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Issue 27 Spring/Summer 2020
From the Editor
I hope this newsletter finds you all well during these difficult times.
This year the JAE editorial meeting took place virtually on June 30, 2020. Unfortunately, due to the
COVID-19 pandemic, the annual IAAE conference, sponsored by the Journal of Applied
Econometrics/Wiley, could not take place as planned. However, we plan to resume the conference
series next year: the IAAE conference is schedule to take place next year on June 22-25, 2021 in
Rotterdam and, while we missed King’s College London this year, we plan to be back there in June
21-24, 2022. For more information, see https://appliedeconometrics.org/.
Furthermore, although we were not able to meet in person at the conference this year, we very
much hope to meet many of you virtually during this coming academic year. In fact, joint with the
International Association of Applied Econometrics (IAAE), we are organizing a series of exciting
events. The IAAE will be shortly starting a Webinar series, to be held every other Wednesday via
Zoom (the first one will be on July 15th). The schedule is provided below and it is also available at:
https://appliedeconometrics.org/. We are planning to have some online happy hour meetings via
Zoom for members to get together and catch up with the later discussions, in the safety of your own
house, as well as mentoring workshops for young economists. IAAE is also going to elect new Fellows
soon, and we will be receiving nominations from IAAE members. We are also receiving applications
from IAAE members for organization of seminars or workshops using IAAE Webinar platform. If you
would like to put together workshops or seminars around a topic or field, please send an email to
It is a real pleasure for me to announce two Stone Prize winners this year and I would like to
congratulate the authors for these excellent contributions to the Journal of Applied Econometrics:
“Estimating global bank network connectedness”, by Mert Demirer, Francis X. Diebold, Laura Liu, and
Kamil Yilmaz; and
“Actual and counterfactual growth incidence and delta Lorenz curves: Estimation and inference”, by
Francisco H. G. Ferreira, Sergio Firpo and Antonio F. Galvao.
NEWSLETTER
I am also delighted to welcome two new Distinguished Authors this year: Luca Fanelli (University of
Bologna) and John MacRae Maheu (DeGroote School of Business, McMaster University). They join a
long list of highly accomplished researchers (available on the JAE website) and I would like to
congratulate them on this achievement!
Finally, again this year the IAAE will sponsor not one but two annual sessions at the 2021 ASSA
Meetings in Chicago! The IAAE-invited ASSA sessions are: “Theory and Practice of Big Data Analysis in
Econometrics” and “COVID-19 and its Economic Implications”. Watch out for the next JAE Newsletter
for more information on the forthcoming ASSA sessions.
Stay safe and take care,
Barbara Rossi, Editor
P.S. As always, keep in mind that the IAAE welcomes applications for funding conferences and
workshops in econometrics (consult the terms and conditions of the IAAE Conference Sponsorship
Grant). Applications should be submitted at least six months before the conference takes place to
[email protected]. Those interested in hosting the IAAE conference in the future are
welcome to apply by sending a formal application to [email protected].
