Journal of Applied Econometrics

Papers
(The median citation count of Journal of Applied Econometrics is 1. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-04-01 to 2024-04-01.)
ArticleCitations
How to estimate a vector autoregression after March 202069
Negative interest rate policy and the yield curve48
How is machine learning useful for macroeconomic forecasting?39
Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices38
Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China33
Oil prices, gasoline prices, and inflation expectations27
Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics25
On event studies and distributed‐lags in two‐way fixed effects models: Identification, equivalence, and generalization23
Measuring real activity using a weekly economic index22
News media versus FRED‐MD for macroeconomic forecasting22
Exchange rate predictability and dynamic Bayesian learning21
Estimation of firm‐level productivity in the presence of exports: Evidence from China's manufacturing20
The global component of inflation volatility19
Supply flexibility in the shale patch: Evidence from North Dakota19
Common factors of commodity prices18
Does drawing down the US Strategic Petroleum Reserve help stabilize oil prices?17
Measurement of factor strength: Theory and practice17
Nowcasting tail risk to economic activity at a weekly frequency16
Making text count: Economic forecasting using newspaper text16
The informativeness of estimation moments16
Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone15
Fueling conflict? (De)escalation and bilateral aid14
A regularization approach to common correlated effects estimation14
The role of precautionary and speculative demand in the global market for crude oil13
Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data13
How far can we forecast? Statistical tests of the predictive content13
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)13
Focused Bayesian prediction12
Are there no wage returns to compulsory schooling in Germany? A reassessment11
The double‐edged sword of global integration: Robustness, fragility, and contagion in the international firm network10
The bilateral trade effects of announcement shocks: Brexit as a natural field experiment10
Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere10
Identifying the effects of sanctions on the Iranian economy using newspaper coverage10
Direct and indirect effects of continuous treatments based on generalized propensity score weighting9
On the real‐time predictive content of financial condition indices for growth8
Change point estimation in panel data with time‐varying individual effects8
If not now, when? The timing of childbirth and labor market outcomes8
Endogeneity and non‐response bias in treatment evaluation – nonparametric identification of causal effects by instruments8
Replicating the Levitt and Porter estimates of drunk driving8
Measuring the slowly evolving trend in US inflation with professional forecasts8
Inferring financial bubbles from option data8
The impact of product and labour market reform on growth: Evidence for OECD countries based on local projections7
Global financial uncertainty7
The government spending multiplier at the zero lower bound: International evidence from historical data7
Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions7
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference7
Robust political economy correlates of major product and labor market reforms in advanced economies: Evidence from BAMLE for logit models6
Commodity prices and inflation risk6
Inflation expectations and nonlinearities in the Phillips curve6
Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models6
A distributional synthetic control method for policy evaluation6
Composite likelihood methods for large Bayesian VARs with stochastic volatility6
Family planning in a life‐cycle model with income risk6
ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R5
The deposits channel revisited5
Does model complexity add value to asset allocation? Evidence from machine learning forecasting models5
Combining shrinkage and sparsity in conjugate vector autoregressive models5
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models5
Real‐time detection of regimes of predictability in the US equity premium5
Cointegration and control: Assessing the impact of events using time series data5
The evolution of the US family income–schooling relationship and educational selectivity5
Individual consumption in collective households: Identification using repeated observations with an application to PROGRESA5
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations5
Declining discount rates in Singapore's market for privately developed apartments4
Complementary Bayesian method of moments strategies4
The price of forced attendance4
Consumer inflation expectations, income changes and economic downturns4
Who benefits from privileged peers? Evidence from siblings in schools4
Social interactions and social preferences in social networks4
Understanding women's wage growth using indirect inference with importance sampling4
Recurrent conditional heteroskedasticity4
General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields4
Tracking and specialization of high schools: Heterogeneous effects of school choice4
Comparing econometric methods to empirically evaluate activation programs for job seekers4
Inference in difference‐in‐differences: How much should we trust in independent clusters?4
Early child development and parents' labor supply4
Forecast uncertainty, disagreement, and the linear pool4
Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations4
Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data4
Measurement error in earnings data: Replication of Meijer, Rohwedder, and Wansbeek's mixture model approach to combining survey and register data4
Nonparametric tests of tail behavior in stochastic frontier models3
Identification of dynamic latent factor models of skill formation with translog production3
Forecasting low‐frequency macroeconomic events with high‐frequency data3
Covariate distribution balance via propensity scores3
Migration in China: To work or to wed?3
Estimating household consumption insurance3
Expanding health insurance for the elderly of the Philippines3
Do words hurt more than actions? The impact of trade tensions on financial markets3
