Journal of Business & Economic Statistics

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2003, Volume 21, Issue 4

• 510-31 Variance Shifts, Structural Breaks, and Stationarity Tests
  by Busetti, Fabio & Taylor, A M Robert
• 532-46 Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations
  by Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio
• 547-63 Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income
  by Paap, Richard & van Dijk, Herman K
• 564-69 Business Cycle Duration Dependence Reconsidered
  by Zuehlke, Thomas W
• 570-76 Estimation of Dynamic Bivariate Mixture Models: Comments on Watanabe (2000)
  by Liesenfeld, Roman & Richard, Jean-Francois
• 577-80 The Estimation of Dynamic Bivariate Mixture Models: Reply to Liesenfeld and Richard Comments
  by Watanabe, Toshiaki

• 339-53 Wealth Accumulation over the Life Cycle and Precautionary Savings
  by Cagetti, Marco
• 354-67 The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model
  by Linton, Oliver & Perron, Benoit
• 368-82 The Proportional Hazard Model for Purchase Timing: A Comparison of Alternative Specifications
  by Seetharaman, P B & Chintagunta, Pradeep K
• 383-95 Martingale Property of Exchange Rates and Central Bank Interventions
  by Yilmaz, Kamil
• 396-405 Recent Two-Stage Sample Selection Procedures with an Application to the Gender Wage Gap
  by Christofides, Louis N, et al
• 406-19 A Stochastic Frontier Analysis of Financing Constraints on Investment: The Case of Financial Liberalization in Taiwan
  by Wang, Hung-Jen
• 420-36 Seasonality Tests
  by Busetti, Fabio & Harvey, Andrew
• 437-47 Pairwise-Difference Rank Estimation of the Transformation Model
  by Abrevaya, Jason

• 213-25 Regression Modeling and Meta-analysis for Decision Making: A Cost-Benefit Analysis of Incentives in Telephone Surveys
  by Gelman, Andrew & Stevens, Matt & Chan, Valerie
• 226-36 The Effects of Public R&D Subsidies on Firms' Innovation Activities: The Case of Eastern Germany
  by Almus, Matthias & Czarnitzki, Dirk
• 237-46 The Aroma of Tacoma: Time-Varying Average Derivatives and the Effect of a Superfund Site on House Prices
  by McMillen, Daniel P & Thorsnes, Paul
• 247-57 Efficient Estimation of Semiparametric Equivalence Scales with Evidence from South Africa
  by Yatchew, Adonis & Sun, Yiguo & Deri, Catherine
• 258-68 On the Predictive Distributions of Outcome Gains in the Presence of an Unidentified Parameter
  by Poirier, Dale J & Tobias, Justin L
• 269-83 Efficient Estimation of Conditional Asset-Pricing Models
  by Hodgson, Douglas J & Vorkink, Keith P
• 284-94 Measuring and Decomposing Productivity Change: Stochastic Distance Function Estimation versus Data Envelopment Analysis
  by Atkinson, Scott E & Cornwell, Christopher & Honerkamp, Olaf
• 295-318 Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models
  by Groen, Jan J J & Kleibergen, Frank
• 319-35 Imposing and Testing Curvature Conditions on a Box-Cox Cost Function
  by Koebel, Bertrand & Falk, Martin & Laisney, Francois

• 1-11 Was There a Riverside Miracle? A Hierarchical Framework for Evaluating Programs with Grouped Data
  by Dehejia, Rajeev H
• 12-18 Nonparametric Applications of Bayesian Inference
  by Chamberlain, Gary & Imbens, Guido W
• 19-30 Estimating the Benefit Incidence of an Antipoverty Program by Propensity-Score Matching
  by Jalan, Jyotsna & Ravallion, Martin
• 31-42 Testing the Normality Assumption in the Sample Selection Model with an Application to Travel Demand
  by van der Klaauw, Bas & Koning, Ruud H
• 43-52 Using Weights to Adjust for Sample Selection When Auxiliary Information Is Available
  by Nevo, Aviv
• 53-64 Semiparametric Estimation of the Optimal Reserve Price in First-Price Auctions
  by Li, Tong & Perrigne, Isabelle & Vuong, Quang
• 65-73 A Note on Rubin's Statistical Matching Using File Concatenation with Adjusted Weights and Multiple Imputations
  by Moriarity, Chris & Scheuren, Fritz
• 74-79 Bayesian Modeling and Computations in Final-Offer Arbitration
  by Swartz, Tim
• 80-87 Flexible Covariance Structures for Categorical Dependent Variables through Finite Mixtures of Generalized Extreme Value Models
  by Swait, Joffre
• 88-92 Parameterized Expectations Algorithm and the Moving Bounds
  by Maliar, Lilia & Maliar, Serguei
• 93-103 Bayesian Analysis of Endogenous Delay Threshold Models
  by Koop, Gary & Potter, Simon M
• 104-21 Time-Varying Smooth Transition Autoregressive Models
  by Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick
• 122-32 Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
  by Guay, Alain & Scaillet, Olivier
• 133-44 A New PC-Based Test for Varian's Weak Separability Conditions
  by Fleissig, Adrian R & Whitney, Gerald A
• 145-55 Tests of Rank in Reduced Rank Regression Models
  by Camba-Mendez, Gonzalo, et al
• 156-63 Robust Stationarity Tests in Seasonal Time Series Processes
  by Taylor, A M Robert
• 164-73 Testing for Nonlinear Autoregression
  by Lobato, Ignacio N
• 174-84 On Unit-Root Tests When the Alternative Is a Trend-Break Stationary Process
  by Sen, Amit
• 185-95 Valid Bayesian Estimation of the Cointegrating Error Correction Model
  by Strachan, Rodney W
• 196-211 Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions
  by Clements, Michael P & Krolzig, Hans-Martin

