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Royal Economic Society

Econometrics Journal

Contact information of Royal Economic Society:
Web page: http://www.res.org.uk/
More information through EDIRC

Order information:
Web: http://www.ectj.org
Pricing information: individual rates available on request
Editor:
Editor: Oliver Linton
Editor: Pierre Perron
Editor: Jean-Marc Robin
Editor: Alessio Sancetta
Editor: Marius Ooms
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:ect:emjrnl

More pages of listings: 0|1

2008, Volume 11, Issue 1

1-26 Bootstrapping Autoregression under Non-stationary Volatility
by Ke-Li Xu [Downloadable! (restricted)]
27-38 Estimating GARCH models: when to use what?
by Da Huang & Hansheng Wang & Qiwei Yao [Downloadable! (restricted)]
39-57 Influential observations in cointegrated VAR models: Danish money demand 1973--2003
by Heino Bohn Nielsen [Downloadable! (restricted)]
58-79 Inflation, exchange rates and PPP in a multivariate panel cointegration model
by Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén [Downloadable! (restricted)]
80-104 Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
by Hyungsik Roger Moon & Benoit Perron [Downloadable! (restricted)]
105-127 A bias-adjusted LM test of error cross-section independence
by M. Hashem Pesaran & Aman Ullah & Takashi Yamagata [Downloadable! (restricted)]
128-154 Economic Reform, Growth and Convergence in China
by Esfandiar Maasoumi & Le Wang [Downloadable! (restricted)]
155-171 Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
by Konrad Banachewicz & André Lucas & Aad van der Vaart [Downloadable! (restricted)]
172-192 Stochastic frontier models with dependent error components
by Murray D. Smith [Downloadable! (restricted)]
193-208 Indirect Estimation of α-Stable Distributions and Processes
by Marco J. Lombardi & Giorgio Calzolari [Downloadable! (restricted)]
209-217 Exact formulas for the Hodrick-Prescott filter
by Tucker McElroy [Downloadable! (restricted)]
i-iii The Econometrics Journal of the Royal Economic Society
by Richard J. Smith [Downloadable! (restricted)]

2007, Volume 10, Issue 3

471-487 On the sensitivity of the restricted least squares estimators to covariance misspecification
by Alan T.K. Wan & Guohua Zou & Huaizhen Qin [Downloadable! (restricted)]
488-502 The Tobit model with a non-zero threshold
by Richard T. Carson & Yixiao Sun [Downloadable! (restricted)]
503-520 Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
by P. Dellaportas & I. D. Vrontos [Downloadable! (restricted)]
521-540 Robust estimators for the fixed effects panel data model
by Maria Caterina Bramati & Christophe Croux [Downloadable! (restricted)]
541-553 Moments of IV and JIVE estimators
by Russell Davidson & James G. MacKinnon [Downloadable! (restricted)]
554-579 Expectations hypotheses tests at Long Horizons
by Barbara Rossi [Downloadable! (restricted)]
580-604 Searching for cointegration in a dynamic system
by Zhongjun Qu [Downloadable! (restricted)]
605-636 A mixture-distribution factor model for multivariate outliers
by Iliyan Georgiev [Downloadable! (restricted)]
637-644 Size matters: covariance matrix estimation under the alternative
by Jason Allen [Downloadable! (restricted)]

