Journal of Applied Econometrics

Article	Citations
Exploiting News Analytics for Volatility Forecasting	152
Issue Information	104
Tracking Economic Activity With Alternative High‐Frequency Data	85
The bilateral trade effects of announcement shocks: Brexit as a natural field experiment	64
Identifying the effects of sanctions on the Iranian economy using newspaper coverage	57
A maximum likelihood bunching estimator of the elasticity of taxable income	46
Information gains from using short‐dated options for measuring and forecasting volatility	40
Short T dynamic panel data models with individual, time and interactive effects	38
Regression with an imputed dependent variable	37
Penalized sieve estimation of zero‐inefficiency stochastic frontiers	37
A Random Forest–Based Panel Data Approach for Program Evaluation	37
US Monetary Policy and Indeterminacy	31
Does model complexity add value to asset allocation? Evidence from machine learning forecasting models	31
The US structural transformation and regional convergence: Racial heterogeneity	28
Part‐time subsidies and maternal reemployment: Evidence from a difference‐in‐differences analysis	25
Addressing sample selection bias for machine learning methods	24
Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies	19
Inferring financial bubbles from option data	19
Common factors of commodity prices	17
Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions	16
Nowcasting tail risk to economic activity at a weekly frequency	16
Empirical evidence on the Euler equation for investment in the US	16
Identification and forecasting of bull and bear markets using multivariate returns	15
Declining discount rates in Singapore's market for privately developed apartments	15
Identifying the Sources of the Slowdown in Growth: Demand Versus Supply	14

Issue Information	14
Estimating the price elasticity of gasoline demand in correlated random coefficient models with endogeneity	14
Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture	14
Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens	13
New evidence on the importance of instruction time for student achievement on international assessments	13
Oil prices, gasoline prices, and inflation expectations	12
Revisiting the effects of conventional and unconventional monetary policies	12
Measurement of factor strength: Theory and practice	12
Correction	11
Issue Information	11
Estimating separable matching models	10
Issue Information	10
Macroeconomic forecasting in a multi‐country context	9
	9
Testing random assignment to peer groups	8
Robust forecast superiority testing with an application to assessing pools of expert forecasters	8
	8
Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018)	8
Issue Information	8
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors	8
On the real‐time predictive content of financial condition indices for growth	8
Issue Information	8
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance	7
Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador	7
Inattention and the impact of monetary policy	7
Identifying factor‐augmented vector autoregression models via changes in shock variances	7
Dependence‐robust inference using resampled statistics	7
Terrorism and education: Evidence from instrumental variables estimators	7
Partial identification and inference for conditional distributions of treatment effects	7
Heterogeneous autoregressions in short T panel data models	7
Large devaluations and inflation inequality: Replicating Cravino and Levchenko (2017) with evidence from Brazil	7
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors	6
Tests for equal forecast accuracy under heteroskedasticity	6
Hours worked and the US distribution of real annual earnings 1976–2019	6
Should we trust cross‐sectional multiplier estimates?	6
Dynamic Mixture Vector Autoregressions With Score‐Driven Weights	6
	6
Issue Information	5
	5
Oil prices uncertainty, endogenous regime switching, and inflation anchoring	5
Identifying program benefits when participation is misreported	5
Sensitivity of Policy‐Relevant Treatment Parameters to Violations of Monotonicity	5
Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations	5
Featured Cover	5
Did Protestantism promote prosperity via higher human capital? Replicating the Becker–Woessmann (2009) results	5
Matching theory and evidence on Covid‐19 using a stochastic network SIR model	5
Expanding health insurance for the elderly of the Philippines	5
Deep distributional time series models and the probabilistic forecasting of intraday electricity prices	5
Disease and development—The predicted mortality instrument revisited	5
Macroeconomic forecasting in times of crises	5

Panel data nowcasting: The case of price–earnings ratios	5
Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics	4
Inference in difference‐in‐differences: How much should we trust in independent clusters?	4
	4
Measuring real activity using a weekly economic index	4
A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models	4
Labour supply, service intensity, and contracts: Theory and evidence on physicians	4
	4
A Reassessment of Likelihood Approximation by Integration on Sparse Grids	4
Permutation tests for equality of distributions of functional data	4
Agglomerative hierarchical clustering for selecting valid instrumental variables	4
Inflation expectations and nonlinearities in the Phillips curve	4
How does the dramatic rise of nonresponse in the Current Population Survey impact labor market indicators?	4
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference	4
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters	4
Oil prices in the real economy	4
Interacting Treatments With Endogenous Takeup	4
The Federal Reserve's output gap: The unreliability of real‐time reliability tests	4
Medical marijuana legalization and parenting behaviors: An analysis of the time use of parents	4
(Un)expected monetary policy shocks and term premia	3
The dynamic interdependence in the demand of primary and emergency secondary care: A hidden Markov approach	3
The shale oil boom and the US economy: Spillovers and time‐varying effects	3
Quantile‐Based Test for Heterogeneous Treatment Effects	3
The efficacy of ability proxies for estimating the returns to schooling: A factor model‐based evaluation	3
	3
Real estate agents' influence on housing search	3
Forecasting low‐frequency macroeconomic events with high‐frequency data	3
Nowcasting Euro area GDP with news sentiment: A tale of two crises	3
Semiparametric estimation and variable selection for single‐index copula models	3
Small world: Narrow, wide, and long replication of Goyal, van der Leij and Moraga‐Gonzélez (JPE 2006) and a comparison of EconLit and Scopus	3
Issue Information	3
Exploring skill distribution tails through stochastic dominance	3
	3
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction	3
Making text count: Economic forecasting using newspaper text	3
Issue Information	3
The multifaceted impact of US trade policy on financial markets	2
Ranking intersecting distribution functions	2
The Peer Effect on Future Wages in the Workplace	2
Fiscal targets. A guide to forecasters?	2
Revisiting the effect of growing up in a recession on attitudes towards redistribution	2
Real‐time macroeconomic projection using narrative central bank communication	2
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)	2
Testing for multiple level shifts with an integrated or stationary noise component	2
Revisiting gender identity and relative income within households: A cautionary tale on the potential pitfalls of density estimators	2
Issue Information	2
The heterogeneous role of party affiliation in the runner‐up effect	2
Approximating grouped fixed effects estimation via fuzzy clustering regression	2
Encompassing measures of international consumption risk sharing and their link with trade and financial globalization	2
A high‐dimensional multinomial logit model	2
Correction to “Heterogeneity and Dynamics in Network Models”	2
Did earnings mobility change after minimum wage introduction? Evidence from parametric and semi‐nonparametric methods in Germany	2
	2
International spillovers of forward guidance shocks	2
	2
Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors	2
The employment effects of the minimum wage: A selection ratio approach to measuring treatment effects	2
Mandatory seatbelt laws and traffic fatalities: A reassessment	2
Regression discontinuity design with multivalued treatments	2
Dynamic evaluation of job search assistance	2
Correction	2
Narrow and wide replication of Chalfin and McCrary (REStat, 2018)	2
Issue Information	2
	2
Identifying factors via automatic debiased machine learning	2
US fiscal policy shocks: Proxy‐SVAR overidentification via GMM	2
Employment reconciliation and nowcasting	2
Minimum Wages and Teenage Childbearing in the United States	2
Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach	2
Dynamic Effects of Persistent Shocks	2
	1
The impact of product and labour market reform on growth: Evidence for OECD countries based on local projections	1
Nonparametric tests of tail behavior in stochastic frontier models	1
Recent changes in the nature of the distribution dynamics of the US county incomes	1
A Partial Identification Approach to Identifying the Determinants of Human Capital Accumulation: An Application to Teachers	1
The propagation of business expectations within the European Union	1
Equity‐premium prediction: Attention is all you need	1
Issue Information	1
Hierarchical random‐effects model for the insurance pricing of vehicles belonging to a fleet	1
Aggregate consumption and wealth in the long run: The impact of financial liberalization	1

Reassessing the Predictive Power of the Yield Spread for Recessions in the United States	1
Monetary policy and exchange rate anomalies in set‐identified SVARs: Revisited	1
	1
How does the financial market update beliefs about the real economy? Evidence from the oil market	1
Belief Shocks and Implications of Expectations About Growth‐at‐Risk	1
	1
Peer Effects in Binary Outcomes: Strategic Complementarity and Taste for Conformity With Endogenous Networks	1
Noisy monetary policy announcements	1
Peer desirability and academic achievement	1
Manipulation Test for Multidimensional RDD	1
Issue Information	1
Tracking and specialization of high schools: Heterogeneous effects of school choice	1
Cost Pass‐Through in Commodity Markets With Capacity Constraints and International Linkages	1
Informing DSGE Models Through Dynamic Factor Models	1
Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings	1
News or animal spirits? Consumer confidence and economic activity: Redux	1
Optimal forecast under structural breaks	1
Long‐run predictability tests are even worse than you thought	1
The deposits channel revisited	1
Advance layoff notices and aggregate job loss	1
Nowcasting from cross‐sectionally dependent panels	1
Censored density forecasts: Production and evaluation	1
Global financial uncertainty	1
Approximating Fixed‐Horizon Forecasts Using Fixed‐Event Forecasts	1
What time use surveys can (and cannot) tell us about labor supply	1
Consumer inflation expectations, income changes and economic downturns	1