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Elsevier Journal of Econometrics Contact information of
Elsevier: http://www.elsevier.com/locate/jeconom
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2007, Volume 137, Issue 2
515-555 Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction by Chao, John & Swanson, Norman R. [Downloadable! (restricted)]
556-576 Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations by Hang Chan, Ngai & Deng, Shi-Jie & Peng, Liang & Xia, Zhendong [Downloadable! (restricted)]
577-614 On efficient estimation of the ordered response model by Coppejans, Mark [Downloadable! (restricted)]
615-640 MCMC maximum likelihood for latent state models by Jacquier, Eric & Johannes, Michael & Polson, Nicholas [Downloadable! (restricted)]
641-673 Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers by Ferreira, Jose T.A.S. & Steel, Mark F.J. [Downloadable! (restricted)]
674-707 Inference on inequality from household survey data by Bhattacharya, Debopam [Downloadable! (restricted)]
708-728 Marginal likelihood and unit roots by Francke, Marc K. & de Vos, Aart F. [Downloadable! (restricted)]
2007, Volume 137, Issue 1 1-27 Nonparametric stochastic frontiers: A local maximum likelihood approach by Kumbhakar, Subal C. & Park, Byeong U. & Simar, Leopold & Tsionas, Efthymios G. [Downloadable! (restricted)]
28-67 Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases by Caner, Mehmet [Downloadable! (restricted)]
68-111 Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity by Seo, Byeongseon [Downloadable! (restricted)]
112-133 A unified approach to nonlinearity, structural change, and outliers by Giordani, Paolo & Kohn, Robert & van Dijk, Dick [Downloadable! (restricted)]
134-161 Selection of estimation window in the presence of breaks by Pesaran, M. Hashem & Timmermann, Allan [Downloadable! (restricted)]
162-188 Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence by Phillips, Peter C.B. & Sul, Donggyu [Downloadable! (restricted)]
189-229 An efficient nonparametric estimator for models with nonlinear dependence by Gagliardini, Patrick & Gourieroux, Christian [Downloadable! (restricted)]
230-259 Nonstationary nonlinear heteroskedasticity in regression by Chung, Heetaik & Park, Joon Y. [Downloadable! (restricted)]
260-276 Bayesian analysis of a Tobit quantile regression model by Yu, Keming & Stander, Julian [Downloadable! (restricted)]
2007, Volume 136, Issue 2 325-329 Special issue editors' introduction: The interface between econometrics and economic theory by Aliprantis, Charalambos D. & Barnett, William A. & Cornet, Bernard & Durlauf, Steven [Downloadable! (restricted)]
331-339 Philosophy and objectives of econometrics by Zellner, Arnold [Downloadable! (restricted)]
341-396 Dynamic discrete choice and dynamic treatment effects by Heckman, James J. & Navarro, Salvador [Downloadable! (restricted)]
397-430 Indirect inference and calibration of dynamic stochastic general equilibrium models by Dridi, Ramdan & Guay, Alain & Renault, Eric [Downloadable! (restricted)]
431-456 Riesz estimators by Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee [Downloadable! (restricted)]
457-482 Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries by Barnett, William A. [Downloadable! (restricted)]
483-508 Growth and convergence: A profile of distribution dynamics and mobility by Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis [Downloadable! (restricted)]
509-530 Econometric specification of stochastic discount factor models by Gourieroux, C. & Monfort, A. [Downloadable! (restricted)]
531-564 Empirical labor search: A survey by Eckstein, Zvi & van den Berg, Gerard J. [Downloadable! (restricted)]
565-594 Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling by Kapetanios, G. & Pagan, A. & Scott, A. [Downloadable! (restricted)]
595-627 Econometric analysis of linearized singular dynamic stochastic general equilibrium models by Bierens, Herman J. [Downloadable! (restricted)]
629-664 Model uncertainty and policy evaluation: Some theory and empirics by Brock, William A. & Durlauf, Steven N. & West, Kenneth D. [Downloadable! (restricted)]
665-698 Selection into and across credit contracts: Theory and field research by Ahlin, Christian & Townsend, Robert M. [Downloadable! (restricted)]
699-723 Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data by Corradi, Valentina & Swanson, Norman R. [Downloadable! (restricted)]
2007, Volume 136, Issue 1 1-29 Frequency domain estimation of temporally aggregated Gaussian cointegrated systems by Chambers, Marcus J. & Roderick McCrorie, J. [Downloadable! (restricted)]