• 442-47 Interview with Lars Peter Hansen
  by Ghysels, Eric & Hall, Alastair
• 448-49 Interview with Christopher A. Sims
  by Ghysels, Eric & Hall, Alastair
• 450-59 Sargan's Instrumental Variables Estimation and the Generalized Method of Moments
  by Arellano, Manuel
• 460-69 Generalized Method of Moments and Macroeconomics
  by Hansen, Bruce E & West, Kenneth D
• 470-81 Generalized Method of Moments: Applications in Finance
  by Jagannathan, Ravi & Skoulakis, Georgios & Wang, Zhenyu
• 482-92 Simulation-Based Method of Moments and Efficiency
  by Carrasco, Marine & Florens, Jean-Pierre
• 493-506 Generalized Method of Moments and Empirical Likelihood
  by Imbens, Guido W
• 507-17 Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference
  by Brown, Bryan W & Newey, Whitney K
• 518-29 A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
  by Stock, James H & Wright, Jonathan H & Yogo, Motohiro
• 530-44 Generalized Method of Moments Estimation When a Parameter Is on a Boundary
  by Andrews, Donald W K

• 297-316 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes
  by Durham, Garland B & Gallant, A Ronald
• 317-21 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Ait-Sahalia, Yacine
• 321-24 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Brandt, Michael W & Santa-Clara, Pedro
• 325-27 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Chib, Siddhartha & Shephard, Neil
• 327-29 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Eraker, Bjorn
• 330-31 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Glynn, Peter
• 331-32 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Tauchen, George
• 333-335 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
  by Zhou, Hao
• 335-38 Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply
  by Durham, Garland B & Gallant, A Ronald
• 339-50 Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
  by Engle, Robert
• 351-62 A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations
  by Tse, Y K & Tsui, Albert K C
• 363-76 Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results
  by Andreou, Elena & Ghysels, Eric
• 377-89 Conditional Jump Dynamics in Stock Market Returns
  by Chan, Wing H & Maheu, John M
• 390-411 Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns
  by Johnson, Timothy C
• 412-22 Semiparametric Smooth Coefficient Models
  by Li, Qi, et al
• 423-30 Reanalyzing Ultimatum Bargaining--Comparing Nondecreasing Curves without Shape Constraints
  by Fong, Duncan K H, et al
• 431-40 Efficiency of Covariance Matrix Estimators for Maximum Likelihood Estimation
  by Porter,Jack

• 147-62 Macroeconomic Forecasting Using Diffusion Indexes
  by Stock, James H & Watson, Mark W
• 163-82 Regime Switches in Interest Rates
  by Ang, Andrew & Bekaert, Geert
• 183-97 Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates
  by Smith, Daniel R
• 198-212 Estimation of Continuous-Time Processes via the Empirical Characteristic Function
  by Jiang, George J & Knight, John L
• 213-26 Collective Decision-Making and Heterogeneity in Tastes
  by Luo, Guo Ying
• 227-40 Costly Reversible Investment with Fixed Costs: An Empirical Study
  by Asano, Hirokatsu
• 241-53 An Empirical Analysis of Earnings and Employment Risk
  by Guiso, Luigi & Jappelli, Tullio & Pistaferri, Luigi
• 254-68 Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component
  by Gospodinov, Nikolay
• 269-81 Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series
  by Taylor, A M Robert
• 282-89 Threshold Autoregressions for Strongly Autocorrelated Time Series
  by Lanne, Markku & Saikkonen, Pentti
• 290-95 Estimating Lorenz Curves Using a Dirichlet Distribution
  by Chotikapanich, Duangkamon & Griffiths, William E