2007, Volume 10, Issue 2

193-215 Semiparametric competing risks analysis
by José Canals-Cerdá & Shiferaw Gurmu [Downloadable! (restricted)]
216-244 Estimating option implied risk-neutral densities using spline and hypergeometric functions
by Ruijun Bu & Kaddour Hadri [Downloadable! (restricted)]
245-262 On the inconsistency of the unrestricted estimator of the information matrix near a unit root
by Tassos Magdalinos [Downloadable! (restricted)]
263-293 Selection correction in panel data models: An application to the estimation of females' wage equations
by Christian Dustmann & María Engracia Rochina-Barrachina [Downloadable! (restricted)]
294-319 A model selection method for S-estimation
by Arie Preminger & Shinichi Sakata [Downloadable! (restricted)]
320-341 Method of moment estimation in the COGARCH(1,1) model
by S. Haug & C. Klüppelberg & A. Lindner & M. Zapp [Downloadable! (restricted)]
342-358 Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
by Hiroyuki Kawakatsu [Downloadable! (restricted)]
359-407 Propensity score matching without conditional independence assumption--with an application to the gender wage gap in the United Kingdom
by Markus Frölich [Downloadable! (restricted)]
408-425 Bayesian inference for the mixed conditional heteroskedasticity model
by L. Bauwens & J.V.K. Rombouts [Downloadable! (restricted)]
426-438 Two-stage estimation of limited dependent variable models with errors-in-variables
by Liqun Wang & Cheng Hsiao [Downloadable! (restricted)]
439-452 Controlling for overdispersion in grouped conditional logit models: A computationally simple application of Dirichlet-multinomial regression
by Paulo Guimarães & Richard C. Lindrooth [Downloadable! (restricted)]
453-469 Estimation of impulse response functions using long autoregression
by Pao-Li Chang & Shinichi Sakata [Downloadable! (restricted)]

2007, Volume 10, Issue 1

1-34 Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities
by Kyoo il Kim [Downloadable! (restricted)]
35-48 Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
by Bryan W. Brown & Douglas J. Hodgson [Downloadable! (restricted)]
49-81 Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models
by Cheng Hsiao & Siyan Wang [Downloadable! (restricted)]
82-112 How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes?
by Chi-Young Choi & Young-Kyu Moh [Downloadable! (restricted)]
113-123 Non-trading day effects in asymmetric conditional and stochastic volatility models
by Manabu Asai & Michael McAleer [Downloadable! (restricted)]
124-148 Minimum distance estimation of stationary and non-stationary ARFIMA processes
by Laura Mayoral [Downloadable! (restricted)]
149-165 Testing for time series linearity
by David I. Harvey & Stephen J. Leybourne [Downloadable! (restricted)]
166-192 Local sensitivity and diagnostic tests
by Jan R. Magnus & Andrey L. Vasnev [Downloadable! (restricted)]

2006, Volume 9, Issue 3

357-372 Temporal disaggregation by state space methods: Dynamic regression methods revisited
by Tommaso Proietti [Downloadable! (restricted)]
373-403 Change-point monitoring in linear models
by Alexander Aue & Lajos Horváth & Marie Hušková & Piotr Kokoszka [Downloadable! (restricted)]
404-422 The asymptotic distribution of the F-test statistic for individual effects
by Chris D. Orme & Takashi Yamagata [Downloadable! (restricted)]
423-447 A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
by Ai Deng & Pierre Perron [Downloadable! (restricted)]
448-471 Cross-validation and non-parametric k nearest-neighbour estimation
by Desheng Ouyang & Dong Li & Qi Li [Downloadable! (restricted)]
472-491 A sequential procedure for determining the number of regimes in a threshold autoregressive model
by Birgit Strikholm & Timo Teräsvirta [Downloadable! (restricted)]
492-510 Optimal Fractional Dickey-Fuller tests
by Ignacio N. Lobato & Carlos Velasco [Downloadable! (restricted)]
511-540 Non-parametric regression for binary dependent variables
by Markus Frölich [Downloadable! (restricted)]

