G. P. Garcia and   
                  Pierre Perron   Unit roots in the presence of abrupt
                                  governmental interventions with an
                                  application to Brazilian data  . . . . . 27--56
              J. D. Angrist and   
               G. W. Imbens and   
                  A. B. Krueger   Jackknife instrumental variables
                                  estimation . . . . . . . . . . . . . . . 57--67
       Sören Blomquist and   
                  Matz Dahlberg   Small sample properties of LIML and
                                  jackknife IV estimators: experiments
                                  with weak instruments  . . . . . . . . . 69--88
               B. D. McCullough   Book review: \booktitleMathematical
                                  Statistics for Economics and Business,
                                  Ron C. Mittelhammer, Springer-Verlag,
                                  New York, 1996, xviii + 723 pp. \$57.95,
                                  hardback only; solutions manual free to
                                  instructors who adopt the text.} . . . . 89--93

Journal of Applied Econometrics
Volume 14, Number 2, March / April, 1999

              Toshiaki Watanabe   A non-linear filtering approach to
                                  stochastic volatility models with an
                                  application to daily stock returns . . . 101--121
        Michael P. Clements and   
                   Jeremy Smith   A Monte Carlo study of the forecasting
                                  performance of empirical SETAR models    123--141
            Stephen G. Hall and   
       Zacharias Psaradakis and   
                    Martin Sola   Detecting periodically collapsing
                                  bubbles: a Markov-switching unit root
                                  test . . . . . . . . . . . . . . . . . . 143--154
                Tom Engsted and   
                  Niels Haldrup   Estimating the LQAC model with $ {\rm
                                  I}(2) $ variables  . . . . . . . . . . . 155--170
                 Basma Bekdache   The time-varying behaviour of real
                                  interest rates: a re-evaluation of the
                                  recent evidence  . . . . . . . . . . . . 171--190
               B. D. McCullough   Econometric software reliability:
                                  EViews, LIMDEP, SHAZAM and TSP . . . . . 191--202

Journal of Applied Econometrics
Volume 14, Number 3, May / June, 1999

           Richard Blundell and   
                Jean Marc Robin   Estimation in large and disaggregated
                                  demand systems: an estimator for
                                  conditionally linear systems . . . . . . 209--232
         Gregory S. Amacher and   
             Daniel Hellerstein   The error structure of time series
                                  cross-section hedonic models with
                                  sporadic event timing and serial
                                  correlation  . . . . . . . . . . . . . . 233--252
      Richard V. Burkhauser and   
            Amy Crews Cutts and   
               Mary C. Daly and   
             Stephen P. Jenkins   Testing the significance of income
                                  distribution changes over the 1980s
                                  business cycle: a cross-national
                                  comparison . . . . . . . . . . . . . . . 253--272
               Gianluca Cubadda   Common cycles in seasonal non-stationary
                                  time series  . . . . . . . . . . . . . . 273--291
                        In Choi   Testing the random walk hypothesis for
                                  real exchange rates  . . . . . . . . . . 293--308
             Jonathan H. Wright   Testing for a unit root in the
                                  volatility of asset returns  . . . . . . 309--318
     Francisco Cribari-Neto and   
               Spyros G. Zarkos   R: yet another econometric programming
                                  environment  . . . . . . . . . . . . . . 319--329

Journal of Applied Econometrics
Volume 14, Number 4, July / August, 1999

              Charles Romeo and   
                   Barry Sopher   Learning and decision costs in
                                  one-person games . . . . . . . . . . . . 335--357
              Joakim Skalin and   
           Timo Teräsvirta   Another look at Swedish business cycles,
                                  1861--1988 . . . . . . . . . . . . . . . 359--378
                  Woon Gyu Choi   Estimating the discount rate policy
                                  reaction function of the monetary
                                  authority  . . . . . . . . . . . . . . . 379--401
               Rolf Aaberge and   
              Ugo Colombino and   
           Steinar Stròm   Labour supply in Italy: an empirical
                                  analysis of joint household decisions,
                                  with taxes and quantity constraints  . . 403--422
                Badi H. Baltagi   Applied econometrics rankings:
                                  1989--1995 . . . . . . . . . . . . . . . 423--441
             James G. MacKinnon   The Linux operating system: Debian
                                  GNU/Linux  . . . . . . . . . . . . . . . 443--452

Journal of Applied Econometrics
Volume 14, Number 5, September / October, 1999

                         Kai Li   Exchange rate target zone models: a
                                  Bayesian evaluation  . . . . . . . . . . 461--490
                    Lutz Kilian   Exchange rates and monetary
                                  fundamentals: what do we learn from
                                  long-horizon regressions?  . . . . . . . 491--510
      Helmut Lütkepohl and   
       Timo Teräsvirta and   
            Jürgen Wolters   Investigating stability and linearity of
                                  a German M1 money demand function  . . . 511--525
               Zhenjuan Liu and   
               Thanasis Stengos   Non-linearities in cross-country growth
                                  regressions: a semiparametric approach   527--538
              Dick Van Dijk and   
        Philip Hans Franses and   
             André Lucas   Testing for ARCH in the presence of
                                  additive outliers  . . . . . . . . . . . 539--562
         James G. MacKinnon and   
             Alfred A. Haug and   
                   Leo Michelis   Numerical distribution functions of
                                  likelihood ratio tests for cointegration 563--577
                     Vania Sena   Stochastic frontier estimation: a review
                                  of the software options  . . . . . . . . 579--586

Journal of Applied Econometrics
Volume 14, Number 6, November / December, 1999

               Charles J. Romeo   Conducting inference in semiparametric
                                  duration models under inequality
                                  restrictions on the shape of the hazard
                                  implied by job search theory . . . . . . 587--605
            Thomas Aronsson and   
       Sören Blomquist and   
            Hans Sacklén   Identifying interdependent behaviour in
                                  an empirical model of labour supply  . . 607--626
             Douglas J. Hodgson   Adaptive estimation of cointegrated
                                  models: simulation evidence and an
                                  application to the forward exchange
                                  market . . . . . . . . . . . . . . . . . 627--650
                  Samita Sareen   Posterior odds comparison of a symmetric
                                  low-price, sealed-bid auction within the
                                  common-value and the
                                  independent-private-values paradigms . . 651--676
                      Gary Koop   Bayesian analysis, computation and
                                  communication software . . . . . . . . . 677--689


Journal of Applied Econometrics
Volume 15, Number 1, January / February, 2000

         William C. Horrace and   
                  Peter Schmidt   Multiple comparisons with the best, with
                                  economic applications  . . . . . . . . . 1--26
            Nadir Öcal and   
               Denise R. Osborn   Business cycle non-linearities in UK
                                  consumption and production . . . . . . . 27--43
             Kevin B. Grier and   
                  Mark J. Perry   The effects of real and nominal
                                  uncertainty on inflation and output
                                  growth: some GARCH-M evidence  . . . . . 45--58
                Bart Hobijn and   
            Philip Hans Franses   Asymptotically perfect and relative
                                  convergence of productivity  . . . . . . 59--81
                 Gael M. Martin   US deficit sustainability: a new
                                  approach based on multiple endogenous
                                  breaks . . . . . . . . . . . . . . . . . 83--105
                David M. Lilien   Econometric software reliability and
                                  nonlinear estimation in EViews: comment  107--110
               B. D. McCullough   Reply  . . . . . . . . . . . . . . . . . 111--111

Journal of Applied Econometrics
Volume 15, Number 2, March / April, 2000

         Geoffrey F. Loudon and   
               Wing H. Watt and   
               Pradeep K. Yadav   An empirical analysis of alternative
                                  parametric ARCH models . . . . . . . . . 117--136
           Roman Liesenfeld and   
                 Robert C. Jung   Stochastic volatility models:
                                  conditional normality versus
                                  heavy-tailed distributions . . . . . . . 137--160
                 Kul B. Luintel   Real exchange rate behaviour: evidence
                                  from black markets . . . . . . . . . . . 161--185
                     A. Yatchew   Scale economies in electricity
                                  distribution: a semiparametric analysis  187--210
                    H. D. Vinod   Review of GAUSS for Windows, including
                                  its numerical accuracy . . . . . . . . . 211--220

Journal of Applied Econometrics
Volume 15, Number 3, May / June, 2000

         Kellie Curry Raper and   
               H. Alan Love and   
             C. Richard Shumway   Determining market power exertion
                                  between buyers and sellers . . . . . . . 225--252
  José A. F. Machado and   
               José Mata   Box--Cox quantile regression and the
                                  distribution of firm sizes . . . . . . . 253--274
          C. Andrea Bollino and   
            Federico Perali and   
                   Nicola Rossi   Linear household technologies  . . . . . 275--287
           Wiji Arulampalam and   
                Alison L. Booth   Union status of young men in Britain: a
                                  decade of change . . . . . . . . . . . . 289--310
            David N. DeJong and   
             Beth F. Ingram and   
            Charles H. Whiteman   Keynesian impulses versus Solow
                                  residuals: identifying sources of
                                  business cycle fluctuations  . . . . . . 311--329
                      J. Racine   The Cygwin tools: a GNU toolkit for
                                  Windows  . . . . . . . . . . . . . . . . 331--341

Journal of Applied Econometrics
Volume 15, Number 4, July / August, 2000

                  A. R. Cardoso   Wage differentials across firms: an
                                  application of multilevel modelling  . . 343--354
               David Demery and   
                  Nigel W. Duck   Incomplete information and the time
                                  series behaviour of consumption  . . . . 355--366
             Stephen Pudney and   
                Michael Shields   Gender, race, pay and promotion in the
                                  British nursing profession: estimation
                                  of a generalized ordered probit model    367--399
              Matz Dahlberg and   
                  Eva Johansson   An examination of the dynamic behaviour
                                  of local governments using GMM
                                  bootstrapping methods  . . . . . . . . . 401--416
        Robert Gagné and   
                  Carmine Nappi   The cost and technological structure of
                                  aluminium smelters worldwide . . . . . . 417--432
                  P. S. Sephton   Financial analysis package for GAUSS . . 433--438

Journal of Applied Econometrics
Volume 15, Number 5, September / October, 2000

                    Ariel Pakes   Zvi Griliches 1930--1999 . . . . . . . . 443--444
            Daniel McFadden and   
                  Kenneth Train   Mixed MNL models for discrete response   447--470
               David Harvey and   
                   Paul Newbold   Tests for multiple forecast encompassing 471--482
       Francisco J. Ruge-Murcia   Uncovering financial markets' beliefs
                                  about inflation targets  . . . . . . . . 483--512
                   Markku Lanne   Near unit roots, cointegration, and the
                                  term structure of interest rates . . . . 513--529
          Dirk Eddelbüttel   Econometrics with Octave . . . . . . . . 531--542
              M. Hashem Pesaran   Editorial clarification  . . . . . . . . 543--543

Journal of Applied Econometrics
Volume 15, Number 6, November / December, 2000

                John Geweke and   
                  John Rust and   
             Herman K. Van Dijk   Introduction: inference and decision
                                  making . . . . . . . . . . . . . . . . . 545--546
            Aico Van Vuuren and   
     Gerard J. Van Den Berg and   
                   Geert Ridder   Measuring the equilibrium effects of
                                  unemployment benefits dispersion . . . . 547--574
                  Yannis Bilias   Sequential testing of duration data: the
                                  case of the Pennsylvania `reemployment
                                  bonus' experiment  . . . . . . . . . . . 575--594
          Todd R. Stinebrickner   Serially correlated variables in
                                  dynamic, discrete choice models  . . . . 595--624
               Gary Chamberlain   Econometric applications of maxmin
                                  expected utility . . . . . . . . . . . . 625--644
              Frank Schorfheide   Loss function-based evaluation of DSGE
                                  models . . . . . . . . . . . . . . . . . 645--670
             Charles S. Bos and   
           Ronald J. Mahieu and   
             Herman K. Van Dijk   Daily exchange rate behaviour and
                                  hedging of currency risk . . . . . . . . 671--696
               Mardi Dungey and   
            Vance L. Martin and   
                Adrian R. Pagan   A multivariate latent factor
                                  decomposition of international bond
                                  yield spreads  . . . . . . . . . . . . . 697--715
               Richard Paap and   
            Philip Hans Franses   A dynamic multinomial probit model for
                                  brand choice with different long-run and
                                  short-run effects of marketing-mix
                                  variables  . . . . . . . . . . . . . . . 717--744


Journal of Applied Econometrics
Volume 16, Number 1, January / February, 2001

             Michele Campolieti   Bayesian semiparametric estimation of
                                  discrete duration models: an application
                                  of the Dirichlet process prior . . . . . 1--22
         Maria Fraga O. Martins   Parametric and semiparametric estimation
                                  of sample selection models: an empirical
                                  application to the female labour force
                                  in Portugal  . . . . . . . . . . . . . . 23--39
                H. Youn Kim and   
                     Junsoo Lee   Quasi-fixed inputs and long-run
                                  equilibrium in production: a
                                  cointegration analysis . . . . . . . . . 41--57
             Douglas Fisher and   
         Adrian R. Fleissig and   
             Apostolos Serletis   An empirical comparison of flexible
                                  demand system functional forms . . . . . 59--80
                 Ruud H. Koning   A comparison of different \LaTeX
                                  programs . . . . . . . . . . . . . . . . 81--92
               M Hashem Pesaran   The Richard Stone Prize in Applied
                                  Econometrics . . . . . . . . . . . . . . 93--93
                      Anonymous   Journal of Applied Econometrics Annual
                                  Lecture Series . . . . . . . . . . . . . 94--94

Journal of Applied Econometrics
Volume 16, Number 2, March / April, 2001

     L. A. Gil-Alaña and   
                 P. M. Robinson   Testing of seasonal fractional
                                  integration in UK and Japanese
                                  consumption and income . . . . . . . . . 95--114
                    Stacie Beck   Autoregressive conditional
                                  heteroscedasticity in commodity spot
                                  prices . . . . . . . . . . . . . . . . . 115--132
               Wai Mun Fong and   
                   Kim Hock See   Modelling the conditional volatility of
                                  commodity index futures as a regime
                                  switching process  . . . . . . . . . . . 133--163
           Donald S. Kenkel and   
                Joseph V. Terza   The effect of physician advice on
                                  alcohol consumption: count regression
                                  with an endogenous treatment effect  . . 165--184
           Christopher A. Swann   Software for parallel computing: the LAM
                                  implementation of MPI  . . . . . . . . . 185--194
                      Anonymous   Journal of Applied Econometrics Annual
                                  Lecture Series . . . . . . . . . . . . . 195--195
                      Anonymous   Forthcoming papers . . . . . . . . . . . 196--196

Journal of Applied Econometrics
Volume 16, Number 3, May / June, 2001

            David F. Hendry and   
              M. Hashem Pesaran   A special issue in memory of John Denis
                                  Sargan: studies in empirical
                                  macroeconometrics  . . . . . . . . . . . 197--202
              Gavin Cameron and   
                John Muellbauer   Earnings, unemployment, and housing in
                                  Britain  . . . . . . . . . . . . . . . . 203--220
           Anindya Banerjee and   
            Lynne Cockerell and   
                   Bill Russell   An I(2) analysis of inflation and the
                                  markup . . . . . . . . . . . . . . . . . 221--240
           Neil R. Ericsson and   
              John S. Irons and   
                 Ralph W. Tryon   Output and inflation in the long run . . 241--253
                David F. Hendry   Modelling UK inflation, 1875--1991 . . . 255--275
       Timo Teräsvirta and   
         Ann-Charlotte Eliasson   Non-linear error correction and the UK
                                  demand for broad money, 1878--1993 . . . 277--288
          M. Hashem Pesaran and   
             Yongcheol Shin and   
               Richard J. Smith   Bounds testing approaches to the
                                  analysis of level relationships  . . . . 289--326
                A. R. Bergstrom   Stability and wage acceleration in
                                  macroeconomic models of cyclical growth  327--340
              Katarina Juselius   European integration and monetary
                                  transmission mechanisms: the case of
                                  Italy  . . . . . . . . . . . . . . . . . 341--358
    Massimiliano Marcellino and   
               Grayham E. Mizon   Small-system modelling of real wages,
                                  inflation, unemployment and output per
                                  capita in Italy 1970--1994 . . . . . . . 359--370
         Michael R. Wickens and   
                  Roberto Motto   Estimating shocks and impulse response
                                  functions  . . . . . . . . . . . . . . . 371--387
           Peter C. B. Phillips   Descriptive econometrics for
                                  non-stationary time series with
                                  empirical illustrations  . . . . . . . . 389--413
               Jukka Nyblom and   
                  Andrew Harvey   Testing against smooth stochastic trends 415--429
               D. Marinucci and   
                 P. M. Robinson   Finite sample improvements in
                                  statistical inference with I(1)
                                  processes  . . . . . . . . . . . . . . . 431--444
       Joseph G. Hirschberg and   
         Esfandiar Maasoumi and   
              Daniel J. Slottje   Clusters of attributes and well-being in
                                  the USA  . . . . . . . . . . . . . . . . 445--460

Journal of Applied Econometrics
Volume 16, Number 4, July / August, 2001

          Filippo Altissimo and   
           Giovanni L. Violante   The non-linear dynamics of output and
                                  unemployment in the U.S. . . . . . . . . 461--486
               Tor Jacobson and   
                Per Jansson and   
              Anders Vredin and   
                   Anders Warne   Monetary policy analysis and inflation
                                  targeting in a small open economy: a VAR
                                  approach*  . . . . . . . . . . . . . . . 487--520
                Kai-Li Wang and   
         Christopher Fawson and   
     Christopher B. Barrett and   
              James B. McDonald   A flexible parametric GARCH model with
                                  an application to exchange rates . . . . 521--536
              Philip A. Shively   Trend-stationary GNP: evidence from a
                                  new exact pointwise most powerful
                                  invariant unit root test . . . . . . . . 537--551
                    Mico Mrkaic   Scilab as an econometric programming
                                  system . . . . . . . . . . . . . . . . . 553--559
              M. Hashem Pesaran   Journal of Applied Econometrics
                                  Conference Sponsorship Grants  . . . . . 561--561
                      Anonymous   Forthcoming papers . . . . . . . . . . . 562--562

Journal of Applied Econometrics
Volume 16, Number 5, September / October, 2001

    Carmen Fernández and   
                Eduardo Ley and   
               Mark F. J. Steel   Model uncertainty in cross-country
                                  growth regressions . . . . . . . . . . . 563--576
          J. M. C. Santos Silva   A score test for non-nested hypotheses
                                  with applications to discrete data
                                  models . . . . . . . . . . . . . . . . . 577--597
              Jayasri Dutta and   
               J. A. Sefton and   
                    M. R. Weale   Income distribution and income dynamics
                                  in the United Kingdom  . . . . . . . . . 599--617
               Christian Belzil   Unemployment insurance and subsequent
                                  job duration: job matching versus
                                  unobserved heterogeneity . . . . . . . . 619--636
            Stanislav Kolenikov   Software review: Review of Stata 7 . . . 637--646
                Anthony Garratt   Book Review: \booktitleApplied
                                  macroeconometrics, Carlo A. Favero,
                                  Oxford University Press, Oxford, 2001,
                                  ISBN 0-19-877583-0 (hardback), pp. xi +
                                  282, \pounds 40.00 . . . . . . . . . . . 647--652
              M. Hashem Pesaran   Journal of Applied Econometrics
                                  distinguished authors  . . . . . . . . . 653--654
                      Anonymous   Forthcoming papers . . . . . . . . . . . 655--655

Journal of Applied Econometrics
Volume 16, Number 6, November / December, 2001

         Francis X. Diebold and   
                    Lutz Kilian   Measuring predictability: theory and
                                  macroeconomic applications . . . . . . . 657--669
               Alex Maynard and   
           Peter C. B. Phillips   Rethinking an old empirical puzzle:
                                  econometric evidence on the forward
                                  discount anomaly . . . . . . . . . . . . 671--708
   Christopher J. O'Donnell and   
         Alicia N. Rambaldi and   
                Howard E. Doran   Estimating economic relationships
                                  subject to firm- and time-varying
                                  equality and inequality constraints  . . 709--726
                  G. Coenen and   
                     J.-L. Vega   The demand for M3 in the euro area . . . 727--748
                   Melvyn Weeks   Book Review: \booktitleMeasurement error
                                  and latent variables in econometrics,
                                  Tom Wansbeek and Erik Meijer, advanced
                                  textbooks in economics: editors C. Bliss
                                  and M. D. Intriligator, North-Holland,
                                  Amsterdam  . . . . . . . . . . . . . . . 749--753


Journal of Applied Econometrics
Volume 17, Number 1, January / February, 2002

            Arnstein Aassve and   
              Simon Burgess and   
             Andrew Chesher and   
                  Carol Propper   Transitions from home to marriage of
                                  young Americans  . . . . . . . . . . . . 1--23
                Guy Laroque and   
         Bernard Salanié   Labour market institutions and
                                  employment in France . . . . . . . . . . 25--48
        Demetrios Vakratsas and   
                  Frank M. Bass   A segment-level hazard approach to
                                  studying household purchase timing
                                  decisions  . . . . . . . . . . . . . . . 49--59
             Maximo Camacho and   
           Gabriel Perez-Quiros   This is what the leading indicators lead 61--80
              Ian J. Irvine and   
                William A. Sims   A simple and efficient method for
                                  estimating the magnitude and precision
                                  of welfare changes: comment  . . . . . . 81--83
               Richard A. March   A review of SORITEC for Windows  . . . . 85--90

Journal of Applied Econometrics
Volume 17, Number 2, March / April, 2002

                I. A. Moosa and   
                   J. L. Baxter   Modelling the trend and seasonals within
                                  an AIDS model of the demand for
                                  alcoholic beverages in the United
                                  Kingdom  . . . . . . . . . . . . . . . . 95--106
                Lutz Kilian and   
                        Tao Zha   Quantifying the uncertainty about the
                                  half-life of deviations from PPP . . . . 107--125
           Efthymios G. Tsionas   Stochastic frontier models with random
                                  coefficients . . . . . . . . . . . . . . 127--147
          Christopher Otrok and   
               B. Ravikumar and   
            Charles H. Whiteman   Evaluating asset-pricing models using
                                  the Hansen--Jagannathan bound: a Monte
                                  Carlo investigation  . . . . . . . . . . 149--174
                Jeff Racine and   
                    Rob Hyndman   Using R to teach econometrics  . . . . . 175--189
                   Melvyn Weeks   Book Reviews: \booktitleIntroductory
                                  Econometrics: A Modern Approach, Jeffrey
                                  M. Wooldridge, South-Western College
                                  Publishing, 2000, 1-538-85013-2, 824,
                                  Price (hb) \$98.75}  . . . . . . . . . . 191--193

Journal of Applied Econometrics
Volume 17, Number 3, May / June, 2002

            Fabrice Collard and   
             Patrick F\`eve and   
     François Langot and   
              Corinne Perraudin   A structural model of US aggregate job
                                  flows  . . . . . . . . . . . . . . . . . 197--223
              Andreas Blume and   
          Douglas V. DeJong and   
          George R. Neumann and   
                    N. E. Savin   Learning and communication in
                                  sender-receiver games: an econometric
                                  investigation  . . . . . . . . . . . . . 225--247
                Hans G. Bloemen   The relation between wealth and labour
                                  market transitions: an empirical study
                                  for the Netherlands  . . . . . . . . . . 249--268
           Michael S. Haigh and   
                Matthew T. Holt   Crack spread hedging: accounting for
                                  time-varying volatility spillovers in
                                  the energy futures markets . . . . . . . 269--289
               D. S. G. Pollock   A review of TSW: the Windows version of
                                  the TRAMO--SEATS program . . . . . . . . 291--299

Journal of Applied Econometrics
Volume 17, Number 4, July / August, 2002

          Timothy G. Conley and   
                   Giorgio Topa   Socio-economic distance and spatial
                                  patterns in unemployment . . . . . . . . 303--327
              Jyotsna Jalan and   
               Martin Ravallion   Geographic poverty traps? A micro model
                                  of consumption growth in rural China . . 329--346
        Philip Hans Franses and   
                   Richard Paap   Censored latent effects autoregression,
                                  with an application to US unemployment   347--366
               James E. Prieger   A flexible parametric selection model
                                  for non-normal data with application to
                                  health care usage  . . . . . . . . . . . 367--392
                Joseph V. Terza   Alcohol abuse and employment: a second
                                  look . . . . . . . . . . . . . . . . . . 393--404
          Giovanni Baiocchi and   
                 Walter Distaso   Visual econometrics: teaching and
                                  practising econometrics using ViSta  . . 405--414
               B. D. McCullough   Book Review: \booktitleProbability
                                  theory and statistical inference:
                                  econometric modelling with observational
                                  data, Aris Spanos, Cambridge University
                                  Press, 1999, pp. 815 + xxviii, price
                                  (pb) \$49.95, (hb) \$105.00  . . . . . . 415--418

Journal of Applied Econometrics
Volume 17, Number 5, September / October, 2002

        Philip Hans Franses and   
                Michael McAleer   Financial volatility: an introduction    419--424
                   Robert Engle   New frontiers for ARCH models  . . . . . 425--446
            Clive W. J. Granger   Some comments on risk  . . . . . . . . . 447--456
   Ole E. Barndorff-Nielsen and   
                  Neil Shephard   Estimating quadratic variation using
                                  realized variance  . . . . . . . . . . . 457--477
                   Nour Meddahi   A theoretical comparison between
                                  integrated and realized volatility . . . 479--508
                 Felix Chan and   
                Michael McAleer   Maximum likelihood estimation of STAR
                                  and STAR--GARCH models: theory and Monte
                                  Carlo evidence . . . . . . . . . . . . . 509--534
              Lars Forsberg and   
                 Tim Bollerslev   Bridging the gap between the
                                  distribution of realized (ECU)
                                  volatility and ARCH modelling (of the
                                  Euro): the GARCH--NIG model  . . . . . . 535--548
              Roy van der Weide   GO--GARCH: a multivariate generalized
                                  orthogonal GARCH model . . . . . . . . . 549--564
               Yi-Ting Chen and   
                Chung-Ming Kuan   Time irreversibility and EGARCH effects
                                  in US stock index returns  . . . . . . . 565--578
              Elena Andreou and   
                   Eric Ghysels   Detecting multiple breaks in financial
                                  market volatility dynamics . . . . . . . 579--600
        Philip Hans Franses and   
         Marco Van Der Leij and   
                   Richard Paap   Modelling and forecasting level shifts
                                  in absolute returns  . . . . . . . . . . 601--616

Journal of Applied Econometrics
Volume 17, Number 6, December, 2002

         Douglas J. Hodgson and   
              Oliver Linton and   
                  Keith Vorkink   Testing the capital asset pricing model
                                  efficiently under elliptical symmetry: a
                                  semiparametric approach  . . . . . . . . 617--639
            Sudip Chattopadhyay   Divergence in alternative Hicksian
                                  welfare measures: the case of revealed
                                  preference for public amenities  . . . . 641--666
           Siem Jan Koopman and   
           Eugenie Hol Uspensky   The stochastic volatility in mean model:
                                  empirical evidence from international
                                  stock markets  . . . . . . . . . . . . . 667--689
       Jorge Belaire-Franch and   
                Dulce Contreras   How to compute the BDS test: a software
                                  comparison . . . . . . . . . . . . . . . 691--699
                  Wiebke Kuklys   Book Review: \booktitleStated choice
                                  methods: analysis and application,
                                  Jordan J. Louviere, David A. Hensher and
                                  Joffre D. Swait, Cambridge University
                                  Press, ISBN: 0-521-78830-7 . . . . . . . 701--704


Journal of Applied Econometrics
Volume 18, Number 1, January / February, 2003

                 Jushan Bai and   
                  Pierre Perron   Computation and analysis of multiple
                                  structural change models . . . . . . . . 1--22
            Adrian R. Pagan and   
            Kirill A. Sossounov   A simple framework for analysing bull
                                  and bear markets . . . . . . . . . . . . 23--46
              P. A. Geroski and   
                S. Lazarova and   
                    G. Urga and   
                  C. F. Walters   Are differences in firm size transitory
                                  or permanent?  . . . . . . . . . . . . . 47--59
             Stefan Hochguertel   Precautionary motives and portfolio
                                  decisions  . . . . . . . . . . . . . . . 61--77
         Christopher H. Wheeler   Evidence on agglomeration economies,
                                  diseconomies, and growth . . . . . . . . 79--104
          Giovanni Baiocchi and   
                 Walter Distaso   GRETL: Econometric software for the GNU
                                  generation . . . . . . . . . . . . . . . 105--110
                 Hashem Pesaran   Introducing a replication section  . . . 111--111
        Philipp Schmidt-Dengler   A structural model of aggregate US job
                                  flows: another look  . . . . . . . . . . 113--118
           David M. Drukker and   
                    Weihua Guan   ``Replicating the results in `On
                                  efficient estimation with panel data: an
                                  empirical comparison of instrumental
                                  variables estimators'\,'': by Baltagi,
                                  B. H. and Khanti-Akom, S. (1990),
                                  Journal of Applied Econometrics, Vol \bf
                                  5, pages 401--406  . . . . . . . . . . . 119--119

Journal of Applied Econometrics
Volume 18, Number 2, March / April, 2003

                  Arthur Lewbel   A rational rank four demand system . . . 127--135
             Juan J. Dolado and   
       Jesús Gonzalo and   
                  Laura Mayoral   Long-range dependence in Spanish
                                  political opinion poll series  . . . . . 137--155
            Andrew M. Jones and   
         José M. Labeaga   Individual heterogeneity and censoring
                                  in panel data estimates of tobacco
                                  expenditure  . . . . . . . . . . . . . . 157--177
               Sandra Campo and   
          Isabelle Perrigne and   
                    Quang Vuong   Asymmetry in first-price auctions with
                                  affiliated private values  . . . . . . . 179--207
          Philippe J. Deschamps   Time-varying intercepts and equilibrium
                                  analysis: an extension of the dynamic
                                  almost ideal demand model  . . . . . . . 209--236
                     Curt Wells   Retesting Fair's (1978) model on
                                  infidelity . . . . . . . . . . . . . . . 237--239
             C. R. McKenzie and   
                 Sumiko Takaoka   2002: A LIMDEP odyssey . . . . . . . . . 241--247
                      Anonymous   Erratum: \booktitleJournal of Applied
                                  Econometrics Vol \bf 18 No 1 2003, pages
                                  47--59. Are differences in firm size
                                  transitory or permanent? P. A. Geroski,
                                  S. Lazarova, G. Urga and C. F. Walters   249--249

Journal of Applied Econometrics
Volume 18, Number 3, May / June, 2003

                    Ron Shachar   Party loyalty as habit formation . . . . 251--269
       Zacharias Psaradakis and   
                    Martin Sola   On detrending and cyclical asymmetry . . 271--289
         Alexandra L. Minicozzi   Estimation of sons' intergenerational
                                  earnings mobility in the presence of
                                  censoring  . . . . . . . . . . . . . . . 291--314
           Justin L. Tobias and   
                   Mingliang Li   A finite-sample hierarchical analysis of
                                  wage variation across public high
                                  schools: evidence from the NLSY and high
                                  school and beyond  . . . . . . . . . . . 315--336
            Marcel Kerkhofs and   
                 Peter Kooreman   Identification and estimation of a class
                                  of household production models . . . . . 337--369
              Giovanni Baiocchi   Managing econometric projects using Perl 371--378
                       M. Weeks   Book Review: \booktitleDiscrete choice
                                  methods with simulation, Kenneth E.
                                  Train, Cambridge University Press, 2003,
                                  ISBN: 0-521-81696-3, pp. 334 . . . . . . 379--383

Journal of Applied Econometrics
Volume 18, Number 4, July / August, 2003

          Regina T. Riphahn and   
              Achim Wambach and   
                Andreas Million   Incentive effects in the demand for
                                  health care: a bivariate panel count
                                  data estimation  . . . . . . . . . . . . 387--405
            Matthew T. Holt and   
             Andrew M. McKenzie   Quasi-rational and ex ante price
                                  expectations in commodity supply models:
                                  an empirical analysis of the US broiler
                                  market . . . . . . . . . . . . . . . . . 407--426
         Roberto S. Mariano and   
              Yasutomo Murasawa   A new coincident index of business
                                  cycles based on monthly and quarterly
                                  series . . . . . . . . . . . . . . . . . 427--443
        Michael P. Clements and   
                    Nick Taylor   Evaluating interval forecasts of
                                  high-frequency financial data  . . . . . 445--456
                     Ken Nyholm   Inferring the private information
                                  content of trades: a regime-switching
                                  approach . . . . . . . . . . . . . . . . 457--470
                 Barry Falk and   
                Chun-Hsuan Wang   Testing long-run PPP with
                                  infinite-variance returns  . . . . . . . 471--484
                    H. D. Vinod   Review of mathStatica (v.1): an add-on
                                  to Mathematica . . . . . . . . . . . . . 485--491