Journal of Applied Econometrics Editorial Board
Barbara Rossi (editor)
Marco Del Negro (co-editor)
Eric Ghysels (co-editor)
Thierry Magnac (co-editor)
Michael McCracken (co-editor)
Herman van Dijk (co-editor)
Ed Vytlacil (co-editor)
Marcelle Chauvet (assistant
editor)
Heather Anderson (co-editor in
charge of the replication section)
James MacKinnon (coordinator of the data archive)
Gergely Ganics (assistant newsletter editor)
July 15, Wed
Lutz Kilian
Federal Reserve Bank of Dallas
"Joint Bayesian Inference about Impulse
Responses in VAR Models"
July 29, Wed
Hashem Pesaran
University of Southern California
“Voluntary and Mandatory Social Distancing:
Evidence on COVID-19 Exposure Rates from
Chinese Provinces and Selected Countries” August 12, Wed Oliver Linton
Cambridge University
TBA
August 26, Wed Todd Clark, Federal Reserve Bank of
Cleveland
“Capturing Macroeconomic Tail Risks with
Bayesian Vector Autoregressions"
September 9, Wed Ed Vytlacil
Yale University
“Using Elicited Willingness-to-Pay to Analyze
Self-Selection into Compensation Scheme”
September 23, Wed Heather Anderson
Monash University
TBA
October 7, Wed Barbara Rossi
CREI, Univ. Pompeu Fabra (UPF)
TBA
October 21, Wed
Allan Timmermann
University of California San Diego
TBA
November 4, Wed
Eric Ghysels
University of North Carolina Chapel
Hill
TBA
November 18, Wed Victor Chernozhukov
Massachusetts Institute of Technology
TBA
December 2, Wed Francesca Molinari
Cornell University
TBA
December 16, Wed
Francis Diebold
University of Pennsylvania
TBA
Revised July 7, 2020
Revised July 7, 2020
IAAE - INTERNATIONAL ASSOCIATION FOR APPLIED ECONOMETRICS
WEBINAR 2020
IAAE Webinars are held via Zoom on Wednesdays from 9am to 10am PT
In this issue:
Stone Prize Award
Abstracts of Forthcoming Articles
Most Downloaded in 2020 - Published Articles
Most Cited Papers in the Last Three Years
Most Downloaded Papers of All Times
Overview of the IAAE Annual Conferences
Conferences Sponsored by IAAE
Distinguished Authors
Journal of Applied Econometrics Data Archive
How to Publish in JAE
Aims and Scope of JAE
Free Content Alerting!
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The Richard Stone Prize in Applied Econometrics
It is my pleasure to announce the winner of the fifteenth Richard Stone Prize in Applied
Econometrics, selected by the Editorial Board of the Journal of Applied Econometrics from the papers
published in 2018 and 2019 (Volumes 33 and 34).
The Prize was established in December 1991 and is awarded biennially for the best paper with
substantive econometric application that has been published in the preceding two volumes of
the JAE. Survey papers, special lectures, and papers published by co-editors (jointly or singly) are
excluded from consideration. The value of the Prize is $2,000.
The Prize in 2020 has been awarded jointly to two papers:
Mert Demirer (MIT), Francis X. Diebold (University of Pennsylvania), Laura Liu (University of
Pennsylvania), and Kamil Yilmaz (Koç University)
for their paper
Estimating global bank network connectedness
which was published in 2018 (Volume 33, Issue 1)
AND
Francisco H.G. Ferreira (World Bank), Sergio Firpo (Insper), and Antonio F. Galvao (University of
Arizona)
for their paper
Actual and counterfactual growth incidence and delta Lorenz curves: Estimation and inference
which was published in 2019 (Volume 34, Issue 3)
Previous winners of the Richard Stone Prize in Applied Econometrics are:
Professor Geert Ridder, for his paper "An Event History Approach to the Evaluation of Training,
Recruitment and Employment Programmes", published in 1986 (Volume 1, Number 2)
Professor Joel Horowitz, for his paper "The Role of the List Price in Housing Markets: Theory and an
Econometric Model", published in 1992 (Volume 7, Number 2)
Professors Marco Bonomo and Rene Garcia, for their paper "Can a Well-fitted Equilibrium Asset-Pricing
Model Produce Mean Reversion?", published in 1994 (Volume 9, Number 1)
Professors Leslie E. Papke and Jeffrey M. Wooldridge, for their paper "Econometric Methods for
Fractional Response Variables with an Application to 401(K) Plan Participation Rates", published in 1996
(Volume 11, Number 6)
Professor Moshe Buchinsky, for his paper "The Dynamics of Changes in the Female Wage Distribution in
the USA: A Quantile Regression Approach", published in 1998 (Volume 13, Number 1)
Professors Daniel McFadden and Kenneth Train, for their paper "Mixed MNL Models for Discrete
Response", published in 2000 (Volume 15, Number 5)
