Journal of Econometrics

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Editor: T. Amemiya
Editor: A. R. Gallant
Editor: J. F. Geweke
Editor: C. Hsiao
Editor: P. M. Robinson
Editor:
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Series handle: repec:eee:econom

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2006, Volume 131, Issue 1-2

• 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)]

• 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)]

• 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)]

• 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)]

• 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)]

• 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)]

• 131-164 Panel data analysis of U.S. coal productivity
  by Stoker, Thomas M. & Berndt, Ernst R. & Denny Ellerman, A. & Schennach, Susanne M. [Downloadable! (restricted)]
• 165-178 On leverage in a stochastic volatility model
  by Yu, Jun [Downloadable! (restricted)]
• 179-199 A nonparametric test for changing trends
  by Juhl, Ted & Xiao, Zhijie [Downloadable! (restricted)]
• 201-224 Subsampling inference in threshold autoregressive models
  by Gonzalo, Jesus & Wolf, Michael [Downloadable! (restricted)]
• 225-252 Unified approach to testing functional hypotheses in semiparametric contexts
  by Hall, Peter & Yatchew, Adonis [Downloadable! (restricted)]

• 1-16 Origins of the limited information maximum likelihood and two-stage least squares estimators
  by Anderson, T.W. [Downloadable! (restricted)]
• 17-33 Highly accurate likelihood analysis for the seemingly unrelated regression problem
  by Fraser, D.A.S. & Rekkas, M. & Wong, A. [Downloadable! (restricted)]
• 35-68 Nonparametric specification tests for conditional duration models
  by Fernandes, Marcelo & Grammig, Joachim [Downloadable! (restricted)]
• 69-81 Stability results for nonlinear error correction models
  by Saikkonen, Pentti [Downloadable! (restricted)]
• 83-102 Estimating dynamic models from repeated cross-sections
  by Verbeek, Marno & Vella, Francis [Downloadable! (restricted)]
• 103-128 Measurement errors and outliers in seasonal unit root testing
  by Haldrup, Niels & Montanes, Antonio & Sanso, Andreu [Downloadable! (restricted)]

• 233-240 Current developments in productivity and efficiency measurement
  by Dorfman, Jeffrey H. & Koop, Gary [Downloadable! (restricted)]
• 241-267 Estimation of a panel data model with parametric temporal variation in individual effects
  by Han, Chirok & Orea, Luis & Schmidt, Peter [Downloadable! (restricted)]
• 269-303 Reconsidering heterogeneity in panel data estimators of the stochastic frontier model
  by Greene, William [Downloadable! (restricted)]
• 305-334 Panel estimators and the identification of firm-specific efficiency levels in parametric, semiparametric and nonparametric settings
  by Sickles, Robin C. [Downloadable! (restricted)]
• 335-354 On ranking and selection from independent truncated normal distributions
  by Horrace, William C. [Downloadable! (restricted)]
• 355-384 Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach
  by Kumbhakar, Subal C. & Tsionas, Efthymios G. [Downloadable! (restricted)]
• 385-409 Estimating variable returns to scale production frontiers with alternative stochastic assumptions
  by Griffiths, William E. & O'Donnell, Christopher J. [Downloadable! (restricted)]
• 411-444 Alternative efficiency measures for multiple-output production
  by Fernandez, Carmen & Koop, Gary & Steel, Mark F.J. [Downloadable! (restricted)]
• 445-468 Bayesian measurement of productivity and efficiency in the presence of undesirable outputs: crediting electric utilities for reducing air pollution
  by Atkinson, Scott E. & Dorfman, Jeffrey H. [Downloadable! (restricted)]
• 469-492 Characteristics of a polluting technology: theory and practice
  by Fare, Rolf & Grosskopf, Shawna & Noh, Dong-Woon & Weber, William [Downloadable! (restricted)]
• 493-523 A Bayesian approach to imposing curvature on distance functions
  by O'Donnell, Christopher J. & Coelli, Timothy J. [Downloadable! (restricted)]
• 525-548 Product diversification, production systems, and economic performance in U.S. agricultural production
  by Paul, Catherine J. Morrison & Nehring, Richard [Downloadable! (restricted)]
• 549-570 Skill-biased technical change in US manufacturing: a general index approach
  by Baltagi, Badi H. & Rich, Daniel P. [Downloadable! (restricted)]
• 571-572 Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]
  by Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles [Downloadable! (restricted)]