Journal of Applied Econometrics
Volume 18, Number 5, September / October, 2003

          Steven N. Durlauf and   
              Robert A. Moffitt   Special issue on empirical analysis of
                                  social interactions  . . . . . . . . . . 499--499
               Dennis Epple and   
             Richard Romano and   
                    Holger Sieg   Peer effects, financial aid and
                                  selection of students into colleges and
                                  universities: an empirical analysis  . . 501--525
           Eric A. Hanushek and   
               John F. Kain and   
           Jacob M. Markman and   
               Steven G. Rivkin   Does peer ability affect student
                                  achievement? . . . . . . . . . . . . . . 527--544
           Marianne E. Page and   
                     Gary Solon   Correlations between sisters and
                                  neighbouring girls in their subsequent
                                  income as adults . . . . . . . . . . . . 545--562
        Yannis M. Ioannides and   
               Jeffrey E. Zabel   Neighbourhood effects and housing demand 563--584
             Daniel I. Rees and   
             Jeffrey S. Zax and   
                 Joshua Herries   Interdependence in worker productivity   585--604
          Timothy G. Conley and   
                   Giorgio Topa   Identification of local interaction
                                  models with imperfect location data  . . 605--618
              M. Hashem Pesaran   Journal of applied econometrics scholars
                                  programme  . . . . . . . . . . . . . . . 619--619

Journal of Applied Econometrics
Volume 18, Number 6, November / December, 2003

                Gordon Anderson   Poverty in America 1970--1990: who did
                                  gain ground? An application of
                                  stochastic dominance criteria employing
                                  simultaneous inequality tests in a
                                  partial panel  . . . . . . . . . . . . . 621--640
                Pierre Giot and   
       Sébastien Laurent   Value-at-risk for long and short trading
                                  positions  . . . . . . . . . . . . . . . 641--663
           Pedro H. Albuquerque   A practical log-linear aggregation
                                  method with examples: heterogeneous
                                  income growth in the USA . . . . . . . . 665--678
           Christian Belzil and   
             Jörgen Hansen   Structural estimates of the
                                  intergenerational education correlation  679--696
            Denis Foug\`ere and   
               Thierry Kamionka   Bayesian inference for the mover-stayer
                                  model in continuous time with an
                                  application to labour market transition
                                  data . . . . . . . . . . . . . . . . . . 697--723
               Chris Brooks and   
             Simon P. Burke and   
                   Gita Persand   Multivariate GARCH models: software
                                  choice and estimation issues . . . . . . 725--734


Journal of Applied Econometrics
Volume 19, Number 1, January / February, 2004

        Christopher F. Baum and   
           Mustafa Caglayan and   
                 Neslihan Ozkan   Nonlinear effects of exchange rate
                                  volatility on the volume of bilateral
                                  exports  . . . . . . . . . . . . . . . . 1--23
              M. Ryan Haley and   
               Harry J. Paarsch   The stochastic implications of rent
                                  maximization: an application to stumpage
                                  rates for timber in British Columbia . . 25--48
       Kostas G. Mavromaras and   
                  Chris D. Orme   Temporary layoffs and split population
                                  models . . . . . . . . . . . . . . . . . 49--67
       Zacharias Psaradakis and   
                Martin Sola and   
                 Fabio Spagnolo   On Markov error-correction models, with
                                  an application to stock prices and
                                  dividends  . . . . . . . . . . . . . . . 69--88
           Allan W. Gregory and   
             Alfred A. Haug and   
               Nicoletta Lomuto   Mixed signals among tests for
                                  cointegration  . . . . . . . . . . . . . 89--98
                Gunnar Isacsson   Estimating the economic return to
                                  educational levels using data on twins   99--119
          Christophe Planas and   
               Alessandro Rossi   Can inflation data improve the real-time
                                  reliability of output gap estimates? . . 121--133
           Dario Cziráky   LISREL 8.54: A program for structural
                                  equation modelling with latent variables 135--141

Journal of Applied Econometrics
Volume 19, Number 2, March / April, 2004

           L. Vanessa Smith and   
          Stephen Leybourne and   
               Tae-Hwan Kim and   
                   Paul Newbold   More powerful panel data unit root tests
                                  with an application to mean reversion in
                                  real exchange rates  . . . . . . . . . . 147--170
       Winford H. Masanjala and   
             Chris Papageorgiou   The Solow model with CES technology:
                                  nonlinearities and parameter
                                  heterogeneity  . . . . . . . . . . . . . 171--201
               Mingliang Li and   
            Dale J. Poirier and   
               Justin L. Tobias   Do dropouts suffer from dropping out?
                                  Estimation and prediction of outcome
                                  gains in generalized selection models    203--225
                Peter Egger and   
            Michael Pfaffermayr   Distance, trade and FDI: a
                                  Hausman--Taylor SUR approach . . . . . . 227--246
       Gonzalo Camba-Mendez and   
                       Ana Lamo   Short-term monitoring of fiscal policy
                                  discipline . . . . . . . . . . . . . . . 247--265
              Samson B. Adebayo   Bayesian geoadditive modelling of
                                  breastfeeding initiation in Nigeria  . . 267--281
                 Ruud H. Koning   FinMetrics: analysis of financial data
                                  in S-PLUS  . . . . . . . . . . . . . . . 283--290

Journal of Applied Econometrics
Volume 19, Number 3, May / June, 2004

               Shin-Yi Chou and   
                Jin-Tan Liu and   
                 Cliff J. Huang   Health insurance and savings over the
                                  life cycle --- a semiparametric smooth
                                  coefficient estimation . . . . . . . . . 295--322
                 Myoung-Jae Lee   Selection correction and sensitivity
                                  analysis for ordered treatment effect on
                                  count response . . . . . . . . . . . . . 323--337
          Arabinda Basistha and   
                 Richard Startz   Why were changes in the federal funds
                                  rate smaller in the 1990s? . . . . . . . 339--354
             Patrick J. Coe and   
                 James M. Nason   Long-run monetary neutrality and
                                  long-horizon regressions . . . . . . . . 355--373
        Markus Frölich and   
             Almas Heshmati and   
                Michael Lechner   A microeconometric evaluation of
                                  rehabilitation of long-term sickness in
                                  Sweden . . . . . . . . . . . . . . . . . 375--396
            Sanghamitra Das and   
             Ramprasad Sengupta   Projection pursuit regression and
                                  disaggregate productivity effects: the
                                  case of the Indian blast furnaces  . . . 397--418
                   Buhong Zheng   Poverty comparisons with dependent
                                  samples  . . . . . . . . . . . . . . . . 419--428
            Andrés Romeu   ExpEnd: GAUSS code for panel count-data
                                  models . . . . . . . . . . . . . . . . . 429--434

Journal of Applied Econometrics
Volume 19, Number 4, July / August, 2004

                 Stephen Pudney   Keeping off the grass? An econometric
                                  model of cannabis consumption in Britain 435--453
              Rainer Winkelmann   Health care reform and the number of
                                  doctor visits --- an econometric
                                  analysis . . . . . . . . . . . . . . . . 455--472
           Paul Contoyannis and   
            Andrew M. Jones and   
                     Nigel Rice   The dynamics of health in the British
                                  Household Panel Survey . . . . . . . . . 473--503
             Paul W. Wilson and   
                 Kathleen Carey   Nonparametric analysis of returns to
                                  scale in the US hospital industry  . . . 505--524
                     Bernd Hayo   Review of PcGive 10  . . . . . . . . . . 525--531
                      Qi Li and   
                    Jeff Racine   Predictor relevance and extramarital
                                  affairs  . . . . . . . . . . . . . . . . 533--535

Journal of Applied Econometrics
Volume 19, Number 5, September / October, 2004

                Gordon Anderson   Making inferences about the
                                  polarization, welfare and poverty of
                                  nations: a study of 101 countries
                                  1970--1995 . . . . . . . . . . . . . . . 537--550
             Kevin B. Grier and   
       Ólan T. Henry and   
             Nilss Olekalns and   
              Kalvinder Shields   The asymmetric effects of uncertainty on
                                  inflation and output growth  . . . . . . 551--565
              Byung M. Jeon and   
               Robin C. Sickles   The role of environmental factors in
                                  growth accounting  . . . . . . . . . . . 567--591
         Lorenzo Cappellari and   
             Stephen P. Jenkins   Modelling low income transitions . . . . 593--610
              Rob Luginbuhl and   
               Siem Jan Koopman   Convergence in European GDP series: a
                                  multivariate common converging
                                  trend-cycle decomposition  . . . . . . . 611--636
             Albert K. Tsui and   
                     Kin-Yip Ho   Conditional heteroscedasticity of
                                  exchange rates: further results based on
                                  the fractionally integrated approach . . 637--642

Journal of Applied Econometrics
Volume 19, Number 6, 2004

    Bent Jesper Christensen and   
       Nabanita Datta Gupta and   
                      John Rust   Special issue on the econometrics of
                                  social insurance . . . . . . . . . . . . 647--648
  Hugo Benítez-Silva and   
            Moshe Buchinsky and   
               Hiu Man Chan and   
          Sofia Cheidvasser and   
                      John Rust   How large is the bias in self-reported
                                  disability?  . . . . . . . . . . . . . . 649--670
      Richard V. Burkhauser and   
               J. S. Butler and   
                   Gulcin Gumus   Dynamic programming model estimates of
                                  Social Security Disability Insurance
                                  application timing . . . . . . . . . . . 671--685
                 Mark Y. An and   
    Bent Jesper Christensen and   
           Nabanita Datta Gupta   Multivariate mixed proportional hazard
                                  modelling of the joint retirement of
                                  married couples  . . . . . . . . . . . . 687--704
                Eric French and   
              John Bailey Jones   On the distribution and dynamics of
                                  health care costs  . . . . . . . . . . . 705--721
            Alan L. Gustman and   
           Thomas L. Steinmeier   Social security, pensions and retirement
                                  behaviour within the family  . . . . . . 723--737
                    Arjan Heyma   A structural dynamic analysis of
                                  retirement behaviour in the Netherlands  739--759
            Michael D. Hurd and   
             James P. Smith and   
         Julie M. Zissimopoulos   The effects of subjective survival on
                                  retirement and Social Security claiming  761--775
        Mauro Mastrogiacomo and   
                Rob Alessie and   
              Maarten Lindeboom   Retirement behaviour of Dutch elderly
                                  households . . . . . . . . . . . . . . . 777--793
           Anders Karlstrom and   
               Marten Palme and   
               Ingemar Svensson   A dynamic programming approach to model
                                  the retirement behaviour of blue-collar
                                  workers in Sweden  . . . . . . . . . . . 795--807
         Peter Skogman Thoursie   Reporting sick: are sporting events
                                  contagious?  . . . . . . . . . . . . . . 809--823

Journal of Applied Econometrics
Volume 19, Number 7, November / December, 2004

                  Gary Koop and   
               Justin L. Tobias   Learning about heterogeneity in returns
                                  to schooling . . . . . . . . . . . . . . 827--849
                    Ling Hu and   
           Peter C. B. Phillips   Dynamics of the federal funds target
                                  rate: a nonstationary discrete choice
                                  approach . . . . . . . . . . . . . . . . 851--867
                 Yixiao Sun and   
           Peter C. B. Phillips   Understanding the Fisher equation  . . . 869--886
          Jill J. McCluskey and   
          Kwamena K. Quagrainie   Measurement of industry conduct with a
                                  latent structure . . . . . . . . . . . . 887--897
                Ralf Becker and   
              Walter Enders and   
                      Stan Hurn   A general test for time dependence in
                                  parameters . . . . . . . . . . . . . . . 899--906


Journal of Applied Econometrics
Volume 20, Number 1, January / February, 2005

                 Bart Cockx and   
               Muriel Dejemeppe   Duration dependence in the exit rate out
                                  of unemployment in Belgium. Is it true
                                  or spurious? . . . . . . . . . . . . . . 1--23
               Neus Herranz and   
               Ricardo Mora and   
           Javier Ruiz-Castillo   An algorithm to reduce the occupational
                                  space in gender segregation studies  . . 25--37
          Jeffrey M. Wooldridge   Simple solutions to the initial
                                  conditions problem in dynamic, nonlinear
                                  panel data models with unobserved
                                  heterogeneity  . . . . . . . . . . . . . 39--54
         Esfandiar Maasoumi and   
             Daniel L. Millimet   Robust inference concerning recent
                                  trends in US environmental quality . . . 55--77
                  Robert Sollis   Evidence on purchasing power parity from
                                  univariate models: the case of smooth
                                  transition trend-stationarity  . . . . . 79--98
              Achim Zeileis and   
           Friedrich Leisch and   
          Christian Kleiber and   
                    Kurt Hornik   Monitoring structural change in dynamic
                                  econometric models . . . . . . . . . . . 99--121
                 Til Schuermann   A review of recent books on credit risk  123--130
   Sébastien Laurent and   
             Jean-Pierre Urbain   Bridging the gap between Ox and Gauss
                                  using OxGauss  . . . . . . . . . . . . . 131--139

Journal of Applied Econometrics
Volume 20, Number 2, 2005

              Dick van Dijk and   
         Herman K. van Dijk and   
            Philip Hans Franses   On the dynamics of business cycle
                                  analysis: Editors' introduction  . . . . 147--150
                Don Harding and   
                   Adrian Pagan   A suggested framework for classifying
                                  the modes of cycle research  . . . . . . 151--159
                Frank Smets and   
                    Raf Wouters   Comparing shocks and frictions in US and
                                  euro area business cycles: a Bayesian
                                  DSGE Approach  . . . . . . . . . . . . . 161--183
                  Gert Peersman   What caused the early millennium
                                  slowdown? Evidence based on vector
                                  autoregressions  . . . . . . . . . . . . 185--207
        Jan P. A. M. Jacobs and   
              Kenneth F. Wallis   Comparing SVARs and SEMs: two models of
                                  the UK economy . . . . . . . . . . . . . 209--228
                   Fabio Canova   The transmission of US shocks to Latin
                                  America  . . . . . . . . . . . . . . . . 229--251
          Penelope A. Smith and   
               Peter M. Summers   How well do Markov switching models
                                  describe actual business cycles? The
                                  case of synchronization  . . . . . . . . 253--274
          Vasco M. Carvalho and   
               Andrew C. Harvey   Convergence in the trends and cycles of
                                  Euro-zone income . . . . . . . . . . . . 275--289
              Chang-Jin Kim and   
               James Morley and   
                   Jeremy Piger   Nonlinearity and the permanent effects
                                  of recessions  . . . . . . . . . . . . . 291--309
           Siem Jan Koopman and   
             André Lucas   Business and default cycles for credit
                                  risk . . . . . . . . . . . . . . . . . . 311--323

Journal of Applied Econometrics
Volume 20, Number 3, March / April, 2005

            David E. Rapach and   
                  Mark E. Wohar   Valuation ratios and long-horizon stock
                                  price predictability . . . . . . . . . . 327--344
                Lucio Sarno and   
                Giorgio Valente   Modelling and forecasting stock returns:
                                  exploiting the futures market, regime
                                  shifts and international spillovers  . . 345--376
                  G. C. Lim and   
               G. M. Martin and   
                   V. L. Martin   Parametric pricing of higher order
                                  moments in S&P500 options . . . . . . . . 377--404
                    Aaron Smith   Partially overlapping time series: a new
                                  model for volatility dynamics in
                                  commodity futures  . . . . . . . . . . . 405--422
             Fabio Spagnolo and   
       Zacharias Psaradakis and   
                    Martin Sola   Testing the unbiased forward exchange
                                  rate hypothesis using a Markov switching
                                  model and instrumental variables . . . . 423--437
              Joshua C. C. Chan   Replication of the results in `learning
                                  about heterogeneity in returns to
                                  schooling' . . . . . . . . . . . . . . . 439--443

Journal of Applied Econometrics
Volume 20, Number 4, May / June, 2005

  José A. F. Machado and   
               José Mata   Counterfactual decomposition of changes
                                  in wage distributions using quantile
                                  regression . . . . . . . . . . . . . . . 445--465
            Joachim Grammig and   
             Reinhard Hujer and   
              Michael Scheidler   Discrete choice modelling in airline
                                  network management . . . . . . . . . . . 467--486
               Krishna Pendakur   Semiparametric estimation of lifetime
                                  equivalence scales . . . . . . . . . . . 487--507
              Xiaodong Gong and   
           Arthur van Soest and   
                     Ping Zhang   The effects of the gender of children on
                                  expenditure patterns in rural China: a
                                  semiparametric analysis  . . . . . . . . 509--527
            Sanghamitra Das and   
          Charles F. Manski and   
               Mark D. Manuszak   Walk or wait? An empirical analysis of
                                  street crossing decisions  . . . . . . . 529--548
             Myoung-jae Lee and   
                   Sang-jun Lee   Analysis of job-training effects on
                                  Korean women . . . . . . . . . . . . . . 549--562
   Christopher R. Bollinger and   
                Martin H. David   I didn't tell, and I won't tell: dynamic
                                  response error in the SIPP . . . . . . . 563--569
             Gilles Teyssi\`ere   Structural time series modelling with
                                  STAMP 6.02 . . . . . . . . . . . . . . . 571--577

Journal of Applied Econometrics
Volume 20, Number 5, July / August, 2005

                Cheng Hsiao and   
                   Yan Shen and   
                 Hiroshi Fujiki   Aggregate vs. disaggregate data analysis
                                  --- a paradox in the estimation of a
                                  money demand function of Japan under the
                                  low interest rate policy . . . . . . . . 579--601
            Carlo A. Favero and   
    Massimiliano Marcellino and   
               Francesca Neglia   Principal components at work: the
                                  empirical analysis of monetary policy
                                  with large data sets . . . . . . . . . . 603--620
              Dong Heon Kim and   
           Denise R. Osborn and   
               Marianne Sensier   Nonlinearity in the Fed's monetary
                                  policy rule  . . . . . . . . . . . . . . 621--639
        Mahmoud A. El-Gamal and   
                Hulusi Inanoglu   Inefficiency and heterogeneity in
                                  Turkish banking: 1990--2000  . . . . . . 641--664
       Zacharias Psaradakis and   
             Morten O. Ravn and   
                    Martin Sola   Markov switching causality and the
                                  money-output relationship  . . . . . . . 665--683
              Achim Zeileis and   
              Christian Kleiber   Validating multiple structural change
                                  models --- a case study  . . . . . . . . 685--690
          Ana-Maria Fuertes and   
            Marwan Izzeldin and   
                 Anthony Murphy   A guided tour of TSMod 4.03  . . . . . . 691--698

Journal of Applied Econometrics
Volume 20, Number 6, September / October, 2005

Juan M. Rodríguez-Póo and   
            Stefan Sperlich and   
        Ana I. Fernández   Semiparametric three-step estimation
                                  methods for simultaneous equation
                                  systems  . . . . . . . . . . . . . . . . 699--721
                  Gary Koop and   
            Dale J. Poirier and   
                  Justin Tobias   Semiparametric Bayesian inference in
                                  multiple equation models . . . . . . . . 723--747
       Emanuele Bacchiocchi and   
                   Luca Fanelli   Testing the purchasing power parity
                                  through $ {\rm I}(2) $ cointegration
                                  techniques . . . . . . . . . . . . . . . 749--770
       Libertad González   Nonparametric bounds on the returns to
                                  language skills  . . . . . . . . . . . . 771--795
           H. Peter Boswijk and   
              Jurgen A. Doornik   Distribution approximations for
                                  cointegration tests with stationary
                                  exogenous regressors . . . . . . . . . . 797--810
                 Dennis Fok and   
              Dick van Dijk and   
            Philip Hans Franses   A multi-level panel STAR model for US
                                  manufacturing sectors  . . . . . . . . . 811--827

Journal of Applied Econometrics
Volume 20, Number 7, December, 2005

                     Troy Davig   Periodically expanding discounted debt:
                                  a threat to fiscal policy
                                  sustainability?  . . . . . . . . . . . . 829--840
            Shin-Ichi Nishiyama   The cross-Euler equation approach to
                                  intertemporal substitution in import
                                  demand . . . . . . . . . . . . . . . . . 841--872
            Peter R. Hansen and   
                    Asger Lunde   A forecast comparison of volatility
                                  models: does anything beat a GARCH(1,1)? 873--889
Jesús Fernández-Villaverde and   
   Juan F. Rubio-Ramírez   Estimating dynamic equilibrium
                                  economies: linear versus nonlinear
                                  likelihood . . . . . . . . . . . . . . . 891--910
Fernando Fernández-Rodríguez and   
Simón Sosvilla-Rivero and   
Julián Andrada-Félix   Testing chaotic dynamics via Lyapunov
                                  exponents  . . . . . . . . . . . . . . . 911--930
                 John V. Pepper   \booktitleThe Bias Against Guns: why
                                  almost everything you've heard about gun
                                  control is wrong. John Lott, Jr.,
                                  Regnery Publishing, Inc. 2003, pp. 349   931--942
                      Anonymous   Announcement . . . . . . . . . . . . . . 943--944
                      Anonymous   Acknowledgement to referees  . . . . . . 947--949


Journal of Applied Econometrics
Volume 21, Number 1, January / February, 2006

           Massimo Guidolin and   
               Allan Timmermann   An econometric model of nonlinear
                                  dynamics in the joint distribution of
                                  stock and bond returns . . . . . . . . . 1--22
                   Mingliang Li   High school completion and future youth
                                  unemployment: new evidence from High
                                  School and Beyond  . . . . . . . . . . . 23--53
                 Richard Dennis   The policy preferences of the US Federal
                                  Reserve  . . . . . . . . . . . . . . . . 55--77
                Luc Bauwens and   
   Sébastien Laurent and   
          Jeroen V. K. Rombouts   Multivariate GARCH models: a survey  . . 79--109
      Theofanis P. Mamuneas and   
           Andreas Savvides and   
               Thanasis Stengos   Economic development and the return to
                                  human capital: a smooth coefficient
                                  semiparametric approach  . . . . . . . . 111--132
                    Jeff Racine   Software review: gnuplot 4.0: a portable
                                  interactive plotting utility . . . . . . 133--141

Journal of Applied Econometrics
Volume 21, Number 2, March, 2006

               Andrew J. Patton   Estimation of multivariate models for
                                  time series of possibly different
                                  lengths  . . . . . . . . . . . . . . . . 147--173
            David N. DeJong and   
           Roman Liesenfeld and   
   Jean-François Richard   Timing structural change: a conditional
                                  probabilistic approach . . . . . . . . . 175--190
             Richard Kleijn and   
             Herman K. van Dijk   Bayes model averaging of cyclical
                                  decompositions in economic time series   191--212
     Jörgen Hellström   A bivariate count data model for
                                  household tourism demand . . . . . . . . 213--226
                Erik Meijer and   
                  Jan Rouwendal   Measuring welfare effects in models with
                                  random coefficients  . . . . . . . . . . 227--244
J. Ignacio García-Pérez   Job separation in a non-stationary
                                  search model: a structural estimation to
                                  evaluate alternative unemployment
                                  insurance systems  . . . . . . . . . . . 245--272
                      Anonymous   Journal of Applied Econometrics
                                  distinguished authors  . . . . . . . . . 273--274

Journal of Applied Econometrics
Volume 21, Number 3, April, 2006

Sylvia Frühwirth-Schnatter and   
                Sylvia Kaufmann   How do changes in monetary policy affect
                                  bank lending? An analysis of Austrian
                                  bank data  . . . . . . . . . . . . . . . 275--305
            Carol Alexander and   
                    Emese Lazar   Normal mixture GARCH(1,1): applications
                                  to exchange rate modelling . . . . . . . 307--336
             Jonathan L. Willis   Magazine prices revisited  . . . . . . . 337--344
          Francesco Audrino and   
                  Fabio Trojani   Estimating and predicting multivariate
                                  volatility thresholds in global stock
                                  markets  . . . . . . . . . . . . . . . . 345--369
                 T. Stengos and   
                   E. Zacharias   Intertemporal pricing and price
                                  discrimination: a semiparametric hedonic
                                  analysis of the personal computer market 371--386
                 Gregory Kordas   Smoothed binary regression quantiles . . 387--407

Journal of Applied Econometrics
Volume 21, Number 4, May / June, 2006

         Aaron D. Smallwood and   
              Stefan C. Norrbin   Generalized long memory processes,
                                  failure of cointegration tests and
                                  exchange rate dynamics . . . . . . . . . 409--417
                  Fabio Busetti   Tests of seasonal integration and
                                  cointegration in multivariate unobserved
                                  component models . . . . . . . . . . . . 419--438
             Hans Dewachter and   
                Marco Lyrio and   
               Konstantijn Maes   A joint model for the term structure of
                                  interest rates and the macroeconomy  . . 439--462
   Ana Beatriz C. Galvão   Structural break threshold VARs for
                                  predicting US recessions using the
                                  spread . . . . . . . . . . . . . . . . . 463--487
                 Jason Abrevaya   Estimating the effect of smoking on
                                  birth outcomes using a matched panel
                                  data approach  . . . . . . . . . . . . . 489--519
            Anthony Garratt and   
           Donald Robertson and   
                 Stephen Wright   Permanent vs transitory components and
                                  economic fundamentals  . . . . . . . . . 521--542
                Badi H. Baltagi   Estimating an economic model of crime
                                  using panel data from North Carolina . . 543--547

Journal of Applied Econometrics
Volume 21, Number 5, July / August, 2006

                Bas Donkers and   
               Richard Paap and   
           Jedid-Jah Jonker and   
            Philip Hans Franses   Deriving target selection rules from
                                  endogenously selected samples  . . . . . 549--562
                  Todd E. Clark   Disaggregate evidence on the persistence
                                  of consumer price inflation  . . . . . . 563--587
             Mototsugu Shintani   A nonparametric measure of convergence
                                  towards purchasing power parity  . . . . 589--604
        Maria Grazia Pittau and   
                  Roberto Zelli   Empirical evidence of income dynamics
                                  across EU regions  . . . . . . . . . . . 605--628
           Thanasis Stengos and   
                  Yiguo Sun and   
                   Dianqin Wang   Estimates of semiparametric equivalence
                                  scales . . . . . . . . . . . . . . . . . 629--639
                 Z. L. Yang and   
                      Y. K. Tse   Modelling firm-size distribution using
                                  Box--Cox heteroscedastic regression  . . 641--653
                  Ivan Paya and   
                  David A. Peel   Temporal aggregation of an ESTAR
                                  process: some implications for
                                  purchasing power parity adjustment . . . 655--668
           Efthymios G. Tsionas   Inference in dynamic stochastic frontier
                                  models . . . . . . . . . . . . . . . . . 669--676
               B. D. McCullough   A review of TESTU01  . . . . . . . . . . 677--682

Journal of Applied Econometrics
Volume 21, Number 6, September / October, 2006

       Ralf Brüggemann and   
          Helmut Lütkepohl   A small monetary system for the euro
                                  area based on German data  . . . . . . . 683--702
           Gultekin Isiklar and   
               Kajal Lahiri and   
               Prakash Loungani   How quickly do forecasters incorporate
                                  news? Evidence from cross-country
                                  surveys  . . . . . . . . . . . . . . . . 703--725
                  Jian Yang and   
                Cheng Hsiao and   
                      Qi Li and   
                     Zijun Wang   The emerging market crisis and stock
                                  market linkages: further evidence  . . . 727--744
          Olivier Armantier and   
               Erwann SbaÏ   Estimation and comparison of [French]
                                  Treasury auction formats when bidders
                                  are asymmetric . . . . . . . . . . . . . 745--779
                  Ralf A. Wilke   Semi-parametric estimation of
                                  consumption-based equivalence scales:
                                  the case of Germany  . . . . . . . . . . 781--802
            John K. Dagsvik and   
           Steinar StrÒm   Sectoral labour supply, choice
                                  restrictions and functional form . . . . 803--826
           Russell Davidson and   
             James G. MacKinnon   The case against JIVE  . . . . . . . . . 827--833
        Daniel A. Ackerberg and   
               Paul J. Devereux   Comment on `The case against JIVE' . . . 835--838
       Sören Blomquist and   
                  Matz Dahlberg   The case against JIVE: a comment . . . . 839--841
           Russell Davidson and   
             James G. MacKinnon   Reply to Ackerberg and Devereux and
                                  Blomquist and Dahlberg on `The case
                                  against JIVE'  . . . . . . . . . . . . . 843--844
                 Daniel H. Hill   Wealth dynamics: reducing noise in panel
                                  data . . . . . . . . . . . . . . . . . . 845--860
               David A. Hensher   How do respondents process stated choice
                                  experiments? Attribute consideration
                                  under varying information load . . . . . 861--878
                Carmine Ornaghi   Assessing the effects of measurement
                                  errors on the estimation of production
                                  functions  . . . . . . . . . . . . . . . 879--891
               Mingliang Li and   
               Justin L. Tobias   Calculus attainment and grades received
                                  in intermediate economic theory  . . . . 893--896

Journal of Applied Econometrics
Volume 21, Number 7, November, 2006

                Jan C. van Ours   Cannabis, cocaine and jobs . . . . . . . 897--917
          Marianne Simonsen and   
                   Lars Skipper   The costs of motherhood: an analysis
                                  using matching estimators  . . . . . . . 919--934
              David M. Blau and   
             Donna B. Gilleskie   Health insurance and retirement of
                                  married couples  . . . . . . . . . . . . 935--953
      Jesús M. Carro and   
                     Pedro Mira   A dynamic model of contraceptive choice
                                  of Spanish couples . . . . . . . . . . . 955--980
                   Kosei Fukuda   Age-period-cohort decomposition of
                                  aggregate data: an application to US and
                                  Japanese household saving rates  . . . . 981--998
             Pushkar Maitra and   
                  Farshid Vahid   The effect of household characteristics
                                  on living standards in South Africa
                                  1993--1998: a quantile regression
                                  analysis with sample attrition . . . . . 999--1018
                Takashi Unayama   The Engel curve for alcohol and the rank
                                  of demand systems  . . . . . . . . . . . 1019--1038
                   Katherine Ho   The welfare effects of restricted
                                  hospital choice in the US medical care
                                  market . . . . . . . . . . . . . . . . . 1039--1079
                 Partha Deb and   
            Murat K. Munkin and   
              Pravin K. Trivedi   Bayesian analysis of the two-part model
                                  with endogeneity: application to health
                                  care expenditure . . . . . . . . . . . . 1081--1099
                     Zijun Wang   Convergence of productivity: a comment   1101--1102
       J. Wilson Mixon, Jr. and   
                  Ryan J. Smith   Teaching undergraduate econometrics with
                                  GRETL  . . . . . . . . . . . . . . . . . 1103--1107

Journal of Applied Econometrics
Volume 21, Number 8, December, 2006

            Catherine Y. Co and   
        John S. Landon-Lane and   
                  Myeong-Su Yun   Inter-state dynamics of invention
                                  activities, 1930--2000 . . . . . . . . . 1111--1134
            Elena Pesavento and   
                  Barbara Rossi   Small-sample confidence intervals for
                                  multivariate impulse response functions
                                  at long horizons . . . . . . . . . . . . 1135--1155
                   Markku Lanne   Nonlinear dynamics of interest rate and
                                  inflation  . . . . . . . . . . . . . . . 1157--1168
              Turan G. Bali and   
                       Lin Peng   Is there a risk-return trade-off?
                                  Evidence from high-frequency data  . . . 1169--1198
               Kajal Lahiri and   
                    Fushang Liu   Modelling multi-period inflation
                                  uncertainty using a panel of density
                                  forecasts  . . . . . . . . . . . . . . . 1199--1219
          Stephen G. Donald and   
           Harry J. Paarsch and   
                 Jacques Robert   An empirical model of the multi-unit,
                                  sequential, clock auction  . . . . . . . 1221--1247
           Anindya Banerjee and   
                     Paul Mizen   A re-interpretation of the linear
                                  quadratic model when inventories and
                                  sales are polynomially cointegrated  . . 1249--1264
          Marco Francesconi and   
                Cheti Nicoletti   Intergenerational mobility and sample
                                  selection in short panels  . . . . . . . 1265--1293
              Jeff Dominitz and   
              Robert P. Sherman   Identification and estimation of bounds
                                  on school performance measures: a
                                  nonparametric analysis of a mixture
                                  model with verification  . . . . . . . . 1295--1326


