Contact information of Elsevier
Corrections
All material on this site has been provided by the respective publishers and authors. You can help
correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .
Content
2012, Volume 166, Issue 1
2011, Volume 165, Issue 2
- 137-151 Inference with dependent data using cluster covariance estimators
by Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B.
- 152-162 A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
by Swensen, Anders Rygh
- 163-174 Hypothesis testing in linear regression when k/n is large
by Calhoun, Gray
- 175-189 Volatility contagion: A range-based volatility approach
by Chiang, Min-Hsien & Wang, Li-Min
- 190-209 Particle filters for continuous likelihood evaluation and maximisation
by Malik, Sheheryar & Pitt, Michael K.
- 210-220 Bayesian inference in a time varying cointegration model
by Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W.
- 221-232 Bayesian inference in a sample selection model
by van Hasselt, Martijn
- 233-245 Functional data analysis for volatility
by Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich
- 246-257 Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
by Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel
- 258-265 Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known
by Tripathi, Gautam
- 266-274 Semiparametric estimation of a bivariate Tobit model
by Chen, Songnian & Zhou, Xianbo
2011, Volume 165, Issue 1
- 5-19 Asymptotic theory for nonparametric regression with spatial data
by Robinson, P.M.
- 20-29 Control variate method for stationary processes
by Amano, Tomoyuki & Taniguchi, Masanobu
- 30-44 Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models
by Wang, Liqun & Hsiao, Cheng
- 45-57 Properties of the CUE estimator and a modification with moments
by Hausman, Jerry & Lewis, Randall & Menzel, Konrad & Newey, Whitney
- 58-69 On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments
by Anderson, T.W. & Kunitomo, Naoto & Matsushita, Yukitoshi
- 70-86 Instrumental variable estimation in the presence of many moment conditions
by Okui, Ryo
- 87-99 Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
by Hsu, Shih-Hsun & Kuan, Chung-Ming
- 100-111 Moment-based estimation of smooth transition regression models with endogenous variables
by Areosa, Waldyr Dutra & McAleer, Michael & Medeiros, Marcelo C.
- 112-127 A consistent nonparametric test for nonlinear causality—Specification in time series regression
by Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho
- 128-136 Linear programming-based estimators in simple linear regression
by Preve, Daniel & Medeiros, Marcelo C.
October 2011, Volume 164, Issue 2
- 207-217 A family of empirical likelihood functions and estimators for the binary response model
by Mittelhammer, Ron C. & Judge, George
- 218-238 Model selection criteria in multivariate models with multiple structural changes
by Kurozumi, Eiji & Tuvaandorj, Purevdorj
- 239-251 A new method of projection-based inference in GMM with weakly identified nuisance parameters
by Chaudhuri, Saraswata & Zivot, Eric
- 252-267 Measuring correlations of integrated but not cointegrated variables: A semiparametric approach
by Sun, Yiguo & Hsiao, Cheng & Li, Qi
- 268-293 Generalized spectral testing for multivariate continuous-time models
by Chen, Bin & Hong, Yongmiao
- 294-309 How many consumers are rational?
by Hoderlein, Stefan
- 310-330 Estimating a common deterministic time trend break in large panels with cross sectional dependence
by Kim, Dukpa
- 331-344 Testing and detecting jumps based on a discretely observed process
by Fan, Yingying & Fan, Jianqing
- 345-366 Robust trend inference with series variance estimator and testing-optimal smoothing parameter
by Sun, Yixiao
- 367-381 Realized Laplace transforms for estimation of jump diffusive volatility models
by Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna
- 382-403 Semi-nonparametric estimation and misspecification testing of diffusion models
by Kristensen, Dennis
September 2011, Volume 164, Issue 1
- 1-3 Annals issue on forecasting--Guest editors' introduction
by Issler, João Victor & Linton, Oliver & Timmermann, Allan
- 4-20 The affine arbitrage-free class of Nelson-Siegel term structure models
by Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D.
- 21-34 How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
by Carriero, Andrea & Giacomini, Raffaella
- 35-44 Do interest rate options contain information about excess returns?
by Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott
- 45-59 A component model for dynamic correlations
by Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric
- 60-78 Predictability of stock returns and asset allocation under structural breaks
by Pettenuzzo, Davide & Timmermann, Allan
- 79-91 A control function approach for testing the usefulness of trending variables in forecast models and linear regression
by Elliott, Graham
- 92-115 A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
by Atak, Alev & Linton, Oliver & Xiao, Zhijie
- 116-129 Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
by Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid
- 130-141 Optimal prediction pools
by Geweke, John & Amisano, Gianni
- 142-157 Quantile regression for dynamic panel data with fixed effects
by Galvao Jr., Antonio F.