• 1-24 Testing for common deterministic trend slopes
  by Vogelsang, Timothy J. & Franses, Philip Hans [Downloadable! (restricted)]
• 25-51 A finite sample correction for the variance of linear efficient two-step GMM estimators
  by Windmeijer, Frank [Downloadable! (restricted)]
• 53-77 Nonparametric estimation of time varying parameters under shape restrictions
  by Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan [Downloadable! (restricted)]
• 79-114 Nonparametric estimation of structural change points in volatility models for time series
  by Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong [Downloadable! (restricted)]
• 115-143 A bootstrap causality test for covariance stationary processes
  by Hidalgo, J. [Downloadable! (restricted)]
• 145-171 Asymptotic inference from multi-stage samples
  by Bhattacharya, Debopam [Downloadable! (restricted)]
• 173-200 Econometrics of first-price auctions with entry and binding reservation prices
  by Tong Li [Downloadable! (restricted)]
• 201-232 Testing affine term structure models in case of transaction costs
  by Driessen, Joost & Melenberg, Bertrand & Nijman, Theo [Downloadable! (restricted)]

• 1-13 Special issue on Experimental and non-experimental evaluation of economic policy and models
  by Ham, John C. & LaLonde, Robert J. [Downloadable! (restricted)]
• 15-51 Estimating treatment effects for discrete outcomes when responses to treatment vary: an application to Norwegian vocational rehabilitation programs
  by Aakvik, Arild & Heckman, James J. & Vytlacil, Edward J. [Downloadable! (restricted)]
• 53-75 Do unemployment insurance recipients actively seek work? Evidence from randomized trials in four U.S. States
  by Ashenfelter, Orley & Ashmore, David & Deschenes, Olivier [Downloadable! (restricted)]
• 77-111 Correcting for selective compliance in a re-employment bonus experiment
  by Bijwaard, Govert E. & Ridder, Geert [Downloadable! (restricted)]
• 113-139 How important are "entry effects" in financial incentive programs for welfare recipients? Experimental evidence from the Self-Sufficiency Project
  by Card, David & Robins, Philip K. [Downloadable! (restricted)]
• 141-173 Program evaluation as a decision problem
  by Dehejia, Rajeev H. [Downloadable! (restricted)]
• 175-205 Randomization, endogeneity and laboratory experiments: the role of cash balances in private value auctions
  by Ham, John C. & Kagel, John H. & Lehrer, Steven F. [Downloadable! (restricted)]
• 207-239 The benefits of prenatal care: evidence from the PAT bus strike
  by Evans, William N. & Lien, Diana S. [Downloadable! (restricted)]
• 241-270 Predicting the efficacy of future training programs using past experiences at other locations
  by Joseph Hotz, V. & Imbens, Guido W. & Mortimer, Julie H. [Downloadable! (restricted)]
• 271-304 Estimating the returns to community college schooling for displaced workers
  by Jacobson, Louis & LaLonde, Robert & G. Sullivan, Daniel [Downloadable! (restricted)]
• 305-353 Does matching overcome LaLonde's critique of nonexperimental estimators?
  by A. Smith, Jeffrey & E. Todd, Petra [Downloadable! (restricted)]
• 355-364 Practical propensity score matching: a reply to Smith and Todd
  by Dehejia, Rajeev [Downloadable! (restricted)]
• 365-375 Rejoinder
  by Smith, Jeffrey & Todd, Petra [Downloadable! (restricted)]

• 205-225 Testing the nominal-to-real transformation
  by Kongsted, Hans Christian [Downloadable! (restricted)]
• 227-252 Autocovariance functions of series and of their transforms
  by Abadir, Karim M. & Talmain, Gabriel [Downloadable! (restricted)]
• 253-267 Optimal weighted average power similar tests for the covariance structure in the linear regression model
  by Forchini, Giovanni [Downloadable! (restricted)]
• 269-310 Testing for the cointegration rank when some cointegrating directions are changing
  by Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane [Downloadable! (restricted)]
• 311-334 A Bayesian analysis of the multinomial probit model using marginal data augmentation
  by Imai, Kosuke & van Dyk, David A. [Downloadable! (restricted)]
• 335-361 Instrumental variables estimators of nonparametric models with discrete endogenous regressors
  by Das, M. [Downloadable! (restricted)]
• 363-394 Testing for cointegration using partially linear models
  by Juhl, Ted & Xiao, Zhijie [Downloadable! (restricted)]