Journal of Applied Econometrics
Volume 22, Number 1, January / February, 2007

              Stephane Dees and   
           Filippo di Mauro and   
          M. Hashem Pesaran and   
               L. Vanessa Smith   Exploring the international linkages of
                                  the euro area: a global VAR analysis . . 1--38
              Michael Artis and   
  Ana Beatriz Galvão and   
        Massimiliano Marcellino   The transmission mechanism in a changing
                                  world  . . . . . . . . . . . . . . . . . 39--61
        Heather M. Anderson and   
      George Athanasopoulos and   
                  Farshid Vahid   Nonlinear autoregressive leading
                                  indicator models of output in G-7
                                  countries  . . . . . . . . . . . . . . . 63--87
               Mardi Dungey and   
                Vance L. Martin   Unravelling financial market linkages
                                  during crises  . . . . . . . . . . . . . 89--119
        Michael P. Clements and   
                 Fred Joutz and   
              Herman O. Stekler   An evaluation of the forecasts of the
                                  federal reserve: a pooled approach . . . 121--136
           Christoph Schleicher   Codependence in cointegrated
                                  autoregressive models  . . . . . . . . . 137--159
                Jaejoon Lee and   
              Charles R. Nelson   Expectation horizon and the Phillips
                                  Curve: the solution to an empirical
                                  puzzle . . . . . . . . . . . . . . . . . 161--178
               Marc P. Giannoni   Robust optimal monetary policy in a
                                  forward-looking model with parameter and
                                  shock uncertainty  . . . . . . . . . . . 179--213
                  Michael Creel   I ran four million probits last night:
                                  HPC clustering with ParallelKnoppix  . . 215--223

Journal of Applied Econometrics
Volume 22, Number 2, March, 2007

            Badi H. Baltagi and   
              M. Hashem Pesaran   Heterogeneity and cross section
                                  dependence in panel data models: theory
                                  and applications introduction  . . . . . 229--232
                    In Choi and   
                Timothy K. Chue   Subsampling hypothesis tests for
                                  nonstationary panels with applications
                                  to exchange rates and stock prices . . . 233--264
              M. Hashem Pesaran   A simple panel unit root test in the
                                  presence of cross-section dependence . . 265--312
              George Kapetanios   Dynamic factor extraction of
                                  cross-sectional dependence in panel unit
                                  root tests . . . . . . . . . . . . . . . 313--338
            Badi H. Baltagi and   
            Georges Bresson and   
                  Alain Pirotte   Panel unit root tests and spatial
                                  dependence . . . . . . . . . . . . . . . 339--360
             Laura Serlenga and   
                 Yongcheol Shin   Gravity models of intra-EU trade:
                                  application of the CCEP--HT estimation
                                  in heterogeneous panels with unobserved
                                  common time-specific factors . . . . . . 361--381
        Hyungsik Roger Moon and   
                  Benoit Perron   An empirical analysis of nonstationarity
                                  in a panel of interest rates with
                                  factors  . . . . . . . . . . . . . . . . 383--400
                 Stefano Fachin   Long-run trends in internal migrations
                                  in Italy: a study in panel cointegration
                                  with dependent units . . . . . . . . . . 401--428
                  Peter Pedroni   Social capital, barriers to production
                                  and capital shares: implications for the
                                  importance of parameter heterogeneity
                                  from a nonstationary panel approach  . . 429--451
                Cheng Hsiao and   
                   Yan Shen and   
                Boqing Wang and   
                     Greg Weeks   Evaluating the impacts of Washington
                                  state repeated job search services on
                                  the earnings of prime-age female TANF
                                  recipients . . . . . . . . . . . . . . . 453--475

Journal of Applied Econometrics
Volume 22, Number 3, April / May, 2007

  Vassilis A. Hajivassiliou and   
            Yannis M. Ioannides   Unemployment and liquidity constraints   479--510
                Mark B. Stewart   The interrelated dynamics of
                                  unemployment and low-wage employment . . 511--531
             Boris Augurzky and   
                   Jochen Kluve   Assessing the performance of matching
                                  algorithms when selection into treatment
                                  is strong  . . . . . . . . . . . . . . . 533--557
                Peter Egger and   
        Michael Pfaffermayr and   
                   Andrea Weber   Sectoral adjustment of employment to
                                  shifts in outsourcing and trade:
                                  evidence from a dynamic fixed effects
                                  multinomial logit model  . . . . . . . . 559--580
           Monica Hernandez and   
             Stephen Pudney and   
                   Ruth Hancock   The welfare cost of means-testing:
                                  pensioner participation in income
                                  support  . . . . . . . . . . . . . . . . 581--598
       Adriaan R. Soetevent and   
                 Peter Kooreman   A discrete-choice model with social
                                  interactions: with an application to
                                  high school teen behavior  . . . . . . . 599--624
            Martin Browning and   
             M. Dolores Collado   Habits and heterogeneity in demands: a
                                  panel data analysis  . . . . . . . . . . 625--640
                  Ben Groom and   
           Phoebe Koundouri and   
       Ekaterini Panopoulou and   
           Theologos Pantelidis   Discounting the distant future: How much
                                  does model selection affect the
                                  certainty equivalent rate? . . . . . . . 641--656
                Ron Shachar and   
                   Zvi Eckstein   Correcting for bias in retrospective
                                  data . . . . . . . . . . . . . . . . . . 657--675
         Alfonso Flores-Lagunes   Finite sample evidence of IV estimators
                                  under weak instruments . . . . . . . . . 677--694
    Christopher F. Parmeter and   
        Daniel J. Henderson and   
             Subal C. Kumbhakar   Nonparametric estimation of a hedonic
                                  price function . . . . . . . . . . . . . 695--699
                    Mark Watson   Journal of Applied Econometrics Annual
                                  Lecture Series . . . . . . . . . . . . . 701--701
                      Anonymous   Journal Of Applied Econometrics Scholars
                                  Programme  . . . . . . . . . . . . . . . 702--702

Journal of Applied Econometrics
Volume 22, Number 4, June / July, 2007

            Lullit Getachew and   
               Robin C. Sickles   The policy environment and relative
                                  price efficiency of Egyptian private
                                  sector manufacturing: 1987/88--1995/96   703--728
     Alfonso Flores-Lagunes and   
         William C. Horrace and   
                Kurt E. Schnier   Identifying technically efficient
                                  fishing vessels: a non-empty, minimal
                                  subset approach  . . . . . . . . . . . . 729--745
               Jonathan B. Hill   Efficient tests of long-run causation in
                                  trivariate VAR processes with a rolling
                                  window study of the money-income
                                  relationship . . . . . . . . . . . . . . 747--765
               Youngsoo Bae and   
              Robert M. de Jong   Money demand function estimation by
                                  nonlinear cointegration  . . . . . . . . 767--793
                  Gad Allon and   
          Michael Beenstock and   
             Steven Hackman and   
                  Ury Passy and   
              Alexander Shapiro   Nonparametric estimation of concave
                                  production technologies by entropic
                                  methods  . . . . . . . . . . . . . . . . 795--816
               Priya Ranjan and   
               Justin L. Tobias   Bayesian inference for the gravity model 817--838
               Paul J. Devereux   Small-sample bias in synthetic cohort
                                  models of labor supply . . . . . . . . . 839--848
             A. Talha Yalta and   
               A. Yasemin Yalta   GRETL 1.6.0 and its numerical accuracy   849--854

Journal of Applied Econometrics
Volume 22, Number 5, August, 2007

               Jaehun Chung and   
                  Yongmiao Hong   Model-free evaluation of directional
                                  predictability in foreign exchange
                                  markets  . . . . . . . . . . . . . . . . 855--889
                 Ivana Komunjer   Asymmetric power distribution: Theory
                                  and applications to risk measurement . . 891--921
Sergi Jiménez-Martín and   
Alfonso R. Sánchez Martín   An evaluation of the life cycle effects
                                  of minimum pensions on retirement
                                  behavior . . . . . . . . . . . . . . . . 923--950
               Brian McCaig and   
                 Adonis Yatchew   International welfare comparisons and
                                  nonparametric testing of multivariate
                                  stochastic dominance . . . . . . . . . . 951--969
          Herman J. Bierens and   
               Jose R. Carvalho   Semi-nonparametric competing risks
                                  analysis of recidivism . . . . . . . . . 971--993

Journal of Applied Econometrics
Volume 22, Number 6, September / October, 2007

                Norman Offstein   An extortionary guerrilla movement . . . 995--1011
         H. Spencer Banzhaf and   
                 V. Kerry Smith   Meta-analysis in model implementation:
                                  choice sets and the valuation of air
                                  quality improvements . . . . . . . . . . 1013--1031
                  Cem Ertur and   
                  Wilfried Koch   Growth, technological interdependence
                                  and spatial externalities: theory and
                                  evidence . . . . . . . . . . . . . . . . 1033--1062
          Adriaan S. Kalwij and   
                    Rob Alessie   Permanent and transitory wages of
                                  British men, 1975--2001: year, age and
                                  cohort effects . . . . . . . . . . . . . 1063--1093
             Joan L. Walker and   
            Moshe Ben-Akiva and   
                   Denis Bolduc   Identification of parameters in normal
                                  error component logit-mixture (NECLM)
                                  models . . . . . . . . . . . . . . . . . 1095--1125
    Konstantinos Metaxoglou and   
                    Aaron Smith   Efficiency of the California electricity
                                  reserves market  . . . . . . . . . . . . 1127--1144
             C. R. McKenzie and   
                 Sumiko Takaoka   EViews 5.1 . . . . . . . . . . . . . . . 1145--1152

Journal of Applied Econometrics
Volume 22, Number 7, December, 2007

                Luc Bauwens and   
           Alvaro Escribano and   
                 Michel Lubrano   The Econometrics of Industrial
                                  Organization . . . . . . . . . . . . . . 1153--1156
              Jerry Hausman and   
                Ephraim Leibtag   Consumer benefits from increased
                                  competition in shopping outlets:
                                  Measuring the effect of Wal-Mart . . . . 1157--1177
                 Frank A. Wolak   Quantifying the supply-side benefits
                                  from forward contracting in wholesale
                                  electricity markets  . . . . . . . . . . 1179--1209
        Jean-Thomas Bernard and   
              Nadhem Idoudi and   
               Lynda Khalaf and   
    Clément Yélou   Finite sample inference methods for
                                  dynamic energy demand models . . . . . . 1211--1226
               Joris Pinkse and   
                 Margaret Slade   Semi-structural models of advertising
                                  competition  . . . . . . . . . . . . . . 1227--1246
            Elena Argentesi and   
              Lapo Filistrucchi   Estimating market power in a two-sided
                                  market: The case of newspapers . . . . . 1247--1266
             J. Luis Guasch and   
       Jean-Jacques Laffont and   
         Stéphane Straub   Concessions of infrastructure in Latin
                                  America: Government-led renegotiation    1267--1294
            Michel Mouchart and   
                Marie Vandresse   Bargaining powers and market
                                  segmentation in freight transport  . . . 1295--1313
       Johannes Van Biesebroeck   Complementarities in automobile
                                  production . . . . . . . . . . . . . . . 1315--1345
            Dirk Czarnitzki and   
          Bernd Ebersberger and   
                   Andreas Fier   The relationship between R&D
                                  collaboration, subsidies and R&D
                                  performance: Empirical evidence from
                                  Finland and Germany  . . . . . . . . . . 1347--1366
       Léopold Simar and   
              Valentin Zelenyuk   Statistical inference for aggregates of
                                  Farrell-type efficiencies  . . . . . . . 1367--1394
              M. Hashem Pesaran   Journal of Applied Econometrics
                                  Dissertation Prize . . . . . . . . . . . 1395--1395
                      Anonymous   Acknowledgement to Referees  . . . . . . 1397--1398


Journal of Applied Econometrics
Volume 23, Number 1, January / February, 2008

         Giuseppe Cavaliere and   
               Luca Fanelli and   
                Attilio Gardini   International dynamic risk sharing . . . 1--16
        S. T. M. Straetmans and   
         W. F. C. Verschoor and   
                 C. C. P. Wolff   Extreme US stock market fluctuations in
                                  the wake of 9/11 . . . . . . . . . . . . 17--42
          Jose Luis Gallizo and   
             Pilar Gargallo and   
                Manuel Salvador   Multivariate partial adjustment of
                                  financial ratios: a Bayesian
                                  hierarchical approach  . . . . . . . . . 43--64
            David E. Rapach and   
                Jack K. Strauss   Structural breaks and GARCH models of
                                  exchange rate volatility . . . . . . . . 65--90
                Surajit Ray and   
                    N. E. Savin   The performance of heteroskedasticity
                                  and autocorrelation robust tests: a
                                  Monte Carlo study with an application to
                                  the three-factor FAMA--French
                                  asset-pricing model  . . . . . . . . . . 91--109
                   Yi-Ting Chen   A unified approach to
                                  standardized-residuals-based correlation
                                  tests for GARCH-type models  . . . . . . 111--133
                      Anonymous   Book Review: \booktitleJournal of
                                  Applied Econometrics: Call for papers
                                  for Special Issue: ``Forecast
                                  Uncertainty in Macroeconomics and
                                  Finance''  . . . . . . . . . . . . . . . 135--135

Journal of Applied Econometrics
Volume 23, Number 2, March, 2008

        Daniel J. Henderson and   
             Daniel L. Millimet   Is gravity linear? . . . . . . . . . . . 137--172
              Chang-Jin Kim and   
               James Morley and   
                   Jeremy Piger   Bayesian counterfactual analysis of the
                                  sources of the great moderation  . . . . 173--191
              Joakim Westerlund   Panel cointegration tests of the Fisher
                                  effect . . . . . . . . . . . . . . . . . 193--233
             Olivier Parent and   
                James P. LeSage   Using the variance structure of the
                                  conditional autoregressive spatial
                                  specification to model knowledge
                                  spillovers . . . . . . . . . . . . . . . 235--256
          Antonio Matas-Mir and   
           Denise R. Osborn and   
              Marco J. Lombardi   The effect of seasonal adjustment on the
                                  properties of business cycle regimes . . 257--278
             A. Talha Yalta and   
             Riccardo Lucchetti   The GNU/Linux platform and freedom
                                  respecting software for economists . . . 279--286

Journal of Applied Econometrics
Volume 23, Number 3, April, 2008

         Tue Gòrgens and   
                     Chris Ryan   A bounds analysis of school completion
                                  rates in Australia . . . . . . . . . . . 287--304
              Andrea Ichino and   
            Fabrizia Mealli and   
              Tommaso Nannicini   From temporary help jobs to permanent
                                  employment: what can we learn from
                                  matching estimators and their
                                  sensitivity? . . . . . . . . . . . . . . 305--327
              Brent Kreider and   
                    John Pepper   Inferring disability status from corrupt
                                  data . . . . . . . . . . . . . . . . . . 329--349
            Scott J. Savage and   
              Donald M. Waldman   Learning and fatigue during choice
                                  experiments: a comparison of online and
                                  mail survey modes  . . . . . . . . . . . 351--371
                  Florian Heiss   Sequential numerical integration in
                                  nonlinear state space models for
                                  microeconometric panel data  . . . . . . 373--389
              M. Hashem Pesaran   March 2008 Announcement:
                                  \booktitleJournal of Applied
                                  Econometrics Distinguished Authors . . . 391--393

Journal of Applied Econometrics
Volume 23, Number 4, June, 2008

            Hans G. Bloemen and   
                   Arie Kapteyn   The estimation of utility-consistent
                                  labor supply models by means of
                                  simulated scores . . . . . . . . . . . . 395--422
               Edwin Leuven and   
              Hessel Oosterbeek   An alternative approach to estimate the
                                  wage returns to private-sector training  423--434
          Philippe J. Deschamps   Comparing smooth transition and Markov
                                  switching autoregressive models of US
                                  unemployment . . . . . . . . . . . . . . 435--462
                   Ricardo Mora   A nonparametric decomposition of the
                                  Mexican American average wage gap  . . . 463--485
               Marco Alf\`o and   
           Giovanni Trovato and   
             Robert J. Waldmann   Testing for country heterogeneity in
                                  growth models using a finite mixture
                                  approach . . . . . . . . . . . . . . . . 487--514
                   Jinhu Li and   
              Jeffrey S. Racine   Maxima: An open source computer algebra
                                  system . . . . . . . . . . . . . . . . . 515--523

Journal of Applied Econometrics
Volume 23, Number 5, August, 2008

             James M. Nason and   
                Gregor W. Smith   Identifying the new Keynesian Phillips
                                  curve  . . . . . . . . . . . . . . . . . 525--551
              John M. Maheu and   
                 Stephen Gordon   Learning, forecasting and structural
                                  breaks . . . . . . . . . . . . . . . . . 553--583
Gloria González-Rivera and   
                Tae-Hwy Lee and   
                 Santosh Mishra   Jumps in cross-sectional rank and
                                  expected returns: a mixture model  . . . 585--606
        Daniel J. Henderson and   
    Christopher F. Parmeter and   
              R. Robert Russell   Modes, weighted modes, and calibrated
                                  modes: evidence of clustering using
                                  modality tests . . . . . . . . . . . . . 607--638
            Giorgio Fagiolo and   
           Mauro Napoletano and   
               Andrea Roventini   Are output growth-rate distributions
                                  fat-tailed? Some evidence from OECD
                                  countries  . . . . . . . . . . . . . . . 639--669
       Winford H. Masanjala and   
             Chris Papageorgiou   Rough and lonely road to prosperity: a
                                  reexamination of the sources of growth
                                  in Africa using Bayesian model averaging 671--682
             Garth Holloway and   
                Simeon Ehui and   
                    Amare Teklu   Bayes estimates of distance-to-market:
                                  transactions costs, cooperatives and
                                  milk-market development in the Ethiopian
                                  highlands  . . . . . . . . . . . . . . . 683--696
                      Anonymous   Acknowledgement to referees  . . . . . . 697--698

Journal of Applied Econometrics
Volume 23, Number 6, September / October, 2008

                    Tong Li and   
                 Xiaoyong Zheng   Semiparametric Bayesian inference for
                                  dynamic Tobit panel data models with
                                  unobserved heterogeneity . . . . . . . . 699--728
               Katrin Hussinger   R&D and subsidies at the firm level: an
                                  application of parametric and
                                  semiparametric two-step selection models 729--747
            Krishna G. Iyer and   
         Alicia N. Rambaldi and   
                    Kam Ki Tang   Efficiency externalities of trade and
                                  alternative forms of foreign investment
                                  in OECD countries  . . . . . . . . . . . 749--766
              Brendan Kline and   
               Justin L. Tobias   The wages of BMI: Bayesian analysis of a
                                  skewed treatment-response model with
                                  nonparametric endogeneity  . . . . . . . 767--793
         William A. Barnett and   
                   Ousmane Seck   Rotterdam model versus almost ideal
                                  demand system: will the best
                                  specification please stand up? . . . . . 795--824
        Christophe Bontemps and   
             Michel Simioni and   
                     Yves Surry   Semiparametric hedonic price models:
                                  assessing the effects of agricultural
                                  nonpoint source pollution  . . . . . . . 825--842
         Selima Ben Mansour and   
             Ely\`es Jouini and   
          Jean-Michel Marin and   
              Clotilde Napp and   
               Christian Robert   Are risk-averse agents more optimistic?
                                  A Bayesian estimation approach . . . . . 843--860
             Teresa D. Harrison   Software review: Review of np software
                                  for R  . . . . . . . . . . . . . . . . . 861--865

Journal of Applied Econometrics
Volume 23, Number 7, November / December, 2008

              Pierre Dubois and   
                Marc Ivaldi and   
                 Thierry Magnac   Introduction to the special issue on the
                                  Econometrics of Auctions . . . . . . . . 867--869
                Jingfeng Lu and   
              Isabelle Perrigne   Estimating risk aversion from ascending
                                  and sealed-bid auctions: the case of
                                  timber auction data  . . . . . . . . . . 871--896
                      Lu Ji and   
                        Tong Li   Multi-round procurement auctions with
                                  secret reserve prices: theory and
                                  evidence . . . . . . . . . . . . . . . . 897--923
               Leonardo Rezende   Econometrics of auctions by least
                                  squares  . . . . . . . . . . . . . . . . 925--948
        Philippe Février   Nonparametric identification and
                                  estimation of a class of common value
                                  auction models . . . . . . . . . . . . . 949--964
          Olivier Armantier and   
        Jean-Pierre Florens and   
   Jean-François Richard   Approximation of Nash equilibria in
                                  Bayesian games . . . . . . . . . . . . . 965--981


Journal of Applied Econometrics
Volume 24, Number 1, January / February, 2009

               Maxim Engers and   
            Monica Hartmann and   
                   Steven Stern   Annual miles drive used car prices . . . 1--33
            Nathan S. Balke and   
                  Mark E. Wohar   Market fundamentals versus rational
                                  bubbles in stock prices: a Bayesian
                                  perspective  . . . . . . . . . . . . . . 35--75
             Gael M. Martin and   
               Andrew Reidy and   
                    Jill Wright   Does the option market produce superior
                                  forecasts of noise-corrected volatility
                                  measures?  . . . . . . . . . . . . . . . 77--104
                Guohua Feng and   
             Apostolos Serletis   Efficiency and productivity of the US
                                  banking industry, 1998--2005: evidence
                                  from the Fourier cost function
                                  satisfying global regularity conditions  105--138
          Giovanni Caggiano and   
                  Leone Leonida   International output convergence:
                                  evidence from an autocorrelation
                                  function approach  . . . . . . . . . . . 139--162
             Giuseppe Porro and   
            Stefano Maria Iacus   Random Recursive Partitioning: a
                                  matching method for the estimation of
                                  the average treatment effect . . . . . . 163--185
              Arabinda Basistha   Hours per capita and productivity:
                                  evidence from correlated unobserved
                                  components models  . . . . . . . . . . . 187--206
              M. Hashem Pesaran   Journal of Applied Econometrics
                                  Dissertation Prize . . . . . . . . . . . 207--207

Journal of Applied Econometrics
Volume 24, Number 2, March, 2009

         Gernot Doppelhofer and   
                   Melvyn Weeks   Jointness of growth determinants . . . . 209--244
             Rodney W. Strachan   Comment on `Jointness of growth
                                  determinants' by Gernot Doppelhofer and
                                  Melvyn Weeks . . . . . . . . . . . . . . 245--247
                Eduardo Ley and   
               Mark F. J. Steel   Comments on `Jointness of growth
                                  determinants'  . . . . . . . . . . . . . 248--251
         Gernot Doppelhofer and   
                   Melvyn Weeks   `Jointness of growth determinants':
                                  Reply to comments by Rodney Strachan,
                                  Eduardo Ley and Mark F. J. Steel . . . . 252--256
                      Ji Li and   
                   Lung-fei Lee   Binary choice under social interactions:
                                  an empirical study with and without
                                  subjective data on expectations  . . . . 257--281
               Alex Maynard and   
                    Jiaping Qiu   Public insurance and private savings:
                                  who is affected and by how much? . . . . 282--308
                  Sule Alan and   
           Orazio Attanasio and   
                Martin Browning   Estimating Euler equations with noisy
                                  data: two exact GMM estimators . . . . . 309--324
                 Richard Ashley   Assessing the credibility of
                                  instrumental variables inference with
                                  imperfect instruments via sensitivity
                                  analysis . . . . . . . . . . . . . . . . 325--337
            Michael Rosholm and   
                   Lars Skipper   Is labour market training a curse for
                                  the unemployed? Evidence from a social
                                  experiment . . . . . . . . . . . . . . . 338--365
              Evan Meredith and   
              Jeffrey S. Racine   Towards reproducible econometric
                                  research: the \tt Sweave framework . . . 366--374

Journal of Applied Econometrics
Volume 24, Number 3, April / May, 2009

        Pradeep Chintagunta and   
        Philip Hans Franses and   
                   Richard Paap   Introduction to the special issue on new
                                  econometric models in marketing  . . . . 375--376
        Ulf Böckenholt and   
                Sema Barlas and   
    Peter G. M. van der Heijden   Do randomized-response designs eliminate
                                  response biases? An empirical study of
                                  non-compliance behavior  . . . . . . . . 377--392
               Andrew Ching and   
           Tülin Erdem and   
                  Michael Keane   The price consideration model of brand
                                  choice . . . . . . . . . . . . . . . . . 393--420
     Pradeep K. Chintagunta and   
           Harikesh S. Nair and   
                     R. Sukumar   Measuring marketing-mix effects in the
                                  32/64 bit video-game console market  . . 421--445
                Peter Ebbes and   
               Michel Wedel and   
            Ulf Böckenholt   Frugal IV alternatives to identify the
                                  parameter for an endogenous regressor    446--468
                 Dennis Fok and   
                   Richard Paap   Modeling category-level purchase timing
                                  with brand-level marketing variables . . 469--489
      Andrés Musalem and   
            Eric T. Bradlow and   
               Jagmohan S. Raju   Bayesian estimation of
                                  random-coefficients choice models using
                                  aggregate data . . . . . . . . . . . . . 490--516
        Zsolt Sándor and   
            Philip Hans Franses   Consumer price evaluations through
                                  choice experiments . . . . . . . . . . . 517--535

Journal of Applied Econometrics
Volume 24, Number 4, June / July, 2009

              Hamid Mohtadi and   
            Antu Panini Murshid   Risk of catastrophic terrorism: an
                                  extreme value approach . . . . . . . . . 537--559
                    Qianqiu Liu   On portfolio optimization: How and when
                                  do we benefit from high-frequency data?  560--582
      G. A. Christodoulakis and   
               E. C. Mamatzakis   Assessing the prudence of economic
                                  forecasts in the EU  . . . . . . . . . . 583--606
                 Jushan Bai and   
                      Serena Ng   Boosting diffusion indices . . . . . . . 607--629
                Mattias Villani   Steady-state priors for vector
                                  autoregressions  . . . . . . . . . . . . 630--650
                Eduardo Ley and   
               Mark F. J. Steel   On the effect of prior assumptions in
                                  Bayesian model averaging with
                                  applications to growth regression  . . . 651--674
          Scott E. Atkinson and   
             Jeffrey H. Dorfman   Feasible estimation of firm-specific
                                  allocative inefficiency through Bayesian
                                  numerical methods  . . . . . . . . . . . 675--697
          Christine Choirat and   
                  Raffello Seri   Econometrics with Python . . . . . . . . 698--704
                      Anonymous   Acknowledgement to referees  . . . . . . 705--707

Journal of Applied Econometrics
Volume 24, Number 5, August, 2009

                   Chun Liu and   
                  John M. Maheu   Forecasting realized volatility: a
                                  Bayesian model-averaging approach  . . . 709--733
                Roger Klein and   
                  Francis Vella   A semiparametric model for binary
                                  response and continuous outcomes under
                                  index heteroscedasticity . . . . . . . . 735--762
   Stéphane Bonhomme and   
         Grégory Jolivet   The pervasive absence of compensating
                                  differentials  . . . . . . . . . . . . . 763--795
          Annette Bergemann and   
         Bernd Fitzenberger and   
              Stefan Speckesser   Evaluating the dynamic employment
                                  effects of training programs in East
                                  Germany using conditional
                                  difference-in-differences  . . . . . . . 797--823
                    Paul Turner   Testing for cointegration using the
                                  Johansen approach: are we using the
                                  correct critical values? . . . . . . . . 825--831
              Roger Koenker and   
                  Achim Zeileis   On reproducible econometric research . . 833--847
              Giovanni Baiocchi   PDL: an object-oriented programming
                                  environment for econometrics . . . . . . 849--856
                       J. Stoye   Book Review: Charles F. Manski,
                                  \booktitleIdentification for Prediction
                                  and Decision (Harvard University Press
                                  2007)  . . . . . . . . . . . . . . . . . 857--862
              M. Hashem Pesaran   The Richard Stone Prize in Applied
                                  Econometrics . . . . . . . . . . . . . . 863--863
              M. Hashem Pesaran   Announcement . . . . . . . . . . . . . . 865--865
                      Anonymous   Erratum: Acknowledgement to Referees . . 867--869

Journal of Applied Econometrics
Volume 24, Number 6, September / October, 2009

            David F. Hendry and   
              M. Hashem Pesaran   In memory of Clive Granger: an advisory
                                  board member of the Journal  . . . . . . 871--873
           M. Dolores Gadea and   
                  Laura Mayoral   Aggregation is not the solution: the PPP
                                  puzzle strikes back  . . . . . . . . . . 875--894
              Haroon Mumtaz and   
                   Paolo Surico   Time-varying yield curve dynamics and
                                  monetary policy  . . . . . . . . . . . . 895--913
             Tricia Gladden and   
              Christopher Taber   The relationship between wage growth and
                                  wage levels  . . . . . . . . . . . . . . 914--932
               Sandra Eickmeier   Comovements and heterogeneity in the
                                  euro area analyzed in a non-stationary
                                  dynamic factor model . . . . . . . . . . 933--959
           Andrew Mountford and   
                   Harald Uhlig   What are the effects of fiscal policy
                                  shocks?  . . . . . . . . . . . . . . . . 960--992
         Stefan Hochguertel and   
                  Henry Ohlsson   Compensatory inter vivos gifts . . . . . 993--1023
          Maarten Lindeboom and   
                Marcel Kerkhofs   Health and work of the elderly:
                                  subjective health measures, reporting
                                  errors and endogeneity in the
                                  relationship between health and work . . 1024--1046
                    Steven Cook   A re-examination of the stationarity of
                                  inflation  . . . . . . . . . . . . . . . 1047--1053
                      Anonymous   Replications in the `Narrow Sense' . . . 1054--1054
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 1055--1055

Journal of Applied Econometrics
Volume 24, Number 7, November / December, 2009

              Xiaohong Chen and   
            Sydney C. Ludvigson   Land of addicts? An empirical
                                  investigation of habit-based asset
                                  pricing models . . . . . . . . . . . . . 1057--1093
                  Martin Biewen   Measuring state dependence in individual
                                  poverty histories when there is feedback
                                  to employment status and household
                                  composition  . . . . . . . . . . . . . . 1095--1116
           Marco Costanigro and   
        Ron C. Mittelhammer and   
              Jill J. McCluskey   Estimating class-specific parametric
                                  models under class uncertainty: local
                                  polynomial regression clustering in an
                                  hedonic analysis of wine markets . . . . 1117--1135
            Kelvin Balcombe and   
                    Iain Fraser   Dichotomous-choice contingent valuation
                                  with `dont know' responses and
                                  misreporting . . . . . . . . . . . . . . 1137--1152
       Peter C. B. Phillips and   
                    Donggyu Sul   Economic transition and growth . . . . . 1153--1185
        Michael P. Clements and   
      Ana Beatriz Galvão   Forecasting US output growth using
                                  leading indicators: an appraisal using
                                  MIDAS models . . . . . . . . . . . . . . 1187--1206
                   Yongfu Huang   The political economy of financial
                                  reform: are Abiad and Mody right?  . . . 1207--1213
                      Anonymous   Acknowledgement to referees  . . . . . . 1215--1217


Journal of Applied Econometrics
Volume 25, Number 1, January / February, 2010

          Steven N. Durlauf and   
                 Shaun P. Vahey   Introduction: `Model uncertainty and
                                  macroeconomics'  . . . . . . . . . . . . 1--3
              Todd E. Clark and   
           Michael W. McCracken   Averaging forecasts from VARs with
                                  uncertain instabilities  . . . . . . . . 5--29
               Oleg Korenok and   
        Stanislav Radchenko and   
              Norman R. Swanson   International evidence on the efficacy
                                  of new-Keynesian models of inflation
                                  persistence  . . . . . . . . . . . . . . 31--54
               Martin Fukac and   
                   Adrian Pagan   Limited information estimation and
                                  evaluation of DSGE models  . . . . . . . 55--70
            Marta Ba\'nbura and   
          Domenico Giannone and   
              Lucrezia Reichlin   Large Bayesian vector auto regressions   71--92
       Alejandro Justiniano and   
                  Bruce Preston   Monetary policy and uncertainty in an
                                  empirical small open-economy model . . . 93--128
           Rochelle M. Edge and   
             Thomas Laubach and   
               John C. Williams   Welfare-maximizing monetary policy under
                                  parameter uncertainty  . . . . . . . . . 129--143
             Alexei Onatski and   
                  Noah Williams   Empirical and policy performance of a
                                  forward-looking monetary model . . . . . 145--176
            Thomas A. Lubik and   
                   Paolo Surico   The Lucas critique and the stability of
                                  empirical models . . . . . . . . . . . . 177--194
              M. Hashem Pesaran   Journal of applied econometrics
                                  distinguished authors  . . . . . . . . . 195--195