- 158-172 Understanding models' forecasting performance
by Rossi, Barbara & Sekhposyan, Tatevik
- 173-187 Variable selection, estimation and inference for multi-period forecasting problems
by Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan
- 188-205 A two-step estimator for large approximate dynamic factor models based on Kalman filtering
by Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia
August 2011, Volume 163, Issue 2
- 127-143 Asymptotic distributions of impulse response functions in short panel vector autoregressions
by Cao, Bolong & Sun, Yixiao
- 144-162 Bias corrections for two-step fixed effects panel data estimators
by Fernández-Val, Iván & Vella, Francis
- 163-171 Nonparametric identification of a binary random factor in cross section data
by Dong, Yingying & Lewbel, Arthur
- 172-185 Inference and prediction in a multiple-structural-break model
by Geweke, John & Jiang, Yu
- 186-199 An I(d) model with trend and cycles
by Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas
- 200-214 A class of simple distribution-free rank-based unit root tests
by Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M.
- 215-230 Likelihood-based scoring rules for comparing density forecasts in tails
by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
July 2011, Volume 163, Issue 1
- 1-3 Factor structures for panel and multivariate time series data
by Palm, Franz C. & Urbain, Jean-Pierre
- 4-22 Infinite-dimensional VARs and factor models
by Chudik, Alexander & Pesaran, M. Hashem
- 23-28 The general dynamic factor model: One-sided representation results
by Forni, Mario & Lippi, Marco
- 29-41 Dynamic factors in the presence of blocks
by Hallin, Marc & Liska, Roman
- 42-50 Market liquidity as dynamic factors
by Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David
- 51-70 Fitting dynamic factor models to non-stationary time series
by Eichler, Michael & Motta, Giovanni & von Sachs, Rainer
- 71-84 Testing for structural breaks in dynamic factor models
by Breitung, Jörg & Eickmeier, Sandra
- 85-104 Cross-sectional dependence robust block bootstrap panel unit root tests
by Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre
- 105-117 A characterization of vector autoregressive processes with common cyclical features
by Franchi, Massimo & Paruolo, Paolo
- 118-126 Method of moments estimation of GO-GARCH models
by Peter Boswijk, H. & van der Weide, Roy
June 2011, Volume 162, Issue 2
- 149-169 Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil
- 170-188 Estimating features of a distribution from binomial data
by Lewbel, Arthur & McFadden, Daniel & Linton, Oliver
- 189-212 A martingale approach for testing diffusion models based on infinitesimal operator
by Song, Zhaogang
- 213-224 A bootstrap-assisted spectral test of white noise under unknown dependence
by Shao, Xiaofeng
- 225-239 Nonparametric model validations for hidden Markov models with applications in financial econometrics
by Zhao, Zhibiao
- 240-247 Estimation of fractional integration under temporal aggregation
by Hassler, Uwe
- 248-267 Estimating structural changes in regression quantiles
by Oka, Tatsushi & Qu, Zhongjun
- 268-277 A new class of asymptotically efficient estimators for moment condition models
by Fan, Yanqin & Gentry, Matthew & Li, Tong
- 278-293 Fourth order pseudo maximum likelihood methods
by Holly, Alberto & Monfort, Alain & Rockinger, Michael
- 294-311 Integrated variance forecasting: Model based vs. reduced form
by Sizova, Natalia
- 312-325 Modeling frailty-correlated defaults using many macroeconomic covariates
by Koopman, Siem Jan & Lucas, André & Schwaab, Bernd
- 326-344 Generalized runs tests for the IID hypothesis
by Cho, Jin Seo & White, Halbert
- 345-361 Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
by Li, Mingliang & Tobias, Justin L.
- 362-368 Regression with imputed covariates: A generalized missing-indicator approach
by Dardanoni, Valentino & Modica, Salvatore & Peracchi, Franco
- 369-382 Bayesian estimation of an extended local scale stochastic volatility model
by Deschamps, Philippe J.
- 383-396 Stick-breaking autoregressive processes
by Griffin, J.E. & Steel, M.F.J.
