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Journal of Applied Econometrics is a peer-reviewed journal published by Wiley, covering Monetary Policy and Economic Impact, Market Dynamics and Volatility, Financial Risk and Volatility Modeling.
| Publisher | Wiley |
|---|---|
| Reference style | Author–year (Chicago) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Journal of Applied Econometrics 12 (3): 45–58.
Formats any DOI in Journal of Applied Econometrics style. No sign-up. |
| Publishes research in | Monetary Policy and Economic Impact Market Dynamics and Volatility Financial Risk and Volatility Modeling Economic theories and models Economic and Environmental Valuation |
| ISSN | 0883-7252 |
| Citation impact (2-yr) | 3.2 |
| h-index | 182 |
| i10-index | 1,393 |
| Total citations | 187,521 |
| Article processing charge | $3,660 |
| Top institutions publishing here | Centre for Economic Policy Research |
| Journal website | onlinelibrary.wiley.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics…
Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard…
This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity conditions, any discrete choice model derived from random utility maximization has choice probabilities that can be approximated as closely as one pleases by a MMNL model. Practical estimation of a parametric mixing family…
We develop attractive functional forms and simple quasi-likelihood estimation methods for regression models with a fractional dependent variable. Compared with log-odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero…
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via…