Journal of Applied Econometrics
Volume 25, Number 2, March, 2010

              Neil Shephard and   
                 Kevin Sheppard   Realising the future: forecasting with
                                  high-frequency-based volatility (HEAVY)
                                  models . . . . . . . . . . . . . . . . . 197--231
         Torben G. Andersen and   
             Tim Bollerslev and   
            Per Frederiksen and   
Morten Òrregaard Nielsen   Continuous-time models, realized
                                  volatilities, and testable
                                  distributional implications for daily
                                  stock returns  . . . . . . . . . . . . . 233--261
          Jean-Marie Dufour and   
               Lynda Khalaf and   
          Marie-Claude Beaulieu   Multivariate residual-based
                                  finite-sample tests for serial
                                  dependence and ARCH effects with
                                  applications to asset pricing models . . 263--285
             Tony Lancaster and   
                   Sung Jae Jun   Bayesian quantile regression methods . . 287--307
                Sylvia Kaufmann   Dating and forecasting turning points by
                                  Bayesian clustering with dynamic
                                  structure: a suggestion with an
                                  application to Austrian data . . . . . . 309--344
                   Yong Bao and   
                  Melody Lo and   
         Franklin G. Mixon, Jr.   General-interest versus specialty
                                  journals: Using intellectual influence
                                  of econometrics research to rank
                                  economics journals and articles  . . . . 345--353

Journal of Applied Econometrics
Volume 25, Number 3, April / May, 2010

         Stijn Kelchtermans and   
                 Frank Verboven   Participation and study decisions in a
                                  public system of higher education  . . . 355--391
                 Fali Huang and   
                 Myoung-Jae Lee   Dynamic treatment effect analysis of TV
                                  effects on child cognitive development   392--419
           Krishna Pendakur and   
                Stefan Sperlich   Semiparametric estimation of consumer
                                  demand systems in real expenditure . . . 420--457
            Daniel J. Henderson   A test for multimodality of regression
                                  derivatives with application to
                                  nonparametric growth regressions . . . . 458--480
           Raffaele Miniaci and   
              Sergio Pastorello   Mean-variance econometric analysis of
                                  household portfolios . . . . . . . . . . 481--504
                Badi H. Baltagi   Narrow Replication of Serlenga and Shin
                                  (2007) Gravity models of intra-EU trade:
                                  application of the CCEP--HT estimation
                                  in heterogeneous panels with unobserved
                                  common time-specific factors . . . . . . 505--506
                      Anonymous   Journal of Applied Econometrics
                                  dissertation prize . . . . . . . . . . . 507--507

Journal of Applied Econometrics
Volume 25, Number 4, June / July, 2010

          Matteo Ciccarelli and   
                Kirstin Hubrich   Forecast uncertainty: sources,
                                  measurement and evaluation . . . . . . . 509--513
               Kajal Lahiri and   
                  Xuguang Sheng   Measuring forecast uncertainty by
                                  disagreement: The missing link . . . . . 514--538
                Ron Alquist and   
                    Lutz Kilian   What do we learn from the price of crude
                                  oil futures? . . . . . . . . . . . . . . 539--573
            Kirstin Hubrich and   
                Kenneth D. West   Forecast evaluation of small nested
                                  model sets . . . . . . . . . . . . . . . 574--594
        Raffaella Giacomini and   
                  Barbara Rossi   Forecast comparisons in unstable
                                  environments . . . . . . . . . . . . . . 595--620
            Anne Sofie Jore and   
             James Mitchell and   
                 Shaun P. Vahey   Combining forecast densities from VARs
                                  with uncertain instabilities . . . . . . 621--634
            \`Oscar Jord\`a and   
        Massimiliano Marcellino   Path forecast evaluation . . . . . . . . 635--662
             Maximo Camacho and   
           Gabriel Perez-Quiros   Introducing the euro-sting: Short-term
                                  indicator of euro area growth  . . . . . 663--694
                 Drew Creal and   
           Siem Jan Koopman and   
                     Eric Zivot   Extracting a robust US business cycle
                                  using a time-varying multivariate
                                  model-based bandpass filter  . . . . . . 695--719
           Rochelle M. Edge and   
           Michael T. Kiley and   
          Jean-Philippe Laforte   A comparison of forecast performance
                                  between federal reserve staff forecasts,
                                  simple reduced-form models, and a DSGE
                                  model  . . . . . . . . . . . . . . . . . 720--754

Journal of Applied Econometrics
Volume 25, Number 5, August, 2010

               Fabio Canova and   
         David Lopez-Salido and   
             Claudio Michelacci   The effects of technology shocks on
                                  hours and output: a robustness analysis  755--773
      Pablo A. Guerron-Quintana   What you match does matter: the effects
                                  of data on DSGE estimation . . . . . . . 774--804
                Bruno Bosco and   
              Lucia Parisio and   
           Matteo Pelagatti and   
                    Fabio Baldi   Long-run relations in European
                                  electricity prices . . . . . . . . . . . 805--832
             Marek Jaroci\'nski   Responses to monetary policy shocks in
                                  the east and the west of Europe: a
                                  comparison . . . . . . . . . . . . . . . 833--868
          George Kapetanios and   
                     Tony Yates   Estimating time variation in measurement
                                  error from data revisions: an
                                  application to backcasting and
                                  forecasting in dynamic models  . . . . . 869--893
                Harry Haupt and   
          Joachim Schnurbus and   
                 Rolf Tschernig   On nonparametric estimation of a hedonic
                                  price function . . . . . . . . . . . . . 894--901

Journal of Applied Econometrics
Volume 25, Number 6, September / October, 2010

        Christopher Douglas and   
       Ana María Herrera   Why are gasoline prices sticky? A test
                                  of alternative models of price
                                  adjustment . . . . . . . . . . . . . . . 903--928
                    Julien Prat   The rate of learning-by-doing: estimates
                                  from a search-matching model . . . . . . 929--962
        Pavlo R. Blavatskyy and   
                 Ganna Pogrebna   Models of stochastic choice and decision
                                  theories: why both are important for
                                  analyzing decisions  . . . . . . . . . . 963--986
            Nicolas de Roos and   
               Yianis Sarafidis   Decision making under risk in Deal or No
                                  Deal . . . . . . . . . . . . . . . . . . 987--1027
        Michael P. Clements and   
                David I. Harvey   Forecast encompassing tests and
                                  probability forecasts  . . . . . . . . . 1028--1062
                    Anton Nakov   Jackknife instrumental variables
                                  estimation: replication and extension of
                                  Angrist, Imbens and Krueger (1999) . . . 1063--1066
               M Hashem Pesaran   The Richard Stone Prize in Applied
                                  Econometrics . . . . . . . . . . . . . . 1067--1068
                      Anonymous   Acknowledgement to Referees  . . . . . . 1069--1072

Journal of Applied Econometrics
Volume 25, Number 7, November / December, 2010

                 Steve Bond and   
       Asli Leblebicio\uglu and   
            Fabio Schiantarelli   Capital accumulation and growth: a new
                                  look at the empirical evidence . . . . . 1073--1099
                  Chih Ming Tan   No one true path: uncovering the
                                  interplay between geography,
                                  institutions, and fractionalization in
                                  economic development . . . . . . . . . . 1100--1127
    Miguel A. Juárez and   
               Mark F. J. Steel   Non-Gaussian dynamic Bayesian modelling
                                  for panel data . . . . . . . . . . . . . 1128--1154
                 Cheolbeom Park   How does changing age distribution
                                  impact stock prices? A nonparametric
                                  approach . . . . . . . . . . . . . . . . 1155--1178
                Aditi Mehta and   
                Marc Rysman and   
                     Tim Simcoe   Identifying the age profile of patent
                                  citations: new estimates of knowledge
                                  diffusion  . . . . . . . . . . . . . . . 1179--1204
                  Robert Finger   Review of `Robustbase' software for R    1205--1210
               Kim P. Huynh and   
   David T. Jacho-Chávez   Firm size distributions through the lens
                                  of functional principal components
                                  analysis . . . . . . . . . . . . . . . . 1211--1214
              Isabelle Perrigne   Book Review: Harry J. Paarsch and Han
                                  Hong, \booktitleAn Introduction to the
                                  Structural Econometrics of Auction Data
                                  (The MIT Press 2006) . . . . . . . . . . 1215--1222


Journal of Applied Econometrics
Volume 26, Number 1, January / February, 2011

                John Geweke and   
                 Gianni Amisano   Hierarchical Markov normal mixture
                                  models with applications to financial
                                  asset returns  . . . . . . . . . . . . . 1--29
             Theo S. Eicher and   
         Chris Papageorgiou and   
              Adrian E. Raftery   Default priors and predictive
                                  performance in Bayesian model averaging,
                                  with application to growth determinants  30--55
          Joakim Westerlund and   
                  Wolfgang Hess   A new poolability test for cointegrated
                                  panels . . . . . . . . . . . . . . . . . 56--88
                 Shigeru Fujita   Dynamics of worker flows and vacancies:
                                  evidence from the sign restriction
                                  approach . . . . . . . . . . . . . . . . 89--121
                   Sung-Jin Cho   An empirical model of mainframe computer
                                  investment . . . . . . . . . . . . . . . 122--150
            Monique De Haan and   
                      Erik Plug   Estimating intergenerational schooling
                                  mobility on censored samples:
                                  consequences and remedies  . . . . . . . 151--166
             Jae Bong Chang and   
                 Jayson L. Lusk   Mixed logit models: accuracy and
                                  software choice  . . . . . . . . . . . . 167--172

Journal of Applied Econometrics
Volume 26, Number 2, March, 2011

             Nicholas M. Kiefer   Default estimation, correlated defaults,
                                  and expert information . . . . . . . . . 173--192
   Antonio Diez De Los Rios and   
             René Garcia   Assessing and valuing the nonlinear
                                  structure of hedge fund returns  . . . . 193--212
                  Ryan R. Brady   Measuring the diffusion of housing
                                  prices across space and over time  . . . 213--231
              Adam Copeland and   
                    George Hall   The response of prices, sales, and
                                  output to temporary changes in demand    232--269
         Subal C. Kumbhakar and   
           Efthymios G. Tsionas   Stochastic error specification in primal
                                  and dual production systems  . . . . . . 270--297
     Vanessa Berenguer-Rico and   
Josep Lluís Carrion-i-Silvestre   Regime shifts in stock-flow $ {\rm
                                  I}(2)$--$ {\rm I}(1)$ systems: the case
                                  of US fiscal sustainability  . . . . . . 298--321
        Orazio P. Attanasio and   
                 Monica Paiella   Intertemporal consumption choices,
                                  transaction costs and limited
                                  participation in financial markets:
                                  reconciling data and theory  . . . . . . 322--343
             Anson T. Y. Ho and   
               Kim P. Huynh and   
   David T. Jacho-Chávez   \tt npRmpi: A package for parallel
                                  distributed kernel estimation in R . . . 344--349

Journal of Applied Econometrics
Volume 26, Number 3, April / May, 2011

          Charles Bellemare and   
              Charles F. Manski   Introduction: `Measurement and analysis
                                  of subjective expectations'  . . . . . . 351--351
              Jeff Dominitz and   
              Charles F. Manski   Measuring and interpreting expectations
                                  of equity returns  . . . . . . . . . . . 352--370
              Fabian Gouret and   
              Guillaume Hollard   When Kahneman meets Manski: Using dual
                                  systems of reasoning to interpret
                                  subjective expectations of equity
                                  returns  . . . . . . . . . . . . . . . . 371--392
      Péter Hudomiet and   
  Gábor Kézdi and   
               Robert J. Willis   Stock market crash and expectations of
                                  American households  . . . . . . . . . . 393--415
               Michael Hurd and   
          Maarten Van Rooij and   
                 Joachim Winter   Stock market expectations of Dutch
                                  households . . . . . . . . . . . . . . . 416--436
          Charles Bellemare and   
           Alexander Sebald and   
                 Martin Strobel   Measuring the willingness to pay to
                                  avoid guilt: estimation using
                                  equilibrium and stated belief models . . 437--453
 Wändi Bruine De Bruin and   
          Charles F. Manski and   
               Giorgio Topa and   
         Wilbert van der Klaauw   Measuring consumer uncertainty about
                                  future inflation . . . . . . . . . . . . 454--478
          Adeline Delavande and   
         Xavier Giné and   
                 David McKenzie   Eliciting probabilistic expectations
                                  with visual aids in developing
                                  countries: how sensitive are answers to
                                  variations in elicitation design?  . . . 479--497
          Adeline Delavande and   
               Susann Rohwedder   Individuals' uncertainty about future
                                  social security benefits and portfolio
                                  choice . . . . . . . . . . . . . . . . . 498--519
                    Basit Zafar   Can subjective expectations data be used
                                  in choice models? Evidence on cognitive
                                  biases . . . . . . . . . . . . . . . . . 520--544
              M. Hashem Pesaran   Journal of Applied Econometrics
                                  distinguished authors  . . . . . . . . . 545--546
                      Anonymous   Journal of Applied Econometrics
                                  dissertation prize . . . . . . . . . . . 547--547

Journal of Applied Econometrics
Volume 26, Number 4, June / July, 2011

            Andrew M. Jones and   
               Stefanie Schurer   How does heterogeneity shape the
                                  socioeconomic gradient in health
                                  satisfaction?  . . . . . . . . . . . . . 549--579
               Zvi Eckstein and   
                   Suqin Ge and   
             Barbara Petrongolo   Job and wage mobility with minimum wages
                                  and imperfect compliance . . . . . . . . 580--612
            John K. Dagsvik and   
Torbjòrn Hægeland and   
                 Arvid Raknerud   Estimating the returns to schooling: a
                                  likelihood approach based on normal
                                  mixtures . . . . . . . . . . . . . . . . 613--640
        Pierre-Carl Michaud and   
        Konstantinos Tatsiramos   Fertility and female employment dynamics
                                  in Europe: the effect of using
                                  alternative econometric modeling
                                  assumptions  . . . . . . . . . . . . . . 641--668
             Katarzyna Bien and   
               Ingmar Nolte and   
             Winfried Pohlmeier   An inflated multivariate integer count
                                  hurdle model: an application to bid and
                                  ask quote dynamics . . . . . . . . . . . 669--707
                    Kai Sun and   
        Daniel J. Henderson and   
             Subal C. Kumbhakar   Biases in approximating log production   708--714

Journal of Applied Econometrics
Volume 26, Number 5, August, 2011

                 Jushan Bai and   
                      Peng Wang   Conditional Markov chain and its
                                  application in economic time series
                                  analysis . . . . . . . . . . . . . . . . 715--734
            Andrea Carriero and   
          George Kapetanios and   
        Massimiliano Marcellino   Forecasting large datasets with Bayesian
                                  reduced rank multivariate models . . . . 735--761
               Luca Fanelli and   
                 Giulio Palomba   Simulation-based tests of
                                  forward-looking models under VAR
                                  learning dynamics  . . . . . . . . . . . 762--782
             Pamela Giustinelli   Non-parametric bounds on quantiles under
                                  monotonicity assumptions: with an
                                  application to the Italian education
                                  returns  . . . . . . . . . . . . . . . . 783--824
               Ahmed Khwaja and   
             Gabriel Picone and   
                Martin Salm and   
              Justin G. Trogdon   A comparison of treatment effects
                                  estimators using a structural model of
                                  AMI treatment choices and severity of
                                  illness information from hospital charts 825--853
                Sheng-Kai Chang   Simulation estimation of two-tiered
                                  dynamic panel Tobit models with an
                                  application to the labor supply of
                                  married women  . . . . . . . . . . . . . 854--871
                 Hans Van Ophem   The frequency of visiting a doctor: Is
                                  the decision to go independent of the
                                  frequency? . . . . . . . . . . . . . . . 872--879
                  Lee C. Adkins   Using gretl for Monte Carlo experiments  880--885
                 Cheolbeom Park   How does changing age distribution
                                  impact stock prices? A nonparametric
                                  approach . . . . . . . . . . . . . . . . 886--887
                 Cheolbeom Park   Acknowledgement to Referees  . . . . . . 888--891

Journal of Applied Econometrics
Volume 26, Number 6, September / October, 2011

 Jérôme Lahaye and   
   Sébastien Laurent and   
           Christopher J. Neely   Jumps, cojumps and macro announcements   893--921
             Roxana Chiriac and   
                    Valeri Voev   Modelling and forecasting multivariate
                                  realized volatility  . . . . . . . . . . 922--947
            Michael Ehrmann and   
          Marcel Fratzscher and   
                Roberto Rigobon   Stocks, bonds, money markets and
                                  exchange rates: measuring international
                                  financial transmission . . . . . . . . . 948--974
                  Zeynep Senyuz   Factor analysis of permanent and
                                  transitory dynamics of the US economy
                                  and the stock market . . . . . . . . . . 975--998
          Francesco Audrino and   
            Marcelo C. Medeiros   Modeling and forecasting short-term
                                  interest rates: The benefits of smooth
                                  regimes, macroeconomic variables, and
                                  bagging  . . . . . . . . . . . . . . . . 999--1022
             James Mitchell and   
              Kenneth F. Wallis   Evaluating density forecasts: forecast
                                  combinations, model mixtures,
                                  calibration and sharpness  . . . . . . . 1023--1040
          Jesus Crespo Cuaresma   How different is Africa? A comment on
                                  Masanjala and Papageorgiou . . . . . . . 1041--1047
             Chris Papageorgiou   How to use interaction terms in BMA:
                                  Reply to Crespo Cuaresma's comment on
                                  Masanjala and Papageorgiou (2008)  . . . 1048--1050
                  Olli Ropponen   Reconciling the evidence of Card and
                                  Krueger (1994) and Neumark and Wascher
                                  (2000) . . . . . . . . . . . . . . . . . 1051--1057

Journal of Applied Econometrics
Volume 26, Number 7, November / December, 2011

           Joseph Engelberg and   
          Charles F. Manski and   
                 Jared Williams   Assessing the temporal variation of
                                  macroeconomic forecasts by a panel of
                                  changing composition . . . . . . . . . . 1059--1078
           Laurent Gobillon and   
             Thierry Magnac and   
                   Harris Selod   The effect of location on finding a job
                                  in the Paris region  . . . . . . . . . . 1079--1112
            Jeffrey R. Campbell   Competition in large markets . . . . . . 1113--1136
            Jan C. van Ours and   
                 Jenny Williams   Cannabis use and mental health problems  1137--1156
Anne Line Bretteville-Jensen and   
                   Liana Jacobi   Climbing the drug staircase: a Bayesian
                                  analysis of the initiation of hard drug
                                  use  . . . . . . . . . . . . . . . . . . 1157--1186
             Lucas W. Davis and   
                    Lutz Kilian   Estimating the effect of a gasoline tax
                                  on carbon emissions  . . . . . . . . . . 1187--1214
Fábio Augusto Reis Gomes and   
         Lourenço S. Paz   Narrow Replication of Yogo (2004)
                                  Estimating the Elasticity of
                                  Intertemporal Substitution when
                                  Instruments are Weak . . . . . . . . . . 1215--1216


Journal of Applied Econometrics
Volume 27, Number 1, January / February, 2012

                 Loren K. Smith   Dynamics and equilibrium in a structural
                                  model of wide-body commercial aircraft
                                  markets  . . . . . . . . . . . . . . . . 1--33
                     Shanjun Li   Traffic safety and vehicle choice:
                                  quantifying the effects of the `arms
                                  race' on American roads  . . . . . . . . 34--62
          Pieter A. Gautier and   
             Bas van der Klaauw   Selection in a field experiment with
                                  voluntary participation  . . . . . . . . 63--84
        Valentino Dardanoni and   
              Mario Fiorini and   
                Antonio Forcina   Stochastic monotonicity in
                                  intergenerational mobility tables  . . . 85--107
                     Aart Kraay   Instrumental variables regressions with
                                  uncertain exclusion restrictions: a
                                  Bayesian approach  . . . . . . . . . . . 108--128
                    Hui Xie and   
                        Yi Qian   Measuring the impact of nonignorability
                                  in panel data with non-monotone
                                  nonresponse  . . . . . . . . . . . . . . 129--159
                 Juan A. Correa   Innovation and competition: An unstable
                                  relationship . . . . . . . . . . . . . . 160--166
              Jeffrey S. Racine   RStudio: A Platform-Independent IDE for
                                  R and Sweave . . . . . . . . . . . . . . 167--172

Journal of Applied Econometrics
Volume 27, Number 2, March, 2012

     Alfonso Flores-Lagunes and   
              Kurt Erik Schnier   Estimation of sample selection models
                                  with spatial dependence  . . . . . . . . 173--204
                Abhiman Das and   
             Subal C. Kumbhakar   Productivity and efficiency dynamics in
                                  Indian banking: An input distance
                                  function approach incorporating quality
                                  of inputs and outputs  . . . . . . . . . 205--234
             Clare McAndrew and   
             James L. Smith and   
                   Rex Thompson   The impact of reserve prices on the
                                  perceived bias of expert appraisals of
                                  fine art . . . . . . . . . . . . . . . . 235--252
                    Qu Feng and   
             William C. Horrace   Alternative technical efficiency
                                  measures: Skew, bias and scale . . . . . 253--268
        Christian M. Hafner and   
                    Hans Manner   Dynamic stochastic copula models:
                                  estimation, inference and applications   269--295
             Theo S. Eicher and   
             Christian Henn and   
             Chris Papageorgiou   Trade creation and diversion revisited:
                                  Accounting for model uncertainty and
                                  natural trading partner effects  . . . . 296--321
               Geert Dhaene and   
          J. M. C. Santos Silva   Specification and testing of models
                                  estimated by quadrature  . . . . . . . . 322--332
              Myrto Kalouptsidi   From market shares to consumer types:
                                  Duality in differentiated product demand
                                  estimation . . . . . . . . . . . . . . . 333--342
              Helmut Farbmacher   GMM with many weak moment conditions:
                                  Replication and application of Newey and
                                  Windmeijer (2009)  . . . . . . . . . . . 343--346

Journal of Applied Econometrics
Volume 27, Number 3, April / May, 2012

                 Yingyao Hu and   
                   Geert Ridder   Estimation of nonlinear models with
                                  mismeasured regressors using marginal
                                  information  . . . . . . . . . . . . . . 347--385
                     L. Hospido   Modelling heterogeneity and dynamics in
                                  the volatility of individual wages . . . 386--414
                     Anil Kumar   Nonparametric estimation of the impact
                                  of taxes on female labor supply  . . . . 415--439
                    Pelin Ilbas   Revealing the preferences of the US
                                  Federal Reserve  . . . . . . . . . . . . 440--473
           Emma M. Iglesias and   
           Garry D. A. Phillips   Improved instrumental variables
                                  estimation of simultaneous equations
                                  under conditionally heteroskedastic
                                  disturbances . . . . . . . . . . . . . . 474--499
           Michael S. Smith and   
                   Quan Gan and   
                 Robert J. Kohn   Modelling dependence using skew t
                                  copulas: Bayesian inference and
                                  applications . . . . . . . . . . . . . . 500--522
                      Anonymous   Journal of Applied Econometrics
                                  Dissertation Prize . . . . . . . . . . . 523--523

Journal of Applied Econometrics
Volume 27, Number 4, June / July, 2012

                Vito Polito and   
                   Mike Wickens   Optimal monetary policy using an
                                  unrestricted VAR . . . . . . . . . . . . 525--553
    Matthew Greenwood-Nimmo and   
          Viet Hoang Nguyen and   
                 Yongcheol Shin   Probabilistic forecasting of output
                                  growth, inflation and the balance of
                                  trade in a GVAR framework  . . . . . . . 554--573
                 Emanuel Moench   Term structure surprises: the predictive
                                  content of curvature, level, and slope   574--602
        Jean-Thomas Bernard and   
          Jean-Marie Dufour and   
               Lynda Khalaf and   
                  Maral Kichian   An identification-robust test for
                                  time-varying parameters in the dynamics
                                  of energy prices . . . . . . . . . . . . 603--624
           Nikolaus Hautsch and   
                Lada M. Kyj and   
               Roel C. A. Oomen   A blocking and regularization approach
                                  to high-dimensional realized covariance
                                  estimation . . . . . . . . . . . . . . . 625--645
                 Thomas A. Mroz   A simple, flexible estimator for count
                                  and other ordered discrete data  . . . . 646--665
                 Kamhon Kan and   
                 Myoung-Jae Lee   Lose weight for a raise only if
                                  overweight: Marginal integration for
                                  semi-linear panel models . . . . . . . . 666--685
         Martin Feldkircher and   
                 Stefan Zeugner   The impact of data revisions on the
                                  robustness of growth determinants --- a
                                  note on `determinants of economic
                                  growth: Will data tell?' . . . . . . . . 686--694
             Eelco Zandberg and   
              Jakob De Haan and   
                J. Paul Elhorst   The political economy of financial
                                  reform: How robust are Huang's findings? 695--699
                      Anonymous   Acknowledgement to referees  . . . . . . 700--703

Journal of Applied Econometrics
Volume 27, Number 5, August, 2012

                Cheng Hsiao and   
             H. Steve Ching and   
                    Shui Ki Wan   A panel data approach for program
                                  evaluation: measuring the benefits of
                                  political and economic integration of
                                  Hong Kong with Mainland China  . . . . . 705--740
                  Mario Fiorini   Fostering educational enrolment through
                                  subsidies: the issue of timing . . . . . 741--772
           Kristian Behrens and   
                  Cem Ertur and   
                  Wilfried Koch   `Dual' gravity: using spatial
                                  econometrics to control for multilateral
                                  resistance . . . . . . . . . . . . . . . 773--794
                Ralf Becker and   
               Denise R. Osborn   Weighted smooth transition regressions   795--811
               Markku Lanne and   
                 Arto Luoma and   
                     Jani Luoto   Bayesian model selection and forecasting
                                  in noncausal autoregressive models . . . 812--830
                 Dennis Fok and   
               Richard Paap and   
                  Bram Van Dijk   a rank-ordered logit model with
                                  unobserved heterogeneity in ranking
                                  capabilities . . . . . . . . . . . . . . 831--846
              Michal Paluch and   
                Alois Kneip and   
             Werner Hildenbrand   Individual versus aggregate income
                                  elasticities for heterogeneous
                                  populations  . . . . . . . . . . . . . . 847--869
           Shahram M. Amini and   
        Christopher F. Parmeter   Comparison of model averaging
                                  techniques: assessing growth
                                  determinants . . . . . . . . . . . . . . 870--876

Journal of Applied Econometrics
Volume 27, Number 6, September / October, 2012

      Peter Reinhard Hansen and   
                 Zhuo Huang and   
              Howard Howan Shek   Realized GARCH: a joint model for
                                  returns and realized measures of
                                  volatility . . . . . . . . . . . . . . . 877--906
             Diaa Noureldin and   
              Neil Shephard and   
                 Kevin Sheppard   Multivariate high-frequency-based
                                  volatility (HEAVY) models  . . . . . . . 907--933
   Sébastien Laurent and   
      Jeroen V. K. Rombouts and   
             Francesco Violante   On the forecasting accuracy of
                                  multivariate GARCH models  . . . . . . . 934--955
     Charlotte Christiansen and   
             Maik Schmeling and   
               Andreas Schrimpf   A comprehensive look at financial
                                  volatility prediction by economic
                                  variables  . . . . . . . . . . . . . . . 956--977
         Christian Bontemps and   
                   Nour Meddahi   Testing distributional assumptions: A
                                  GMM approach . . . . . . . . . . . . . . 978--1012
         René Garcia and   
                  Richard Luger   Risk aversion, intertemporal
                                  substitution, and the term structure of
                                  interest rates . . . . . . . . . . . . . 1013--1036

Journal of Applied Econometrics
Volume 27, Number 7, November / December, 2012

               Xiaodong Liu and   
              John H. Kagel and   
                   Lung-Fei Lee   Learning from peers in signaling game
                                  experiments  . . . . . . . . . . . . . . 1037--1058
          Steven N. Durlauf and   
          Andros Kourtellos and   
                  Chih Ming Tan   Is God in the details? A reexamination
                                  of the role of religion in economic
                                  growth . . . . . . . . . . . . . . . . . 1059--1075
           Giuseppe De Luca and   
                Franco Peracchi   Estimating Engel curves under unit and
                                  item nonresponse . . . . . . . . . . . . 1076--1099
                   Tzu-Chun Kuo   Evaluating Californian under-age drunk
                                  driving laws: endogenous policy lags . . 1100--1115
Sylvia Frühwirth-Schnatter and   
        Christoph Pamminger and   
               Andrea Weber and   
            Rudolf Winter-Ebmer   Labor market entry and earnings
                                  dynamics: Bayesian inference using
                                  mixtures-of-experts Markov chain
                                  clustering . . . . . . . . . . . . . . . 1116--1137
        Patrik Guggenberger and   
                Gitanjali Kumar   On the size distortion of tests after an
                                  overidentifying restrictions pretest . . 1138--1160
            Irina Murtazashvili   An alternative measure of
                                  intergenerational income mobility based
                                  on a random coefficient model  . . . . . 1161--1173
            Dries F. Benoit and   
              Dirk Van den Poel   Binary quantile regression: a Bayesian
                                  approach based on the asymmetric Laplace
                                  distribution . . . . . . . . . . . . . . 1174--1188
                  Alpaslan Akay   Finite-sample comparison of alternative
                                  methods for estimating dynamic panel
                                  data models  . . . . . . . . . . . . . . 1189--1204
             C. R. McKenzie and   
                 Sumiko Takaoka   EViews 7.2 . . . . . . . . . . . . . . . 1205--1210
                      Anonymous   The Richard Stone Prize in Applied
                                  Econometrics . . . . . . . . . . . . . . 1211--1212


Journal of Applied Econometrics
Volume 28, Number 1, January / February, 2013

          Sabien Dobbelaere and   
               Jacques Mairesse   Panel data estimates of the production
                                  function and product and labor market
                                  imperfections  . . . . . . . . . . . . . 1--46
         Anastasia Semykina and   
          Jeffrey M. Wooldridge   Estimation of dynamic panel data models
                                  with sample selection  . . . . . . . . . 47--61
            Markus Jochmann and   
                  Gary Koop and   
      Roberto Leon-Gonzalez and   
             Rodney W. Strachan   Stochastic search variable selection in
                                  vector error correction models with an
                                  application to a model of the UK
                                  macroeconomy . . . . . . . . . . . . . . 62--81
       Antonello D'Agostino and   
              Luca Gambetti and   
              Domenico Giannone   Macroeconomic forecasting and structural
                                  change . . . . . . . . . . . . . . . . . 82--101
                  Liugang Sheng   Did China diversify its foreign
                                  reserves?  . . . . . . . . . . . . . . . 102--125
           Markus Brückner   On the simultaneity problem in the aid
                                  and growth debate  . . . . . . . . . . . 126--150
        Konstantinos Drakos and   
    Panagiotis Th. Konstantinou   Investment decisions in manufacturing:
                                  assessing the effects of real oil prices
                                  and their uncertainty  . . . . . . . . . 151--165
             Koen Deconinck and   
             Marijke Verpoorten   Narrow and scientific replication of
                                  `The slave trade and the origins of
                                  mistrust in Africa'  . . . . . . . . . . 166--169
             C. R. McKenzie and   
                 Sumiko Takaoka   Microfit 5.0 . . . . . . . . . . . . . . 170--175