May 2011, Volume 162, Issue 1
- 1-5 The economics and econometrics of risk: An introduction to the special issue
by Zellner, Arnold & Zilberman, David
- 6-17 Global identification of risk preferences with revealed preference data
by Just, Richard E. & Just, David R.
- 18-24 Risk behavior in the presence of government programs
by Serra, Teresa & Goodwin, Barry K. & Featherstone, Allen M.
- 25-34 Calibrating the wealth effects of decoupled payments: Does decreasing absolute risk aversion matter?
by Just, David R.
- 35-43 Agricultural arbitrage and risk preferences
by Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E.
- 44-54 The empirical relevance of the competitive storage model
by Cafiero, Carlo & Bobenrieth H., Eugenio S.A. & Bobenrieth H., Juan R.A. & Wright, Brian D.
- 55-70 A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates
by Egorov, Alexei V. & Li, Haitao & Ng, David
- 71-78 Semi-nonparametric test of second degree stochastic dominance with respect to a function
by Schumann, Keith D.
- 79-88 Mixture models of choice under risk
by Conte, Anna & Hey, John D. & Moffatt, Peter G.
- 89-104 'Stochastically more risk averse:' A contextual theory of stochastic discrete choice under risk
by Wilcox, Nathaniel T.
- 105-113 Evaluation of similarity models for expected utility violations
by Buschena, David E. & Atwood, Joseph A.
- 114-123 Are CEOs expected utility maximizers?
by List, John A. & Mason, Charles F.
- 124-131 A similarity-based approach to prediction
by Gilboa, Itzhak & Lieberman, Offer & Schmeidler, David
- 132-139 The distortion of information to support an emerging evaluation of risk
by Russo, J.E. & Yong, Kevyn
- 140-147 The effects of information about health hazards in food on consumers' choice process
by Heiman, Amir & Lowengart, Oded
April 2011, Volume 161, Issue 2
- 101-109 Modeling data revisions: Measurement error and dynamics of "true" values
by Jacobs, Jan P.A.M. & van Norden, Simon
- 110-121 Empirical likelihood block bootstrapping
by Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi
- 122-128 Tighter bounds in triangular systems
by Jun, Sung Jae & Pinkse, Joris & Xu, Haiqing
- 129-146 Instrumental variable methods for recovering continuous linear functionals
by Santos, Andres
- 147-165 Robustness and inference in nonparametric partial frontier modeling
by Daouia, Abdelaati & Gijbels, Irène
- 166-181 Nonparametric function estimation subject to monotonicity, convexity and other shape constraints
by Shively, Thomas S. & Walker, Stephen G. & Damien, Paul
- 182-202 Large panels with common factors and spatial correlation
by Pesaran, M. Hashem & Tosetti, Elisa
- 203-207 Extending the regression-discontinuity approach to multiple assignment variables
by Papay, John P. & Willett, John B. & Murnane, Richard J.
- 208-227 Matching and semi-parametric IV estimation, a distance-based measure of migration, and the wages of young men
by Ham, John C. & Li, Xianghong & Reagan, Patricia B.
- 228-245 Bias in estimating multivariate and univariate diffusions
by Wang, Xiaohu & Phillips, Peter C.B. & Yu, Jun
- 246-261 Testing for weak identification in possibly nonlinear models
by Inoue, Atsushi & Rossi, Barbara
- 262-283 Subsampling high frequency data
by Kalnina, Ilze
- 284-303 Data-based ranking of realised volatility estimators
by Patton, Andrew J.
- 304-324 Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
by Corradi, Valentina & Swanson, Norman R.
- 325-337 Estimation of stable distributions by indirect inference
by Garcia, René & Renault, Eric & Veredas, David
- 338-338 Corrigendum to "A simple way of computing the inverse moments of a non-central chi-square random variable" [J. Econom. 37 (1988) 389-393]
by Xie, Wen Zhi
March 2011, Volume 161, Issue 1
- 1-5 Introduction to measurement with theory
by Barnett, William A. & Erwin Diewert, W. & Zellner, Arnold
- 6-23 How better monetary statistics could have signaled the financial crisis
by Barnett, William A. & Chauvet, Marcelle
- 24-35 Scanner data, time aggregation and the construction of price indexes
by Ivancic, Lorraine & Erwin Diewert, W. & Fox, Kevin J.
- 36-46 Eliminating chain drift in price indexes based on scanner data
by de Haan, Jan & van der Grient, Heymerik A.