2006, Volume 9, Issue 2

177-195 Consistent estimation of binary-choice panel data models with heterogeneous linear trends
by Alban Thomas [Downloadable! (restricted)]
196-224 Joint hypothesis specification for unit root tests with a structural break *
by Josep Lluís Carrion-i-Silvestre & Andreu Sansó [Downloadable! (restricted)]
225-251 Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
by Hui Liu & Gabriel Rodríguez [Downloadable! (restricted)]
252-278 Unit root tests in three-regime SETAR models
by George Kapetanios & Yongcheol Shin [Downloadable! (restricted)]
279-290 On robust model selection within the Cox model
by Tadeusz Bednarski & Edyta Mocarska [Downloadable! (restricted)]
291-306 Instrumental variables estimation of stationary and non-stationary cointegrating regressions
by P. M. Robinson & M. Gerolimetto [Downloadable! (restricted)]
307-331 Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization
by Partha Deb & Pravin K. Trivedi [Downloadable! (restricted)]
332-355 Semiparametric estimation and testing of the trend of temperature series
by Jiti Gao & Kim Hawthorne [Downloadable! (restricted)]

2006, Volume 9, Issue 1

1-22 Semiparametric estimation of single-index hazard functions without proportional hazards
by Tue Gørgens [Downloadable! (restricted)]
23-47 Dynamic adjustment cost models with forward-looking behaviour
by Luca Fanelli [Downloadable! (restricted)]
48-75 A bootstrap approach to moment selection
by Atsushi Inoue [Downloadable! (restricted)]
76-97 Simulation-based tests for heteroskedasticity in linear regression models: Some further results
by L. G. Godfrey & C. D. Orme & J. M. C. Santos Silva [Downloadable! (restricted)]
98-122 The polynomial aggregated AR(1) model
by Terence Tai-Leung Chong [Downloadable! (restricted)]
123-158 Mean group tests for stationarity in heterogeneous panels
by Yongcheol Shin & Andy Snell [Downloadable! (restricted)]
159-176 Further results on optimal critical values of pre-test when estimating the regression error variance
by Alan T.K. Wan & Guohua Zou & Kazuhiro Ohtani [Downloadable! (restricted)]

2005, Volume 8, Issue 3

277-291 Estimation of the mean of a univariate normal distribution when the variance is not known
by Dmitry Danilov [Downloadable! (restricted)]
292-305 On the arbitrariness of some asymptotic test statistics based on generalized inverses
by Naorayex K. Dastoor [Downloadable! (restricted)]
306-322 Artificial regression testing in the GARCH-in-mean model
by Riccardo Lucchetti & Eduardo Rossi [Downloadable! (restricted)]
323-351 Residual-based block bootstrap unit root testing in the presence of trend breaks
by Evangelos E. Ioannidis [Downloadable! (restricted)]
352-366 Partially adaptive estimation via the maximum entropy densities
by Ximing Wu & Thanasis Stengos [Downloadable! (restricted)]
367-379 Expansions for approximate maximum likelihood estimators of the fractional difference parameter
by Offer Lieberman & Peter C. B. Phillips [Downloadable! (restricted)]
380-405 Estimating cointegrating relations from a cross section
by Edith Madsen [Downloadable! (restricted)]
406-417 Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances
by Christian Kleiber & Walter Krämer [Downloadable! (restricted)]
418-427 Repeated surveys and the Kalman filter
by Jo Thori Lind [Downloadable! (restricted)]
428-454 Measurement of aggregate risk with copulas
by Markus Junker & Angelika May [Downloadable! (restricted)]

2005, Volume 8, Issue 2

115-142 Moment approximation for least-squares estimators in dynamic regression models with a unit root *
by Jan F. Kiviet & Garry D. A. Phillips [Downloadable! (restricted)]
143-158 Robust modelling of DTARCH models
by Yer Van Hui & Jiancheng Jiang [Downloadable! (restricted)]
159-175 Breaking the panels: An application to the GDP per capita
by Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo [Downloadable! (restricted)]
176-196 Simultaneous equations in ordered discrete responses with regressor-dependent thresholds
by Myoung-Jae Lee & Ayal Kimhi [Downloadable! (restricted)]
197-213 Functional-coefficient models under unit root behaviour
by Ted Juhl [Downloadable! (restricted)]
214-234 Temporal disaggregation using multivariate structural time series models
by Filippo Moauro & Giovanni Savio [Downloadable! (restricted)]
235-250 Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
by Davide Raggi [Downloadable! (restricted)]
251-276 Non-linear GARCH models for highly persistent volatility
by Markku Lanne & Pentti Saikkonen [Downloadable! (restricted)]