Journal of Applied Econometrics
Volume 28, Number 2, March, 2013

                   Gary M. Koop   Forecasting with Medium and Large
                                  Bayesian VARS  . . . . . . . . . . . . . 177--203
             Dimitris Korobilis   Var forecasting using Bayesian variable
                                  selection  . . . . . . . . . . . . . . . 204--230
              Gabriel Fagan and   
           James R. Lothian and   
                Paul D. Mcnelis   Was the gold standard really
                                  destabilizing? . . . . . . . . . . . . . 231--249
            Jan J. J. Groen and   
          George Kapetanios and   
                    Simon Price   Multivariate methods for monitoring
                                  structural change  . . . . . . . . . . . 250--274
         Bas Van der Klaauw and   
                Jan C. Van Ours   Carrot and stick: how re-employment
                                  bonuses and benefit sanctions affect
                                  exit rates from welfare  . . . . . . . . 275--296
                Seung-Hyun Hong   Measuring the effect of Napster on
                                  recorded music sales:
                                  difference-in-differences estimates
                                  under compositional changes  . . . . . . 297--324
        Katarina Richardson and   
         Gerard J. van den Berg   Duration dependence versus unobserved
                                  heterogeneity in treatment effects:
                                  Swedish labor market training and the
                                  transition rate to employment  . . . . . 325--351

Journal of Applied Econometrics
Volume 28, Number 3, April / May, 2013

                    Min Wei and   
             Jonathan H. Wright   Reverse regressions and long--horizon
                                  forecasting  . . . . . . . . . . . . . . 353--371
       Carolina Castagnetti and   
                  Eduardo Rossi   Euro corporate bond risk factors . . . . 372--391
             Vladimir Kuzin and   
    Massimiliano Marcellino and   
           Christian Schumacher   Pooling versus model selection for
                                  nowcasting GDP with many predictors:
                                  empirical evidence for six
                                  industrialized countries . . . . . . . . 392--411
               Thomas Fomby and   
                 Yuki Ikeda and   
               Norman V. Loayza   The growth aftermath of natural
                                  disasters  . . . . . . . . . . . . . . . 412--434
        Georgios Chortareas and   
              George Kapetanios   How puzzling is the PPP puzzle? An
                                  alternative half-life measure of
                                  convergence to PPP . . . . . . . . . . . 435--457
        Michael P. Clements and   
      Ana Beatriz Galvão   Real-time forecasting of inflation and
                                  output growth with autoregressive models
                                  in the presence of data revisions  . . . 458--477
                   Taeyoung Doh   Long-run risks in the term structure of
                                  interest rates: estimation . . . . . . . 478--497
              Haroon Mumtaz and   
         Laura Sunder-Plassmann   Time-varying dynamics of the real
                                  exchange rate: an empirical analysis . . 498--525
                      Anonymous   Journal of applied econometrics
                                  dissertation prize . . . . . . . . . . . 526--526

Journal of Applied Econometrics
Volume 28, Number 4, June / July, 2013

               Dana Goldman and   
                 Nicole Maestas   Medical expenditure risk and household
                                  portfolio choice . . . . . . . . . . . . 527--550
                      Qi Li and   
             Desheng Ouyang and   
              Jeffrey S. Racine   Categorical semiparametric
                                  varying-coefficient models . . . . . . . 551--579
             James Mitchell and   
           Richard J. Smith and   
                Martin R. Weale   Efficient aggregation of panel
                                  qualitative survey data  . . . . . . . . 580--603
             Marco Caliendo and   
    Konstantinos Tatsiramos and   
                Arne Uhlendorff   Benefit duration, unemployment duration
                                  and job match quality: a
                                  regression--discontinuity approach . . . 604--627
         Maria Knoth Humlum and   
            Rune Majlund Vejlin   The responses of youth to a cash
                                  transfer conditional on schooling: a
                                  quasi--experimental study  . . . . . . . 628--649
                 Marc Henry and   
         Ismael Mourifié   Euclidean revealed preferences: testing
                                  the spatial voting model . . . . . . . . 650--666
             Gianni Amisano and   
        Maria Letizia Giorgetti   Entry into pharmaceutical submarkets: a
                                  Bayesian panel probit analysis . . . . . 667--701
              Harrison Fell and   
                 Alan C. Haynie   Spatial competition with changing market
                                  institutions . . . . . . . . . . . . . . 702--719
Jesús Crespo Cuaresma and   
             Martin Feldkircher   Spatial filtering, model uncertainty and
                                  the speed of income convergence in
                                  Europe . . . . . . . . . . . . . . . . . 720--741

Journal of Applied Econometrics
Volume 28, Number 5, August, 2013

                Luc Bauwens and   
        Christian M. Hafner and   
                  Diane Pierret   Multivariate volatility modeling of
                                  electricity futures  . . . . . . . . . . 743--761
             Jonathan H. Wright   Evaluating real--time var forecasts with
                                  an informative democratic prior  . . . . 762--776
                 Drew Creal and   
           Siem Jan Koopman and   
             André Lucas   Generalized autoregressive score models
                                  with applications  . . . . . . . . . . . 777--795
               John Ermisch and   
              Marco Francesconi   The effect of parental employment on
                                  child schooling  . . . . . . . . . . . . 796--822
           Edoardo Di Porto and   
               Federico Revelli   Tax--limited reaction functions  . . . . 823--839
                 Andreas Pollak   Unemployment, human capital
                                  depreciation, and unemployment insurance
                                  policy . . . . . . . . . . . . . . . . . 840--863
                 Shanjun Li and   
                 Yanyan Liu and   
                Klaus Deininger   How important are endogenous peer
                                  effects in group lending? Estimating a
                                  static game of incomplete information    864--882
              K. Peren Arin and   
          Michael Berlemann and   
                 Faik Koray and   
            Torben Kuhlenkasper   Nonlinear growth effects of taxation: a
                                  semi--parametric approach using average
                                  marginal tax rates . . . . . . . . . . . 883--899
              M. Hashem Pesaran   Distinguished authors  . . . . . . . . . 900--901

Journal of Applied Econometrics
Volume 28, Number 6, September / October, 2013

             Alexei Onatski and   
          Francisco Ruge-Murcia   Factor analysis of a large DSGE model    903--928
            Martin M. Andreasen   Non-linear DSGE models and the central
                                  difference Kalman filter . . . . . . . . 929--955
               Martin Burda and   
                Matthew Harding   Panel probit with flexible correlated
                                  effects: quantifying technology
                                  spillovers in the presence of latent
                                  heterogeneity  . . . . . . . . . . . . . 956--981
         Daniel L. Millimet and   
                 Rusty Tchernis   Estimation of treatment effects without
                                  an exclusion restriction: with an
                                  application to the analysis of the
                                  school breakfast program . . . . . . . . 982--1017
              Michael Keane and   
                      Nada Wasi   Comparing alternative models of
                                  heterogeneity in consumer choice
                                  behavior . . . . . . . . . . . . . . . . 1018--1045
                         Pai Xu   Nonparametric estimation of entry cost
                                  in first--price procurement auctions . . 1046--1065

Journal of Applied Econometrics
Volume 28, Number 7, November / December, 2013

         Fabrizio Cipollini and   
            Robert F. Engle and   
             Giampiero M. Gallo   Semiparametric vector mem  . . . . . . . 1067--1086
      Christiane Baumeister and   
                  Gert Peersman   The role of time--varying price
                                  elasticities in accounting for
                                  volatility changes in the crude oil
                                  market . . . . . . . . . . . . . . . . . 1087--1109
                Prosper Dovonon   Conditionally heteroskedastic factor
                                  models with skewness and leverage
                                  effects  . . . . . . . . . . . . . . . . 1110--1137
               Daniel Preve and   
                   Yiu-Kuen Tse   Estimation of time--varying adjusted
                                  probability of informed trading and
                                  probability of symmetric order--flow
                                  shock  . . . . . . . . . . . . . . . . . 1138--1152
               Patrick Arni and   
              Rafael Lalive and   
                Jan C. Van Ours   How effective are unemployment benefit
                                  sanctions? Looking beyond unemployment
                                  exit . . . . . . . . . . . . . . . . . . 1153--1178
          Christian Schoder and   
 Christian R. Proaño and   
                  Willi Semmler   Are the current account imbalances
                                  between EMU countries sustainable?
                                  Evidence from parametric and
                                  non-parametric tests . . . . . . . . . . 1179--1204
José Luis Moraga-González and   
        Zsolt Sándor and   
        Matthijs R. Wildenbeest   Semi-nonparametric estimation of
                                  consumer search costs  . . . . . . . . . 1205--1223
         Michael S. Delgado and   
        Christopher F. Parmeter   Embarrassingly easy embarrassingly
                                  parallel processing in R . . . . . . . . 1224--1230
                      Anonymous   Acknowledgement to Referees  . . . . . . 1231--1234


Journal of Applied Econometrics
Volume 29, Number 1, January / February, 2014

       Hadi Salehi Esfahani and   
            Kamiar Mohaddes and   
              M. Hashem Pesaran   An empirical growth model for major oil
                                  exporters  . . . . . . . . . . . . . . . 1--21
             Robert Gramacy and   
           Samuel W. Malone and   
              Enrique Ter Horst   Exchange rate fundamentals, forecasting,
                                  and speculation: Bayesian models in
                                  black markets  . . . . . . . . . . . . . 22--41
             Hans Dewachter and   
             Leonardo Iania and   
                    Marco Lyrio   Information in the yield curve: a
                                  macro--finance approach  . . . . . . . . 42--64
           Borus Jungbacker and   
           Siem Jan Koopman and   
             Michel van der Wel   Smooth dynamic factor analysis with
                                  application to the us term structure of
                                  interest rates . . . . . . . . . . . . . 65--90
            Vincent Boucher and   
      Yann Bramoullé and   
            Habiba Djebbari and   
                 Bernard Fortin   Do peers affect student achievement?
                                  Evidence from Canada using group size
                                  variation  . . . . . . . . . . . . . . . 91--109
       Efthymios G. Tsionas and   
             Subal C. Kumbhakar   Firm heterogeneity, persistent and
                                  transient technical inefficiency: a
                                  generalized true random--effects model   110--132
            Marta Ba\'nbura and   
                Michele Modugno   Maximum likelihood estimation of factor
                                  models on datasets with arbitrary
                                  pattern of missing data  . . . . . . . . 133--160
         James G. MacKinnon and   
Morten Òrregaard Nielsen   Numerical distribution functions of
                                  fractional unit root and cointegration
                                  tests  . . . . . . . . . . . . . . . . . 161--171
  Stefan Klößner and   
                    Sven Wagner   Exploring all VAR orderings for
                                  calculating spillovers? Yes, we can! ---
                                  a note on Diebold and Yilmaz (2009)  . . 172--179

Journal of Applied Econometrics
Volume 29, Number 2, March, 2014

             Jesus M. Carro and   
             Alejandra Traferri   State dependence and heterogeneity in
                                  health using a bias--corrected
                                  fixed--effects estimator . . . . . . . . 181--207
        Nicolas R. Ziebarth and   
                Martin Karlsson   The effects of expanding the generosity
                                  of the statutory sickness insurance
                                  system . . . . . . . . . . . . . . . . . 208--230
                  Dukpa Kim and   
                   Tatsushi Oka   Divorce law reforms and divorce rates in
                                  the USA: an interactive fixed--effects
                                  approach . . . . . . . . . . . . . . . . 231--245
           Arthur Van Soest and   
                   Hana Vonkova   How sensitive are retirement decisions
                                  to financial incentives? A stated
                                  preference analysis  . . . . . . . . . . 246--264
         Michele Campolieti and   
             Deborah Gefang and   
                      Gary Koop   Time variation in the dynamics of worker
                                  flows: evidence from North America and
                                  Europe . . . . . . . . . . . . . . . . . 265--290
             Dongfeng Chang and   
             Apostolos Serletis   The demand for gasoline: evidence from
                                  household survey data  . . . . . . . . . 291--313
                Guy Laroque and   
         Bernard Salanié   Identifying the response of fertility to
                                  financial incentives . . . . . . . . . . 314--332
Diego Restrepo-Tobón and   
             Subal C. Kumbhakar   Enjoying the quiet life under
                                  deregulation? Not quite  . . . . . . . . 333--343
              Mathias Moser and   
                Paul Hofmarcher   Model priors revisited: interaction
                                  terms in BMA growth applications . . . . 344--347
             Anson T. Y. Ho and   
               Kim P. Huynh and   
   David T. Jacho-Chávez   CRS: a package for nonparametric spline
                                  estimation in R  . . . . . . . . . . . . 348--352

Journal of Applied Econometrics
Volume 29, Number 3, April / May, 2014

    Roy P. P. M. Hoevenaars and   
    Roderick D. J. Molenaar and   
          Peter C. Schotman and   
            Tom B. M. Steenkamp   Strategic asset allocation for
                                  long--term investors: parameter
                                  uncertainty and prior information  . . . 353--376
               Mardi Dungey and   
               Denise R. Osborn   Modelling large open economies with
                                  international linkages: the USA and euro
                                  area . . . . . . . . . . . . . . . . . . 377--393
   Rien J. L. M. Wagenvoort and   
                    Sanne Zwart   Uncovering the common risk--free rate in
                                  the European Monetary Union  . . . . . . 394--414
              Todd E. Clark and   
           Michael W. Mccracken   Tests of equal forecast accuracy for
                                  overlapping models . . . . . . . . . . . 415--430
            Gerdie Everaert and   
                  Lorenzo Pozzi   The predictability of aggregate
                                  consumption growth in OECD countries: a
                                  panel data analysis  . . . . . . . . . . 431--453
                Lutz Kilian and   
               Daniel P. Murphy   The role of inventories and speculative
                                  trading in the global market for crude
                                  oil  . . . . . . . . . . . . . . . . . . 454--478
      Helmut Lütkepohl and   
             Aleksei NetSunajev   Disentangling demand and supply shocks
                                  in the crude oil market: how to check
                                  sign restrictions in structural vars . . 479--496
           Coen N. Teulings and   
                Nikolay Zubanov   Is economic recovery a myth? Robust
                                  estimation of impulse responses  . . . . 497--514
            Badi H. Baltagi and   
                        Jing Li   Further evidence on the spatio--temporal
                                  model of house prices in the United
                                  States . . . . . . . . . . . . . . . . . 515--522

Journal of Applied Econometrics
Volume 29, Number 4, June / July, 2014

             Jason Abrevaya and   
                       Shu Shen   Estimation of censored panel--data
                                  models with slope heterogeneity  . . . . 523--548
                Peter L. Ormosi   A tip of the iceberg? The probability of
                                  catching cartels . . . . . . . . . . . . 549--566
       Kristin J. Kleinjans and   
               Arthur Van Soest   Rounding, focal point answers and
                                  nonresponse to subjective probability
                                  questions  . . . . . . . . . . . . . . . 567--585
                 Ozkan Eren and   
                Serkan Ozbeklik   Who benefits from job corps? A
                                  distributional analysis of an active
                                  labor market program . . . . . . . . . . 586--611
               Soohyung Lee and   
                Azeem M. Shaikh   Multiple testing and heterogeneous
                                  treatment effects: re--evaluating the
                                  effect of progresa on school enrollment  612--626
         John G. T. Watkins and   
           Andrey L. Vasnev and   
                Richard Gerlach   Multiple event incidence and duration
                                  analysis for credit data incorporating
                                  non-stochastic loan maturity . . . . . . 627--648
            Andrew M. Jones and   
                James Lomas and   
                     Nigel Rice   Applying beta--type size distributions
                                  to healthcare cost regressions . . . . . 649--670
                   Anirban Basu   Estimating person-centered treatment
                                  (pet) effects using instrumental
                                  variables: an application to evaluating
                                  prostate cancer treatments . . . . . . . 671--691

Journal of Applied Econometrics
Volume 29, Number 5, August, 2014

              Dick van Dijk and   
           Siem Jan Koopman and   
         Michel van der Wel and   
             Jonathan H. Wright   Forecasting interest rates with shifting
                                  endpoints  . . . . . . . . . . . . . . . 693--712
                Travis J. Berge   Forecasting disconnected exchange rates  713--735
   Wagner Piazza Gaglianone and   
               Luiz Renato Lima   Constructing optimal density forecasts
                                  from point forecast combinations . . . . 736--757
           Hendrik Kaufmann and   
             Florian Heinen and   
             Philipp Sibbertsen   The dynamics of real exchange rates: a
                                  reconsideration  . . . . . . . . . . . . 758--773
      Peter Reinhard Hansen and   
                Asger Lunde and   
                    Valeri Voev   Realized beta GARCH: a multivariate
                                  GARCH model with realized measures of
                                  volatility . . . . . . . . . . . . . . . 774--799
                     Todd Prono   The role of conditional
                                  heteroskedasticity in identifying and
                                  estimating linear triangular systems,
                                  with applications to asset pricing
                                  models that include a mismeasured factor 800--824
                      Yong Song   Modelling regime switching and
                                  structural breaks with an infinite
                                  hidden Markov model  . . . . . . . . . . 825--842
         Nikolay Gospodinov and   
             Damba Lkhagvasuren   A moment-matching method for
                                  approximating vector autoregressive
                                  processes by finite-state Markov chains  843--859

Journal of Applied Econometrics
Volume 29, Number 6, September / October, 2014

              Roger Hartley and   
             Gauthier Lanot and   
                     Ian Walker   Who really wants to be a millionaire?
                                  Estimates of risk aversion from gameshow
                                  data . . . . . . . . . . . . . . . . . . 861--879
             David Johnston and   
              Carol Propper and   
             Stephen Pudney and   
                Michael Shields   Child mental health and educational
                                  attainment: multiple observers and the
                                  measurement error problem  . . . . . . . 880--900
             Stacey H. Chen and   
                   Shakeeb Khan   Semi-parametric estimation of program
                                  impacts on dispersion of potential wages 901--919
                   Martin Huber   Identifying causal mechanisms
                                  (primarily) based on inverse probability
                                  weighting  . . . . . . . . . . . . . . . 920--943
      Áureo De Paula and   
                Gil Shapira and   
                  Petra E. Todd   How beliefs about HIV status affect
                                  risky behaviors: evidence from Malawi    944--964
            Meliyanni Johar and   
                 Shiko Maruyama   Does coresidence improve an elderly
                                  parent's health? . . . . . . . . . . . . 965--983
 Kenneth L. Sòrensen and   
                    Rune Vejlin   Return to experience and initial wage
                                  level: do low wage workers catch up? . . 984--1006
                Harry Haupt and   
            Kathrin Kagerer and   
            Winfried J. Steiner   Smooth quantile--based modeling of brand
                                  sales, price and promotional effects
                                  from retail scanner panels . . . . . . . 1007--1028

Journal of Applied Econometrics
Volume 29, Number 7, November / December, 2014

               Fabio Canova and   
          Frank Schorfheide and   
                Herman van Dijk   Introduction to recent advances in
                                  methods and applications for DSGE models 1029--1030
        Vasco Cúrdia and   
            Marco Del Negro and   
            Daniel L. Greenwald   Rare shocks, great recessions  . . . . . 1031--1052
                  Huixin Bi and   
                     Nora Traum   Estimating fiscal limits: the case of
                                  Greece . . . . . . . . . . . . . . . . . 1053--1072
              Edward Herbst and   
              Frank Schorfheide   Sequential Monte Carlo sampling for DSGE
                                  models . . . . . . . . . . . . . . . . . 1073--1098
               Fabio Canova and   
            Filippo Ferroni and   
              Christian Matthes   Choosing the variables to estimate
                                  singular DSGE models . . . . . . . . . . 1099--1117
             Claudia Foroni and   
        Massimiliano Marcellino   Mixed-frequency structural models:
                                  identification, estimation, and policy
                                  analysis . . . . . . . . . . . . . . . . 1118--1144
              Dario Caldara and   
           Richard Harrison and   
                Anna Lipi\'nska   Practical tools for policy analysis in
                                  DSGE models with missing shocks  . . . . 1145--1163
         Nalan Bastürk and   
        Cem Çakmakli and   
            S. Pinar Ceyhan and   
             Herman K. Van Dijk   Posterior-predictive evidence on US
                                  inflation using extended new Keynesian
                                  Phillips curve models with non-filtered
                                  data . . . . . . . . . . . . . . . . . . 1164--1182
           Frank Kleibergen and   
           Sophocles Mavroeidis   Identification issues in
                                  limited--information Bayesian analysis
                                  of structural macroeconomic models . . . 1183--1209
                Luca Benati and   
                Thomas A. Lubik   Sales, inventories and real interest
                                  rates: a century of stylized facts . . . 1210--1222


Journal of Applied Econometrics
Volume 30, Number 1, January / February, 2015

           Anindya Banerjee and   
Josep Lluís Carrion-i-Silvestre   Cointegration in Panel Data with
                                  Structural Breaks and Cross-Section
                                  Dependence . . . . . . . . . . . . . . . 1--23
                 Nora Traum and   
               Shu-Chun S. Yang   When Does Government Debt Crowd Out
                                  Investment?  . . . . . . . . . . . . . . 24--45
            Andrea Carriero and   
              Todd E. Clark and   
        Massimiliano Marcellino   Bayesian VARs: Specification Choices and
                                  Forecast Accuracy  . . . . . . . . . . . 46--73
                Maik H. Wolters   Evaluating Point and Density Forecasts
                                  of DSGE Models . . . . . . . . . . . . . 74--96
                   Leo Krippner   A Theoretical Foundation for the
                                  Nelson--Siegel Class of Yield Curve
                                  Models . . . . . . . . . . . . . . . . . 97--118
              Pierre Perron and   
                 Yohei Yamamoto   Using OLS to Estimate and Test for
                                  Structural Changes in Models with
                                  Endogenous Regressors  . . . . . . . . . 119--144
       André K. Anundsen   Econometric Regime Shifts and the US
                                  Subprime Bubble  . . . . . . . . . . . . 145--169
             Micha\l Brzezinski   Relative Risk Aversion and Power-Law
                                  Distribution of Macroeconomic Disasters  170--175

Journal of Applied Econometrics
Volume 30, Number 2, March, 2015

César Calderón and   
       Enrique Moral-Benito and   
             Luis Servén   Is infrastructure capital productive? A
                                  dynamic heterogeneous approach . . . . . 177--198
                 Matteo Luciani   Monetary Policy and the Housing Market:
                                  A Structural Factor Analysis . . . . . . 199--218
                      Luca Sala   DSGE Models in the Frequency Domains . . 219--240
               Fabio Canova and   
               Alain Schlaepfer   Has the Euro--Mediterranean Partnership
                                  Affected Mediterranean Business Cycles?  241--262
           Nikolaus Hautsch and   
                Lada M. Kyj and   
                    Peter Malec   Do High-Frequency Data Improve
                                  High-Dimensional Portfolio Allocations?  263--290
     Fabian Y. R. P. Bocart and   
            Christian M. Hafner   Volatility of Price Indices for
                                  Heterogeneous Goods with Applications to
                                  the Fine Art Market  . . . . . . . . . . 291--312
              Graciela Sanroman   Cost and Preference Heterogeneity in
                                  Risky Financial Markets  . . . . . . . . 313--332
        Juha Siikamäki and   
              Douglas M. Larson   Finding Sensitivity to Scope in
                                  Nonmarket Valuation  . . . . . . . . . . 333--349
              Anna Bottasso and   
       Carolina Castagnetti and   
                 Maurizio Conti   R&D, Innovation and Knowledge Spillovers:
                                  A Reappraisal of Bottazzi and Peri
                                  (2007) in the Presence of
                                  Cross-Sectional Dependence . . . . . . . 350--352

Journal of Applied Econometrics
Volume 30, Number 3, April / May, 2015

               Martin Burda and   
            Matthew Harding and   
                  Jerry Hausman   A Bayesian Semiparametric Competing Risk
                                  Model with Unobserved Heterogeneity  . . 353--376
               Fulvio Corsi and   
             Stefano Peluso and   
              Francesco Audrino   Missing in Asynchronicity: A Kalman-em
                                  Approach for Multivariate Realized
                                  Covariance Estimation  . . . . . . . . . 377--397
           Martin S. Gaynor and   
          Samuel A. Kleiner and   
                William B. Vogt   Analysis of Hospital Production: An
                                  Output Index Approach  . . . . . . . . . 398--421
                  Yingying Dong   Regression Discontinuity Applications
                                  with Rounding Errors in the Running
                                  Variable . . . . . . . . . . . . . . . . 422--446
            Kelvin Balcombe and   
                Iain Fraser and   
                Eugene McSorley   Visual Attention and Attribute
                                  Attendance in Multi-Attribute Choice
                                  Experiments  . . . . . . . . . . . . . . 447--467
          Michael Berlemann and   
       Sören Enkelmann and   
            Torben Kuhlenkasper   Unraveling the Relationship Between
                                  Presidential Approval and the Economy: A
                                  Multidimensional Semiparametric Approach 468--486
            Erich Battistin and   
               Michele De Nadai   Identification and Estimation of Engel
                                  Curves with Endogenous and Unobserved
                                  Expenditures . . . . . . . . . . . . . . 487--508
            Badi H. Baltagi and   
            Georges Bresson and   
            Jean-Michel Etienne   Hedonic Housing Prices in Paris: An
                                  Unbalanced Spatial Lag Pseudo-Panel
                                  Model with Nested Random Effects . . . . 509--528

Journal of Applied Econometrics
Volume 30, Number 4, June / July, 2015

    Wolfgang K. Härdle and   
           Nikolaus Hautsch and   
                 Andrija Mihoci   Local Adaptive Multiplicative Error
                                  Models for High-Frequency Forecasts  . . 529--550
              Todd E. Clark and   
            Francesco Ravazzolo   Macroeconomic Forecasting Performance
                                  under Alternative Specifications of
                                  Time-Varying Volatility  . . . . . . . . 551--575
            Julieta Fuentes and   
              Pilar Poncela and   
         Julio Rodríguez   Sparse Partial Least Squares in Time
                                  Series for Macroeconomic Forecasting . . 576--595
                Luc Bauwens and   
                  Gary Koop and   
         Dimitris Korobilis and   
          Jeroen V. K. Rombouts   The Contribution of Structural Break
                                  Models to Forecasting Macroeconomic
                                  Series . . . . . . . . . . . . . . . . . 596--620
            Luciana Juvenal and   
                  Ivan Petrella   Speculation in the Oil Market  . . . . . 621--649
          Joshua C. C. Chan and   
               Justin L. Tobias   Priors and Posterior Computation in
                                  Linear Endogenous Variable Models with
                                  Imperfect Instruments  . . . . . . . . . 650--674
           Christian Kascha and   
               Carsten Trenkler   Simple Identification and Specification
                                  of Cointegrated VARMA Models . . . . . . 675--702
                 Giovanni Millo   Narrow Replication of `A
                                  Spatio--Temporal Model of House Prices
                                  in the USA' Using R  . . . . . . . . . . 703--704

Journal of Applied Econometrics
Volume 30, Number 5, August, 2015

                  Shujie Ma and   
          Jeffrey S. Racine and   
                    Lijian Yang   Spline Regression in the Presence of
                                  Categorical Predictors . . . . . . . . . 705--717
        Markus Frölich and   
                Michael Lechner   Combining Matching and Nonparametric
                                  Instrumental Variable Estimation: Theory
                                  and An Application to the Evaluation of
                                  Active Labour Market Policies  . . . . . 718--738
           Brent R. Hickman and   
             Timothy P. Hubbard   Replacing Sample Trimming with Boundary
                                  Correction in Nonparametric Estimation
                                  of First-Price Auctions  . . . . . . . . 739--762
                 S. Derya Uysal   Doubly Robust Estimation of Causal
                                  Effects with Multivalued Treatments: An
                                  Application to the Returns to Schooling  763--786
             Pauline Givord and   
                  Lionel Wilner   When Does the Stepping-Stone Work?
                                  Fixed-Term Contracts Versus Temporary
                                  Agency Work in Changing Economic
                                  Conditions . . . . . . . . . . . . . . . 787--805
            Chandra R. Bhat and   
              Rajesh Paleti and   
                 Marisol Castro   A New Utility-Consistent Econometric
                                  Approach to Multivariate Count Data
                                  Modeling . . . . . . . . . . . . . . . . 806--825
        Camilla Mastromarco and   
           Léopold Simar   Effect of FDI and Time on Catching Up:
                                  New Insights from a Conditional
                                  Nonparametric Frontier Analysis  . . . . 826--847
           Abhishek Chakravarty   Gender-Biased Breastfeeding in Egypt:
                                  Examining the Fertility Preference
                                  Hypotheses of Jayachandran and Kuziemko
                                  (2011) . . . . . . . . . . . . . . . . . 848--855

Journal of Applied Econometrics
Volume 30, Number 6, September / October, 2015

  Tiago V. De V. Cavalcanti and   
            Kamiar Mohaddes and   
                   Mehdi Raissi   Commodity Price Volatility and the
                                  Sources of Growth  . . . . . . . . . . . 857--873
              Hyeongwoo Kim and   
             Ippei Fujiwara and   
            Bruce E. Hansen and   
                    Masao Ogaki   Purchasing Power Parity and the Taylor
                                  Rule . . . . . . . . . . . . . . . . . . 874--903
           Matteo Pelagatti and   
                 Emilio Colombo   On the Empirical Failure of Purchasing
                                  Power Parity Tests . . . . . . . . . . . 904--923
          Efrem Castelnuovo and   
                   Luca Fanelli   Monetary Policy Indeterminacy and
                                  Identification Failures in the U.S.:
                                  Results from a Robust Test . . . . . . . 924--947
                  Martin Wagner   The Environmental Kuznets Curve,
                                  Cointegration and Nonlinearity . . . . . 948--967
            Alessio Anzuini and   
            Patrizio Pagano and   
            Massimiliano Pisani   Macroeconomic Effects of Precautionary
                                  Demand for Oil . . . . . . . . . . . . . 968--986
          Constantino Hevia and   
     Martin Gonzalez-Rozada and   
                Martin Sola and   
                 Fabio Spagnolo   Estimating and Forecasting the Yield
                                  Curve Using A Markov Switching Dynamic
                                  Nelson and Siegel Model  . . . . . . . . 987--1009
             Tamer Kulaksizoglu   Lag Order and Critical Values of the
                                  Augmented Dickey--Fuller Test: A
                                  Replication  . . . . . . . . . . . . . . 1010--1010

Journal of Applied Econometrics
Volume 30, Number 7, November / December, 2015

          Knut Are Aastveit and   
  Hilde C. Bjòrnland and   
           Leif Anders Thorsrud   What Drives Oil Prices? Emerging Versus
                                  Developed Economies  . . . . . . . . . . 1013--1028
               Gianna Boero and   
               Jeremy Smith and   
              Kenneth F. Wallis   The Measurement and Characteristics of
                                  Professional Forecasters' Uncertainty    1029--1046
          Tommaso Ferraresi and   
           Andrea Roventini and   
                Giorgio Fagiolo   Fiscal Policies and Credit Regimes: A
                                  TVAR Approach  . . . . . . . . . . . . . 1047--1072
             Maximo Camacho and   
       Gabriel Perez-Quiros and   
                  Pilar Poncela   Extracting Nonlinear Signals from
                                  Several Economic Indicators  . . . . . . 1073--1089
           Christian Conrad and   
                     Karin Loch   Anticipating Long-Term Stock Market
                                  Volatility . . . . . . . . . . . . . . . 1090--1114
                  Xuequn Hu and   
            Murat K. Munkin and   
              Pravin K. Trivedi   Estimating Incentive and Selection
                                  Effects in the Medigap Insurance Market:
                                  An Application with Dirichlet Process
                                  Mixture Model  . . . . . . . . . . . . . 1115--1143
               Martin Huber and   
                   Blaise Melly   A Test of the Conditional Independence
                                  Assumption in Sample Selection Models    1144--1168
              Todd E. Elder and   
          John H. Goddeeris and   
               Steven J. Haider   Isolating the Roles of Individual
                                  Covariates in Reweighting Estimation . . 1169--1191
            Ferre De Graeve and   
                  Karl Walentin   Refining Stylized Facts from Factor
                                  Models of Inflation  . . . . . . . . . . 1192--1209
              Xiangkang Yin and   
                      Jing Zhao   A Hidden Markov Model Approach to
                                  Information-Based Trading: Theory and
                                  Applications . . . . . . . . . . . . . . 1210--1234