- 47-55 Price dynamics, retail chains and inflation measurement
by Nakamura, Alice O. & Nakamura, Emi & Nakamura, Leonard I.
- 56-81 Wealth accumulation and factors accounting for success
by Pawasutipaisit, Anan & Townsend, Robert M.
- 82-99 National estimates of gross employment and job flows from the Quarterly Workforce Indicators with demographic and industry detail
by Abowd, John M. & Vilhuber, Lars
February 2011, Volume 160, Issue 2
- 289-299 The Hausman test and weak instruments
by Hahn, Jinyong & Ham, John C. & Moon, Hyungsik Roger
- 300-310 Robust tests for heteroskedasticity in the one-way error components model
by Montes-Rojas, Gabriel & Sosa-Escudero, Walter
- 311-325 Multivariate contemporaneous-threshold autoregressive models
by Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio
- 326-348 Panels with non-stationary multifactor error structures
by Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T.
- 349-371 Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
by Kim, Min Seong & Sun, Yixiao
January 2011, Volume 160, Issue 1
- 1-1 Realized Volatility
by Meddahi, Nour & Mykland, Per & Shephard, Neil
- 2-11 Estimating quadratic variation when quoted prices change by a constant increment
by Large, Jeremy
- 12-21 Econometric analysis of jump-driven stochastic volatility models
by Todorov, Viktor
- 22-32 Estimation of objective and risk-neutral distributions based on moments of integrated volatility
by Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric
- 33-47 Estimating covariation: Epps effect, microstructure noise
by Zhang, Lan
- 48-57 The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
by Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard
- 58-68 Covariance measurement in the presence of non-synchronous trading and market microstructure noise
by Griffin, Jim E. & Oomen, Roel C.A.
- 69-76 Do high-frequency measures of volatility improve forecasts of return distributions?
by Maheu, John M. & McCurdy, Thomas H.
- 77-92 Threshold estimation of Markov models with jumps and interest rate modeling
by Mancini, Cecilia & Renò, Roberto
- 93-101 Forecasting multivariate realized stock market volatility
by Bauer, Gregory H. & Vorkink, Keith
- 102-118 Realized jumps on financial markets and predicting credit spreads
by Tauchen, George & Zhou, Hao
- 119-128 High-frequency returns, jumps and the mixture of normals hypothesis
by Fleming, Jeff & Paye, Bradley S.
- 129-144 Box-Cox transforms for realized volatility
by Gonçalves, Sílvia & Meddahi, Nour
- 145-159 Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
by Bandi, Federico M. & Russell, Jeffrey R.
- 160-175 Ultra high frequency volatility estimation with dependent microstructure noise
by Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan
- 176-189 A reduced form framework for modeling volatility of speculative prices based on realized variation measures
by Andersen, Torben G. & Bollerslev, Tim & Huang, Xin
- 190-203 Edgeworth expansions for realized volatility and related estimators
by Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine
- 204-219 Subsampling realised kernels
by Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil
- 220-234 Realized volatility forecasting and market microstructure noise
by Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour
- 235-245 Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
by Bollerslev, Tim & Gibson, Michael & Zhou, Hao
- 246-256 Volatility forecast comparison using imperfect volatility proxies
by Patton, Andrew J.
- 257-271 Volatility forecasting and microstructure noise
by Ghysels, Eric & Sinko, Arthur
- 272-279 Causality effects in return volatility measures with random times
by Renault, Eric & Werker, Bas J.M.
- 280-287 Variance dynamics: Joint evidence from options and high-frequency returns
by Wu, Liuren
December 2010, Volume 159, Issue 2
- 252-266 Characterization of the asymptotic distribution of semiparametric M-estimators
by Ichimura, Hidehiko & Lee, Sokbae
- 267-275 Semiparametric bounds on treatment effects
by Chiburis, Richard C.
- 276-288 Threshold bipower variation and the impact of jumps on volatility forecasting
by Corsi, Fulvio & Pirino, Davide & Renò, Roberto
- 289-302 Dominating estimators for minimum-variance portfolios
by Frahm, Gabriel & Memmel, Christoph
- 303-319 An efficient GMM estimator of spatial autoregressive models
by Liu, Xiaodong & Lee, Lung-fei & Bollinger, Christopher R.