31-64 Estimation and inference in two-stage, semi-parametric models of production processes by Simar, Leopold & Wilson, Paul W. [Downloadable! (restricted)]
65-88 A method of estimating the average derivative by Banerjee, Anurag [Downloadable! (restricted)]
89-114 Asymmetry and nonstationarity for a seasonal time series model by Shin, Dong Wan & Lee, Oesook [Downloadable! (restricted)]
115-130 Limit theory for moderate deviations from a unit root by Phillips, Peter C.B. & Magdalinos, Tassos [Downloadable! (restricted)]
131-162 Non-parametric tests of productive efficiency with errors-in-variables by Kuosmanen, Timo & Post, Thierry & Scholtes, Stefan [Downloadable! (restricted)]
163-188 Trending time-varying coefficient time series models with serially correlated errors by Cai, Zongwu [Downloadable! (restricted)]
189-211 A simple ordered data estimator for inverse density weighted expectations by Lewbel, Arthur & Schennach, Susanne M. [Downloadable! (restricted)]
213-235 An econometric method of correcting for unit nonresponse bias in surveys by Korinek, Anton & Mistiaen, Johan A. & Ravallion, Martin [Downloadable! (restricted)]
237-249 Aggregation and memory of models of changing volatility by Zaffaroni, Paolo [Downloadable! (restricted)]
251-280 Partial rank estimation of duration models with general forms of censoring by Khan, Shakeeb & Tamer, Elie [Downloadable! (restricted)]
281-301 Semiparametric efficient estimation of dynamic panel data models by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold [Downloadable! (restricted)]
303-318 Time reversibility of stationary regular finite-state Markov chains by McCausland, William J. [Downloadable! (restricted)]
319-324 General-to-specific or specific-to-general modelling? An opinion on current econometric terminology by Lutkepohl, Helmut [Downloadable! (restricted)]
2006, Volume 135, Issue 1-2 1-9 Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger by Swanson, Norman R. & Elliott, Graham & Ghysels, Eric & Gonzalo, Jesus [Downloadable! (restricted)]
11-13 Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 by Granger, Clive W.J. [Downloadable! (restricted)]
15-29 Structural attribution of observed volatility clustering by Granger, Clive W.J. & Machina, Mark J. [Downloadable! (restricted)]
31-53 Persistence in forecasting performance and conditional combination strategies by Aiolfi, Marco & Timmermann, Allan [Downloadable! (restricted)]
55-76 Reduced rank regression for blocks of simultaneous equations by Anderson, T.W. [Downloadable! (restricted)]
77-124 Monitoring disruptions in financial markets by Andreou, Elena & Ghysels, Eric [Downloadable! (restricted)]
125-154 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification by Chen, Xiaohong & Fan, Yanqin [Downloadable! (restricted)]
155-186 Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis by Clark, Todd E. & West, Kenneth D. [Downloadable! (restricted)]
187-228 Predictive density and conditional confidence interval accuracy tests by Corradi, Valentina & Swanson, Norman R. [Downloadable! (restricted)]
229-254 Finite-sample simulation-based inference in VAR models with application to Granger causality testing by Dufour, Jean-Marie & Jouini, Tarek [Downloadable! (restricted)]
255-284 Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? by Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao [Downloadable! (restricted)]
285-310 Minimizing the impact of the initial condition on testing for unit roots by Elliott, Graham & Muller, Ulrich K. [Downloadable! (restricted)]
311-347 Large shocks vs. small shocks. (Or does size matter? May be so.) by Gonzalo, Jesus & Martinez, Oscar [Downloadable! (restricted)]
349-376 A regime switching long memory model for electricity prices by Haldrup, Niels & Nielsen, Morten Orregaard [Downloadable! (restricted)]
377-398 Interval forecasts and parameter uncertainty by Hansen, Bruce E. [Downloadable! (restricted)]
399-426 Robustifying forecasts from equilibrium-correction systems by Hendry, David F. [Downloadable! (restricted)]
427-463 Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process by Hsiao, Cheng & Wang, Siyan [Downloadable! (restricted)]
465-497 Bagging binary and quantile predictors for time series by Lee, Tae-Hwy & Yang, Yang [Downloadable! (restricted)]
499-526 A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series by Marcellino, Massimiliano & Stock, James H. & Watson, Mark W. [Downloadable! (restricted)]
527-566 Time-series estimation of the effects of natural experiments by White, Halbert [Downloadable! (restricted)]
2006, Volume 134, Issue 2 317-340 Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis by Kumbhakar, Subal C. & Wang, Hung-Jen [Downloadable! (restricted)]