Journal of Applied Econometrics
Volume 31, Number 1, January / February, 2016

                      Anonymous   Cross-Sectional Dependence in Panel Data
                                  Models: A Special Issue  . . . . . . . . 1--3
           Matei Demetrescu and   
                    Ulrich Homm   Directed Tests of No Cross-Sectional
                                  Correlation in Large-$N$ Panel Data
                                  Models . . . . . . . . . . . . . . . . . 4--31
        Arnab Bhattacharjee and   
             Eduardo Castro and   
                 Taps Maiti and   
            João Marques   Endogenous Spatial Regression and
                                  Delineation of Submarkets: A New
                                  Framework with Application to Housing
                                  Markets  . . . . . . . . . . . . . . . . 32--57
            Liudas Giraitis and   
          George Kapetanios and   
             Anne Wetherilt and   
                    Filip Zikes   Estimating the Dynamics and Persistence
                                  of Financial Networks, with an
                                  Application to the Sterling Money Market 58--84
               Valentin Verdier   Estimation of Dynamic Panel Data Models
                                  with Cross-Sectional Dependence: Using
                                  Cluster Dependence for Efficiency  . . . 85--105
             Alin Mirestean and   
     Charalambos G. Tsangarides   Growth Determinants Revisited Using
                                  Limited-Information Bayesian Model
                                  Averaging  . . . . . . . . . . . . . . . 106--132
               Lung-fei Lee and   
                       Jihai Yu   Identification of Spatial Durbin Panel
                                  Models . . . . . . . . . . . . . . . . . 133--162
              Tomohiro Ando and   
                     Jushan Bai   Panel Data Models with Grouped Factor
                                  Structure Under Unknown Group Membership 163--191
                Lena Boneva and   
              Oliver Linton and   
                   Michael Vogt   The Effect of Fragmentation in Trading
                                  on Market Quality in the UK Equity
                                  Market . . . . . . . . . . . . . . . . . 192--213
            Badi H. Baltagi and   
             Peter H. Egger and   
                Michaela Kesina   Firm-Level Productivity Spillovers in
                                  China's Chemical Industry: A Spatial
                                  Hausman--Taylor Approach . . . . . . . . 214--248
             Natalia Bailey and   
                 Sean Holly and   
              M. Hashem Pesaran   A Two-Stage Approach to Spatio-Temporal
                                  Analysis with Strong and Weak
                                  Cross-Sectional Dependence . . . . . . . 249--280
        Camilla Mastromarco and   
             Laura Serlenga and   
                 Yongcheol Shin   Modelling Technical Efficiency in Cross
                                  Sectionally Dependent Stochastic
                                  Frontier Panels  . . . . . . . . . . . . 281--297

Journal of Applied Econometrics
Volume 31, Number 2, March, 2016

           Chih-Sheng Hsieh and   
                   Lung Fei Lee   A Social Interactions Model with
                                  Endogenous Friendship Formation and
                                  Selectivity  . . . . . . . . . . . . . . 301--319
          Marianne Simonsen and   
               Lars Skipper and   
                  Niels Skipper   Price Sensitivity of Demand for
                                  Prescription Drugs: Exploiting a
                                  Regression Kink Design . . . . . . . . . 320--337
           Brendan K. Beare and   
         Lawrence D. W. Schmidt   An Empirical Test of Pricing Kernel
                                  Monotonicity . . . . . . . . . . . . . . 338--356
     Daniel Felix Ahelegbey and   
              Monica Billio and   
                Roberto Casarin   Bayesian graphical models for structural
                                  vector autoregressive processes  . . . . 357--386
          Harry H. Kelejian and   
               Gianfranco Piras   An Extension of the $J$-Test to a
                                  Spatial Panel Data Framework . . . . . . 387--402
               Tai-kuang Ho and   
                Cheng-chung Lai   A Silver Lifeboat, not Silver Fetters:
                                  Why and how the Silver Standard
                                  Insulated China from the 1929 Great
                                  Depression . . . . . . . . . . . . . . . 403--419
           Matteo Barigozzi and   
                 Alessio Moneta   Identifying the Independent Sources of
                                  Consumption Variation  . . . . . . . . . 420--449
                Martin Spindler   Lasso for Instrumental Variable
                                  Selection: A Replication Study . . . . . 450--454

Journal of Applied Econometrics
Volume 31, Number 3, April / May, 2016

               Sergio Firpo and   
                 Cristine Pinto   Identification and Estimation of
                                  Distributional Impacts of Interventions
                                  Using Changes in Inequality Measures . . 457--486
            John K. Dagsvik and   
                    Zhiyang Jia   Labor Supply as a Choice Among Latent
                                  Jobs: Unobserved Heterogeneity and
                                  Identification . . . . . . . . . . . . . 487--506
              Barbara Rossi and   
             Tatevik Sekhposyan   Forecast Rationality Tests in the
                                  Presence of Instabilities, with
                                  Applications to Federal Reserve and
                                  Survey Forecasts . . . . . . . . . . . . 507--532
                Joshua Abel and   
                Robert Rich and   
                Joseph Song and   
                   Joseph Tracy   The Measurement and Behavior of
                                  Uncertainty: Evidence from the ECB
                                  Survey of Professional Forecasters . . . 533--550
          Joshua C. C. Chan and   
                  Gary Koop and   
                Simon M. Potter   A Bounded Model of Time Variation in
                                  Trend Inflation, Nairu and the Phillips
                                  Curve  . . . . . . . . . . . . . . . . . 551--565
               Martin Kliem and   
       Alexander Kriwoluzky and   
                 Samad Sarferaz   On the Low-Frequency Relationship
                                  Between Public Deficits and Inflation    566--583
           Enrique Moral-Benito   Growth Empirics in Panel Data Under
                                  Model Uncertainty and Weak Exogeneity    584--602
             Anson T. Y. Ho and   
               Kim P. Huynh and   
   David T. Jacho-Chávez   Flexible Estimation of Copulas: An
                                  Application to the US Housing Crisis . . 603--610

Journal of Applied Econometrics
Volume 31, Number 4, June / July, 2016

            Lars Winkelmann and   
            Markus Bibinger and   
                 Tobias Linzert   ECB Monetary Policy Surprises:
                                  Identification Through Cojumps in
                                  Interest Rates . . . . . . . . . . . . . 613--629
               Yasuo Hirose and   
                  Atsushi Inoue   The Zero Lower Bound and Parameter Bias
                                  in an Estimated DSGE Model . . . . . . . 630--651
         Daniel L. Millimet and   
                     Jayjit Roy   Empirical Tests of the Pollution Haven
                                  Hypothesis When Environmental Regulation
                                  is Endogenous  . . . . . . . . . . . . . 652--677
        Saraswata Chaudhuri and   
               David K. Guilkey   GMM with Multiple Missing Variables  . . 678--706
               A. Stan Hurn and   
    Annastiina Silvennoinen and   
           Timo Teräsvirta   A Smooth Transition Logit Model of The
                                  Effects of Deregulation in the
                                  Electricity Market . . . . . . . . . . . 707--733
         Rémi Piatek and   
                     Pia Pinger   Maintaining (Locus of) Control? Data
                                  Combination for the Identification and
                                  Inference of Factor Structure Models . . 734--755
                   Zhou Xun and   
                 Michel Lubrano   Simulation Estimation of Two-tiered
                                  Dynamic Panel Tobit Models with an
                                  Application to the labour Supply of
                                  Married Women: A Comment . . . . . . . . 756--761
             Stephen Hansen and   
            Michael McMahon and   
               Sorawoot Srisuma   Estimating Bayesian Decision Problems
                                  with Heterogeneous Expertise . . . . . . 762--771

Journal of Applied Econometrics
Volume 31, Number 5, August, 2016

               Jason R. Blevins   Sequential Monte Carlo Methods for
                                  Estimating Dynamic Microeconomic Models  773--804
             Eric Eisenstat and   
             Rodney W. Strachan   Modelling Inflation Volatility . . . . . 805--820
         Georges Kapetanios and   
               Lynda Khalaf and   
        Massimiliano Marcellino   Factor-Based Identification-Robust
                                  Interference in IV Regressions . . . . . 821--842
                  Senay Sokullu   A Semi-Parametric Analysis of Two-Sided
                                  Markets: An Application to the Local
                                  Daily Newspapers in the USA  . . . . . . 843--864
           Jaime Ruiz-Tagle and   
                  Francis Vella   Borrowing Constraints and Credit Demand
                                  in a Developing Economy  . . . . . . . . 865--891
            Lance A. Fisher and   
            Hyeon-Seung Huh and   
                Adrian R. Pagan   Econometric Methods for Modelling
                                  Systems With a Mixture of i (1) and i
                                  (0) Variables  . . . . . . . . . . . . . 892--911
    Daniel A. Kamhöfer and   
                Hendrik Schmitz   Reanalyzing Zero Returns to Education in
                                  Germany  . . . . . . . . . . . . . . . . 912--919
            Lauren E. Jones and   
            Nicolas R. Ziebarth   Successful Scientific Replication and
                                  Extension of Levitt (2008): Child Seats
                                  are Still No Safer Than Seat Belts . . . 920--928

Journal of Applied Econometrics
Volume 31, Number 6, September / October, 2016

             Natalia Bailey and   
          George Kapetanios and   
              M. Hashem Pesaran   Exponent of Cross-Sectional Dependence:
                                  Estimation and Inference . . . . . . . . 929--960
                Simon Reese and   
              Joakim Westerlund   Panicca: Panic on Cross-Section Averages 961--981
       Christian Gengenbach and   
         Jean-Pierre Urbain and   
              Joakim Westerlund   Error Correction Testing in Panels with
                                  Common Stochastic Trends . . . . . . . . 982--1004
             Tim Bollerslev and   
           Andrew J. Patton and   
                   Wenjing Wang   Daily House Price Indices: Construction,
                                  Modeling, and Longer-run Predictions . . 1005--1025
            Siddhartha Chib and   
                   Liana Jacobi   Bayesian Fuzzy Regression Discontinuity
                                  Analysis and Returns to Compulsory
                                  Schooling  . . . . . . . . . . . . . . . 1026--1047
               Eric M. Scheffel   Accounting for the Political Uncertainty
                                  Factor . . . . . . . . . . . . . . . . . 1048--1064
   Stefanos Dimitrakopoulos and   
           Michalis Kolossiatis   State Dependence and Stickiness of
                                  Sovereign Credit Ratings: Evidence from
                                  a Panel of Countries . . . . . . . . . . 1065--1082
             Christoph Frey and   
               Frieder Mokinski   Forecasting with Bayesian Vector
                                  Autoregressions Estimated Using
                                  Professional Forecasts . . . . . . . . . 1083--1099
      George Athanasopoulos and   
          Donald S. Poskitt and   
              Farshid Vahid and   
                    Wenying Yao   Determination of Long-run and Short-run
                                  Dynamics in EC--VARMA Models via
                                  Canonical Correlations . . . . . . . . . 1100--1119
                   Soohyung Lee   Effect of Online Dating on Assortative
                                  Mating: Evidence from South Korea  . . . 1120--1139
             Arnab Mukherji and   
      Satrajit Roychoudhury and   
                Pulak Ghosh and   
                    Sarah Brown   Estimating Health Demand for an Aging
                                  Population: A Flexible and Robust
                                  Bayesian Joint Model . . . . . . . . . . 1140--1158
            Helmut Herwartz and   
                Nadja Klein and   
             Christoph Strumann   Modelling Hospital Admission and Length
                                  of Stay by Means of Generalised Count
                                  Data Models  . . . . . . . . . . . . . . 1159--1182
             Dean Croushore and   
              Katherine Marsten   Reassessing the Relative Power of the
                                  Yield Spread in Forecasting Recessions   1183--1191
              Christos S. Savva   Replication of Grier, Henry, Olekalns
                                  and Shields (2004): the Asymmetric
                                  Effects of Uncertainty on Inflation and
                                  Output Growth  . . . . . . . . . . . . . 1192--1196

Journal of Applied Econometrics
Volume 31, Number 7, November / December, 2016

       Francesco Furlanetto and   
              Nicolas Groshenny   Mismatch Shocks and Unemployment During
                                  the Great Recession  . . . . . . . . . . 1197--1214
             Esteban Prieto and   
           Sandra Eickmeier and   
        Massimiliano Marcellino   Time Variation in Macro-Financial
                                  Linkages . . . . . . . . . . . . . . . . 1215--1233
            Guenter W. Beck and   
            Kirstin Hubrich and   
        Massimiliano Marcellino   On the Importance of Sectoral and
                                  Regional Shocks for Price-Setting  . . . 1234--1253
               Kajal Lahiri and   
        George Monokroussos and   
                  Yongchen Zhao   Forecasting Consumption: the Role of
                                  Consumer Confidence in Real Time with
                                  many Predictors  . . . . . . . . . . . . 1254--1275
            Jacopo Cimadomo and   
           Antonello D'Agostino   Combining Time Variation and Mixed
                                  Frequencies: an Analysis of Government
                                  Spending Multipliers in Italy  . . . . . 1276--1290
   André K. Anundsen and   
            Karsten Gerdrup and   
               Frank Hansen and   
   Kasper Kragh-Sòrensen   Bubbles and Crises: The Role of House
                                  Prices and Credit  . . . . . . . . . . . 1291--1311
          Davide Pettenuzzo and   
            Francesco Ravazzolo   Optimal Portfolio Choice Under
                                  Decision-Based Model Combinations  . . . 1312--1332
                  Cees Diks and   
                  Marcin Wolski   Nonlinear Granger Causality: Guidelines
                                  for Multivariate Analysis  . . . . . . . 1333--1351
              Monica Billio and   
            Roberto Casarin and   
        Francesco Ravazzolo and   
             Herman K. Van Dijk   Interconnections Between Eurozone and US
                                  Booms and Busts Using a Bayesian Panel
                                  Markov-Switching VAR Model . . . . . . . 1352--1370
Jesús Crespo Cuaresma and   
         Martin Feldkircher and   
                  Florian Huber   Forecasting with Global Vector
                                  Autoregressive Models: a Bayesian
                                  Approach . . . . . . . . . . . . . . . . 1371--1391
               Markku Lanne and   
                     Jani Luoto   Noncausal Bayesian Vector Autoregression 1392--1406
               Emir Malikov and   
         Subal C. Kumbhakar and   
                Mike G. Tsionas   A Cost System Approach to the Stochastic
                                  Directional Technology Distance Function
                                  with Undesirable Outputs: The Case of US
                                  Banks in 2001--2010  . . . . . . . . . . 1407--1429
                Vito Polito and   
                  Peter Spencer   Optimal Control of Heteroscedastic
                                  Macroeconomic Models . . . . . . . . . . 1430--1444
            Dries F. Benoit and   
           Stefan Van Aelst and   
              Dirk Van den Poel   Outlier-Robust Bayesian Multinomial
                                  Choice Modeling  . . . . . . . . . . . . 1445--1466
            Gerdie Everaert and   
                   Hauke Vierke   Demographics and Business Cycle
                                  Volatility: A Spurious Relationship? . . 1467--1477
                   Nima Nonejad   Replicating the Results in `A New Model
                                  of Trend Inflation' Using Particle
                                  Markov Chain Monte Carlo . . . . . . . . 1478--1483


Journal of Applied Econometrics
Volume 32, Number 1, January / February, 2017

            John Coglianese and   
             Lucas W. Davis and   
                Lutz Kilian and   
                 James H. Stock   Anticipation, Tax Avoidance, and the
                                  Price Elasticity of Gasoline Demand  . . 1--15
             Pedro Carneiro and   
            Michael Lokshin and   
                Nithin Umapathi   Average and Marginal Returns to Upper
                                  Secondary Schooling in Indonesia . . . . 16--36
                Nayoung Lee and   
               Geert Ridder and   
                   John Strauss   Estimation of Poverty Transition
                                  Matrices with Noisy Data . . . . . . . . 37--55
               Martin Huber and   
              Lukas Laffers and   
               Giovanni Mellace   Sharp IV Bounds on Average Treatment
                                  Effects on the Treated and Other
                                  Populations Under Endogeneity and
                                  Noncompliance  . . . . . . . . . . . . . 56--79
                Yonghong An and   
            Michael R. Baye and   
                 Yingyao Hu and   
                John Morgan and   
                      Matt Shum   Identification and Estimation of Online
                                  Price Competition With an Unknown Number
                                  of Firms . . . . . . . . . . . . . . . . 80--102
               Anders Warne and   
         Günter Coenen and   
                Kai Christoffel   Marginalized Predictive Likelihood
                                  Comparisons of Linear Gaussian
                                  State-Space Models with Applications to
                                  DSGE, DSGE--VAR, and VAR Models  . . . . 103--119
                  Erik Kole and   
                  Dick van Dijk   How to Identify and Forecast Bull and
                                  Bear Markets?  . . . . . . . . . . . . . 120--139
       Laurent A. F. Callot and   
             Anders B. Kock and   
            Marcelo C. Medeiros   Modeling and Forecasting Large Realized
                                  Covariance Matrices and Portfolio Choice 140--158
         Gianni De Nicol\`o and   
             Marcella Lucchetta   Forecasting Tail Risks . . . . . . . . . 159--170
         André Lucas and   
              Bernd Schwaab and   
                      Xin Zhang   Modeling Financial Sector Joint Tail
                                  Risk in the Euro Area  . . . . . . . . . 171--191
    Konstantinos Metaxoglou and   
                    Aaron Smith   State Prices of Conditional Quantiles:
                                  New Evidence on Time Variation in the
                                  Pricing Kernel . . . . . . . . . . . . . 192--217
            Badi H. Baltagi and   
             Pallab Kumar Ghosh   Replication of unconditional Quantile
                                  Regressions by Firpo, Fortin and Lemieux
                                  (2009) . . . . . . . . . . . . . . . . . 218--223
               Angelia L. Grant   The Early Millennium Slowdown:
                                  Replicating the Peersman (2005) Results  224--232

Journal of Applied Econometrics
Volume 32, Number 2, March, 2017

         James G. Mackinnon and   
                Matthew D. Webb   Wild Bootstrap Inference for Wildly
                                  Different Cluster Sizes  . . . . . . . . 233--254
             Mariano Kulish and   
                   Adrian Pagan   Estimation and Solution of Models with
                                  Expectations and Structural Changes  . . 255--274
      Christiane Baumeister and   
                Lutz Kilian and   
                  Thomas K. Lee   Inside the Crystal Ball: New Approaches
                                  to Predicting the Gasoline Price at the
                                  Pump . . . . . . . . . . . . . . . . . . 275--295
              Bernd Schwaab and   
           Siem Jan Koopman and   
             André Lucas   Global Credit Risk: World, Country and
                                  Industry Factors . . . . . . . . . . . . 296--317
             Stefano Grassi and   
               Nima Nonejad and   
    Paolo Santucci De Magistris   Forecasting With the Standardized
                                  Self-Perturbed Kalman Filter . . . . . . 318--341
            Matthew Harding and   
                Carlos Lamarche   Penalized Quantile Regression with
                                  Semiparametric Correlated Effects: An
                                  Application with Heterogeneous
                                  Preferences  . . . . . . . . . . . . . . 342--358
                     Felix Ward   Spotting the Danger Zone: Forecasting
                                  Financial Crises With Classification
                                  Tree Ensembles and Many Predictors . . . 359--378
          Francisco Ruge-Murcia   Skewness Risk and Bond Prices  . . . . . 379--400
               Tatjana Dahlhaus   Conventional Monetary Policy
                                  Transmission During Financial Crises: An
                                  Empirical Analysis . . . . . . . . . . . 401--421
            J. Paul Elhorst and   
                Pim Heijnen and   
              Anna Samarina and   
            Jan P. A. M. Jacobs   Transitions at Different Moments in
                                  Time: A Spatial Probit Approach  . . . . 422--439
               Daniel Avdic and   
                  Per Johansson   Absenteeism, Gender and the
                                  Morbidity--Mortality Paradox . . . . . . 440--462
                Donald Lien and   
                     Yue Hu and   
                       Long Liu   Subjective Well-Being and Income: A
                                  Re-Examination of Satiation Using the
                                  Regression Kink Model With an Unknown
                                  Threshold  . . . . . . . . . . . . . . . 463--469
            Ossama Elshiewy and   
             German Zenetti and   
                 Yasemin Boztug   Differences Between Classical and
                                  Bayesian Estimates for Mixed Logit
                                  Models: A Replication Study  . . . . . . 470--476

Journal of Applied Econometrics
Volume 32, Number 3, April / May, 2017

                  Cem Ertur and   
               Antonio Musolesi   Weak and Strong Cross-Sectional
                                  Dependence: A Panel Data Analysis of
                                  International Technology Diffusion . . . 477--503
    Worapree Maneesoonthorn and   
        Catherine S. Forbes and   
                 Gael M. Martin   Inference on Self-Exciting Jumps in
                                  Prices and Volatility Using
                                  High-Frequency Measures  . . . . . . . . 504--532
              Todd E. Clark and   
           Michael W. McCracken   Tests of Predictive Ability for Vector
                                  Autoregressions Used for Conditional
                                  Forecasting  . . . . . . . . . . . . . . 533--553
          Joakim Westerlund and   
            Hande Karabiyik and   
                 Paresh Narayan   Testing for Predictability in panels
                                  with General Predictors  . . . . . . . . 554--574
                 Jiaying Gu and   
                  Roger Koenker   Empirical Bayesball Remixed: Empirical
                                  Bayes Methods for Longitudinal Data  . . 575--599
           Roman Liesenfeld and   
Jean-François Richard and   
                     Jan Vogler   Likelihood-Based Inference and
                                  Prediction in Spatio-Temporal Panel
                                  Count Models for Urban Crimes  . . . . . 600--620
                 Melanie Krause   The Millennium Peak in Club Convergence:
                                  A New Look at Distributional Changes in
                                  The Wealth of Nations  . . . . . . . . . 621--642
           Sander Gerritsen and   
                  Erik Plug and   
                 Dinand Webbink   Teacher Quality and Student Achievement:
                                  Evidence from a Sample of Dutch Twins    643--660
           Douglas H. Wrenn and   
           H. Allen Klaiber and   
               David A. Newburn   Confronting Price Endogeneity in a
                                  Duration Model of Residential
                                  Subdivision Development  . . . . . . . . 661--682
           Tommaso Proietti and   
            Martyna Marczak and   
                Gianluigi Mazzi   Euromind-$ \cal D $: A Density Estimate
                                  of Monthly Gross Domestic Product for
                                  the Euro Area  . . . . . . . . . . . . . 683--703
             Patrick F\`eve and   
           Jean-Guillaume Sahuc   In Search of the Transmission Mechanism
                                  of Fiscal Policy in the Euro Area  . . . 704--718
      Alexander L. Lundberg and   
               Kim P. Huynh and   
   David T. Jacho-Chávez   Income and Democracy: A Smooth Varying
                                  Coefficient Redux  . . . . . . . . . . . 719--724

Journal of Applied Econometrics
Volume 32, Number 4, June / July, 2017

         Daniel L. Millimet and   
               Ian K. McDonough   Dynamic Panel Data Models With Irregular
                                  Spacing: With an Application to Early
                                  Childhood Development  . . . . . . . . . 725--743
           Christophe Gouel and   
                Nicolas Legrand   Estimating the Competitive Storage Model
                                  with Trending Commodity Prices . . . . . 744--763
              Luca Gambetti and   
                  Alberto Musso   Loan Supply Shocks and the Business
                                  Cycle  . . . . . . . . . . . . . . . . . 764--782
          Knut Are Aastveit and   
             Claudia Foroni and   
            Francesco Ravazzolo   Density Forecasts With Midas Models  . . 783--801
        Matthieu Droumaguet and   
               Anders Warne and   
               Tomasz Wo\'zniak   Granger Causality and Regime Inference
                                  in Markov Switching VAR Models with
                                  Bayesian Methods . . . . . . . . . . . . 802--818
            Gerdie Everaert and   
              Lorenzo Pozzi and   
             Ruben Schoonackers   On the Stability of the Excess
                                  Sensitivity of Aggregate Consumption
                                  Growth in the USA  . . . . . . . . . . . 819--840
                 Jonathan James   MM Algorithm for General Mixed
                                  Multinomial Logit Models . . . . . . . . 841--857
                Aico Van Vuuren   Using a Structural-Form Model to Analyze
                                  the Impact of Home Ownership on
                                  Unemployment Duration  . . . . . . . . . 858--876
           Luiz Renato Lima and   
                   Fanning Meng   Out-of-Sample Return Predictability: A
                                  Quantile Combination Approach  . . . . . 877--895
                 Adam Nowak and   
                  Patrick Smith   Textual Analysis in Real Estate  . . . . 896--918
         Matheus Albergaria and   
       Luiz Paulo Fávero   Narrow Replication of Fisman and
                                  Miguel's (2007a) `Corruption, Norms, and
                                  Legal Enforcement: Evidence from
                                  Diplomatic Parking Tickets'  . . . . . . 919--922
       Marcos Sanso-Navarro and   
         Maria Vera-Cabello and   
Domingo P. Ximénez-De-Embún   Human Capital Spillovers and Regional
                                  Development  . . . . . . . . . . . . . . 923--930

Journal of Applied Econometrics
Volume 32, Number 5, August, 2017

          Knut Are Aastveit and   
            Andrea Carriero and   
              Todd E. Clark and   
        Massimiliano Marcellino   Have Standard VARS Remained Stable Since
                                  the Crisis?  . . . . . . . . . . . . . . 931--951
            Carlo Altavilla and   
              Domenico Giannone   The Effectiveness of Non-Standard
                                  Monetary Policy Measures: Evidence from
                                  Survey Data  . . . . . . . . . . . . . . 952--964
                  Joonyoung Hur   Monetary Policy and Asset Prices: A
                                  Markov-Switching DSGE Approach . . . . . 965--982
         Javier Gardeazabal and   
               Ainhoa Vega-Bayo   An Empirical Comparison Between the
                                  Synthetic Control Method and HSIAO et
                                  al. 's Panel Data Approach to Program
                                  Evaluation . . . . . . . . . . . . . . . 983--1002
        István Barra and   
        Lennart Hoogerheide and   
           Siem Jan Koopman and   
             André Lucas   Joint Bayesian Analysis of Parameters
                                  and States in Nonlinear non-Gaussian
                                  State Space Models . . . . . . . . . . . 1003--1026
               Chi-Yang Chu and   
        Daniel J. Henderson and   
                        Le Wang   The Robust Relationship Between US Food
                                  Aid and Civil Conflict . . . . . . . . . 1027--1032
               Peter M. Summers   Credit Booms Gone Bust: Replication of
                                  Schularick and Taylor (AER 2012) . . . . 1033--1038
          Joachim Schnurbus and   
                Harry Haupt and   
                   Verena Meier   Economic Transition and Growth: A
                                  Replication  . . . . . . . . . . . . . . 1039--1042
      Christopher L. Colvin and   
              Matthew McCracken   Work Ethic, Social Ethic, no Ethic:
                                  Measuring the Economic Values of Modern
                                  Christians . . . . . . . . . . . . . . . 1043--1053

Journal of Applied Econometrics
Volume 32, Number 6, September / October, 2017

            Carlo Altavilla and   
        Raffaella Giacomini and   
                Giuseppe Ragusa   Anchoring the yield curve using survey
                                  expectations . . . . . . . . . . . . . . 1055--1068
           Anindya Banerjee and   
    Massimiliano Marcellino and   
                    Igor Masten   Structural FECM: Cointegration in
                                  large-scale structural FAVAR models  . . 1069--1086
                    Jack Fosten   Model selection with estimated factors
                                  and idiosyncratic components . . . . . . 1087--1106
            Alexander Heinemann   Efficient estimation of factor models
                                  with time and cross-sectional dependence 1107--1122
            Sylvia Kaufmann and   
           Christian Schumacher   Identifying relevant and irrelevant
                                  variables in sparse factor models  . . . 1123--1144
          Katarina Juselius and   
             Katrin Assenmacher   Real exchange rate persistence and the
                                  excess return puzzle: The case of
                                  Switzerland versus the US  . . . . . . . 1145--1155
          Alexis Akira Toda and   
             Kieran James Walsh   Fat tails and spurious estimation of
                                  consumption-based asset pricing models   1156--1177
           Leopoldo Catania and   
       Anna Gloria Billé   Dynamic spatial autoregressive models
                                  with autoregressive and heteroskedastic
                                  disturbances . . . . . . . . . . . . . . 1178--1196
             Muhammad Asali and   
          Aamer S. Abu-Qarn and   
              Michael Beenstock   The cycle of violence in the Second
                                  Intifada: Causality in nonlinear vector
                                  autoregressive models  . . . . . . . . . 1197--1205

Journal of Applied Econometrics
Volume 32, Number 7, November / December, 2017

                 Sokbae Lee and   
                   Ryo Okui and   
                 Yoon-Jae Whang   Doubly robust uniform confidence band
                                  for the conditional average treatment
                                  effect function  . . . . . . . . . . . . 1207--1225
                Lena Boneva and   
                  Oliver Linton   A discrete-choice model for large
                                  heterogeneous panels with interactive
                                  fixed effects with an application to the
                                  determinants of corporate bond issuance  1226--1243
            Ricardo T. Fernholz   Nonparametric methods and
                                  local-time-based estimation for dynamic
                                  power law distributions  . . . . . . . . 1244--1260
            Neville Francis and   
          Michael T. Owyang and   
                  Ozge Savascin   An endogenously clustered factor
                                  approach to international business
                                  cycles . . . . . . . . . . . . . . . . . 1261--1276
          Joshua C. C. Chan and   
                 Eric Eisenstat   Efficient estimation of Bayesian VARMAs
                                  with time-varying coefficients . . . . . 1277--1297
              Anne Opschoor and   
              Dick van Dijk and   
             Michel van der Wel   Combining density forecasts using
                                  focused scoring rules  . . . . . . . . . 1298--1313
             Patrick Hummel and   
              R. Preston McAfee   Loss functions for predicted
                                  click-through rates in auctions for
                                  online advertising . . . . . . . . . . . 1314--1328
               Emir Malikov and   
                Shunan Zhao and   
             Subal C. Kumbhakar   Economies of diversification in the US
                                  credit union sector  . . . . . . . . . . 1329--1347
                Cecilia Machado   Unobserved selection heterogeneity and
                                  the gender wage gap  . . . . . . . . . . 1348--1366
              Martin Becker and   
      Stefan Klößner   Estimating the economic costs of
                                  organized crime by synthetic control
                                  methods  . . . . . . . . . . . . . . . . 1367--1369


Journal of Applied Econometrics
Volume 33, Number 1, January / February, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
               Mert Demirer and   
         Francis X. Diebold and   
                  Laura Liu and   
                   Kamil Yilmaz   Estimating global bank network
                                  connectedness  . . . . . . . . . . . . . 1--15
          David C. Wheelock and   
                 Paul W. Wilson   The evolution of scale economies in US
                                  banking  . . . . . . . . . . . . . . . . 16--28
                     Hugo Jales   Estimating the effects of the minimum
                                  wage in a developing country: A density
                                  discontinuity design approach  . . . . . 29--51
           Stefan Hoderlein and   
                   Anne Vanhems   Estimating the distribution of welfare
                                  effects using quantiles  . . . . . . . . 52--72
             Irene Botosaru and   
          Federico H. Gutierrez   Difference-in-differences when the
                                  treatment status is observed in only one
                                  period . . . . . . . . . . . . . . . . . 73--90
            Jeremiah Richey and   
                 Alicia Rosburg   Decomposing economic mobility transition
                                  matrices . . . . . . . . . . . . . . . . 91--108
                Jaerim Choi and   
                 Jiaying Gu and   
                       Shu Shen   Weak-instrument robust inference for
                                  two-sample instrumental variables
                                  regression . . . . . . . . . . . . . . . 109--125
              Mark Bognanni and   
                  Edward Herbst   A sequential Monte Carlo approach to
                                  inference in multiple-equation
                                  Markov-switching models  . . . . . . . . 126--140
                Jin Seo Cho and   
           Peter C. B. Phillips   Sequentially testing polynomial model
                                  hypotheses using power transforms of
                                  regressors . . . . . . . . . . . . . . . 141--159
                      Anton Pak   Predicting crude oil prices: Replication
                                  of the empirical results in ``What do we
                                  learn from the price of crude oil?'' . . 160--163

Journal of Applied Econometrics
Volume 33, Number 2, March, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
           Ethan Cohen-Cole and   
               Xiaodong Liu and   
                     Yves Zenou   Multivariate choices and identification
                                  of social interactions . . . . . . . . . 165--178
         Anastasia Semykina and   
          Jeffrey M. Wooldridge   Binary response panel data models with
                                  sample selection and self-selection  . . 179--197
            Benjamin Nelson and   
               Gabor Pinter and   
       Konstantinos Theodoridis   Do contractionary monetary policy shocks
                                  expand shadow banking? . . . . . . . . . 198--211
      Gerhard Rünstler and   
                 Marente Vlekke   Business, housing, and credit cycles . . 212--226
               Mardi Dungey and   
                   Eric Renault   Identifying contagion  . . . . . . . . . 227--250
              John M. Maheu and   
                      Yong Song   An efficient Bayesian approach to
                                  multiple structural change in
                                  multivariate time series . . . . . . . . 251--270
            Sebastian Opitz and   
               Henry Seidel and   
             Alexander Szimayer   Measuring crisis risk using conditional
                                  copulas: An empirical analysis of the
                                  2008 shipping crisis . . . . . . . . . . 271--289
             Kenneth G. Stewart   Normalized CES supply systems:
                                  Replication of Klump, McAdam, and
                                  Willman (2007) . . . . . . . . . . . . . 290--296

Journal of Applied Econometrics
Volume 33, Number 3, April / May, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
                    Jia Liu and   
                  John M. Maheu   Improving Markov switching models using
                                  realized variance  . . . . . . . . . . . 297--318
              Haroon Mumtaz and   
                   Paolo Surico   Policy uncertainty and aggregate
                                  fluctuations . . . . . . . . . . . . . . 319--331
   Rubén Loaiza-Maya and   
           Michael S. Smith and   
        Worapree Maneesoonthorn   Time series copulas for heteroskedastic
                                  data . . . . . . . . . . . . . . . . . . 332--354
                    In Choi and   
                  Dukpa Kim and   
               Yun Jung Kim and   
                  Noh-Sun Kwark   A multilevel factor model:
                                  Identification, asymptotic theory and
                                  applications . . . . . . . . . . . . . . 355--377
                Minsu Chang and   
           Francis J. DiTraglia   A generalized focused information
                                  criterion for GMM  . . . . . . . . . . . 378--397
                  Marco Bee and   
           Debbie J. Dupuis and   
                    Luca Trapin   Realized extreme quantile: A joint model
                                  for conditional quantiles and measures
                                  of volatility with EVT refinements . . . 398--415
             Anastasia Semykina   Self-employment among women: Do children
                                  matter more than we previously thought?  416--434
                Domenico Depalo   Identification issues in the
                                  public/private wage gap, with an
                                  application to Italy . . . . . . . . . . 435--456
          Helmut Farbmacher and   
              Raphael Guber and   
            Johan Vikström   Increasing the credibility of the twin
                                  birth instrument . . . . . . . . . . . . 457--472
            Andrew C. Chang and   
                 Phillip Li and   
                Shawn M. Martin   Comparing cross-country estimates of
                                  Lorenz curves using a Dirichlet
                                  distribution across estimators and
                                  datasets . . . . . . . . . . . . . . . . 473--478
                Shulin Shen and   
                   Jindong Pang   Measuring the diffusion of housing
                                  prices across space and over time:
                                  Replication and further evidence . . . . 479--484

Journal of Applied Econometrics
Volume 33, Number 4, June / July, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
           Marco Bernardini and   
                  Gert Peersman   Private debt overhang and the government
                                  spending multiplier: Evidence for the
                                  United States  . . . . . . . . . . . . . 485--508
          Joshua C. C. Chan and   
                 Eric Eisenstat   Bayesian model comparison for
                                  time-varying parameter VARs with
                                  stochastic volatility  . . . . . . . . . 509--532
              Bart Keijsers and   
                 Bart Diris and   
                      Erik Kole   Cyclicality in losses on bank loans  . . 533--552
                 Le-Yu Chen and   
                     Sokbae Lee   Exact computation of GMM estimators for
                                  instrumental variable quantile
                                  regression models  . . . . . . . . . . . 553--567
       Petri Böckerman and   
              Ohto Kanninen and   
                  Ilpo Suoniemi   A kink that makes you sick: The effect
                                  of sick pay on absence . . . . . . . . . 568--579
                   Gustaf Bruze   Intergenerational mobility: New evidence
                                  from consumption data  . . . . . . . . . 580--593
        Bruno Crépon and   
              Marc Ferracci and   
            Gregory Jolivet and   
         Gerard J. van den Berg   Information shocks and the empirical
                                  evaluation of training programs during
                                  unemployment spells  . . . . . . . . . . 594--616
              Vincenzo Bove and   
                   Gunes Gokmen   Genetic distance, trade, and the
                                  diffusion of development . . . . . . . . 617--623

Journal of Applied Econometrics
Volume 33, Number 5, August, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
                Mario Forni and   
     Alessandro Giovannelli and   
                Marco Lippi and   
               Stefano Soccorsi   Dynamic factor model with
                                  infinite-dimensional factor space:
                                  Forecasting  . . . . . . . . . . . . . . 625--642
            Andrea Carriero and   
              Sarah Mouabbi and   
          Elisabetta Vangelista   UK term structure decompositions at the
                                  zero lower bound . . . . . . . . . . . . 643--661
            Laurent Ferrara and   
           Pierre Guérin   What are the macroeconomic effects of
                                  high-frequency uncertainty shocks? . . . 662--679
                Maik H. Wolters   How the baby boomers' retirement wave
                                  distorts model-based output gap
                                  estimates  . . . . . . . . . . . . . . . 680--689
                Zhentao Shi and   
                 Huanhuan Zheng   Structural estimation of behavioral
                                  heterogeneity  . . . . . . . . . . . . . 690--707
                Pengfei Sun and   
             Casper G. de Vries   Exploiting tail shape biases to
                                  discriminate between stable and student
                                  t alternatives . . . . . . . . . . . . . 708--726
       Roberto A. De Santis and   
                   Srecko Zimic   Spillovers among sovereign debt markets:
                                  Identification through absolute
                                  magnitude restrictions . . . . . . . . . 727--747
            Enrico Spolaore and   
                Romain Wacziarg   Ancestry and development: New evidence   748--762

Journal of Applied Econometrics
Volume 33, Number 6, September / October, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
     Sébastien Fries and   
Jean-Stéphane Mésonnier and   
              Sarah Mouabbi and   
                Jean-Paul Renne   National natural rates of interest and
                                  the single monetary policy in the euro
                                  area . . . . . . . . . . . . . . . . . . 763--779
              Laura Coroneo and   
          Valentina Corradi and   
          Paulo Santos Monteiro   Testing for optimal monetary policy via
                                  moment inequalities  . . . . . . . . . . 780--796
                  Wuyi Wang and   
       Peter C. B. Phillips and   
                    Liangjun Su   Homogeneity pursuit in panel data
                                  models: Theory and application . . . . . 797--815
           Alexander Chudik and   
          M. Hashem Pesaran and   
                 Jui-Chung Yang   Half-panel jackknife fixed-effects
                                  estimation of linear panels with weakly
                                  exogenous regressors . . . . . . . . . . 816--836
                 Carlos Madeira   Testing the rationality of expectations
                                  of qualitative outcomes  . . . . . . . . 837--852
          Constantino Hevia and   
              Ivan Petrella and   
                    Martin Sola   Risk premia and seasonality in commodity
                                  futures  . . . . . . . . . . . . . . . . 853--873
              Eduardo Rossi and   
    Paolo Santucci de Magistris   Indirect inference with time series
                                  observed with error  . . . . . . . . . . 874--897
          Julien Hambuckers and   
              Andreas Groll and   
                   Thomas Kneib   Understanding the economic determinants
                                  of the severity of operational losses: A
                                  regularized generalized Pareto
                                  regression approach  . . . . . . . . . . 898--935

Journal of Applied Econometrics
Volume 33, Number 7, November / December, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
        Jesper Lindé and   
               Mathias Trabandt   Should we use linearized models to
                                  calculate fiscal multipliers?  . . . . . 937--965
           Siem Jan Koopman and   
                 Rutger Lit and   
         André Lucas and   
                  Anne Opschoor   Dynamic discrete copula models for
                                  high-frequency stock price changes . . . 966--985
        Christian Brownlees and   
          Eul\`alia Nualart and   
                    Yucheng Sun   Realized networks  . . . . . . . . . . . 986--1006
               Bruno Feunou and   
             Cédric Okou   Risk-neutral moment-based estimation of
                                  affine option pricing models*  . . . . . 1007--1025
                  Lei Jiang and   
         Esfandiar Maasoumi and   
                Jiening Pan and   
                          Ke Wu   A test of general asymmetric dependence  1026--1043
               Soohyung Lee and   
                  Chiara Orsini   Girls and boys: Economic crisis,
                                  fertility, and birth outcomes  . . . . . 1044--1063
              Olivier Donni and   
             Eleonora Matteazzi   Collective decisions, household
                                  production, and labor force
                                  participation  . . . . . . . . . . . . . 1064--1080
         Marina Glushenkova and   
          Andros Kourtellos and   
             Marios Zachariadis   Barriers to price convergence  . . . . . 1081--1097
             Susan Dynarski and   
                Brian Jacob and   
                Daniel Kreisman   How important are fixed effects and time
                                  trends in estimating returns to
                                  schooling? Evidence from a replication
                                  of Jacobson, Lalonde, and Sullivan, 2005 1098--1108
Mateo Velásquez-Giraldo and   
 Gustavo Canavire-Bacarreza and   
               Kim P. Huynh and   
          David T. Jacho-Chavez   Flexible Estimation of Demand Systems: A
                                  Copula Approach  . . . . . . . . . . . . 1109--1116


Journal of Applied Econometrics
Volume 34, Number 1, January / February, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
José Luis Montiel Olea and   
  Mikkel Plagborg-Mòller   Simultaneous confidence bands: Theory,
                                  implementation, and an application to
                                  SVARs  . . . . . . . . . . . . . . . . . 1--17
            Mark Kerssenfischer   The puzzling effects of monetary policy
                                  in VARs: Invalid identification or
                                  missing information? . . . . . . . . . . 18--25
           H. Peter Boswijk and   
          Maurice J. G. Bun and   
        Maarten Pieter Schinkel   Cartel dating  . . . . . . . . . . . . . 26--42
             Mauro Bernardi and   
               Leopoldo Catania   Switching generalized autoregressive
                                  score copula models with application to
                                  systemic risk  . . . . . . . . . . . . . 43--65
                   David Pacini   The two-sample linear regression model
                                  with interval-censored covariates  . . . 66--81
               Emir Malikov and   
                  Yiguo Sun and   
                     Diane Hite   (Under)Mining local residential property
                                  values: A semiparametric spatial
                                  quantile autoregression  . . . . . . . . 82--109
       Arthur Alik-Lagrange and   
               Martin Ravallion   Estimating within-cluster spillover
                                  effects using a cluster randomization
                                  with application to knowledge diffusion
                                  in rural India . . . . . . . . . . . . . 110--128
             Chew Lian Chua and   
             Sarantis Tsiaplias   Information flows and stock market
                                  volatility . . . . . . . . . . . . . . . 129--148
             Philipp Eisenhauer   The approximate solution of
                                  finite-horizon discrete-choice dynamic
                                  programming models . . . . . . . . . . . 149--154
                 Giovanni Millo   Private returns to R&D in the presence of
                                  spillovers, revisited  . . . . . . . . . 155--159

Journal of Applied Econometrics
Volume 34, Number 2, March, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
  Hilde C. Bjòrnland and   
           Leif Anders Thorsrud   Commodity prices and fiscal policy
                                  design: Procyclical despite a rule . . . 161--180
       Michael W. McCracken and   
         Joseph T. McGillicuddy   An empirical investigation of direct and
                                  iterated multistep conditional forecasts 181--204
            Filippo Ferroni and   
             Stefano Grassi and   
  Miguel A. León-Ledesma   Selecting structural innovations in DSGE
                                  models . . . . . . . . . . . . . . . . . 205--220
                Mario Forni and   
              Luca Gambetti and   
                      Luca Sala   Structural VARs and noninvertible
                                  macroeconomic models . . . . . . . . . . 221--246
                 Yohei Yamamoto   Bootstrap inference for impulse response
                                  functions in factor-augmented vector
                                  autoregressions  . . . . . . . . . . . . 247--267
            Hande Karabiyik and   
         Jean-Pierre Urbain and   
              Joakim Westerlund   CCE estimation of factor-augmented
                                  regression models with more factors than
                                  observables  . . . . . . . . . . . . . . 268--284
            Dimitrios P. Louzis   Steady-state modeling and macroeconomic
                                  forecasting quality  . . . . . . . . . . 285--314
             Hans van Ophem and   
       Noud van Giersbergen and   
      Kees Jan van Garderen and   
                    Maurice Bun   The cyclicality of R&D investment
                                  revisited  . . . . . . . . . . . . . . . 315--324

Journal of Applied Econometrics
Volume 34, Number 3, April / May, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
        Gabriele Fiorentini and   
                Enrique Sentana   Dynamic specification tests for dynamic
                                  factor models  . . . . . . . . . . . . . 325--346
           Matteo Barigozzi and   
            Christian Brownlees   NETS: Network estimation for time series 347--364
          Maarten van Oordt and   
                      Chen Zhou   Systemic risk and bank business models   365--384
   Francisco H. G. Ferreira and   
               Sergio Firpo and   
              Antonio F. Galvao   Actual and counterfactual growth
                                  incidence and delta Lorenz curves:
                                  Estimation and inference . . . . . . . . 385--402
                 Bart Cockx and   
             Matteo Picchio and   
                    Stijn Baert   Modeling the effects of grade retention
                                  in high school . . . . . . . . . . . . . 403--424
              Kurt F. Lewis and   
       Francisco Vazquez-Grande   Measuring the natural rate of interest:
                                  A note on transitory shocks  . . . . . . 425--436
          Giovanni Angelini and   
       Emanuele Bacchiocchi and   
          Giovanni Caggiano and   
                   Luca Fanelli   Uncertainty across volatility regimes    437--455
            Anthony Garratt and   
             Shaun P. Vahey and   
                    Yunyi Zhang   Real-time forecast combinations for the
                                  oil price  . . . . . . . . . . . . . . . 456--462

Journal of Applied Econometrics
Volume 34, Number 4, June / July, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
                Cheng Hsiao and   
                   Qiankun Zhou   Panel parametric, semiparametric, and
                                  nonparametric construction of
                                  counterfactuals  . . . . . . . . . . . . 463--481
            Cheti Nicoletti and   
                  Birgitta Rabe   Sibling spillover effects in school
                                  achievement  . . . . . . . . . . . . . . 482--501
          Esteban M. Aucejo and   
                 Jonathan James   Catching up to girls: Understanding the
                                  gender imbalance in educational
                                  attainment within race . . . . . . . . . 502--525
        Sebastian Kripfganz and   
                Claudia Schwarz   Estimation of linear dynamic panel data
                                  models with time-invariant regressors    526--546
              Benjamin Williams   Controlling for ability using test
                                  scores . . . . . . . . . . . . . . . . . 547--565
                   James Thomas   The signal quality of grades across
                                  academic fields  . . . . . . . . . . . . 566--587
           Gregorio Caetano and   
               Josh Kinsler and   
                       Hao Teng   Towards causal estimates of children's
                                  time allocation on skill development . . 588--605
            Agnieszka Postepska   Ethnic capital and intergenerational
                                  transmission of educational attainment   606--611
                Kyoo il Kim and   
                    Yao Luo and   
                     Yingjun Su   A robust approach to estimating
                                  production functions: Replication of the
                                  ACF procedure  . . . . . . . . . . . . . 612--619

Journal of Applied Econometrics
Volume 34, Number 5, August, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
              Florian Huber and   
             Gregor Kastner and   
             Martin Feldkircher   Should I stay or should I go? A latent
                                  threshold approach to large-scale
                                  mixture innovation models  . . . . . . . 621--640
                    Xin Jin and   
              John M. Maheu and   
                      Qiao Yang   Bayesian parametric and semiparametric
                                  factor models for large realized
                                  covariance matrices  . . . . . . . . . . 641--660
               Lucia Alessi and   
            Mark Kerssenfischer   The response of asset prices to monetary
                                  policy shocks: Stronger than thought . . 661--672
             Daniel A. Dias and   
          João B. Duarte   Monetary policy, housing rents, and
                                  inflation dynamics . . . . . . . . . . . 673--687
             Claudia Foroni and   
    Massimiliano Marcellino and   
             Dalibor Stevanovic   Mixed-frequency models with
                                  moving-average components  . . . . . . . 688--706
              Damian Clarke and   
             Sonia Oreffice and   
       Climent Quintana-Domeque   The demand for season of birth . . . . . 707--723
                Wendun Wang and   
                Xinyu Zhang and   
                   Richard Paap   To pool or not to pool: What is a good
                                  strategy for parameter estimation and
                                  forecasting in panel regressions?  . . . 724--745
          Joakim Westerlund and   
               Yana Petrova and   
                  Milda Norkute   CCE in fixed-T panels  . . . . . . . . . 746--761
          Antonio F. Galvao and   
       Gabriel Montes-Rojas and   
                      Jose Olmo   Tests of asset pricing with time-varying
                                  factor loads . . . . . . . . . . . . . . 762--778
            Arnold Polanski and   
              Evarist Stoja and   
               Frank Windmeijer   Telling tales from the tails:
                                  High-dimensional tail interdependence    779--794
Manuel González-Astudillo   Estimating the U.S. output gap with
                                  state-level data . . . . . . . . . . . . 795--810
                Helmut Herwartz   Long-run neutrality of demand shocks:
                                  Revisiting Blanchard and Quah (1989)
                                  with independent structural shocks . . . 811--819
     Davaajargal Luvsannyam and   
               Khuslen Batmunkh   A factor-augmented vector autoregressive
                                  (FAVAR) approach for monetary policy:
                                  Replication of the empirical results in
                                  ``measuring the effects of monetary
                                  policy'' . . . . . . . . . . . . . . . . 820--821
                       Bowen Fu   Bubbles and crises: Replicating the
                                  Anundsen et al. (2016) results . . . . . 822--826
     Pierfederico Asdrubali and   
            Simone Tedeschi and   
                  Luigi Ventura   Heterogeneity in risk aversion and risk
                                  sharing regressions  . . . . . . . . . . 827--835
                Tino Berger and   
                    Bernd Kempa   Testing for time variation in the
                                  natural rate of interest . . . . . . . . 836--842
               Haitao Huang and   
                 Liang Peng and   
                 Vincent W. Yao   Comovements and asymmetric tail
                                  dependence in state housing prices in
                                  the USA: a nonparametric approach  . . . 843--849
        Christian Gillitzer and   
                Martin McCarthy   Does global inflation help forecast
                                  inflation in industrialized countries?   850--857
                   Matthijs Lof   Expected market returns: SVIX, realized
                                  volatility, and the role of dividends    858--864

Journal of Applied Econometrics
Volume 34, Number 6, September / October, 2019

            Elliot Anenberg and   
                Aurel Hizmo and   
                Edward Kung and   
                   Raven Molloy   Measuring mortgage credit availability:
                                  A frontier estimation approach . . . . . 865--882
            Badi H. Baltagi and   
                    Qu Feng and   
                     Chihwa Kao   Structural changes in heterogeneous
                                  panels with endogenous regressors  . . . 883--892
                Arun Advani and   
              Toru Kitagawa and   
            Tymon S\loczy\'nski   Mostly harmless simulations? Using Monte
                                  Carlo studies for estimator selection    893--910
               Keith Finlay and   
           Leandro M. Magnusson   Two applications of wild bootstrap
                                  methods to improve inference in
                                  cluster-IV models  . . . . . . . . . . . 911--933
               Aeimit Lakdawala   Decomposing the effects of monetary
                                  policy using an external instruments
                                  SVAR . . . . . . . . . . . . . . . . . . 934--950
          Giovanni Angelini and   
                   Luca Fanelli   Exogenous uncertainty and the
                                  identification of structural vector
                                  autoregressions with external
                                  instruments  . . . . . . . . . . . . . . 951--971
           Fabio Bertolotti and   
        Massimiliano Marcellino   Tax shocks with high and low uncertainty 972--993
                 Sukjin Han and   
                    Sungwon Lee   Estimation in a generalization of
                                  bivariate probit models with dummy
                                  endogenous regressors  . . . . . . . . . 994--1015
                  Jaeho Kim and   
                        Le Wang   Hidden group patterns in democracy
                                  developments: Bayesian inference for
                                  grouped heterogeneity  . . . . . . . . . 1016--1028

Journal of Applied Econometrics
Volume 34, Number 7, November / December, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 1--4
          George Kapetanios and   
    Massimiliano Marcellino and   
              Fabrizio Venditti   Large time varying parameter VARs: A
                                  nonparametric approach . . . . . . . . . 1027--1049
           Rachidi Kotchoni and   
              Maxime Leroux and   
             Dalibor Stevanovic   Macroeconomic forecast accuracy in a
                                  data rich environment  . . . . . . . . . 1050--1072
           Pablo Cuba-Borda and   
             Luca Guerrieri and   
          Matteo Iacoviello and   
                    Molin Zhong   Likelihood evaluation of models with
                                  occasionally binding constraints . . . . 1073--1085
          Arkadiusz Szyd\lowski   Endogenous censoring in the mixed
                                  proportional hazard model with an
                                  application to optimal unemployment
                                  insurance  . . . . . . . . . . . . . . . 1086--1101
      Christopher J. Cronin and   
           David K. Guilkey and   
               Ilene S. Speizer   Measurement error in discrete health
                                  facility choice models: An example from
                                  urban Senegal  . . . . . . . . . . . . . 1102--1120
                    Wei Lin and   
  Gloria González-Rivera   Extreme returns and intensity of trading 1121--1140


Journal of Applied Econometrics
Volume 35, Number 1, January / February, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
               James Morley and   
                  Benjamin Wong   Estimating and accounting for the output
                                  gap with large Bayesian vector
                                  autoregression . . . . . . . . . . . . . 1--18
           Christian Conrad and   
                     Onno Kleen   Two are better than one: Volatility
                                  forecasting using multiplicative
                                  component GARCH--MIDAS mode  . . . . . . 19--45
                 Stephen Thiele   Modeling the conditional distribution of
                                  financial returns with asymmetric tails  46--60
            Christian Gross and   
               Pierre L. Siklos   Analyzing credit risk transmission to
                                  the nonfinancial sector in Europe: A
                                  network approach . . . . . . . . . . . . 61--81
             Luca Guerrieri and   
             Dale Henderson and   
                     Jinill Kim   Interpreting shocks to the relative
                                  price of investment with a two-sector
                                  model  . . . . . . . . . . . . . . . . . 82--98
                 Richard Startz   The next hundred years of growth and
                                  convergence  . . . . . . . . . . . . . . 99--113
           Julien Champagne and   
  Guillaume Poulin-Bellisle and   
                 Rodrigo Sekkel   Introducing the Bank of Canada staff
                                  economic projections database  . . . . . 114--129
                  Xiaoqing Zhou   Refining the workhorse oil market model  130--140

Journal of Applied Econometrics
Volume 35, Number 2, March, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
   Ana María Herrera and   
        Sandeep Kumar Rangaraju   The effect of oil supply shocks on US
                                  economic activity: What have we learned? 141--159
                  Malick Sy and   
                      Liuren Wu   The shale revolution and shifting crude
                                  dynamics . . . . . . . . . . . . . . . . 160--175
                  Gary Koop and   
            Stuart McIntyre and   
             James Mitchell and   
                    Aubrey Poon   Regional output growth in the United
                                  Kingdom: More timely and higher
                                  frequency estimates from 1970  . . . . . 176--197
             Jason Abrevaya and   
                    Chris Muris   Interval censored regression with fixed
                                  effects  . . . . . . . . . . . . . . . . 198--216
               Hung-pin Lai and   
             Subal C. Kumbhakar   Estimation of a dynamic stochastic
                                  frontier model using likelihood-based
                                  approaches . . . . . . . . . . . . . . . 217--247
           Nikolaus Hautsch and   
                Rodrigo Herrera   Multivariate dynamic intensity
                                  peaks-over-threshold models  . . . . . . 248--272

Journal of Applied Econometrics
Volume 35, Number 3, April / May, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
            Andrea Carriero and   
              Todd E. Clark and   
        Massimiliano Marcellino   Assessing international commonality in
                                  macroeconomic uncertainty and its
                                  effects  . . . . . . . . . . . . . . . . 273--293
            Matthew Harding and   
            Carlos Lamarche and   
              M. Hashem Pesaran   Common correlated effects estimation of
                                  heterogeneous dynamic panel quantile
                                  regression models  . . . . . . . . . . . 294--314
               Shosei Sakaguchi   Estimation of average treatment effects
                                  using panel data when treatment effect
                                  heterogeneity depends on unobserved
                                  fixed effects  . . . . . . . . . . . . . 315--327
                 Alain Hecq and   
         Joao Victor Issler and   
                      Sean Telg   Mixed causal-noncausal autoregressions
                                  with exogenous regressors  . . . . . . . 328--343
           Antoine A. Djogbenou   Comovements in the real activity of
                                  developed and emerging economies: A test
                                  of global versus specific international
                                  factors  . . . . . . . . . . . . . . . . 344--370

Journal of Applied Econometrics
Volume 35, Number 4, June / July, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
     Gloria Gonzalez-Rivera and   
                    Yun Luo and   
                    Esther Ruiz   Prediction regions for interval-valued
                                  time series  . . . . . . . . . . . . . . 373--390
              Laura Coroneo and   
                Fabrizio Iacone   Comparing predictive accuracy in small
                                  samples using fixed-smoothing
                                  asymptotics  . . . . . . . . . . . . . . 391--409
            Joscha Beckmann and   
                  Gary Koop and   
         Dimitris Korobilis and   
Rainer Alexander Schüssler   Exchange rate predictability and dynamic
                                  Bayesian learning  . . . . . . . . . . . 410--421
              A. Ronald Gallant   Complementary Bayesian method of moments
                                  strategies . . . . . . . . . . . . . . . 422--439
               Jonas Dovern and   
                    Hans Manner   Order-invariant tests for proper
                                  calibration of multivariate density
                                  forecasts  . . . . . . . . . . . . . . . 440--456
               Emir Malikov and   
                Shunan Zhao and   
             Subal C. Kumbhakar   Estimation of firm-level productivity in
                                  the presence of exports: Evidence from
                                  China's manufacturing  . . . . . . . . . 457--480

Journal of Applied Econometrics
Volume 35, Number 5, August, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
                Hans Fricke and   
        Markus Frölich and   
               Martin Huber and   
                Michael Lechner   Endogeneity and non-response bias in
                                  treatment evaluation --- nonparametric
                                  identification of causal effects by
                                  instruments  . . . . . . . . . . . . . . 481--504
                   Yi-Ting Chen   A distributional synthetic control
                                  method for policy evaluation . . . . . . 505--525
                Paul Muller and   
         Bas van der Klaauw and   
                    Arjan Heyma   Comparing econometric methods to
                                  empirically evaluate activation programs
                                  for job seekers  . . . . . . . . . . . . 526--547
          Mohitosh Kejriwal and   
                Xiaoxiao Li and   
                     Evan Totty   Multidimensional skills and the returns
                                  to schooling: Evidence from an
                                  interactive fixed-effects approach and a
                                  linked survey-administrative data set    548--566
         Mette Ejrnæs and   
     Thomas H. Jòrgensen   Family planning in a life-cycle model
                                  with income risk . . . . . . . . . . . . 567--586
          Norman R. Swanson and   
                Weiqi Xiong and   
                      Xiye Yang   Predicting interest rates using
                                  shrinkage methods, real-time diffusion
                                  indexes, and model combinations  . . . . 587--613
                Daniel Kaufmann   Is deflation costly after all? The
                                  perils of erroneous historical
                                  classifications  . . . . . . . . . . . . 614--628
              Hongwei Zhang and   
                   Qiang He and   
               Ben Jacobsen and   
                    Fuwei Jiang   Forecasting stock returns with model
                                  uncertainty and parameter instability    629--644
        Marcin B\lazejowski and   
               Pawe\l Kufel and   
              Jacek Kwiatkowski   Model simplification and variable
                                  selection: a replication of the UK
                                  inflation model by Hendry (2001) . . . . 645--652

Journal of Applied Econometrics
Volume 35, Number 6, September / October, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
            Jing Cynthia Wu and   
                   Fan Dora Xia   Negative interest rate policy and the
                                  yield curve  . . . . . . . . . . . . . . 653--672
                Lutz Kilian and   
                  Xiaoqing Zhou   Does drawing down the US Strategic
                                  Petroleum Reserve help stabilize oil
                                  prices?  . . . . . . . . . . . . . . . . 673--691
          Joshua C. C. Chan and   
             Eric Eisenstat and   
               Chenghan Hou and   
                      Gary Koop   Composite likelihood methods for large
                                  Bayesian VARs with stochastic volatility 692--711
              Otilia Boldea and   
            Bettina Drepper and   
                  Zhuojiong Gan   Change point estimation in panel data
                                  with time-varying individual effects . . 712--727
                    In Choi and   
                   Hanbat Jeong   Differencing versus nondifferencing in
                                  factor-based forecasting . . . . . . . . 728--750
             Gerald Carlino and   
            Thorsten Drautzburg   The role of startups for local labor
                                  markets  . . . . . . . . . . . . . . . . 751--775
              Joakim Westerlund   A cross-section average-based principal
                                  components approach for fixed- T panels  776--785
            Richard A. Dunn and   
                Nathan W. Tefft   Replicating the Levitt and Porter
                                  estimates of drunk driving . . . . . . . 786--796

Journal of Applied Econometrics
Volume 35, Number 7, November / December, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . i--iv
           Bo Honoré and   
    Thomas Jòrgensen and   
          Áureo de Paula   The informativeness of estimation
                                  moments  . . . . . . . . . . . . . . . . 797--813
               Martin Huber and   
                Yu-Chin Hsu and   
              Ying-Ying Lee and   
                   Layal Lettry   Direct and indirect effects of
                                  continuous treatments based on
                                  generalized propensity score weighting   814--840
           Christian Belzil and   
             Jörgen Hansen   The evolution of the US family
                                  income--schooling relationship and
                                  educational selectivity  . . . . . . . . 841--859
                  Koen Jochmans   Testing for correlation in
                                  error-component models . . . . . . . . . 860--878
                Yanchun Jin and   
                       Ryo Okui   Testing for overconfidence
                                  statistically: a moment inequality
                                  approach . . . . . . . . . . . . . . . . 879--892
              Marco Bertoni and   
           Giorgio Brunello and   
             Lorenzo Cappellari   Who benefits from privileged peers?
                                  Evidence from siblings in schools  . . . 893--916
               Valentin Verdier   Average treatment effects for stayers
                                  with correlated random coefficient
                                  models of panel data . . . . . . . . . . 917--939
                 Yifan Gong and   
         Todd Stinebrickner and   
            Ralph Stinebrickner   Perceived and actual option values of
                                  college enrollment . . . . . . . . . . . 940--959
               Yana Petrova and   
              Joakim Westerlund   Fixed effects demeaning in the presence
                                  of interactive effects in treatment
                                  effects regressions and elsewhere  . . . 960--964


Journal of Applied Econometrics
Volume 36, Number 1, January / February, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 1--4
             James M. Nason and   
                Gregor W. Smith   Measuring the slowly evolving trend in
                                  US inflation with professional forecasts 1--17
             Michele Aquaro and   
             Natalia Bailey and   
              M. Hashem Pesaran   Estimation and inference for spatial
                                  models with heterogeneous coefficients:
                                  An application to US house prices  . . . 18--44
            David I. Harvey and   
       Stephen J. Leybourne and   
              Robert Sollis and   
            A. M. Robert Taylor   Real-time detection of regimes of
                                  predictability in the US equity premium  45--70
              Andrew Harvey and   
                 Stephen Thiele   Cointegration and control: Assessing the
                                  impact of events using time series data  71--85
              Haroon Mumtaz and   
         Laura Sunder-Plassmann   Nonlinear effects of government spending
                                  shocks in the USA: Evidence from
                                  state-level data . . . . . . . . . . . . 86--97
               Romain Duval and   
             Davide Furceri and   
                   Jakob Miethe   Robust political economy correlates of
                                  major product and labor market reforms
                                  in advanced economies: Evidence from
                                  BAMLE for logit models . . . . . . . . . 98--124
      Sinem Hacio\uglu Hoke and   
              George Kapetanios   Common correlated effect cross-sectional
                                  dependence corrections for nonlinear
                                  conditional mean panel models  . . . . . 125--150
           Matei Demetrescu and   
           Christoph Roling and   
                    Anna Titova   Reevaluating the prudence of economic
                                  forecasts in the EU: The role of
                                  instrument persistence . . . . . . . . . 151--161