- 320-330 A primal Divisia technical change index based on the output distance function
by Feng, Guohua & Serletis, Apostolos
November 2010, Volume 159, Issue 1
- 1-13 The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study
by Nicoletti, Cheti & Rondinelli, Concetta
- 14-32 Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors
by Blazsek, Szabolcs & Escribano, Alvaro
- 33-45 A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
by Zellner, Arnold & Ando, Tomohiro
- 46-54 A consistent nonparametric test of affiliation in auction models
by Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan
- 55-73 Efficient estimation of a multivariate multiplicative volatility model
by Hafner, Christian M. & Linton, Oliver
- 74-98 Realised quantile-based estimation of the integrated variance
by Christensen, Kim & Oomen, Roel & Podolskij, Mark
- 99-115 GMM estimation of social interaction models with centrality
by Liu, Xiaodong & Lee, Lung-fei
- 116-133 Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
by Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark
- 134-150 A flexible approach to parametric inference in nonlinear and time varying time series models
by Koop, Gary & Potter, Simon
- 151-165 Inconsistency of the MLE and inference based on weighted LS for LARCH models
by Francq, Christian & Zakoïan, Jean-Michel
- 166-182 No-arbitrage macroeconomic determinants of the yield curve
by Bikbov, Ruslan & Chernov, Mikhail
- 183-201 Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
by Zhou, Yong & Wan, Alan T.K. & Xie, Shangyu & Wang, Xiaojing
- 202-208 The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results
by Hayakawa, Kazuhiko
- 209-221 Specification tests of parametric dynamic conditional quantiles
by Escanciano, Juan Carlos & Velasco, Carlos
- 222-234 Root-N-consistent estimation of fixed-effect panel data transformation models with censoring
by Chen, Songnian
- 235-250 Quasi-maximum likelihood estimation of volatility with high frequency data
by Xiu, Dacheng
October 2010, Volume 158, Issue 2
- 175-176 Editorial introduction
by Durlauf, Steven & Spanos, Aris
- 177-203 Testing the correlated random coefficient model
by Heckman, James J. & Schmierer, Daniel & Urzua, Sergio
- 204-220 Akaike-type criteria and the reliability of inference: Model selection versus statistical model specification
by Spanos, Aris
- 221-230 The Bierens test for certain nonstationary models
by Kasparis, Ioannis
- 231-245 A low-dimension portmanteau test for non-linearity
by Castle, Jennifer L. & Hendry, David F.
- 246-261 Regression models with mixed sampling frequencies
by Andreou, Elena & Ghysels, Eric & Kourtellos, Andros
- 262-273 Some identification problems in the cointegrated vector autoregressive model
by Johansen, Søren
- 274-279 Smoothing local-to-moderate unit root theory
by Phillips, Peter C.B. & Magdalinos, Tassos & Giraitis, Liudas
- 280-284 Bootstrapping I(1) data
by Phillips, Peter C.B.
- 285-305 Applications of subsampling, hybrid, and size-correction methods
by Andrews, Donald W.K. & Guggenberger, Patrik
- 306-317 Understanding aggregate crime regressions
by Durlauf, Steven N. & Navarro, Salvador & Rivers, David A.
September 2010, Volume 158, Issue 1
- 1-2 Twenty years of cointegration
by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
- 3-6 Some thoughts on the development of cointegration
by Granger, Clive W.J.
- 7-24 Testing for co-integration in vector autoregressions with non-stationary volatility
by Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert
- 25-36 Forecasting with equilibrium-correction models during structural breaks
by Castle, Jennifer L. & Fawcett, Nicholas W.P. & Hendry, David F.
- 37-50 Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
by Georgiev, Iliyan
- 51-66 Likelihood inference for a nonstationary fractional autoregressive model
by Johansen, Søren & Nielsen, Morten Ørregaard
- 67-77 Likelihood based testing for no fractional cointegration
by Lasak, Katarzyna
- 78-94 Likelihood-based inference for cointegration with nonlinear error-correction
by Kristensen, Dennis & Rahbek, Anders
- 95-107 Modelling and measuring price discovery in commodity markets
by Figuerola-Ferretti, Isabel & Gonzalo, Jesús
- 108-116 Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy
by Jacobs, Jan P.A.M. & Wallis, Kenneth F.
- 117-129 Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate
by Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael
- 130-141 Speed of adjustment in cointegrated systems
by Fanelli, Luca & Paruolo, Paolo
- 142-155 Averaging estimators for autoregressions with a near unit root
by Hansen, Bruce E.
- 156-159 Cointegration in a historical perspective
by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick