Econometrics Journal

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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

2000, Volume 3, Issue 2

• 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

• 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

• 167-191 Data mining reconsidered: encompassing and the general-to-specific approach to specification search
  by Kevin D. Hoover & Stephen J. Perez
• 192-201 Discussion of 'Data mining reconsidered'
  by Bruce E. Hansen
• 202-219 Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
  by David F. Hendry & Hans-Martin Krolzig
• 220-225 Data mining with local model specification uncertainty: a discussion of Hoover and Perez
  by Clive Granger & Allan Timmermann
• 226-240 Contructive data mining: modeling consumers' expenditure in Venezuela
  by Julia Campos & Neil R. Ericsson
• 241-243 Discussion contribution on 'Data mining reconsidered: encompassing and the general-to-specific approach to specification search' by Hoover and Perez
  by David J. Hand
• 244-247 Reply to our discussants
  by Kevin D. Hoover & Stephen J. Perez
• 248-267 Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling
  by Robert P. Sherman & Yu-Yun K. Ho & Siddhartha R. Dalal
• 268-291 The optimal capital structure of a liquidity-insuring bank
  by Hans-Jürg Büttler
• 292-305 Rank estimation of a transformation model with observed truncation
  by Jason Abrevaya
• 306-333 Some tests for parameter constancy in cointegrated VAR-models
  by Henrik Hansen & Søren Johansen

• 1-28 Nonparametric bounds on employment and income effects of continuous vocational training in East Germany
  by Michael Lechner
• 29-48 Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application
  by Murat K. Munkin & Pravin K. Trivedi
• 49-75 Inference for Lorenz curve orderings
  by Valentino Dardanoni & Antonio Forcina
• 76-91 Cointegration rank inference with stationary regressors in VAR models
  by Anders Rahbek & Rocco Mosconi
• 92-106 The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis
  by Stephen J. Leybourne & Paul Newbold
• 107-160 Statistical algorithms for models in state space using SsfPack 2.2
  by Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik
• 161-166 Review of SsfPack 2.2: statistical algorithms for models in state space
  by Marius Ooms

• 1-9 The relation between conditionally heteroskedastic factor models and factor GARCH models
  by Enrique Sentana
• 10-26 Distribution approximation of unit root tests in autoregressive models
  by Rolf Larsson
• 27-43 An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
  by Zhije Xiao & Peter C.B. Phillips
• 44-70 Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
  by Jan F. Kiviet & Garry D.A. Phillips
• i-ii Foreword by the Editors
  by David F. Hendry & Neil Shephard

• C1-C22 Spurious periodic autoregressions
  by Tommaso Proietti
• C23-C46 Bayesian inference on GARCH models using the Gibbs sampler
  by Luc Bauwens & Michel Lubrano
• C47-C75 A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP
  by Michael P. Clements & Hans-Martin Krolzig
• C76-C99 Estimating the Kronecker indices of cointegrated echelon-form VARMA models
  by Holger Bartel & Helmut Lutkepohl
• C100-C112 Control variates for variance reduction in indirect inference: Interest rate models in continuous time
  by Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini
• C113-C128 Estimating stochastic volatility models through indirect inference
  by Chiara Monfardini
• C129-C153 Simulated maximum likelihood estimation in transition models
  by Thierry Kamionka
• C154-C173 Simulation-based finite sample normality tests in linear regressions
  by Jean-Marie Dufour & Abdeljelil Farhat & Lucien Gardiol & Lynda Khalaf
• C174-C202 Simulation-based likelihood inference for limited dependent processes
  by Aurora Manrique & Neil Shephard
• C203-C227 Computationally attractive stability tests for the efficient method of moments
  by Pieter J. Van Der Sluis
• C228-C266 A framework for economic forecasting
  by Neil R. Ericsson & Jaime Marquez
• Ci-Cvii Simulation methods in econometrics: editors' introduction
  by Giampiero M. Gallo & Grayham E. Mizon

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