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NEWSLETTER
Issue 6 Spring/Summer 2008
In this Issue:
1. Distinguished Authors
2. Dissertation Prize
3. Annual Lecture Series
4. Forthcoming Articles Data Archive
5. Top 10 downloaded articles in 2007
M Hashem Pesaran
Editor of JAE
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.
Distinguished Authors are given a one-year free subscription to the Journal to mark the award, and receive a personal invitation to the Journal's Annual Lecture
Series and to its Annual Dinner. The list of Distinguished Authors will be published regularly in the Journal.
The Journal of Applied Econometrics is pleased to welcome as Distinguished Authors:
Professor Badi Baltagi
Syracuse University, USA
Professor Michael P Clements
University of Warwick, UK
Professor Peter Kooreman
Tilburgh University, The Netherlands
and
Professor Justin Tobias
Iowa State University, USA
Badi Batalgi has published the following articles in the Journal of Applied Econometrics:
1. "On efficient estimation with panel data: An empirical comparison of instrumental variables estimators"
by Badi H. Baltagi, Sophon Khanti-Akom, JAE, Vol 5, No 4, pp. 401-40
2. "Excess capacity: a permanent characteristic of US airlines?"
by Badi H. Baltagi, James M. Griffin, Sharada R. Vadali, JAE, Vol 13, No 6, pp. 645-657
3. "Applied econometrics rankings: 1989-1995"
by Badi H. Baltagi, JAE, Vol 14, No 4, pp. 423-44
4. "Heterogeneity and cross section dependence in panel data models: theory and applications introduction"
by Badi H. Baltagi, M. Hashem Pesaran, JAE, Vol 22, No 2, pp. 229-232
5. "Panel unit root tests and spatial dependence"
by Badi H. Baltagi, Georges Bresson, Alain Pirotte, JAE, Vol 22, No 2, pp 339-360
Michael Clements has published the following articles in the Journal of Applied Econometrics:
2000 by Professor Timo Ter svirta, of the Stockholm School of Economics, in 2001 by Professor Peter Phillips of Yale University, USA and Professor Geert
Ridder of the University of Southern California, USA, in 2002 by Professor Philip Hans Franses of the Erasmus University, The Netherlands and Professor
Clive W.J. Granger of the University of California at San Diego, USA, in 2003 by Professor Adrian R. Pagan of the Australian National University, and in 2004
by Professor Gordon Anderson of the University of Toronto and Professor Stephen Pudney of the University of Essex, in 2005 by Professor Gary Koop of
the University of Strathclyde, and Professors Zacharias Psaradakis and Martin Sola of Birkbeck College, University of London, and in 2007 by Professor
Pravin Trivedi of Indiana University.
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.
M Hashem Pesaran
Editor
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2. Dissertation Prize
The Journal of Applied Econometrics wishes to draw your attention to its Dissertation Prize, launched in 2002, and invites submission of nominations.The Prize is
open to PhD students in economics writing a dissertation with a substantive empirical application.The empirical application may be in any field, such as labour
economics, monetary economics, empirical finance, business cycle, international trade, public economics, and applied topics in the field of microeconomics.
Nominations must be submitted by 15th July 2008, and must include a draft dissertation chapter or other paper taken from the dissertation, and two covering
letters: one from a faculty member with knowledge of the dissertation work, and one from the student.Nominations should be sent to the JAE Editorial Office,
Room 91, Faculty of Economics, University of Cambridge, Sidgwick Avenue, Cambridge CB3 9DD, UK, or by e-mail to jae@econ.cam.ac.uk.
In the evaluation of nominations, the emphasis will be on the careful and rigorous application of econometric techniques and the appropriate interpretation of the
results. The economic content of the nominated chapter or paper will be stressed. Clear expression and good use of English are important.
Successful candidates will be selected and notified by 15th September 2008 and will receive a prize of $2,500 each for research support. It is a condition of the
prize that the dissertation supported by the award is submitted to the Journal of Applied Econometrics for possible publication.It is a condition of the prize that the
Journal of Applied Econometrics is given first refusal to publish the dissertation supported by the award.
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The 2008 Journal of Applied Econometrics Annual Lecture was given by:
Richard Blundell
University College London
on
'The Dynamics of Income, Earnings and Consumption'
at
CEMFI, Madrid, 6-7 June, 2008
The JAE Lecture Series was launched in 1997 in a move to help promote applied econometrics. Each year, two lectures are delivered on consecutive days by an
eminent speaker. Our hope is that these lectures will redress the balance of many applied econometrics presentations, where a major part of the discussion is
often concerned with theoretical issues, leaving little time for serious consideration of the empirical results and their interpretations. In the first of the two lectures
the speaker sets up the theoretical model and discusses the econometric theory involved in estimation and testing of the model, and in the second lecture
focuses wholly on the empirical results and their interpretation. We believe this is an exciting opportunity for serious consideration of empirical results in
economics.
Previous JAE Lecturers have been Professor James Heckman of the University of Chicago, Professor Peter C.B. Phillips of Yale University, Professor Daniel
McFadden of the University of California at Berkeley, Professor Guy Laroque of the Institut National de la Statistique et des Etudes Economiques (INSEE),
France, Professor Robert F. Engle of the University of California at San Diego and Stern Business School, New York University, Professor Ariel Pakes, of
Harvard University, Professor Charles Manski, of Northwestern University, Professor David Hendry, of the University of Oxford, Professor John Geweke, of the
University of Iowa, Professor Robert H. Porter, of Northwestern University and Professor Mark Watson, of Princeton University.
http://www.cemfi.es/~arellano/JAE-conference.htm
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4. Forthcoming Articles
Consistent instrumental variables (IV) estimation requires instruments uncorrelated with the model errors, but this assumption is usually both suspect and
untestable. Here the asymptotic sampling distribution of the IV parameter estimator is derived for any specified instrument-error covariance vector. This result
makes it possible to quantify the sensitivity of any particular IV inference result to instrument-error correlations, allowing one to assess the robustness of such
inferential conclusions to uncertainty in the validity of the instruments. An application illustrating the value of this sensitivity analysis is given to a study by
Acemoglu et al. (2001).
On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression
By Eduardo Ley and Mark Steel
We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with
large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior assumptions on the inference
concerning model size, posterior inclusion probabilities of regressors and on predictive performance. We illustrate these issues in the context of cross-country
growth regressions using three datasets with 41 to 67 potential drivers of growth and 72 to 93 observations. Finally, we recommend priors for use in this and
related contexts.
Binary Choice under Social Interactions: an Empirical Study with and without Subjective Data of Expectation
By Ji Li Ohio and Lung-fei Lee
This paper examines two methods of modeling binary choice with social interactions: models assuming homogenous rational expectations and models using
subjective data on expectations. Exploiting a unique survey conducted during the 1996 U.S. presidential election that was designed to study voting behavior
under social context, we find that in various model specifications, using subjective expectations consistently improves models' goodness-of-fit; and that subjective
expectations are not rational as formulated by Brock and Durlauf. Specifically, members' characteristics are individually important in forming expectations. We
also include correlated effect into the rational expectation model. This extension provides a remedy to the selection issues that often arise in social interaction
models.
Jointness of Growth Determinants
By Gernot Doppelhofer and Melvyn Weeks
This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables
over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance, jointness reveals generally
unknown forms of dependence. Positive jointness implies that regressors are complements, representing distinct, but mutually reinforcing effects. Negative
jointness implies that explanatory variables are substitutes and capture similar underlying effects. In a cross-country dataset we show that jointness among 67
determinants of growth is important, affecting inference and informing economic policy.
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The article Multivariate GARCH models: a survey by Luc Bauwens, Sbastien Laurent, Jeroen V. K. Rombouts (published in Volume 21, Issue 1, January/
February 2006) was the most downloaded in Wiley InterScience during 2007. For a list of the top 10 downloaded articles on Wiley InterScience in 2007 (with links
to the abstracts online), please see the table below:
Rank
1
Multivariate GARCH Models: A Survey
Title
Exploring the International Linkages of the Euro Area: a Global VAR Analysis
6
7
8
Author(s)
Luc Bauwens, Sbastien Laurent,
Jeroen V. K. Rombouts
Vol.
Issue
21
22
Badi H. Baltagi
14
18
22
18
16
20
20
22
10
Heterogeneity and Cross SectionDependence in Panel Data Models: Theory and Applications
Badi H. Baltagi, M. Hashem Pesaran
Introduction
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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 also offers financial support (up to $5,000) towards the cost of organising conferences to promote research in
applied econometrics.
Financial Econometrics Conference (16-17 May 2008)
FFM Conference (21-23 May 2008)
Festschrift Conference for Rob Engle (June 2008)
NAPW - North America (24-27 June 2008)
CEF 2008, Paris La Sorbonne (26-28 June 2008)
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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. As of 9th October 2006, there were directories for 480 papers in the archive.
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The Journal of Applied Econometrics is published by John Wiley & Sons Ltd.
Editors: M. Hashem Pesaran, Steven Durlauf, Tim Bollerslev, Herman K van Dijk , Badi H. Baltagi, James M MacKinnon, Manuel Arellano and Edward Vytlacil.
Please send letters, papers, and ideas for the journal to:
Editorial Office
Faculty of Economics
University of Cambridge
Sidgwick Avenue, Cambridge CB3 9DD, UK
Tel: +44 (0)1223 335291
Fax: +44 (0)1223 335471
E-mail: jae@econ.cam.ac.uk
Website: http://jae.wiley.com/jae/
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The Journal of Applied Econometrics 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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