2005, Volume 8, Issue 1

1-22 Counts with an endogenous binary regressor: A series expansion approach
by Andrés Romeu & Marcos Vera-Hernández [Downloadable! (restricted)]
23-38 Granger's representation theorem: A closed-form expression for I(1) processes
by Peter Reinhard Hansen [Downloadable! (restricted)]
39-54 On Theil's errors
by Jan R. Magnus & Ashoke K. Sinha [Downloadable! (restricted)]
55-69 Testing for stationarity in heterogeneous panel data where the time dimension is finite
by Kaddour Hadri & Rolf Larsson [Downloadable! (restricted)]
70-78 Bootstrap estimation of covariance matrices via the percentile method
by José A. F. Machado & Paulo Parente [Downloadable! (restricted)]
79-96 Estimating the effect of price limits on limit-hitting days
by Jeff Chung & Li Gan [Downloadable! (restricted)]
97-111 On testing for unit roots and the initial observation
by David I. Harvey & Stephen J. Leybourne [Downloadable! (restricted)]

2004, Volume 7, Issue 2

307-321 The consequences of seasonal adjustment for periodic autoregressive processes
by Tomas del Barrio Castro & Denise R. Osborn [Downloadable! (restricted)]
322-340 Some cautions on the use of panel methods for integrated series of macroeconomic data
by Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat [Downloadable! (restricted)]
341-365 Testing linearity in cointegrating smooth transition regressions
by In Choi & Pentti Saikkonen [Downloadable! (restricted)]
366-388 Response error in a transformation model with an application to earnings-equation estimation *
by Jason Abrevaya & Jerry A. Hausman [Downloadable! (restricted)]
389-397 More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
by Søren Johansen & Anders Rygh Swensen [Downloadable! (restricted)]
398-425 Markov switching stochastic frontier model
by Efthymios G. Tsionas & Subal C. Kumbhakar [Downloadable! (restricted)]
426-454 Semiparametric mixture models for multivariate count data, with application
by Marco Alfò & Giovanni Trovato [Downloadable! (restricted)]
455-475 On the forecasting ability of ARFIMA models when infrequent breaks occur
by Vasco J. Gabriel & Luis F. Martins [Downloadable! (restricted)]
476-504 Oil prices and exchange rates: Norwegian evidence
by Q. Farooq Akram [Downloadable! (restricted)]
505-527 Asymptotic confidence intervals for impulse responses of near-integrated processes
by Nikolay Gospodinov [Downloadable! (restricted)]
528-549 Testing for duration dependence in economic cycles
by Jonathan Ohn & Larry W. Taylor & Adrian Pagan [Downloadable! (restricted)]
550-565 Forecasting in dynamic factor models using Bayesian model averaging
by Gary Koop & Simon Potter [Downloadable! (restricted)]
566-584 Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts
by A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer [Downloadable! (restricted)]
585-617 A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
by Ekaterini Panopoulou & Nikitas Pittis [Downloadable! (restricted)]
618-627 Identification of causal factor models of stationary time series
by Chris Heaton & Victor Solo [Downloadable! (restricted)]
628-651 Vector equilibrium correction models with non-linear discontinuous adjustments
by Frédérique Bec & Anders Rahbek [Downloadable! (restricted)]

2004, Volume 7, Issue 1

1-31 Pooling of forecasts
by David F. Hendry & Michael P. Clements [Downloadable! (restricted)]
32-54 Least squares estimation and tests of breaks in mean and variance under misspecification
by Jean-Yves Pitarakis [Downloadable! (restricted)]
55-62 Linearity tests and stationarity
by Rehim Kilic [Downloadable! (restricted)]
63-97 Efficient inference in multivariate fractionally integrated time series models
by Morten Orregaard Nielsen [Downloadable! (restricted)]
98-119 The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
by William Greene [Downloadable! (restricted)]
120-142 Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
by Wei Zhang & Lung-fei Lee [Downloadable! (restricted)]
143-167 Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques
by Sylvia Fruhwirth-Schnatter [Downloadable! (restricted)]
168-190 Asymptotic inference results for multivariate long-memory processes
by Juan J. Dolado & Francesc Marmol [Downloadable! (restricted)]
191-217 Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion
by D. Harris & D. S. Poskitt [Downloadable! (restricted)]
218-231 Two-stage quantile regression when the first stage is based on quantile regression
by Tae-Hwan Kim & Christophe Muller [Downloadable! (restricted)]
232-248 Modelling phase shifts among stochastic cycles
by Gerhard Runstler [Downloadable! (restricted)]
249-271 Cointegration analysis in the presence of outliers
by Heino Bohn Nielsen [Downloadable! (restricted)]
272-306 Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations
by Jinyong Hahn & Jerry Hausman & Guido Kuersteiner [Downloadable! (restricted)]

2003, Volume 6, Issue 2

261-290 Semiparametric estimation of Value at Risk
by Jianqing Fan & Juan Gu [Downloadable! (restricted)]
291-311 Tests for a change in persistence against the null of difference-stationarity
by Stephen Leybourne & Tae-Hwan Kim & Vanessa Smith & Paul Newbold [Downloadable! (restricted)]
312-334 A full-factor multivariate GARCH model
by I. D. Vrontos & P. Dellaportas & D. N. Politis [Downloadable! (restricted)]
335-356 ARMA representation of integrated and realized variances
by Nour Meddahi [Downloadable! (restricted)]
357-373 A radial basis function artificial neural network test for neglected nonlinearity
by Andrew P. Blake & George Kapetanios [Downloadable! (restricted)]
374-400 Distribution of preferences and measurement errors in a disaggregated expenditure system
by Jørgen Aasness & Erik Biørn & Terje Skjerpen [Downloadable! (restricted)]
401-407 Standard error correction in two-stage estimation with nested samples
by Pinar Karaca-Mandic & Kenneth Train [Downloadable! (restricted)]
408-420 Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
by Renate Meyer & David A. Fournier & Andreas Berg [Downloadable! (restricted)]
421-429 Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative
by A. Sen [Downloadable! (restricted)]
430-461 Econometric inflation targeting
by Gunnar Bardsen & Eilev S. Jansen & Ragnar Nymoen [Downloadable! (restricted)]

2003, Volume 6, Issue 1

1-27 Discrete choice and stochastic utility maximization
by Ruud H. Koning & Geert Ridder [Downloadable! (restricted)]
28-45 Hedonic price index estimation under mean-independence of time dummies from quality characteristics
by Yasushi Kondo & Myoung-jae Lee [Downloadable! (restricted)]
46-52 A note on the estimation of mixture models under endogenous sampling
by J. M. C. Santos Silva [Downloadable! (restricted)]
53-71 An I(2) cointegration analysis of small-country import price determination
by Hans Christian Kongsted [Downloadable! (restricted)]
72-78 Critical values for multiple structural change tests
by Jushan Bai & Pierre Perron [Downloadable! (restricted)]
79-98 The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
by Dick van Dijk ¹ & Birgit Strikholm & Timo Teräsvirta [Downloadable! (restricted)]
99-123 Modelling sample selection using Archimedean copulas
by Murray D. Smith [Downloadable! (restricted)]
124-145 Exploring economic time series: a Bayesian graphical approach
by J. M. Marriott & J. C. Naylor & A. R. Tremayne [Downloadable! (restricted)]
146-166 Moments of the ARMA--EGARCH model
by M. Karanasos & J. Kim [Downloadable! (restricted)]
167-192 Generic consistency of the break-point estimator under specification errors
by Terence Tai-Leung Chong [Downloadable! (restricted)]
193-216 Asymptotics for unit root tests under Markov regime-switching
by Giuseppe Cavaliere [Downloadable! (restricted)]
217-259 Dynamic panel estimation and homogeneity testing under cross section dependence ^*
by Peter C. B. Phillips & Donggyu Sul [Downloadable! (restricted)]

2002, Volume 5, Issue 2

263-284 An investigation of tests for linearity and the accuracy of likelihood based inference using random fields
by Christian M. Dahl [Downloadable! (restricted)]
285-318 Distributions of error correction tests for cointegration
by Neil R. Ericsson & James G. MacKinnon [Downloadable! (restricted)]
319-344 Modelling methodology and forecast failure
by Michael P. Clements & David F. Hendry [Downloadable! (restricted)]
345-357 Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model
by Antonis Demos [Downloadable! (restricted)]
358-374 Residual-based diagnostics for conditional heteroscedasticity models
by Y. K. Tse [Downloadable! (restricted)]
374-387 Lag length and mean break in stationary VAR models
by Minxian Yang [Downloadable! (restricted)]
387-416 Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
by Claudia Klüppelberg & Ross A. Maller & Mark van de Vyver & Derick Wee [Downloadable! (restricted)]
417-434 Multinomial probit estimation without nuisance parameters
by Jon A. Breslaw [Downloadable! (restricted)]
435-456 Estimating saving functions in the presence of excessive-zeros problems
by Atsushi Yoshida & Alessandra Guariglia [Downloadable! (restricted)]
457-479 Projection estimators for autoregressive panel data models
by Stephen Bond & Frank Windmeijer [Downloadable! (restricted)]
480-493 A comparative study of alternative estimators for the unbalanced two-way error component regression model
by Badi H. Baltagi & Seuck H. Song & Byoung C. Jung [Downloadable! (restricted)]
494-519 Bounds for inference with nuisance parameters present only under the alternative
by Filippo Altissimo & Valentina Corradi [Downloadable! (restricted)]
520-532 An optimal test against a random walk component in a non-orthogonal unobserved components model
by Ralph W. Bailey & A. M. Robert Taylor [Downloadable! (restricted)]

2002, Volume 5, Issue 1

1-39 Model selection tests for nonlinear dynamic models
by Douglas Rivers & Quang Vuong [Downloadable! (restricted)]
40-64 Progress from forecast failure -- the Norwegian consumption function
by Øyvind Eitrheim & Eilev S. Jansen & Ragnar Nymoen [Downloadable! (restricted)]
65-75 On Monte Carlo estimation of relative power
by Paolo Paruolo [Downloadable! (restricted)]
76-90 Notation in econometrics: a proposal for a standard
by Karim M. Abadir & Jan R. Magnus [Downloadable! (restricted)]
91-103 A new technique for simulating the likelihood of stochastic differential equations
by João Nicolau [Downloadable! (restricted)]
104-130 Testing linear restrictions in linear models with empirical likelihood
by Francesco Bravo [Downloadable! (restricted)]
131-148 The tapered block bootstrap for general statistics from stationary sequences
by Efstathios Paparoditis & Dimitris N. Politis [Downloadable! (restricted)]
149-159 Exact interpretation of dummy variables in semilogarithmic equations
by Kees Jan Van Garderen & Chandra Shah [Downloadable! (restricted)]
160-175 Consistency of kernel variance estimators for sums of semiparametric linear processes
by James Davidson & Robert M. De Jong [Downloadable! (restricted)]
176-195 On LM type tests for seasonal unit roots in quarterly data
by Paulo M. M. Rodrigues [Downloadable! (restricted)]
196-224 Forecasting autoregressive time series in the presence of deterministic components
by Serena Ng & Timothy J. Vogelsang [Downloadable! (restricted)]
225-236 Estimation of the mean of a univariate normal distribution with known variance
by Jan R. Magnus [Downloadable! (restricted)]
237-262 Maximum likelihood estimates for the Hildreth-Houck random coefficients model
by Asad Zaman [Downloadable! (restricted)]