Journal of Applied Econometrics
Volume 36, Number 2, March, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 163--163
           Chih-Sheng Hsieh and   
                         Xu Lin   Social interactions and social
                                  preferences in social networks . . . . . 165--189
Lukás Lafférs and   
           Bernhard Schmidpeter   Early child development and parents'
                                  labor supply . . . . . . . . . . . . . . 190--208
               Sacha Kapoor and   
        Matthijs Oosterveen and   
                 Dinand Webbink   The price of forced attendance . . . . . 209--227
          Alexis Akira Toda and   
                    Yulong Wang   Efficient minimum distance estimation of
                                  Pareto exponent from top income shares   228--243
              Richard Bluhm and   
           Martin Gassebner and   
             Sarah Langlotz and   
                   Paul Schaudt   Fueling conflict? (De)escalation and
                                  bilateral aid  . . . . . . . . . . . . . 244--261
              Florian Huber and   
             Michael Pfarrhofer   Dynamic shrinkage in time-varying
                                  parameter stochastic volatility in mean
                                  models . . . . . . . . . . . . . . . . . 262--270

Journal of Applied Econometrics
Volume 36, Number 3, April / May, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 271--271
  Hilde C. Bjòrnland and   
       Frode Martin Nordvik and   
              Maximilian Rohrer   Supply flexibility in the shale patch:
                                  Evidence from North Dakota . . . . . . . 273--292
              James D. Hamilton   Measuring global economic activity . . . 293--303
          Niko Hauzenberger and   
              Florian Huber and   
                  Luca Onorante   Combining shrinkage and sparsity in
                                  conjugate vector autoregressive models   304--327
               Isabel Casas and   
                   Jiti Gao and   
                   Bin Peng and   
                    Shangyu Xie   Time-varying income elasticities of
                                  healthcare expenditure for the OECD and
                                  Eurozone . . . . . . . . . . . . . . . . 328--345
                Yu-Chin Hsu and   
                       Shu Shen   Testing monotonicity of conditional
                                  treatment effects under regression
                                  discontinuity designs  . . . . . . . . . 346--366

Journal of Applied Econometrics
Volume 36, Number 4, June / July, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 367--367
         Jörg Breitung and   
             Malte Knüppel   How far can we forecast? Statistical
                                  tests of the predictive content  . . . . 369--392
                   Arnaud Dupuy   Migration in China: To work or to wed?   393--415
               Nathan Canen and   
                 Kyungchul Song   Counterfactual analysis under partial
                                  identification using locally robust
                                  refinement . . . . . . . . . . . . . . . 416--436
                Sabine Deij and   
            Jakob B. Madsen and   
                 Laura Puzzello   When are instruments generated from
                                  geographic characteristics in bilateral
                                  relationships invalid? . . . . . . . . . 437--452
            Robert M. Sauer and   
              Christopher Taber   Understanding women's wage growth using
                                  indirect inference with importance
                                  sampling . . . . . . . . . . . . . . . . 453--473
Andrés Ramírez-Hassan   Bayesian estimation of the exact affine
                                  Stone index demand system: Replicating
                                  the Lewbel and Pendakur (2009) results   484--491
         Stephen P. Jenkins and   
            Fernando Rios-Avila   Measurement error in earnings data:
                                  Replication of Meijer, Rohwedder, and
                                  Wansbeek's mixture model approach to
                                  combining survey and register data . . . 474--483

Journal of Applied Econometrics
Volume 36, Number 5, August, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 493--493
            Andrea Carriero and   
              Todd E. Clark and   
        Massimiliano Marcellino   No-arbitrage priors, drifting
                                  volatilities, and the term structure of
                                  interest rates . . . . . . . . . . . . . 495--516
          Ruben Loaiza-Maya and   
             Gael M. Martin and   
               David T. Frazier   Focused Bayesian prediction  . . . . . . 517--543
              Marina Balboa and   
      Paulo M. M. Rodrigues and   
              Antonio Rubia and   
            A. M. Robert Taylor   Multivariate fractional integration
                                  tests allowing for conditional
                                  heteroskedasticity with an application
                                  to return volatility and trading volume  544--565
             Arnoud Stevens and   
                  Joris Wauters   Is euro area lowflation here to stay?
                                  Insights from a time-varying parameter
                                  model with survey data . . . . . . . . . 566--586
             Natalia Bailey and   
          George Kapetanios and   
              M. Hashem Pesaran   Measurement of factor strength: Theory
                                  and practice . . . . . . . . . . . . . . 587--613
                Mengheng Li and   
               Siem Jan Koopman   Unobserved components with stochastic
                                  volatility: Simulation-based estimation
                                  and signal extraction  . . . . . . . . . 614--627
          Arpita Chatterjee and   
               James Morley and   
                    Aarti Singh   Estimating household consumption
                                  insurance  . . . . . . . . . . . . . . . 628--635

Journal of Applied Econometrics
Volume 36, Number 6, September / October, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 637--637
               Rolf Aaberge and   
              Tarjei Havnes and   
                  Magne Mogstad   Ranking intersecting distribution
                                  functions  . . . . . . . . . . . . . . . 639--662
             Matteo Picchio and   
             Claudia Pigini and   
         Stefano Staffolani and   
            Alina Verashchagina   If not now, when? The timing of
                                  childbirth and labor market outcomes . . 663--685
             Bernard Fortin and   
          Nicolas Jacquemet and   
                  Bruce Shearer   Labour supply, service intensity, and
                                  contracts: Theory and evidence on
                                  physicians . . . . . . . . . . . . . . . 686--702
              Arnaud Dufays and   
                    Zhuo Li and   
      Jeroen V. K. Rombouts and   
                      Yong Song   Sparse change-point VAR models . . . . . 703--727
            Patrick Schmidt and   
          Matthias Katzfuss and   
               Tilmann Gneiting   Interpretation of point forecasts with
                                  unknown directive  . . . . . . . . . . . 728--743
              Mathias Klein and   
                 Roland Winkler   The government spending multiplier at
                                  the zero lower bound: International
                                  evidence from historical data  . . . . . 744--759
              Everett Grant and   
                   Julieta Yung   The double-edged sword of global
                                  integration: Robustness, fragility, and
                                  contagion in the international firm
                                  network  . . . . . . . . . . . . . . . . 760--783
             Sarantis Tsiaplias   Consumer inflation expectations, income
                                  changes and economic downturns . . . . . 784--807
            Bruno Merlevede and   
       Angelos Theodorakopoulos   Productivity effects of
                                  internationalisation through the
                                  domestic supply chain  . . . . . . . . . 808--832
Héctor M. Núñez and   
             Jesús Otero   A one covariate at a time, multiple
                                  testing approach to variable selection
                                  in high-dimensional linear regression
                                  models: a replication in a narrow sense  833--841
              Luke Chicoine and   
                Emily Lyons and   
                   Alexia Sahue   The impact of HIV/AIDS on human capital
                                  investment in Sub-Saharan Africa: New
                                  evidence . . . . . . . . . . . . . . . . 842--852
                 Jeremy Edwards   Did Protestantism promote prosperity via
                                  higher human capital? Replicating the
                                  Becker--Woessmann (2009) results . . . . 853--858

Journal of Applied Econometrics
Volume 36, Number 7, November / December, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 859--859
          Federico A. Bugni and   
               Joel L. Horowitz   Permutation tests for equality of
                                  distributions of functional data . . . . 861--877
             Dante Amengual and   
        Jesús Bueren and   
                 Julio A. Crego   Endogenous health groups and
                                  heterogeneous dynamics of the elderly    878--897
          Olivier De Groote and   
                  Koen Declercq   Tracking and specialization of high
                                  schools: Heterogeneous effects of school
                                  choice . . . . . . . . . . . . . . . . . 898--916
                 Cheng Chou and   
                     Ruoyao Shi   What time use surveys can (and cannot)
                                  tell us about labor supply . . . . . . . 917--937
        Stanislav Anatolyev and   
            Sergei Seleznev and   
             Veronika Selezneva   How does the financial market update
                                  beliefs about the real economy? Evidence
                                  from the oil market  . . . . . . . . . . 938--961
               Bingduo Yang and   
        Christian M. Hafner and   
                Guannan Liu and   
                       Wei Long   Semiparametric estimation and variable
                                  selection for single-index copula models 962--988
              Simon Beyeler and   
                Sylvia Kaufmann   Reduced-form factor augmented
                                  VAR-Exploiting sparsity to include
                                  meaningful factors . . . . . . . . . . . 989--1012
           Robert A. Jarrow and   
                  Simon S. Kwok   Inferring financial bubbles from option
                                  data . . . . . . . . . . . . . . . . . . 1013--1046
               Nooman Rebei and   
                    Rashid Sbia   Transitory and permanent shocks in the
                                  global market for crude oil  . . . . . . 1047--1064
             Daniel Kuehnle and   
       Michael Oberfichtner and   
              Kerstin Ostermann   Revisiting gender identity and relative
                                  income within households: a cautionary
                                  tale on the potential pitfalls of
                                  density estimators . . . . . . . . . . . 1065--1073


Journal of Applied Econometrics
Volume 37, Number 1, January / February, 2022

                    Xiao Ke and   
                    Cheng Hsiao   Featured Cover . . . . . . . . . . . . . i--i
                      Anonymous   Issue Information  . . . . . . . . . . . i--ii
          Giovanni Angelini and   
         Giuseppe Cavaliere and   
                   Luca Fanelli   Bootstrap inference and diagnostics in
                                  state space models: With applications to
                                  dynamic macro models . . . . . . . . . . 3--22
         Malte Knüppel and   
             Fabian Krüger   Forecast uncertainty, disagreement, and
                                  the linear pool  . . . . . . . . . . . . 23--41
            Nikoleta Anesti and   
  Ana Beatriz Galvão and   
       Silvia Miranda-Agrippino   Uncertain Kingdom: Nowcasting Gross
                                  Domestic Product and its revisions . . . 42--62
              Jon Ellingsen and   
           Vegard H. Larsen and   
           Leif Anders Thorsrud   News media versus FRED-MD for
                                  macroeconomic forecasting  . . . . . . . 63--81
               Jo Reynaerts and   
            Jakob Vanschoonbeek   The economics of state fragmentation:
                                  Assessing the economic impact of
                                  secession  . . . . . . . . . . . . . . . 82--115
  Konstantinos Angelopoulos and   
         Spyridon Lazarakis and   
                   James Malley   Cyclical labour income risk in Great
                                  Britain  . . . . . . . . . . . . . . . . 116--130
               Callum Jones and   
             Mariano Kulish and   
                 Daniel M. Rees   International spillovers of forward
                                  guidance shocks  . . . . . . . . . . . . 131--160
             Malin Gardberg and   
                  Lorenzo Pozzi   Aggregate consumption and wealth in the
                                  long run: The impact of financial
                                  liberalization . . . . . . . . . . . . . 161--186
                    Xiao Ke and   
                    Cheng Hsiao   Economic impact of the most drastic
                                  lockdown during COVID-19 pandemic ---
                                  the experience of Hubei, China . . . . . 187--209
          Giovanni Caggiano and   
          Efrem Castelnuovo and   
                Gabriela Nodari   Uncertainty and monetary policy in good
                                  and bad times: a replication of the
                                  vector autoregressive investigation by
                                  Bloom (2009) . . . . . . . . . . . . . . 210--217
              Kamila Cygan-Rehm   Are there no wage returns to compulsory
                                  schooling in Germany? A reassessment . . 218--223

Journal of Applied Econometrics
Volume 37, Number 2, March, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 225--225
         Stephen Kastoryano and   
             Bas van der Klaauw   Dynamic evaluation of job search
                                  assistance . . . . . . . . . . . . . . . 227--241
     Jorge Rodríguez and   
           Fernando Saltiel and   
            Sergio Urzúa   Dynamic treatment effects of job
                                  training . . . . . . . . . . . . . . . . 242--269
               Michael P. Leung   Dependence-robust inference using
                                  resampled statistics . . . . . . . . . . 270--285
              Senay Sokullu and   
              Christine Valente   Individual consumption in collective
                                  households: Identification using
                                  repeated observations with an
                                  application to PROGRESA  . . . . . . . . 286--304
             Mustapha Douch and   
            Terence Huw Edwards   The bilateral trade effects of
                                  announcement shocks: Brexit as a natural
                                  field experiment . . . . . . . . . . . . 305--329
           Eric Fesselmeyer and   
                Haoming Liu and   
                  Alberto Salvo   Declining discount rates in Singapore's
                                  market for privately developed
                                  apartments . . . . . . . . . . . . . . . 330--350
        Martijn van Hasselt and   
   Christopher R. Bollinger and   
                 Jeremy W. Bray   A Bayesian approach to account for
                                  misclassification in prevalence and
                                  trend estimation . . . . . . . . . . . . 351--367
             Viktor Todorov and   
                     Yang Zhang   Information gains from using short-dated
                                  options for measuring and forecasting
                                  volatility . . . . . . . . . . . . . . . 368--391
            Anthony Garratt and   
                  Ivan Petrella   Commodity prices and inflation risk  . . 392--414
          Michael T. Owyang and   
               Jeremy Piger and   
                  Daniel Soques   Contagious switching . . . . . . . . . . 415--432
            Gerdie Everaert and   
                  Lorenzo Pozzi   Encompassing measures of international
                                  consumption risk sharing and their link
                                  with trade and financial globalization   433--449
           Matthew Schaffer and   
                   Nimrod Segev   The deposits channel revisited . . . . . 450--458

Journal of Applied Econometrics
Volume 37, Number 3, April / May, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 459--459
        Simona Delle Chiaie and   
            Laurent Ferrara and   
              Domenico Giannone   Common factors of commodity prices . . . 461--476
               Martin Kliem and   
          Alexander Meyer-Gohde   (Un)expected monetary policy shocks and
                                  term premia  . . . . . . . . . . . . . . 477--499
       Michael R. M. Abrigo and   
        Timothy J. Halliday and   
                  Teresa Molina   Expanding health insurance for the
                                  elderly of the Philippines . . . . . . . 500--520
           Mauro Laudicella and   
                 Paolo Li Donni   The dynamic interdependence in the
                                  demand of primary and emergency
                                  secondary care: a hidden Markov approach 521--536
         William C. Horrace and   
                    Yulong Wang   Nonparametric tests of tail behavior in
                                  stochastic frontier models . . . . . . . 537--562
                Seung-Hyun Hong   Real estate agents' influence on housing
                                  search . . . . . . . . . . . . . . . . . 563--582
          Joshua C. C. Chan and   
               Liana Jacobi and   
                        Dan Zhu   An automated prior robustness analysis
                                  in Bayesian model comparison . . . . . . 583--602
            Iason Kynigakis and   
           Ekaterini Panopoulou   Does model complexity add value to asset
                                  allocation? Evidence from machine
                                  learning forecasting models  . . . . . . 603--639
            Michael P. Clements   Individual forecaster perceptions of the
                                  persistence of shocks to GDP . . . . . . 640--656
           Raphael Gouvêa   Large devaluations and inflation
                                  inequality: Replicating Cravino and
                                  Levchenko (2017) with evidence from
                                  Brazil . . . . . . . . . . . . . . . . . 657--664

Journal of Applied Econometrics
Volume 37, Number 4, June / July, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 665--665
            Daniel J. Lewis and   
              Karel Mertens and   
             James H. Stock and   
                  Mihir Trivedi   Measuring real activity using a weekly
                                  economic index . . . . . . . . . . . . . 667--687
              Michele Lenza and   
           Giorgio E. Primiceri   How to estimate a vector autoregression
                                  after March 2020 . . . . . . . . . . . . 688--699
            Andrea Carriero and   
         Francesco Corsello and   
        Massimiliano Marcellino   The global component of inflation
                                  volatility . . . . . . . . . . . . . . . 700--721
             Yohei Yamamoto and   
                     Naoko Hara   Identifying factor-augmented vector
                                  autoregression models via changes in
                                  shock variances  . . . . . . . . . . . . 722--745
              Jakob de Haan and   
                   Rasmus Wiese   The impact of product and labour market
                                  reform on growth: Evidence for OECD
                                  countries based on local projections . . 746--770
                Zichen Deng and   
              Maarten Lindeboom   Early-life famine exposure, hunger
                                  recall, and later-life health  . . . . . 771--787
                 Arturas Juodis   A regularization approach to common
                                  correlated effects estimation  . . . . . 788--810
             Martin Fischer and   
             Gawain Heckley and   
            Martin Karlsson and   
                Therese Nilsson   Revisiting Sweden's comprehensive school
                                  reform: Effects on education and
                                  earnings . . . . . . . . . . . . . . . . 811--819
                Michael E. Rose   Small world: Narrow, wide, and long
                                  replication of Goyal, van der Leij and
                                  Moraga--Gonzélez (JPE 2006) and a
                                  comparison of EconLit and Scopus . . . . 820--828
                      Anonymous   Correction . . . . . . . . . . . . . . . 829--830


Journal of Applied Econometrics
Volume 36, Number 7, June / July, 2022

             Daniel Kuehnle and   
       Michael Oberfichtner and   
              Kerstin Ostermann   Correction . . . . . . . . . . . . . . . 831--840


Journal of Applied Econometrics
Volume 37, Number 5, August, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 841--841
            Andrea Carriero and   
              Todd E. Clark and   
        Massimiliano Marcellino   Nowcasting tail risk to economic
                                  activity at a weekly frequency . . . . . 843--866
                Lutz Kilian and   
                  Xiaoqing Zhou   Oil prices, gasoline prices, and
                                  inflation expectations . . . . . . . . . 867--881
             Jamie L. Cross and   
              Bao H. Nguyen and   
                 Trung Duc Tran   The role of precautionary and
                                  speculative demand in the global market
                                  for crude oil  . . . . . . . . . . . . . 882--895
             Eleni Kalamara and   
             Arthur Turrell and   
                 Chris Redl and   
          George Kapetanios and   
                  Sujit Kapadia   Making text count: Economic forecasting
                                  using newspaper text . . . . . . . . . . 896--919
   Philippe Goulet Coulombe and   
              Maxime Leroux and   
         Dalibor Stevanovic and   
     Stéphane Surprenant   How is machine learning useful for
                                  macroeconomic forecasting? . . . . . . . 920--964
                Tae-Hwy Lee and   
          Shahnaz Parsaeian and   
                     Aman Ullah   Optimal forecast under structural breaks 965--987
               Linda Mhalla and   
          Julien Hambuckers and   
                  Marie Lambert   Extremal connectedness of hedge funds    988--1009
           Matei Demetrescu and   
            Christoph Hanck and   
          Robinson Kruse-Becher   Robust inference under time-varying
                                  volatility: a real-time evaluation of
                                  professional forecasters . . . . . . . . 1010--1030
         Trong-Nghia Nguyen and   
             Minh-Ngoc Tran and   
                    Robert Kohn   Recurrent conditional heteroskedasticity 1031--1054
                 Jinho Choi and   
     Juan Carlos Escanciano and   
                     Junjie Guo   Generalized band spectrum estimation
                                  with an application to the New Keynesian
                                  Phillips curve . . . . . . . . . . . . . 1055--1078
     Kleanthis Natsiopoulos and   
          Nickolaos G. Tzeremes   ARDL bounds test for cointegration:
                                  Replicating the Pesaran et al. (2001)
                                  results for the UK earnings equation
                                  using R  . . . . . . . . . . . . . . . . 1079--1090

Journal of Applied Econometrics
Volume 37, Number 6, September / October, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 1091--1091
      Pedro H. C. Sant'Anna and   
               Xiaojun Song and   
                          Qi Xu   Covariate distribution balance via
                                  propensity scores  . . . . . . . . . . . 1093--1120
              Koen Jochmans and   
               Vincenzo Verardi   Instrumental-variable estimation of
                                  exponential-regression models with
                                  two-way fixed effects with an
                                  application to gravity equations . . . . 1121--1137
    Massimo Ferrari Minesso and   
             Frederik Kurcz and   
            Maria Sole Pagliari   Do words hurt more than actions? The
                                  impact of trade tensions on financial
                                  markets  . . . . . . . . . . . . . . . . 1138--1159
                Murat K. Munkin   Count Roy model with finite mixtures . . 1160--1181
           Georg Duernecker and   
               Moritz Meyer and   
          Fernando Vega-Redondo   Trade openness and growth: a
                                  network-based approach . . . . . . . . . 1182--1203
          M. Hashem Pesaran and   
               Cynthia Fan Yang   Matching theory and evidence on Covid-19
                                  using a stochastic network SIR model . . 1204--1229
                     Yu Bai and   
            Andrea Carriero and   
              Todd E. Clark and   
        Massimiliano Marcellino   Macroeconomic forecasting in a
                                  multi-country context  . . . . . . . . . 1230--1255
            Emilia Del Bono and   
               Josh Kinsler and   
                    Ronni Pavan   Identification of dynamic latent factor
                                  models of skill formation with translog
                                  production . . . . . . . . . . . . . . . 1256--1265
            Nino Buliskeria and   
                   Jaromir Baxa   Do rural banks matter that much? Burgess
                                  and Pande (2005) reconsidered  . . . . . 1266--1274

Journal of Applied Econometrics
Volume 37, Number 7, November / December, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 1275--1275
         Thomas F. Crossley and   
               Peter Levell and   
               Stavros Poupakis   Regression with an imputed dependent
                                  variable . . . . . . . . . . . . . . . . 1277--1294
             Dante Amengual and   
                 Xinyue Bei and   
                Enrique Sentana   Normal but skewed? . . . . . . . . . . . 1295--1313
  Ana Beatriz Galvão and   
                 Michael Owyang   Forecasting low-frequency macroeconomic
                                  events with high-frequency data  . . . . 1314--1333
           Erik Hjalmarsson and   
                     Tamas Kiss   Long-run predictability tests are even
                                  worse than you thought . . . . . . . . . 1334--1355
            Badi H. Baltagi and   
             Peter H. Egger and   
                Michaela Kesina   Bayesian estimation of multivariate
                                  panel probits with higher-order network
                                  interdependence and an application to
                                  firms' global market participation in
                                  Guangdong  . . . . . . . . . . . . . . . 1356--1378
                Costanza Naguib   Did earnings mobility change after
                                  minimum wage introduction? Evidence from
                                  parametric and semi-nonparametric
                                  methods in Germany . . . . . . . . . . . 1379--1402
                Dean Scrimgeour   Reevaluating the evidence on seasonality
                                  in housing market match quality:
                                  Replication of Ngai and Tenreyro (2014)  1403--1409


Journal of Applied Econometrics
Volume 38, Number 1, January / February, 2023

                    Hie Joo Ahn   The role of observed and unobserved
                                  heterogeneity in the duration of
                                  unemployment . . . . . . . . . . . . . . 3--23
               Yoonseok Lee and   
             Mary E. Lovely and   
                     Hoang Pham   Dynamic and non-neutral productivity
                                  effects of foreign ownership: a
                                  nonparametric approach . . . . . . . . . 24--48
           Daniela Scidá   Structural VAR and financial networks: a
                                  minimum distance approach to spatial
                                  modeling . . . . . . . . . . . . . . . . 49--68
         Manfred M. Fischer and   
          Niko Hauzenberger and   
              Florian Huber and   
             Michael Pfarrhofer   General Bayesian time-varying parameter
                                  vector autoregressions for modeling
                                  government bond yields . . . . . . . . . 69--87
            Andrew C. Chang and   
              Trace J. Levinson   Raiders of the lost high-frequency
                                  forecasts: New data and evidence on the
                                  efficiency of the Fed's forecasting  . . 88--104
           Luiz Renato Lima and   
     Lucas Lúcio Godeiro   Equity-premium prediction: Attention is
                                  all you need . . . . . . . . . . . . . . 105--122
                Anna\"\ig Morin   Workplace heterogeneity and wage
                                  inequality in Denmark  . . . . . . . . . 123--133

Journal of Applied Econometrics
Volume 38, Number 2, March, 2023

          Denise Desjardins and   
             Georges Dionne and   
                        Yang Lu   Featured Cover . . . . . . . . . . . . . ??
                      Anonymous   Issue Information  . . . . . . . . . . . 135--135
          Aaron J. Amburgey and   
           Michael W. McCracken   On the real-time predictive content of
                                  financial condition indices for growth   137--163
        Michael P. Clements and   
      Ana Beatriz Galvão   Density forecasting with Bayesian Vector
                                  Autoregressive models under
                                  macroeconomic data uncertainty . . . . . 164--185
           Katarzyna Budnik and   
          Gerhard Rünstler   Identifying structural VARs from sparse
                                  narrative instruments: Dynamic effects
                                  of US macroprudential policies . . . . . 186--201
                Jianhao Lin and   
               Jiacheng Fan and   
                Yifan Zhang and   
                 Liangyuan Chen   Real-time macroeconomic projection using
                                  narrative central bank communication . . 202--221
      Christopher S. Sutherland   Forward guidance and expectation
                                  formation: A narrative approach  . . . . 222--241
          Denise Desjardins and   
             Georges Dionne and   
                        Yang Lu   Hierarchical random-effects model for
                                  the insurance pricing of vehicles
                                  belonging to a fleet . . . . . . . . . . 242--259
               Tony Chernis and   
             Patrick J. Coe and   
                 Shaun P. Vahey   Reassessing the dependence between
                                  economic growth and financial conditions
                                  since 1973 . . . . . . . . . . . . . . . 260--267

Journal of Applied Econometrics
Volume 38, Number 3, April / May, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 269--269
              Dario Laudati and   
              M. Hashem Pesaran   Identifying the effects of sanctions on
                                  the Iranian economy using newspaper
                                  coverage . . . . . . . . . . . . . . . . 271--294
Pablo Guerróon-Quintana and   
                    Molin Zhong   Macroeconomic forecasting in times of
                                  crises . . . . . . . . . . . . . . . . . 295--320
                  Koen Jochmans   Testing random assignment to peer groups 321--333
                 David Slichter   The employment effects of the minimum
                                  wage: a selection ratio approach to
                                  measuring treatment effects  . . . . . . 334--357
                   Bruno Ferman   Inference in difference-in-differences:
                                  How much should we trust in independent
                                  clusters?  . . . . . . . . . . . . . . . 358--369
             Claudia Foroni and   
                  Livio Stracca   The shale oil revolution and the global
                                  oil supply curve . . . . . . . . . . . . 370--387
                 Lukas Boer and   
             Lukas Menkhoff and   
                    Malte Rieth   The multifaceted impact of US trade
                                  policy on financial markets  . . . . . . 388--406
          Santiago Acerenza and   
   Otávio Bartalotti and   
Désiré Kédagni   Testing identifying assumptions in
                                  bivariate probit models  . . . . . . . . 407--422
             Jan Bietenbeck and   
                Matthew Collins   New evidence on the importance of
                                  instruction time for student achievement
                                  on international assessments . . . . . . 423--431
          Giovanni Caggiano and   
              Efrem Castelnuovo   Global financial uncertainty . . . . . . 432--449

Journal of Applied Econometrics
Volume 38, Number 4, June / July, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 451--451
            Alexander Doser and   
              Ricardo Nunes and   
                 Nikhil Rao and   
          Viacheslav Sheremirov   Inflation expectations and
                                  nonlinearities in the Phillips curve . . 453--471
               Joan Paredes and   
     Javier J. Pérez and   
           Gabriel Perez Quiros   Fiscal targets. A guide to forecasters?  472--492
                Nadja Klein and   
      Michael Stanley Smith and   
                  David J. Nott   Deep distributional time series models
                                  and the probabilistic forecasting of
                                  intraday electricity prices  . . . . . . 493--511
               Daniel Borup and   
      Jorge Wolfgang Hansen and   
   Benjamin Dybro Liengaard and   
Erik Christian Montes Schütte   Quantifying investor narratives and
                                  their role during COVID-19 . . . . . . . 512--532
             Thomas Despois and   
                  Catherine Doz   Identifying and interpreting the factors
                                  in factor models via sparsity: Different
                                  approaches . . . . . . . . . . . . . . . 533--555
              Florian Huber and   
                      Gary Koop   Subspace shrinkage in conjugate Bayesian
                                  vector autoregressions . . . . . . . . . 556--576
           Oskar Gustafsson and   
            Mattias Villani and   
           Pär Stockhammar   Bayesian optimization of hyperparameters
                                  from noisy marginal likelihood estimates 577--595
          Valentina Corradi and   
                 Sainan Jin and   
              Norman R. Swanson   Robust forecast superiority testing with
                                  an application to assessing pools of
                                  expert forecasters . . . . . . . . . . . 596--622
                  Zidong An and   
             Salem Abo-Zaid and   
            Xuguang Simon Sheng   Inattention and the impact of monetary
                                  policy . . . . . . . . . . . . . . . . . 623--643
                Zhongjun Qu and   
                Denis Tkachenko   Using arbitrary precision arithmetic to
                                  sharpen identification analysis for DSGE
                                  models . . . . . . . . . . . . . . . . . 644--667

Journal of Applied Econometrics
Volume 38, Number 5, August, 2023

         James G. MacKinnon and   
Morten Òrregaard Nielsen and   
                Matthew D. Webb   Featured Cover . . . . . . . . . . . . . 
                      Anonymous   Issue Information  . . . . . . . . . . . 669--669
         James G. MacKinnon and   
Morten Òrregaard Nielsen and   
                Matthew D. Webb   Fast and reliable jackknife and
                                  bootstrap methods for cluster-robust
                                  inference  . . . . . . . . . . . . . . . 671--694
           Kurt Schmidheiny and   
             Sebastian Siegloch   On event studies and distributed-lags in
                                  two-way fixed effects models:
                                  Identification, equivalence, and
                                  generalization . . . . . . . . . . . . . 695--713
             James Mitchell and   
                   Martin Weale   Censored density forecasts: Production
                                  and evaluation . . . . . . . . . . . . . 714--734
              Yingying Dong and   
          Michal Kolesár   When can we ignore measurement error in
                                  the running variable?  . . . . . . . . . 735--750
                 Yunjong Eo and   
                 Luis Uzeda and   
                  Benjamin Wong   Understanding trend inflation through
                                  the lens of the goods and services
                                  sectors  . . . . . . . . . . . . . . . . 751--766
           Illenin O. Kondo and   
             Logan T. Lewis and   
                  Andrea Stella   Heavy tailed but not Zipf: Firm and
                                  establishment size in the United States  767--785
             Jan Bietenbeck and   
                 Petra Thiemann   Revisiting the effect of growing up in a
                                  recession on attitudes towards
                                  redistribution . . . . . . . . . . . . . 786--794
                      Anonymous   Correction to ``Exogenous uncertainty
                                  and the identification of structural
                                  vector autoregressions with external
                                  instruments''  . . . . . . . . . . . . . 795--797

Journal of Applied Econometrics
Volume 38, Number 6, September / October, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 799--799
Josep Lluís Carrion-i-Silvestre and   
     María Dolores Gadea   Testing for multiple level shifts with
                                  an integrated or stationary noise
                                  component  . . . . . . . . . . . . . . . 801--819
              Yoosoon Chang and   
   Ana María Herrera and   
                Elena Pesavento   Oil prices uncertainty, endogenous
                                  regime switching, and inflation
                                  anchoring  . . . . . . . . . . . . . . . 820--839
           Carolina Caetano and   
           Gregorio Caetano and   
         Juan Carlos Escanciano   Regression discontinuity design with
                                  multivalued treatments . . . . . . . . . 840--856
            Eric Hillebrand and   
Jakob Guldbæk Mikkelsen and   
                Lars Spreng and   
                  Giovanni Urga   Exchange rates and macroeconomic
                                  fundamentals: Evidence of instabilities
                                  from time-varying factor loadings  . . . 857--877
               Haicheng Shu and   
                  Peter Spencer   Oil prices in the real economy . . . . . 878--897
                Jack Fosten and   
                   Shaoni Nandi   Nowcasting from cross-sectionally
                                  dependent panels . . . . . . . . . . . . 898--919
               John A. List and   
            Azeem M. Shaikh and   
                Atom Vayalinkal   Multiple testing with covariate
                                  adjustment in experimental economics . . 920--939
          Kazuhiko Hayakawa and   
          M. Hashem Pesaran and   
               L. Vanessa Smith   Short $T$ dynamic panel data models with
                                  individual, time and interactive effects 940--967
           Tsutomu Watanabe and   
                 Tomoyoshi Yabu   The demand for money at the zero
                                  interest rate bound  . . . . . . . . . . 968--976
     Philipp Wegmüller and   
              Christian Glocker   US weekly economic index: Replication
                                  and extension  . . . . . . . . . . . . . 977--985