341-371 Analysis of high dimensional multivariate stochastic volatility models by Chib, Siddhartha & Nardari, Federico & Shephard, Neil [Downloadable! (restricted)]
373-399 Estimating restricted structural change models by Perron, Pierre & Qu, Zhongjun [Downloadable! (restricted)]
401-417 Joint LM test for homoskedasticity in a one-way error component model by Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain [Downloadable! (restricted)]
419-440 Estimation of technical and allocative inefficiency: A primal system approach by Kumbhakar, Subal C. & Wang, Hung-Jen [Downloadable! (restricted)]
441-469 Modified tests for a change in persistence by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert [Downloadable! (restricted)]
471-506 Quantile regression methods for recursive structural equation models by Ma, Lingjie & Koenker, Roger [Downloadable! (restricted)]
507-551 Saddlepoint approximations for continuous-time Markov processes by Ai[dieresis]t-Sahalia, Yacine & Yu, Jialin [Downloadable! (restricted)]
553-577 Markov-switching model selection using Kullback-Leibler divergence by Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling [Downloadable! (restricted)]
579-604 Residual autocorrelation testing for vector error correction models by Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti [Downloadable! (restricted)]
605-644 Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility by Griffin, J.E. & Steel, M.F.J. [Downloadable! (restricted)]
645-664 Bayesian point estimation of the cointegration space by Villani, Mattias [Downloadable! (restricted)]
2006, Volume 134, Issue 1 1-68 Asymptotic properties of Monte Carlo estimators of diffusion processes by Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel [Downloadable! (restricted)]
69-94 Identification and estimation in sequential, asymmetric, English auctions by Brendstrup, Bjarne & Paarsch, Harry J. [Downloadable! (restricted)]
95-128 Matrix exponential GARCH by Kawakatsu, Hiroyuki [Downloadable! (restricted)]
129-150 Bootstrap testing for the null of no cointegration in a threshold vector error correction model by Seo, Myunghwan [Downloadable! (restricted)]
151-185 Generalized spectral tests for the martingale difference hypothesis by Escanciano, J. Carlos & Velasco, Carlos [Downloadable! (restricted)]
187-214 Estimation of quantity games in the presence of indivisibilities and heterogeneous firms by Davis, Peter [Downloadable! (restricted)]
215-234 An instrumental variable approach for panel unit root tests under cross-sectional dependence by Shin, Dong Wan & Kang, Seungho [Downloadable! (restricted)]
235-256 Distributional properties of portfolio weights by Okhrin, Yarema & Schmid, Wolfgang [Downloadable! (restricted)]
257-281 Estimation of mis-specified long memory models by Chen, Willa W. & Deo, Rohit S. [Downloadable! (restricted)]
283-315 Semiparametric Bayesian inference in smooth coefficient models by Koop, Gary & Tobias, Justin L. [Downloadable! (restricted)]
2006, Volume 133, Issue 2 411-419 Resampling methods in econometrics by Dufour, Jean-Marie & Perron, Benoit [Downloadable! (restricted)]
421-441 The power of bootstrap and asymptotic tests by Davidson, Russell & MacKinnon, James G. [Downloadable! (restricted)]
443-477 Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics by Dufour, Jean-Marie [Downloadable! (restricted)]
479-512 MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm by Jouneau-Sion, Frederic & Torres, Olivier [Downloadable! (restricted)]
513-529 Exact permutation tests for non-nested non-linear regression models by Luger, Richard [Downloadable! (restricted)]
531-555 Bootstrapping GMM estimators for time series by Inoue, Atsushi & Shintani, Mototsugu [Downloadable! (restricted)]
557-578 A fast subsampling method for nonlinear dynamic models by Hong, H. & Scaillet, O. [Downloadable! (restricted)]
579-599 Nonparametric state price density estimation using constrained least squares and the bootstrap by Yatchew, Adonis & Hardle, Wolfgang [Downloadable! (restricted)]
601-638 Unit root testing via the stationary bootstrap by Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N. [Downloadable! (restricted)]
639-672 A bootstrap theory for weakly integrated processes by Park, Joon Y. [Downloadable! (restricted)]
673-702 Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes by Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim [Downloadable! (restricted)]
703-739 Bootstrapping cointegrating regressions by Chang, Yoosoon & Park, Joon Y. & Song, Kevin [Downloadable! (restricted)]
741-777 Alternative bootstrap procedures for testing cointegration in fractionally integrated processes by Davidson, James [Downloadable! (restricted)]
779-806 Bootstrap conditional distribution tests in the presence of dynamic misspecification by Corradi, Valentina & Swanson, Norman R. [Downloadable! (restricted)]
807-839 Bootstrap specification tests for linear covariance stationary processes by Hidalgo, J. & Kreiss, J.-P. [Downloadable! (restricted)]
841-862 Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness by Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E. [Downloadable! (restricted)]
863-886 A consistent bootstrap test for conditional density functions with time-series data by Li, Fuchun & Tkacz, Greg [Downloadable! (restricted)]
2006, Volume 133, Issue 1 1-29 Estimation of models with grouped and ungrouped data by means of "2SLS" by Dhrymes, Phoebus J. & Lleras-Muney, Adriana [Downloadable! (restricted)]
31-49 Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market by Radchenko, Stanislav & Tsurumi, Hiroki [Downloadable! (restricted)]
51-70 Bounding parameters in a linear regression model with a mismeasured regressor using additional information by Hu, Yingyao [Downloadable! (restricted)]
71-96 Estimation of stochastic frontier production functions with input-oriented technical efficiency by Kumbhakar, Subal C. & Tsionas, Efthymios G. [Downloadable! (restricted)]
97-126 Generalized reduced rank tests using the singular value decomposition by Kleibergen, Frank & Paap, Richard [Downloadable! (restricted)]
127-152 The thick market effect on local unemployment rate fluctuations by Gan, Li & Zhang, Qinghua [Downloadable! (restricted)]
153-190 A flexible prior distribution for Markov switching autoregressions with Student-t errors by Deschamps, Philippe J. [Downloadable! (restricted)]
191-205 Testing for stochastic dominance using the weighted McFadden-type statistic by Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas [Downloadable! (restricted)]
207-241 Functional coefficient instrumental variables models by Cai, Zongwu & Das, Mitali & Xiong, Huaiyu & Wu, Xizhi [Downloadable! (restricted)]
243-271 Simulation-based estimation of peer effects by Krauth, Brian V. [Downloadable! (restricted)]
273-305 Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models by Durham, Garland B. [Downloadable! (restricted)]
307-341 Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data by Guell, Maia & Hu, Luojia [Downloadable! (restricted)]
343-371 Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting by Christensen, Bent Jesper & Nielsen, Morten Orregaard [Downloadable! (restricted)]
373-386 Semiparametric efficient adaptive estimation of asymmetric GARCH models by Sun, Yiguo & Stengos, Thanasis [Downloadable! (restricted)]
387-409 GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model by Doran, Howard E. & Schmidt, Peter [Downloadable! (restricted)]
2006, Volume 132, Issue 2 305-309 Causality and exogeneity in econometrics by Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre [Downloadable! (restricted)]
311-336 Granger causality and the sampling of economic processes by McCrorie, J. Roderick & Chambers, Marcus J. [Downloadable! (restricted)]
337-362 Short run and long run causality in time series: inference by Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric [Downloadable! (restricted)]
363-378 Testing for short- and long-run causality: A frequency-domain approach by Breitung, Jorg & Candelon, Bertrand [Downloadable! (restricted)]
379-407 Non-causality in bivariate binary time series by Mosconi, Rocco & Seri, Raffaello [Downloadable! (restricted)]
409-444 The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models by Bun, Maurice J.G. & Kiviet, Jan F. [Downloadable! (restricted)]
445-459 Identification and estimation of statistical functionals using incomplete data by Horowitz, Joel L. & Manski, Charles F. [Downloadable! (restricted)]
461-489 Nonresponse in dynamic panel data models by Nicoletti, Cheti [Downloadable! (restricted)]
491-525 Instrumental quantile regression inference for structural and treatment effect models by Chernozhukov, Victor & Hansen, Christian [Downloadable! (restricted)]
527-543 Exogeneity in structural equation models by de Luna, Xavier & Johansson, Per [Downloadable! (restricted)]
2006, Volume 132, Issue 1 1-5 Common features by Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid [Downloadable! (restricted)]
7-42 A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones by Engle, Robert F. & Marcucci, Juri [Downloadable! (restricted)]
43-57 Common factors in conditional distributions for bivariate time series by Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J. [Downloadable! (restricted)]
59-79 Synchronization of cycles by Harding, Don & Pagan, Adrian [Downloadable! (restricted)]
81-115 Statistical analysis of hypotheses on the cointegrating relations in the I(2) model by Johansen, Soren [Downloadable! (restricted)]
117-141 Common cyclical features analysis in VAR models with cointegration by Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre [Downloadable! (restricted)]
143-168 Common trends and cycles in I(2) VAR systems by Paruolo, Paolo [Downloadable! (restricted)]
169-194 Are more data always better for factor analysis? by Boivin, Jean & Ng, Serena [Downloadable! (restricted)]
195-229 The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test by Corradi, Valentina & Swanson, Norman R. [Downloadable! (restricted)]
231-255 The common and specific components of dynamic volatility by Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver [Downloadable! (restricted)]
257-279 VARs, common factors and the empirical validation of equilibrium business cycle models by Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca [Downloadable! (restricted)]
281-303 The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity by Issler, Joao Victor & Vahid, Farshid [Downloadable! (restricted)]
2006, Volume 131, Issue 1-2 1-2 The econometrics of macroeconomics, finance, and the interface by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F. [Downloadable! (restricted)]
3-27 A multiple indicators model for volatility using intra-daily data by Engle, Robert F. & Gallo, Giampiero M. [Downloadable! (restricted)]
29-58 Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment by Deo, Rohit & Hurvich, Clifford & Lu, Yi [Downloadable! (restricted)]
59-95 Predicting volatility: getting the most out of return data sampled at different frequencies by Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen [Downloadable! (restricted)]
97-121 Consistent ranking of volatility models by Hansen, Peter Reinhard & Lunde, Asger [Downloadable! (restricted)]
123-150 Volatility puzzles: a simple framework for gauging return-volatility regressions by Bollerslev, Tim & Zhou, Hao [Downloadable! (restricted)]
151-177 Breaks and persistency: macroeconomic causes of stock market volatility by Beltratti, A. & Morana, C. [Downloadable! (restricted)]
179-215 Volatility comovement: a multifrequency approach by Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B. [Downloadable! (restricted)]
217-252 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes by Barndorff-Nielsen, Ole E. & Shephard, Neil [Downloadable! (restricted)]
253-284 Option valuation with conditional skewness by Christoffersen, Peter & Heston, Steve & Jacobs, Kris [Downloadable! (restricted)]
285-308 Term structure of risk under alternative econometric specifications by Guidolin, Massimo & Timmermann, Allan [Downloadable! (restricted)]
309-338 The macroeconomy and the yield curve: a dynamic latent factor approach by Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S. [Downloadable! (restricted)]
339-358 Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates by Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna [Downloadable! (restricted)]
359-403 What does the yield curve tell us about GDP growth? by Ang, Andrew & Piazzesi, Monika & Wei, Min [Downloadable! (restricted)]
405-444 A joint econometric model of macroeconomic and term-structure dynamics by Hordahl, Peter & Tristani, Oreste & Vestin, David [Downloadable! (restricted)]
445-473 Regime switching for dynamic correlations by Pelletier, Denis [Downloadable! (restricted)]
475-505 Multivariate Jacobi process with application to smooth transitions by Gourieroux, Christian & Jasiak, Joann [Downloadable! (restricted)]
507-537 Evaluating latent and observed factors in macroeconomics and finance by Bai, Jushan & Ng, Serena [Downloadable! (restricted)]
539-578 An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series by Bhardwaj, Geetesh & Swanson, Norman R. [Downloadable! (restricted)]
579-609 A time series model for an exchange rate in a target zone with applications by Lundbergh, Stefan & Terasvirta, Timo [Downloadable! (restricted)]
2006, Volume 130, Issue 2 209-233 Local Whittle estimation of fractional integration and some of its variants by Shimotsu, Katsumi & Phillips, Peter C.B. [Downloadable! (restricted)]
235-252 A semi-parametric estimator for censored selection models with endogeneity by Lee, Myoung-jae & Vella, Francis [Downloadable! (restricted)]
253-272 Identification and estimation with contaminated data: When do covariate data sharpen inference? by Mullin, Charles H. [Downloadable! (restricted)]