2001, Volume 4, Issue 2

1 Distinguishing between trend-break models: method and empirical evidence
by Chih-Chiang Hsu & Chung-Ming Kuan
2 Wage formation and employment in a cointegrated VAR model
by Thórarinn G. Pétursson & Torsten Sløk
3 A Gaussian approach for continuous time models of the short-term interest rate
by Jun Yu & Peter C. B. Phillips
4 Markov level shifts and the unit-root hypothesis
by Zacharias Psaradakis
5 The limiting distribution of the t-ratio for the unit root test in an AR(1)
by Franz K. Dietrich
6 Testing for optimality in job search models
by Gary Koop & Dale J. Poirier
7 Stochastic specification and the international GDP series
by Alok Bhargava
8 Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
by Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler
9 Review of PcGets 1 for Windows
by Gunnar Bårdsen
10 The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
by Morten B. Jensen & Asger Lunde

2001, Volume 4, Issue 1

S1-S19 Forecasting with difference-stationary and trend-stationary models
by Michael P. Clements & David F.Hendry
S20-S36 Fiscal forecasting: The track record of the IMF, OECD and EC
by Michael Artis & Massimiliano Marcellino
S37-S55 Analysis of a panel of UK macroeconomic forecasts
by David I. Harvey & Stephen J. Leybourne & Paul Newbold
38 Are apparent findings of nonlinearity due to structural instability in economic time series?
by Gary Koop & Simon M. Potter
39 Graphical conditional moment tests
by Peter G. Moffatt
40 Estimation of AR(1) models with unequally spaced pseudo-panels
by David J. Mckenzie
41 Likelihood-based cointegration tests in heterogeneous panels
by Rolf Larsson & Johan Lyhagen & Mickael Lothgren
42 Asymptotic approximations in the near-integrated model with a non-zero initial condition
by Pierre Perron & Cosme Vodounou
39 Testing the unit root hypothesis using generalized range statistics
by Giuseppe Cavaliere
37 An automatic leading indicator of economic activity: forecasting GDP growth for European countries
by Gonzalo Camba-Mendez & George Kapetanios & Richard J. Smith & Martin R. Weale
1-36 Nonlinear econometric models with cointegrated and deterministically trending regressors
by Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips

2000, Volume 3, Issue 2

123-147 Prediction-based estimating functions
by Michael Sørensen
148-161 Testing for stationarity in heterogeneous panel data
by Kaddour Hadri
162-176 The representative household’s demand for money in a cointegrated VAR model
by Thórarinn G. Pétursson
177-197 Testing for linear autoregressive dynamics under heteroskedasticity
by Christian M. Hafner & Helmut Herwartz
198-215 BUGS for a Bayesian analysis of stochastic volatility models
by Renate Meyer & Jun Yu
216-249 Cointegration analysis in the presence of structural breaks in the deterministic trend
by Søren Johansen & Rocco Mosconi & Bent Nielsen [Downloadable!]
250-264 Determining the order of differencing in seasonal time series processes
by Philip Hans Franses And A. M. Robert Taylor

2000, Volume 3, Issue 1

1-15 Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
by Stephen J. Leybourne And Paul Newbold
16-38 Non-monotonic hazard functions and the autoregressive conditional duration model
by Joachim Grammig & Kai-Oliver Maurer
39-65 Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
by Sylvia Kaufmann
66-83 Controlling the significance levels of prediction error tests for linear regression models
by Leslie G. Godfrey & Chris D. Orme
84-107 Signal extraction and the formulation of unobserved components models
by Andrew Harvey & Siem Jan Koopman
108-121 The finite sample distribution of the KPSS test
by Attila Hornok & Rolf Larsson

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This page was last updated on 2008-5-18.

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