Perceived and actual option values of college enrollment3
Testing random assignment to peer groups3
Multiple testing with covariate adjustment in experimental economics3
New evidence on the importance of instruction time for student achievement on international assessments3
Regression with an imputed dependent variable3
Information gains from using short‐dated options for measuring and forecasting volatility3
Ranking intersecting distribution functions3
Interpretation of point forecasts with unknown directive3
Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001)3
Endogenous health groups and heterogeneous dynamics of the elderly3
Multidimensional skills and the returns to schooling: Evidence from an interactive fixed‐effects approach and a linked survey‐administrative data set3
Macroeconomic forecasting in a multi‐country context3
Permutation tests for equality of distributions of functional data3
Short T dynamic panel data models with individual, time and interactive effects3
The economics of state fragmentation: Assessing the economic impact of secession3
Individual forecaster perceptions of the persistence of shocks to GDP3
Equity‐premium prediction: Attention is all you need3
Revisiting gender identity and relative income within households: A cautionary tale on the potential pitfalls of density estimators3
Identifying and interpreting the factors in factor models via sparsity: Different approaches2
Trade openness and growth: A network‐based approach2
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence2
Sparse change‐point VAR models2
When are instruments generated from geographic characteristics in bilateral relationships invalid?2
Dynamic evaluation of job search assistance2
The role of startups for local labor markets2
Matching theory and evidence on Covid‐19 using a stochastic network SIR model2
Differencing versus nondifferencing in factor‐based forecasting2
Dependence‐robust inference using resampled statistics2
Inattention and the impact of monetary policy2
Small world: Narrow, wide, and long replication of Goyal, van der Leij and Moraga‐Gonzélez (JPE 2006) and a comparison of EconLit and Scopus2
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction2
Productivity effects of internationalisation through the domestic supply chain2
Dynamic treatment effects of job training2
Testing monotonicity of conditional treatment effects under regression discontinuity designs2
International spillovers of forward guidance shocks2
Normal but skewed?2
Large devaluations and inflation inequality: Replicating Cravino and Levchenko (2017) with evidence from Brazil2
The role of observed and unobserved heterogeneity in the duration of unemployment2
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors2
Is deflation costly after all? The perils of erroneous historical classifications2
Early‐life famine exposure, hunger recall, and later‐life health2
Bayesian estimation of the exact affine Stone index demand system: Replicating the Lewbel and Pendakur (2009) results2
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models2
Revisiting the effect of growing up in a recession on attitudes towards redistribution2
Deep distributional time series models and the probabilistic forecasting of intraday electricity prices2
Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018)1
Optimal forecast under structural breaks1
Contagious switching1
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters1
Cyclical labour income risk in Great Britain1
Nowcasting from cross‐sectionally dependent panels1
Forward guidance and expectation formation: A narrative approach1
Oil prices uncertainty, endogenous regime switching, and inflation anchoring1
A one covariate at a time, multiple testing approach to variable selection in high‐dimensional linear regression models: A replication in a narrow sense1
1
Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models1
Do rural banks matter that much? Burgess and Pande (2005) reconsidered1
The shale oil revolution and the global oil supply curve1
Labour supply, service intensity, and contracts: Theory and evidence on physicians1
Bayesian estimation of multivariate panel probits with higher‐order network interdependence and an application to firms' global market participation in Guangdong1
An automated prior robustness analysis in Bayesian model comparison1
Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings1
Heavy tailed but not Zipf: Firm and establishment size in the United States1
A Bayesian approach to account for misclassification in prevalence and trend estimation1
(Un)expected monetary policy shocks and term premia1
Efficient minimum distance estimation of Pareto exponent from top income shares1
When can we ignore measurement error in the running variable?1
Revisiting Sweden's comprehensive school reform: Effects on education and earnings1
Forecasting and stress testing with quantile vector autoregression1
Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty1
A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models1
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve1
Understanding trend inflation through the lens of the goods and services sectors1
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance1
Subspace shrinkage in conjugate Bayesian vector autoregressions1
Identifying factor‐augmented vector autoregression models via changes in shock variances1
1
US weekly economic index: Replication and extension1
Regression discontinuity design with multivalued treatments1
Transitory and permanent shocks in the global market for crude oil1
Real estate agents' influence on housing search1
Testing for overconfidence statistically: A moment inequality approach1
Hierarchical random‐effects model for the insurance pricing of vehicles belonging to a fleet1
Did Protestantism promote prosperity via higher human capital? Replicating the Becker–Woessmann (2009) results1
Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies1
No‐arbitrage priors, drifting volatilities, and the term structure of interest rates1
Bayesian optimization of hyperparameters from noisy marginal likelihood estimates1
Hours worked and the US distribution of real annual earnings 1976–20191
The multifaceted impact of US trade policy on financial markets1
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors1
Extremal connectedness of hedge funds1
0.02318286895752