Journal of Applied Econometrics

Article	Citations
How to estimate a vector autoregression after March 2020	110
How is machine learning useful for macroeconomic forecasting?	52
The global component of inflation volatility	51
On event studies and distributed‐lags in two‐way fixed effects models: Identification, equivalence, and generalization	50
Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China	38
Oil prices, gasoline prices, and inflation expectations	37
News media versus FRED‐MD for macroeconomic forecasting	29
Common factors of commodity prices	29
Measuring real activity using a weekly economic index	26
Making text count: Economic forecasting using newspaper text	25
Nowcasting tail risk to economic activity at a weekly frequency	25
Identifying the effects of sanctions on the Iranian economy using newspaper coverage	24
Supply flexibility in the shale patch: Evidence from North Dakota	23
Measurement of factor strength: Theory and practice	21
A regularization approach to common correlated effects estimation	20
The role of precautionary and speculative demand in the global market for crude oil	18
Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone	18
Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data	16
How far can we forecast? Statistical tests of the predictive content	16
Focused Bayesian prediction	16
The impact of product and labour market reform on growth: Evidence for OECD countries based on local projections	15
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)	14
Are there no wage returns to compulsory schooling in Germany? A reassessment	13
The double‐edged sword of global integration: Robustness, fragility, and contagion in the international firm network	13
On the real‐time predictive content of financial condition indices for growth	12

The bilateral trade effects of announcement shocks: Brexit as a natural field experiment	11
ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R	11
Inferring financial bubbles from option data	11
Global financial uncertainty	10
Testing random assignment to peer groups	9
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference	9
The government spending multiplier at the zero lower bound: International evidence from historical data	9
Individual forecaster perceptions of the persistence of shocks to GDP	8
Commodity prices and inflation risk	8
If not now, when? The timing of childbirth and labor market outcomes	8
Inflation expectations and nonlinearities in the Phillips curve	8
Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions	7
Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models	7
Covariate distribution balance via propensity scores	7
Forecasting and stress testing with quantile vector autoregression	7
Inference in difference‐in‐differences: How much should we trust in independent clusters?	7
Ranking intersecting distribution functions	7
Deep distributional time series models and the probabilistic forecasting of intraday electricity prices	7
Heavy tailed but not Zipf: Firm and establishment size in the United States	7
Cointegration and control: Assessing the impact of events using time series data	6
The deposits channel revisited	6
Combining shrinkage and sparsity in conjugate vector autoregressive models	6
Recurrent conditional heteroskedasticity	6
The role of observed and unobserved heterogeneity in the duration of unemployment	6
Estimating household consumption insurance	6
Dynamic treatment effects of job training	5
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance	5
Information gains from using short‐dated options for measuring and forecasting volatility	5
Does model complexity add value to asset allocation? Evidence from machine learning forecasting models	5
Measurement error in earnings data: Replication of Meijer, Rohwedder, and Wansbeek's mixture model approach to combining survey and register data	5
Regression with an imputed dependent variable	5
Forecast uncertainty, disagreement, and the linear pool	5
Consumer inflation expectations, income changes and economic downturns	5
Social interactions and social preferences in social networks	5
Interpretation of point forecasts with unknown directive	4
Equity‐premium prediction: Attention is all you need	4
Nonparametric tests of tail behavior in stochastic frontier models	4
Permutation tests for equality of distributions of functional data	4
Identification of dynamic latent factor models of skill formation with translog production	4
Early‐life famine exposure, hunger recall, and later‐life health	4
General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields	4
Tracking and specialization of high schools: Heterogeneous effects of school choice	4
Endogenous health groups and heterogeneous dynamics of the elderly	4
Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors	4
New evidence on the importance of instruction time for student achievement on international assessments	4
Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies	4
Early child development and parents' labor supply	4
The economics of state fragmentation: Assessing the economic impact of secession	4
When can we ignore measurement error in the running variable?	4
Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations	4

Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data	4
Sparse change‐point VAR models	4
Declining discount rates in Singapore's market for privately developed apartments	4
Understanding women's wage growth using indirect inference with importance sampling	4
Individual consumption in collective households: Identification using repeated observations with an application to PROGRESA	4
Forecasting low‐frequency macroeconomic events with high‐frequency data	3
Oil prices uncertainty, endogenous regime switching, and inflation anchoring	3
Quantifying investor narratives and their role during COVID‐19	3
Hierarchical random‐effects model for the insurance pricing of vehicles belonging to a fleet	3
Testing identifying assumptions in bivariate probit models	3
The shale oil revolution and the global oil supply curve	3
Macroeconomic forecasting in a multi‐country context	3
Short T dynamic panel data models with individual, time and interactive effects	3
Expanding health insurance for the elderly of the Philippines	3
Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models	3
Revisiting gender identity and relative income within households: A cautionary tale on the potential pitfalls of density estimators	3
Identifying and interpreting the factors in factor models via sparsity: Different approaches	3
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence	3
Optimal forecast under structural breaks	3
Migration in China: To work or to wed?	3
Do words hurt more than actions? The impact of trade tensions on financial markets	3
Inattention and the impact of monetary policy	3
Extremal connectedness of hedge funds	3
Multiple testing with covariate adjustment in experimental economics	3
Did Protestantism promote prosperity via higher human capital? Replicating the Becker–Woessmann (2009) results	2
Macroeconomic forecasting in times of crises	2
Dependence‐robust inference using resampled statistics	2
Normal but skewed?	2
Small world: Narrow, wide, and long replication of Goyal, van der Leij and Moraga‐Gonzélez (JPE 2006) and a comparison of EconLit and Scopus	2
Real estate agents' influence on housing search	2
Productivity effects of internationalisation through the domestic supply chain	2
Dynamic evaluation of job search assistance	2
Bayesian estimation of the exact affine Stone index demand system: Replicating the Lewbel and Pendakur (2009) results	2
Understanding trend inflation through the lens of the goods and services sectors	2
Matching theory and evidence on Covid‐19 using a stochastic network SIR model	2
Revisiting the effect of growing up in a recession on attitudes towards redistribution	2
Large devaluations and inflation inequality: Replicating Cravino and Levchenko (2017) with evidence from Brazil	2
US weekly economic index: Replication and extension	2
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction	2
(Un)expected monetary policy shocks and term premia	2
When are instruments generated from geographic characteristics in bilateral relationships invalid?	2
	2
Subspace shrinkage in conjugate Bayesian vector autoregressions	2
Labour supply, service intensity, and contracts: Theory and evidence on physicians	2
No‐arbitrage priors, drifting volatilities, and the term structure of interest rates	2
International spillovers of forward guidance shocks	2
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve	2
Trade openness and growth: A network‐based approach	2
How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area	2
Contagious switching	2
Regression discontinuity design with multivalued treatments	2
Forward guidance and expectation formation: A narrative approach	2
The Federal Reserve's output gap: The unreliability of real‐time reliability tests	2
Testing monotonicity of conditional treatment effects under regression discontinuity designs	2
Hours worked and the US distribution of real annual earnings 1976–2019	1
The impact of HIV/AIDS on human capital investment in Sub‐Saharan Africa: New evidence	1
Reassessing growth vulnerability	1
Nowcasting Euro area GDP with news sentiment: A tale of two crises	1
Forecasting GDP in Europe with textual data	1
Semiparametric estimation and variable selection for single‐index copula models	1
Agglomerative hierarchical clustering for selecting valid instrumental variables	1
The demand for money at the zero interest rate bound	1
Heterogeneous responses to corporate marginal tax rates: Evidence from small and large firms	1
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters	1
Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty	1
Revisiting Sweden's comprehensive school reform: Effects on education and earnings	1
Identifying factors via automatic debiased machine learning	1
Monetary policy and exchange rate anomalies in set‐identified SVARs: Revisited	1
Bayesian estimation of multivariate panel probits with higher‐order network interdependence and an application to firms' global market participation in Guangdong	1
Re‐examining the relationship between patience, risk‐taking, and human capital investment across countries*	1
Identifying factor‐augmented vector autoregression models via changes in shock variances	1
The multifaceted impact of US trade policy on financial markets	1
Heterogeneity and dynamics in network models	1
Real‐time weakness of the global economy	1
Dynamic and non‐neutral productivity effects of foreign ownership: A nonparametric approach	1
Sample selection in linear panel data models with heterogeneous coefficients	1
Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions	1
Mandatory seatbelt laws and traffic fatalities: A reassessment	1
The dynamic interdependence in the demand of primary and emergency secondary care: A hidden Markov approach	1
Real‐time macroeconomic projection using narrative central bank communication	1

Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models	1
A Bayesian approach to account for misclassification in prevalence and trend estimation	1
Censored density forecasts: Production and evaluation	1
Approximating grouped fixed effects estimation via fuzzy clustering regression	1
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors	1
A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models	1
Should we trust cross‐sectional multiplier estimates?	1
Do rural banks matter that much? Burgess and Pande (2005) reconsidered	1
Corporate debt booms, financial constraints, and the investment nexus	1
The macroeconomy as a random forest	1
Does paid parental leave affect children's schooling outcomes? Replicating Danzer and Lavy (2018)	1
Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings	1
Cyclical labour income risk in Great Britain	1
Transitory and permanent shocks in the global market for crude oil	1
Nowcasting from cross‐sectionally dependent panels	1
Empirical evidence on the Euler equation for investment in the US	1
A one covariate at a time, multiple testing approach to variable selection in high‐dimensional linear regression models: A replication in a narrow sense	1
Sudden stop: Supply and demand shocks in the German natural gas market	1
Advance layoff notices and aggregate job loss	1
Encompassing measures of international consumption risk sharing and their link with trade and financial globalization	1
An automated prior robustness analysis in Bayesian model comparison	1
Bayesian optimization of hyperparameters from noisy marginal likelihood estimates	1