• 5-17 Tests for Unit Roots: A Monte Carlo Investigation
  by Schwert, G William
• 18-24 Determining the Order of Differencing in Autoregressive Processes
  by Dickey, David A & Pantula, Sastry G
• 25-44 Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
  by Zivot, Eric & Andrews, Donald W K
• 45-59 Tests for Parameter Instability in Regressions with I(1) Processes
  by Hansen, Bruce E
• 60-68 The Message in Daily Exchange Rates: A Conditional-Variance Tale
  by Baillie, Richard T & Bollerslev, Tim
• 69-87 Bayesian Analysis of Stochastic Volatility Models
  by Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E
• 88-97 Estimation and Inference in Two-Step Econometric Models
  by Murphy, Kevin M & Topel, Robert H
• 98-127 Issues Involved with the Seasonal Adjustment of Economic Time Series
  by Bell, William R & Hillmer, Steven C
• 128-33 Vector Autoregressions and Reality
  by Runkle, David E
• 134-44 Comparing Predictive Accuracy
  by Diebold, Francis X & Mariano, Roberto S

• 385-94 Binary Choice with Binary Endogenous Regressors in Panel Data: Estimating the Effect of Fertility on Female Labor Participation
  by Carrasco, Raquel
• 395-403 Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model
  by Neely, Christopher J & Roy, Amlan & Whiteman, Charles H
• 404-15 Markov Regime Switching and Unit-Root Tests
  by Nelson, Charles R & Piger, Jeremy & Zivot, Eric
• 416-27 Structural Estimates of the U.S. Sacrifice Ratio
  by Cecchetti, Stephen G & Rich, Robert W
• 428-35 Markov Chain Monte Carlo Analysis of Correlated Count Data
  by Chib, Siddhartha & Winkelmann, Rainer
• 436-48 Business Cycles and Compositional Variation in U.S. Unemployment
  by Abbring, Jaap H & van den Berg, Gerard J & van Ours, Jan C
• 449-54 The Econometrics of Rational Addiction: The Case of Cigarettes
  by Baltagi, Badi H & Griffin, James M
• 455-64 Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction
  by Fiorentini, Gabriele & Planas, Christophe
• 465-74 Testing Density Forecasts, with Applications to Risk Management
  by Berkowitz, Jeremy
• 475-81 Bias from Classical and Other Forms of Measurement Error
  by Hyslop, Dean R & Imbens, Guido W
• 482-93 Estimation for Autoregressive Time Series with a Root Near 1
  by Roy, Anindya & Fuller, Wayne A

• 255-69 Testing Target-Zone Models Using Efficient Method of Moments
  by Chung, Chae-Shick & Tauchen, George
• 269-71 Testing Target-Zone Models Using Efficient Method of Moments: Comment
  by Hall, Alastair R
• 271-73 Testing Target-Zone Models Using Efficient Method of Moments: Comment
  by Pedroni, Peter
• 273-76 Testing Target-Zone Models Using Efficient Method of Moments: Comment
  by Baillie, Richard T & Han, Young-Wook
• 276-77 Testing Target-Zone Models Using Efficient Method of Moments: Reply
  by Chung, Chae-Shick & Tauchen, George
• 278-91 To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data
  by Bonham, Carl S & Cohen, Richard H
• 292-98 Bayesian Analysis of Engel Curves Estimation with Measurement Errors and an Instrumental Variable
  by Hasegawa, Hikaru & Kozumi, Hideo
• 299-314 Structural Breaks, Incomplete Information, and Stock Prices
  by Timmermann, Allan
• 315-23 A Formalization of Seasonal Encompassing with an Application to a German Macromodel
  by Beyer, Andreas
• 324-30 Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis
  by Robertson, John C & Tallman, Ellis W
• 331-40 Rank Tests for Nonlinear Cointegration
  by Breitung, Jorg
• 341-57 Spatially Disaggregated Real Estate Indices
  by Iversen, Edwin S, Jr
• 358-64 Interpreting Instrumental Variables Estimates of the Returns to Schooling
  by Kling, Jeffrey R
• 365-73 The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series
  by Gomez, Victor
• 374-79 On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation
  by Burridge, Peter & Taylor, A M Robert
• 380-82 On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables
  by Racine, Jeffrey