273-306 On the selection of forecasting models by Inoue, Atsushi & Kilian, Lutz [Downloadable! (restricted)]
307-335 Estimation of copula-based semiparametric time series models by Chen, Xiaohong & Fan, Yanqin [Downloadable! (restricted)]
337-364 Forecasting the term structure of government bond yields by Diebold, Francis X. & Li, Canlin [Downloadable! (restricted)]
365-384 A semiparametric GARCH model for foreign exchange volatility by Yang, Lijian [Downloadable! (restricted)]
2006, Volume 130, Issue 1 1-23 A family of autoregressive conditional duration models by Fernandes, Marcelo & Grammig, Joachim [Downloadable! (restricted)]
25-43 Superlative index numbers: not all of them are super by Hill, Robert J. [Downloadable! (restricted)]
45-100 Efficient tests for the presence of a pair of complex conjugate unit roots in real time series by Gregoir, Stephane [Downloadable! (restricted)]
101-122 A new approximate point optimal test of a composite null hypothesis by Sriananthakumar, Sivagowry & King, Maxwell L. [Downloadable! (restricted)]
123-142 Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series by Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc [Downloadable! (restricted)]
143-164 Introduction to m-m processes by Granger, Clive W.J. & Hyung, Namwon [Downloadable! (restricted)]
165-207 Residual log-periodogram inference for long-run relationships by Hassler, U. & Marmol, F. & Velasco, C. [Downloadable! (restricted)]
2005, Volume 129, Issue 1-2 1-34 Modelling structural breaks, long memory and stock market volatility: an overview by Banerjee, Anindya & Urga, Giovanni [Downloadable! (restricted)]
35-40 The past and future of empirical finance: some personal comments by Granger, Clive W.J. [Downloadable! (restricted)]
41-64 Selection of the break in the Perron-type tests by Montanes, Antonio & Olloqui, Irene & Calvo, Elena [Downloadable! (restricted)]
65-119 Structural breaks with deterministic and stochastic trends by Perron, Pierre & Zhu, Xiaokang [Downloadable! (restricted)]
121-138 Neglecting parameter changes in GARCH models by Hillebrand, Eric [Downloadable! (restricted)]
139-182 Robust GMM tests for structural breaks by Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni [Downloadable! (restricted)]
183-217 Small sample properties of forecasts from autoregressive models under structural breaks by Pesaran, M. Hashem & Timmermann, Allan [Downloadable! (restricted)]
219-261 A parametric bootstrap test for cycles by Dalla, Violetta & Hidalgo, Javier [Downloadable! (restricted)]
263-298 Cointegration in fractional systems with deterministic trends by Robinson, P.M. & Iacone, F. [Downloadable! (restricted)]
299-327 Renewal regime switching and stable limit laws by Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas [Downloadable! (restricted)]
329-372 Testing for structural change in regression with long memory processes by Lazarova, Stepana [Downloadable! (restricted)]
2005, Volume 128, Issue 2 195-213 Size and power of tests of stationarity in highly autocorrelated time series by Muller, Ulrich K. [Downloadable! (restricted)]
215-251 Sign tests for long-memory time series by Delgado, Miguel A. & Velasco, Carlos [Downloadable! (restricted)]
253-282 Generating schemes for long memory processes: regimes, aggregation and linearity by Davidson, James & Sibbertsen, Philipp [Downloadable! (restricted)]
283-300 The distance between rival nonstationary fractional processes by Robinson, P.M. [Downloadable! (restricted)]
301-323 Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects by Rabe-Hesketh, Sophia & Skrondal, Anders & Pickles, Andrew [Downloadable! (restricted)]
2005, Volume 128, Issue 1 1-29 Combining estimators to improve structural model estimation and inference under quadratic loss by Mittelhammer, Ron C. & Judge, George G. [Downloadable! (restricted)]
31-68 Impact factors by Omtzigt, Pieter & Paruolo, Paolo [Downloadable! (restricted)]
69-97 Robust efficient method of moments by Ortelli, Claudio & Trojani, Fabio [Downloadable! (restricted)]
99-136 VAR forecasting under misspecification by Schorfheide, Frank [Downloadable! (restricted)]
137-164 Quasi-maximum likelihood estimation for conditional quantiles by Komunjer, Ivana [Downloadable! (restricted)]
165-193 Bootstrap inference in systems of single equation error correction models by Herwartz, Helmut & Neumann, Michael H. [Downloadable! (restricted)]
2005, Volume 127, Issue 2 0 |1 |2 |3 |4 |5 |6 |7 |8 |9 |10 |11 |12 |13 |14 Access
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This page was last updated on 2009-12-9.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .