Journal of Applied Econometrics

Papers
(The H4-Index of Journal of Applied Econometrics is 20. 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 2021-08-01 to 2025-08-01.)
ArticleCitations
Exploiting News Analytics for Volatility Forecasting165
Issue Information117
Tracking Economic Activity With Alternative High‐Frequency Data90
The bilateral trade effects of announcement shocks: Brexit as a natural field experiment64
Identifying the effects of sanctions on the Iranian economy using newspaper coverage62
A maximum likelihood bunching estimator of the elasticity of taxable income47
Short T dynamic panel data models with individual, time and interactive effects43
Penalized sieve estimation of zero‐inefficiency stochastic frontiers42
Nowcasting tail risk to economic activity at a weekly frequency40
US Monetary Policy and Indeterminacy39
The US structural transformation and regional convergence: Racial heterogeneity38
Addressing sample selection bias for machine learning methods32
Common factors of commodity prices31
Information gains from using short‐dated options for measuring and forecasting volatility29
Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies28
Does model complexity add value to asset allocation? Evidence from machine learning forecasting models28
Inferring financial bubbles from option data22
Regression with an imputed dependent variable22
A Random Forest–Based Panel Data Approach for Program Evaluation21
Part‐time subsidies and maternal reemployment: Evidence from a difference‐in‐differences analysis20
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