• 129-41 Estimation with Response Error and Nonresponse: Food-Stamp Participation in the SIPP
  by Bollinger, Christopher R & David, Martin H
• 142-52 Testing for Choice Dynamics in Panel Data
  by Erdem, Tulin & Sun, Baohong
• 153-65 Intertemporal Variation in Financial Constraints on Investment: A Time-Varying Parameter Approach Using Panel Data
  by Tahmiscioglu, A Kamil
• 166-76 Cointegration and Threshold Adjustment
  by Enders, Walter & Siklos, Pierre L
• 177-91 MCMC Analysis of Diffusion Models with Application to Finance
  by Eraker, Bjorn
• 192-207 Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration
  by Taylor, A M Robert & Smith, Richard J
• 208-16 Tail-Index Estimates in Small Samples
  by Huisman, Ronald, et al
• 217-25 Prediction Intervals for ARIMA Models
  by Snyder, Ralph D & Ord, J Keith & Koehler, Anne B
• 226-32 Specification Analysis in Equations with Stochastic Regressors
  by Magdalinos, Michael & Kandilorou, Helen
• 233-44 Tests for Asymmetry in Possibly Nonstationary Time Series Data
  by Shin, Dong Wan & Lee, Oesook
• 245-53 Tests Against Inequality Constraints When Some Nuisance Parameters Are Present Only under the Alternative: Test of ARCH in ARCH-M Models
  by Beg, A B M Rabiul A & Silvapulle, Mervyn J & Silvapulle, Paramsothy

• 2-16 Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice
  by Angrist, Joshua D
• 16-17 Comment: Binary Regressors in Nonlinear Panel-Data Models with Fixed Effects
  by Hahn, Jinyong
• 17-20 Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment
  by Imbens, Guido W
• 20-23 Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment
  by Moffitt, Robert A
• 23-25 Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment
  by Mullahy, John
• 25-27 Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment
  by Todd, Petra
• 27-28 Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Reply
  by Angrist, Joshua D
• 29-33 Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters
  by West, Kenneth D
• 34-43 Testing for Forecast Consensus
  by Gregory, Allan W & Smith, Gregor W & Yetman, James
• 44-54 On the Normal Inverse Gaussian Stochastic Volatility Model
  by Andersson, Jonas
• 55-62 Influence Diagnostics and Estimation Algorithms for Powell's SCLS
  by Santos Silva, J M C
• 63-72 Bootstrap Testing Linear Restrictions on Cointegrating Vectors
  by Gredenhoff, Mikael & Jacobson, Tor
• 73-84 A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies
  by Rockinger, Michael & Urga, Giovanni
• 85-94 Explaining Long- and Short-Run Interactions in Time Series Data
  by Picci, Lucio
• 95-102 Forecasting an Accumulated Series Based on Partial Accumulation: A Bayesian Method for Short Series with Seasonal Patterns
  by de Alba, Enrique & Mendoza, Manuel
• 103-16 Volatility of Stock-Market Indexes--An Analysis Based on SEMIFAR Models
  by Beran, Jan & Ocker, Dirk
• 117-28 Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models
  by Kim, Jae H

• 387-97 Testing for Full Insurance Using Exogenous Information
  by Ham, John C & Jacobs, Kris
• 398-409 Estimating Coke's and Pepsi's Price and Advertising Strategies
  by Golan, Amos & Karp, Larry S & Perloff, Jeffrey M
• 410-27 Long Memory in Stock-Market Trading Volume
  by Lobato, Ignacio N & Velasco, Carlos
• 428-35 Forecasting the Penetration of a New Product--A Bayesian Approach
  by Pammer, Scott E & Fong, Duncan K H & Arnold, Steven F
• 436-50 Modeling the ECU against the U.S. Dollar: A Structural Monetary Interpretation
  by La Cour, Lisbeth & MacDonald, Ronald
• 451-64 Testing for the Cointegrating Rank of a VAR Process with Structural Shifts
  by Saikkonen, Pentti & Lutkepohl, Helmut
• 465-78 Modeling and Short-term Forecasting of New South Wales Electricity System Load
  by Smith, Michael
• 479-88 Inequality Orderings, Normalized Stochastic Dominance, and Statistical Inference
  by Zheng, Buhong, et al
• 489-96 Stationary Components in Stock Prices: An Exact Pointwise Most Powerful Invariant Test
  by Shively, Philip A
• 497-502 "Rule-of-Thumb" Consumption, Intertemporal Substitution, and Risk Aversion
  by Weber, Christian E
• 503-11 Modeling Selectivity in Count-Data Models
  by van Ophem, Hans