Professors Guy Laroque and Bernard Salanié, for their paper "Labour Market Institutions and
Employment in France", published in 2002 (Volume 17, Number 1)
Professors Jesús Fernández-Villaverd and Juan F. Rubio-Ramírez, for their paper "Estimating Dynamic
Equilibrium Economies: Linear versus Nonlinear Likelihood", published in 2005 (Volume 20, Number 7)
Dr Katherine Ho, for her paper "The Welfare Effects of Restricted Hospital Choice in the US Medical Care
Market", published in 2006 (Volume 21, Number 7)
Professor Xiaohong Chen and Professor Sydney C. Ludvigson, for their paper "Land of Addicts? An
Empirical Investigation of Habit-Based Asset Pricing Models", published in 2009 (Volume 24, Number 7)
Jointly to Professors Neil Shephard and Kevin Sheppard for their paper "Realising the Future: Forecasting
with High-Frequency-Based Volatility (HEAVY) Models", published in 2010 (Volume 25, Number
2); AND to Professor Julien Prat for his paper "The Rate of Learning-by-Doing: Estimates from a
Search-Matching Model", published in 2010 (Volume 25, Number 6)
Professors Peter Reinhard Hansen, Zhuo Huang, and Howard Howan Shek, for their paper "Realized
GARCH: A Joint Model for Returns and Realized Measures of Volatility", published in 2012 (Volume 27,
Number 6)
Vasco Cúrdia, Marco Del Negro and Dr. Daniel L. Greenwald, for their paper "Rare Shocks, Great
Recessions", published in 2014 (Volume 29, Issue 7)
Mariano Kulish and Adrian Pagan for their paper "Estimation and Solution of Models with Expectations
and Structural Changes" published in 2017 (Volume 32, Issue 2)
Barbara Rossi, Editor
Top↑
Abstracts of Forthcoming Articles
Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility by Joshua C.C.
Chan, Eric Eisenstat, Chenghan Hou and Gary Koop
Adding multivariate stochastic volatility of a flexible form to large Vector Autoregressions (VARs)
involving over a hundred variables has proved challenging due to computational considerations and
over‐parameterization concerns. The existing literature either works with homoskedastic models or
smaller models with restrictive forms for the stochastic volatility. In this paper, we develop
composite likelihood methods for large VARs with multivariate stochastic volatility. These involve
estimating large numbers of parsimonious models and then taking a weighted average across these
models. We discuss various schemes for choosing the weights. In our empirical work involving VARs
of up to 196 variables, we show that composite likelihood methods forecast much better than the
most popular large VAR approach which is computationally practical in very high dimensions: the
homoskedastic VAR with Minnesota prior. We also compare our methods to various popular
approaches which allow for stochastic volatility using medium and small VARs involving up to 20
variables. We find our methods to forecast appreciably better than these as well.
Negative interest rate policy and the yield curve by Jing Cynthia Wu and Fan Dora Xia
We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To
capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two
policy indicators, which summarize the immediate and longer horizon future monetary policy
stances. We find that the four NIRP events lowered the short‐term interest rate by the same
amount. The impact is dampened at longer maturities for the first two event dates, due to lack of
forward guidance. By contrast, for the last two dates, forward guidance drives the largest effects in
two years.
Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to
U.S. House Prices by Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
This paper considers the estimation and inference of spatial panel data models with heterogeneous
spatial lag coefficients, with and without weakly exogenous regressors, and subject to
heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and
the conditions for identification of the spatial coefficients are derived. The QML estimators of
individual spatial coefficients, as well as their mean group estimators, are shown to be consistent
and asymptotically normal. Small sample properties of the proposed estimators are investigated by
Monte Carlo simulations and results are in line with the paper's key theoretical findings even for
panels with moderate time dimensions and irrespective of the number of cross section units. A
detailed empirical application to U.S. house price changes during the 1975‐2014 period shows a
significant degree of heterogeneity in spatio‐temporal dynamics over the 338 Metropolitan
Statistical Areas considered.
The Informativeness of Estimation Moments by Bo E. Honoré, Thomas H. Jørgensen and Áureo de
Paula
This paper introduces measures for how each moment contributes to the precision of parameter
estimates in GMM settings. For example, one of the measures asks what would happen to the
variance of the parameter estimates if a particular moment was dropped from the estimation. The
measures are all easy to compute. We illustrate the usefulness of the measures through two simple
examples as well as an application to a model of joint retirement planning of couples. We estimate
the model using the UK‐BHPS, and we find evidence of complementarities in leisure. Our sensitivity
measures illustrate that the estimate of the complementarity is primarily informed by the
distribution of differences in planned retirement dates. The estimated econometric model can be
interpreted as a bivariate ordered choice model that allows for simultaneity. This makes the model
potentially useful in other applications.
The Role of Startups for Local Labor Markets by Gerald Carlino and Thorsten Drautzburg
There are substantial differences in startup activity across U.S. local labor markets. We study the
causes and consequences of these differences. Startup productivity shocks are found to drive much
of these cross‐city differences in startup activity. Examples of such shocks include breakthroughs in
biotech that spurred startup formation in San Diego and Philadelphia. Overall, these shocks explain
half of the forecast error variance of startup job creation, accounting for 40% of population growth
and long‐run changes in employment. Shocks to barriers to firm entry have economy‐wide effects
similar to those of startup productivity shocks but operate largely through the number of startups,
rather than their size. We use a novel spatial panel VAR, identifying shocks using shift‐share external
instruments.
Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts by James M.
Nason and Gregor W. Smith
Much research studies US inflation history with a trend‐cycle model with unobserved components,
where the trend may be viewed as the Fed's evolving inflation target or long‐horizon expected
inflation. We provide a novel way to measure the slowly evolving trend and the cycle (or inflation
gap), by combining inflation predictions from the Survey of Professional Forecasters (SPF) with
realized inflation. The SPF forecasts may be treated either as rational expectations (RE) or updating
according to a sticky information (SI) law of motion. We estimate RE and SI state space models with
stochastic volatility on samples of CPI and GNP/GDP deflator inflation and the associated SPF
inflation predictions using a particle Metropolis‐Markov chain Monte Carlo sampler. The trend
converges to 2% and its volatility declines over time, two tendencies largely complete by the late
1990s.
The Evolution of the US Family Income-Schooling Relationship and Educational Selectivity by
Christian Belzil and Jörgen Hansen
We estimate a dynamic model of schooling on two cohorts of the NLSY and find that, contrary to
conventional wisdom, the effects of real (as opposed to relative) family income on education have
practically vanished between the early 1980's and the early 2000's. After conditioning on a cognitive
ability measure (AFQT), family background variables and unobserved heterogeneity (allowed to be
correlated with observed characteristics), income effects vary substantially with age and have lost
between 30% and 80% of their importance on age‐specific grade progression probabilities. After
conditioning on observed and unobserved characteristics, a $300,000 differential in family income
generated more than 2 years of education in the early 1980's, but only one year in the early 2000's.
Put differently, a $70,000 differential raised college participation by 10 percentage points in the
early 1980's. In the early 2000's, a $330,000 income differential had the same impact. The effects of
AFQT scores have lost about 50% of their magnitude but did not vanish. Over the same period, the
relative importance of unobserved heterogeneity has expanded significantly, thereby pointing
toward the emergence of a new form of educational selectivity reserving an increasing role to
non‐cognitive abilities and/or preferences and a lesser role to cognitive ability and family income.
Multidimensional skills and the returns to schooling: Evidence from an interactive fixed-effects
approach and a linked survey-administrative data set by Mohitosh Kejriwal, Xiaoxiao Li and Evan
Totty
This paper presents new evidence on returns to schooling based on an interactive fixed‐effects
framework that allows for multiple unobserved skills with potentially time‐varying prices as well as
individual‐level heterogeneity in returns. This constitutes a substantive generalization of most
existing approaches. Our empirical analysis employs a unique linked survey‐administrative panel
data set on education and earnings. We find average marginal returns to schooling of about
2.8–4.4% relative to least squares/instrumental variable estimates between 7.7% and 12.7%.
Omitted ability accounts for a larger fraction of the aggregate least squares bias compared to
heterogeneity. We also find considerable heterogeneity in individual returns.
Top↑
Most Downloaded in 2020 – Published Articles
Title Authors First published
online
Computation and analysis of multiple
structural change models
Jushan Bai, Pierre Perron 8 Oct 2002
Multivariate GARCH models: a survey Luc Bauwens, Sebastien
Laurent, Jeroen V. K.
Rombouts
16 Feb 2006
A simple panel unit root test in the presence
of cross-section dependence
M. Hashem Pesaran 18 Apr 2007
A forecast comparison of volatility models:
Does anything beat a GARCH(1,1)?
Peter R. Hansen, Asger
Lunde
30 Mar 2005
Generalized autoregressive score models
with applications
Drew Creal, Siem Jan
Koopman, André Lucas
20 Jan 2012
Bounds testing approaches to the analysis of
level relationships
M. Hashem Pesaran,
Yongcheol Shin, Richard J.
Smith
22 Jun 2001
Two are better than one: Volatility
forecasting using multiplicative component
GARCH-MIDAS models
Christian Conrad, Onno
Kleen
13 Jan 2020
Econometric methods for fractional
response variables with an application to
401(k) plan participation rates
Leslie E. Papke, Jeffrey M.
Wooldridge
4 Dec 1998
Counterfactual decomposition of changes in
wage distributions using quantile regression
José A. F. Machado, José
Mata
31 Mar 2005
Does peer ability affect student
achievement?
Eric A. Hanushek, John F.
Kain, Jacob M. Markman,
Steven G. Rivkin
30 Sep 2003
Top↑
Top Five Most Cited Papers in the Last 3 Years (CrossRef.)
Title Authors First published
online
Bounds testing approaches to the analysis of
level relationships
M. Hashem Pesaran,
Yongcheol Shin, Richard J.
Smith
Jun 2001
A simple panel unit root test in the presence
of cross-section dependence
M. Hashem Pesaran Apr 2007
Computation and analysis of multiple
structural change models
Jushan Bai, Pierre Perron Oct 2002
Econometric methods for fractional response
variables with an application to 401(k) plan
participation rates
Leslie E. Papke, Jeffrey M.
Wooldridge
Nov 1996
Mixed MNL models for discrete response
Daniel McFadden,
Kenneth Train
Dec 2000
Top↑
Most Downloaded Published Articles of All Time
Title Authors First Published
online
Bounds testing approaches to the analysis
of level relationships
M. Hashem Pesaran,
Yongcheol Shin, Richard J.
Smith
22 Jun 2001
Multivariate GARCH models: a survey Luc Bauwens, Sebastien
Laurent, Jeroen V. K.
Rombouts
16 Feb 2006
Does peer ability affect student
achievement?
Eric A. Hanushek, John F.
Kain, Jacob M. Markman,
Steven G. Rivkin
30 Sep 2003
Computation and analysis of multiple
structural change models
Jushan Bai, Pierre Perron 8 Oct 2002
A forecast comparison of volatility models:
Does anything beat a GARCH(1,1)?
Peter R. Hansen, Asger
Lunde
30 Mar 2005
A simple panel unit root test in the presence
of cross-section dependence
M. Hashem Pesaran 18 Apr 2007
Counterfactual decomposition of changes in
wage distributions using quantile regression
José A. F. Machado, José
Mata
31 Mar 2005
Simple solutions to the initial conditions
problem in dynamic, nonlinear panel data
models with unobserved heterogeneity
Jeffrey M. Wooldridge
3 Feb 2005
Exploring the international linkages of the
euro area: a global VAR analysis
Stephane Dees, Filippo di
Mauro, M. Hashem Pesaran,
L. Vanessa Smith
14 Mar 2007
Generalized autoregressive score models
with applications
Drew Creal, Siem Jan
Koopman, André Lucas
20 Jan 2012
Top↑
Overview of the IAAE Annual Conferences
IAAE Annual Conferences
The main aims of IAAE are to advance the education of the public in the subject of econometrics and its
applications to a variety of fields in economics, in particular, but not exclusively, by advancing and supporting
research in that field, and disseminating the results of such useful research to the public.
The IAAE conferences bring together leading researchers in the field and are a major forum where all aspects
of econometrics (theory and practice) are discussed and debated.
Due to COVID-19, the 2020 IAAE Annual Conference that was going to be held at King’s College London, June
30th to July 3, 2020 was canceled.
The Future IAAE Conferences are:
2021 IAAE Annual Conference
International Association for Applied Econometrics
Erasmus School of Economics, Rotterdam, The Netherlands
June 22-25, 2021
Our Seventh Annual Conference will be locally organized by Erasmus School of Economics, Rotterdam. The
Conference will be held at the De Doelen Convention Center, Rotterdam, The Netherlands, June 22-25, 2021.
The IAAE will be announcing the logistics and submission information soon. More information on the
conferences can be obtained at the IAAE website: http://appliedeconometrics.org/.
2022 IAAE Annual Conference
International Association for Applied Econometrics
King’s College London, London, United Kingdom
June 21-24, 2022
Our Eighth Annual Conference will be locally organized by King’s College London. The Conference will be held
at King’s College London, United Kingdom, June 21-24, 2022.
Top↑
Conferences Sponsored by IAAE: June 2019 – December 2020
More than just an outlet for innovative and quantitative research in the application of econometric techniques to a wide
variety of problems in economic and related fields, the Journal of Applied Econometrics has sponsored innumerous
conferences over the years. The JAE’s Research Fund is now used to sponsor the International Association for Applied
Econometrics (IAAE). IAAE has been using part of this fund to sponsor Conferences, Workshops, and Seminars (see here).
The IAAE offers financial support (up to US $1,500) towards the cost of organizing conferences to promote research in
applied econometrics. Applications must be sent at least six months before the event takes place. For more information
click here.
Conference (website) Venue Dates
25th International Panel Data Conference Vilnius, Lithuania 4-5 July, 2019
4th Conference on Econometric Models of
Climate Change
University of Milan-Bicocca,
Italy
29-30 August, 2019
10th European Seminar on Bayesian
Econometrics(ESOBE)
University of St Andrews
Scotland, United Kingdom
2-3 September, 2019
14th Conference Real-Time Data Analysis,
Methods and Applications
Belgian National Bank
Brussels, Belgium
10-11 October, 2019
36th Canadian Econometrics Study Group
Conference (CESG)
UQAM, Montreal
Canada
18-20 October, 2019
E 29th Annual Meeting of the Midwest
Econometrics Group (MEG) – Mentoring
Workshop for Junior Econometricians
Ohio State University
Columbus, Ohio, United States
U.S.
10-11, October, 2019
O 30th EC2 Conference “Identification in
Macroeconomics”
University of Oxford
United Kingdom
13-14 December, 2019
30th Australia and New Zealand Econometrics
Study Group Meeting (30th ANZESG)
Melbourne University
Australia
13-14 February, 2020
2020 SNDE Society for Nonlinear Dynamics
and Econometrics(*)
University of Zagreb, Zagreb,
Croatia
26-27 March, 2020
International Symposium in Computational
Economics and Finance(*)
University of Lille, Paris
France
2-4 April, 2020
Workshop “Dimensionality Reduction and
Inference for High-Dimensional Time Series”(*)
Maastricht University
The Netherlands
2-3 June, 2020
2020 International Symposium on
Forecasting(*)
Pontifical Catholic University
(PUC), Rio de Janeiro, Brazil
5-8 July, 2020
26th International Panel Data Conference(*) University Residential Centre of
Bertinoro, Italy
24-27 June, 2020
2020 California Econometrics Conference(*) University of California Santa
Barbara, United States
16-17 October, 2020
(*) Note: These conferences/workshops have been postponed.
Top↑
Distinguished Authors
DISTINGUISHED AUTHORS ANNOUNCEMENT
In recognition of the authors who have made significant contributions to this Journal, the Editorial
Committee introduced in 1999 a scheme to honour those authors who have published the equivalent of
three single-author articles by naming them Journal of Applied Econometrics Distinguished Authors.
The list of Distinguished Authors is published regularly in the Journal. Distinguished Authors are able to get a
one-year free subscription to the Journal to mark the award.
The Journal of Applied Econometrics is pleased to welcome the following as Distinguished Authors in 2020:
Professor Luca Fanelli
University of Bologna
1. Bacchiocchi, E., & Fanelli, L. (2005). Testing the purchasing power parity through I(2)
cointegration techniques. Journal of Applied Econometrics, 20, 749–770.
2. Cavaliere, G., Fanelli, L., & Gardini, A. (2008). International dynamic risk sharing. Journal of
Applied Econometrics, 23, 1-16.
3. Fanelli, L., & Palomba, G. (2011). Simulation-based tests of forward-looking models under VAR
learning dynamics. Journal of Applied Econometrics, 26, 762-782.
4. Castelnuovo, E., & Fanelli, L. (2015). Monetary policy indeterminacy and identification failures in
the US: Results from a robust test. Journal of Applied Econometrics, 30, 924-947.
5. Angelini, G., & Fanelli, L. (2019). Exogenous uncertainty and the identification of structural vector
autoregressions with external instruments. Journal of Applied Econometrics, 34, 951-971.
6. Angelini, G., Bacchiocchi, E., Caggiano, G., & Fanelli, L. (2019). Uncertainty across volatility
regimes. Journal of Applied Econometrics, 34, 437-455.
Professor John MacRae Maheu
DeGroote School of Business, McMaster University
1. Gordon, S., & Maheu, J. M. (2008). Learning, forecasting and structural breaks. Journal of Applied
Econometrics, 23, 553-583.
2. Liu, C., & Maheu, J. M. (2009). Forecasting realized volatility: a Bayesian model-averaging
approach. Journal of Applied Econometrics, 24, 709-733.
3. Maheu, J. M., & Song, Y. (2018). An Efficient Bayesian approach to multiple structural change in
multivariate time series. Journal of Applied Econometrics, 33, 251-270.
4. Liu, J., & Maheu, J. M. (2018). Improving Markov switching models using realized
variance. Journal of Applied Econometrics, 33, 297-318.
5. Jin, X., Maheu, J. M., & Yang, Q. (2019). Bayesian parametric and semiparametric factor models
for large realized covariance matrices. Journal of Applied Econometrics, 34, 641-660.
Past Distinguished Authors are:
2019: Professor Jeffrey M. Wooldridge (Michigan State University)
2018: Professor André Lucas (VU University Amsterdam), Professor Daniel L. Millimet (Southern Methodist University),
and Professor Joakim Westerlund (Lund University)
2017: Professor Subal C. Kumbhakar (SUNY Binghamton), Professor Kajal Lahiri (University of Albany), Professor Markku
Lanne (University of Helsinki), and Professor Herman K. van Dijk (Erasmus University Rotterdam)
2016: Dr Todd E. Clark (Federal Reserve Bank of Cleveland)
2015: Professor Andrew Jones (University of York), Professor James G. MacKinnon (Queen’s University), Professor M.
Hashem Peseran (University of Southern California), Professor Bernard Salanié (Columbia University), Professor
Efthymios (Mike) G. Tsionas (Lancaster University), Professor Arthur H. O. van Soest (Tilburg University), and
Professor Jonathan H. Wright (Johns Hopkins University)
2014: Professor George Kapetanios (Queen Mary, University of London), Professor Siem Jan Koopman (VU University
Amsterdam and CREATES, Amsterdam), Professor Massimiliano Marcellino (Bocconi University, Milan), and
Professor Yiu-Kuen Tse (Singapore Management University, Singapore)
2013: Professor Denise Osborn (University of Manchester), and Professor Richard Paap (Erasmus University, Rotterdam)
2010: Professor Fabio Canova (Pompeu Fabra University, Barcelona), and Professor Lutz Kilian, (University of Michigan)
and Professor Myoung-Jae Lee (Korea University)
2009: Professor Francis Vella (Georgetown University)
2008: Professor Philippe J. Deschamps (Fribourg University)
2007: Professor Badi Baltagi (Syracuse University), Professor Michael P. Clements (University of Warwick), Professor
Peter Kooreman (Tilburg University) and Professor Justin Tobias (Purdue University)
2006: Professor Pravin Trivedi (Indiana University)
2005: Professor Gary Koop (University of Strathclyde), and Professor Zacharias Psaradakis and Professor Martin Sola
(both of Birkbeck College, University of London)
2004: Professor Gordon Anderson (University of Toronto) and Professor Stephen Pudney (University of Essex)
2003: Professor Adrian R. Pagan (Australian National University)
2002: Professor Philip Hans Franses (Erasmus University) and Professor Clive W.J. Granger (University of California at San
Diego)
2001: Professor Peter Phillips (Yale University) and Professor Geert Ridder (University of Southern California)
2000: Professor Timo Teräsvirta (Stockholm School of Economics)
1999: Professor Stephen Hall (Imperial College London)
Read a selection of articles by all the Distinguished Authors here.
Distinguished Author points are awarded as follows:
1 author: 12 points
2 authors: 8 points
3 authors: 6 points
4+ authors: 4 points
36 points are required to become a Journal of Applied Econometrics Distinguished Author.
Barbara Rossi, Editor
Top↑
Aims and Scope of JAE
The Journal of Applied Econometrics (published in seven issues per year) is a bi-monthly
international journal, which aims to publish articles of high quality dealing with the application of
existing as well as new econometric techniques to a wide variety of problems in economics and
related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis.
The emphasis is on the careful and rigorous application of econometric techniques and the
appropriate interpretation of the results. The economic content of the articles is stressed.
The intention of the Journal of Applied Econometrics is to provide an outlet for innovative,
quantitative research in economics which cuts across areas of specialization, involves transferable
techniques, and is easily replicable by other researchers. Contributions that introduce statistical
methods that are applicable to a variety of economic problems are actively encouraged. The Journal
also aims to publish review and survey articles that make recent developments in the field of
theoretical and applied econometrics more readily accessible to applied economists in general.
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How to publish in JAE
The Journal of Applied Econometrics is published by John Wiley & Sons Ltd.
EDITOR: Barbara Rossi
COEDITORS:
Marco Del Negro
Eric Ghysels
Thierry Magnac
Michael McCracken
Herman K. van Dijk
Edward Vytlacil
Heather Anderson
Marcelle Chauvet
James G. MacKinnon
Electronic submissions of papers are to be made online at http://editorialexpress.com/jae.
Please send letters and other ideas for the Journal to:
Editorial Office
JAE Editorial Office
E-mail: [email protected]
Website: wileyonlinelibrary.com/journal/jae
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Journal of Applied Econometrics Data Archive
The JAE Data Archive is a very important feature of the Journal of Applied Econometrics, making it
possible for other researchers to replicate results of papers published in the Journal, or to evaluate
alternative models.
Hosted by a server belonging to the Economics Department of Queen's University, it contains data
for all papers accepted after January 1994, with the exception of a growing number of papers for
which the data are confidential. There are some data for a few papers accepted earlier than January
1994, but Volume 10, No. 1 (1995) is the first issue in which all papers were accepted subject to the
proviso that data be provided.
For some papers, especially more recent ones, the Data Archive also contains programs and
supplementary material, such as technical appendices and additional graphs. There are currently
directories for 800 papers in the archive.
It is still the case that, if you enter any of the following search terms into Google, the first hit you
encounter is the main page of the JAE Data Archive:
econometrics data, applied econometrics data, econometrics data archive, JAE data, JAE archive.
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Wiley Online Library New Content Alerts
Receive the table of contents of the Journal of Applied Econometrics as soon as it publishes online.
Sign up for free at wileyonlinelibrary.com/journal/jae – simply sign in to Wiley Online Library in the
top right and then click on ‘Get Content Alerts’ in the right-hand menu. (If you do not have an
account with Wiley Online Library, you can register here for free.)
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