• 265-73 Unit-Root Tests Are Useful for Selecting Forecasting Models
  by Diebold, Francis X & Kilian, Lutz
• 274-83 Pooling in Dynamic Panel-Data Models: An Application to Forecasting GDP Growth Rates
  by Hoogstrate, Andre J & Palm, Franz C & Pfann, Gerard A
• 284-99 Modeling the Sources of Output Growth in a Panel of Countries
  by Koop, Gary & Osiewalski, Jacek & Steel, Mark F J
• 300-314 Time Series and Cross-Section Information in Affine Term-Structure Models
  by de Jong, Frank
• 315-22 Changepoint Tests Designed for the Analysis of Hiring Data Arising in Employment Discrimination Cases
  by Freidlin, Boris & Gastwirth, Joseph L
• 323-37 Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the United States
  by Bierens, Herman J
• 338-57 Bayesian Dynamic Factor Models and Portfolio Allocation
  by Aguilar, Omar & West, Mike
• 358-67 Statistical Inference for Random-Variance Option Pricing
  by Pastorello, Sergio & Renault, Eric & Touzi, Nizar
• 368-73 Confidence Intervals for Univariate Impulse Responses with a Near Unit Root
  by Wright, Jonathan H
• 374-86 A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance
  by Wang, Jiahui & Zivot, Eric

• 140-45 Market Microstructure Research Databases: History and Projections
  by Wood, Robert A
• 146-53 Some Reflections on Analysis of High-Frequency Data
  by Andersen, Torben G
• 154-63 Some Econometric Recipes for High-Frequency Data Cooking
  by Ghysels, Eric
• 164-73 Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970-1996
  by Polson, Nicholas G & Tew, Bernard V
• 174-86 Semiparametric ARCH Models: An Estimating Function Approach
  by Li, David X & Turtle, H J
• 187-98 Full Bayesian Inference for GARCH and EGARCH Models
  by Vrontos, I D & Dellaportas, P & Politis, D N
• 199-210 Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?
  by Watanabe, Toshiaki
• 211-22 Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests
  by Wright, Jonathan H
• 223-27 Inference for Generalized Gini Indices Using the Iterated-Bootstrap Method
  by Xu, Kuan
• 228-41 The Demand for Lotto: The Role of Conscious Selection
  by Farrell, Lisa, et al
• 242-53 Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
  by Christoffersen, Peter F & Giorgianni, Lorenzo
• 254-62 Long-Range Dependence in Daily Stock Volatilities
  by Ray, Bonnie K & Tsay, Ruey S

• 1-9 Alternative Variance-Ratio Tests Using Ranks and Signs
  by Wright, Jonathan H
• 10-17 Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's
  by Arize, Augustine C & Osang, Thomas & Slottje, Daniel J
• 18-30 Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem
  by Wolf, Michael
• 31-39 A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior
  by Lucas, Andre
• 40-50 Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
  by Kilian, Lutz & Demiroglu, Ufuk
• 51-57 Efficient Computation of Hierarchical Trends
  by Francke, M K & de Vos, A F
• 58-76 Aggregate Consumption and the Predictability of Asset Returns
  by Jacobs, Kris
• 77-90 Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations
  by Poskitt, Don S
• 91-99 Estimating Restricted Cointegrating Vectors
  by Elliott, Graham
• 100-112 Identifying Bull and Bear Markets in Stock Returns
  by Maheu, John M & McCurdy, Thomas H
• 113-26 The Contribution of Establishment Births and Deaths to Employment Growth
  by Spletzer, James R
• 127-36 Measuring Regional Cost of Living
  by Koo, Jahyeong & Phillips, Keith R & Sigalla, Fiona D

• 397-408 Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes
  by Morgan, I G & Trevor, R G
• 409-18 Testing Symmetry and Proportionality in PPP: A Panel-Data Approach
  by Li, Kai
• 419-29 Nonlinear Predictability of Stock Returns Using Financial and Economic Variables
  by Qi, Min
• 430-43 Age, Trend, and Cohort Effects in a Macro Model of Canadian Expenditure Patterns
  by Denton, Frank T & Mountain, Dean C & Spencer, Byron G
• 444-55 CoSmo: A Constrained Scatterplot Smoother for Estimating Convex, Monotonic Transformations
  by Dole, David
• 456-65 Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths
  by Luginbuhl, Rob & de Vos, Aart
• 466-72 Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate
  by Dueker, Michael
• 473-78 Estimating and Interpreting Models with Endogenous Treatment Effects
  by Vella, Francis & Verbeek, Marno
• 479-86 Allowing for Zeros in Dichotomous-Choice Contingent-Valuation Models
  by Werner, Megan

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