• 1-31 The power of tests of predictive ability in the presence of structural breaks
  by Clark, Todd E. & McCracken, Michael W. [Downloadable! (restricted)]
• 33-54 Variance ratio tests of the seasonal unit root hypothesis
  by Taylor, A. M. Robert [Downloadable! (restricted)]
• 55-89 Subsampling vector autoregressive tests of linear constraints
  by Choi, In [Downloadable! (restricted)]
• 91-116 Parametric approximations of nonparametric frontiers
  by Florens, Jean-Pierre & Simar, Leopold [Downloadable! (restricted)]
• 117-148 Bootstrap specification tests for diffusion processes
  by Corradi, Valentina & Swanson, Norman R. [Downloadable! (restricted)]
• 149-186 Testing normality: a GMM approach
  by Bontemps, Christian & Meddahi, Nour [Downloadable! (restricted)]
• 187-201 Point optimal tests of the null hypothesis of cointegration
  by Jansson, Michael [Downloadable! (restricted)]
• 203-204 Corrigendum to "The second-order bias and mean squared error of nonlinear estimators": [Journal of Econometrics 75(2) (1996) 369-395]
  by Rilstone, Paul & Ullah, Aman [Downloadable! (restricted)]

• 197-199 Recent advances in Bayesian econometrics
  by Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K. [Downloadable! (restricted)]
• 201-225 Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
  by Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D. [Downloadable! (restricted)]
• 227-258 Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox
  by Kleibergen, Frank [Downloadable! (restricted)]
• 259-282 Bayesian variants of some classical semiparametric regression techniques
  by Koop, Gary & Poirier, Dale J. [Downloadable! (restricted)]
• 283-306 Bayesian evaluation of non-admissible conditioning
  by Mouchart, Michel & Scheihing, Eliana [Downloadable! (restricted)]
• 307-325 Bayesian analysis of the error correction model
  by Strachan, Rodney W. & Inder, Brett [Downloadable! (restricted)]
• 327-344 Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
  by Chopin, Nicolas & Pelgrin, Florian [Downloadable! (restricted)]
• 345-369 Density inference for ranking European research systems in the field of economics
  by Lubrano, Michel & Protopopescu, Camelia [Downloadable! (restricted)]
• 371-391 Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
  by Osiewalski, Jacek & Pipien, Mateusz [Downloadable! (restricted)]

• 1-31 On Kolmogorov's representation of functions of several variables by functions of one variable
  by Coppejans, Mark [Downloadable! (restricted)]
• 33-66 Tests of stationarity against a change in persistence
  by Busetti, Fabio & Taylor, A. M. Robert [Downloadable! (restricted)]
• 67-87 Bootstrapping the HEGY seasonal unit root tests
  by Burridge, Peter & Robert Taylor, A. M. [Downloadable! (restricted)]
• 89-120 Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
  by Goncalves, Silvia & Kilian, Lutz [Downloadable! (restricted)]
• 121-152 Semiparametric Bayesian inference for stochastic frontier models
  by Griffin, J. E. & Steel, M. F. J. [Downloadable! (restricted)]
• 153-187 Comparing dynamic equilibrium models to data: a Bayesian approach
  by Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan [Downloadable! (restricted)]
• 189-193 Decompositions of Pearson's chi-squared test
  by Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F. [Downloadable! (restricted)]

• 213-246 An empirical model of learning and patient spillovers in new drug entry
  by Coscelli, Andrea & Shum, Matthew [Downloadable! (restricted)]
• 247-280 Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
  by Shin, Dong Wan & Oh, Man-Suk [Downloadable! (restricted)]
• 281-291 Regression systems for unbalanced panel data: a stepwise maximum likelihood procedure
  by Biorn, Erik [Downloadable! (restricted)]
• 293-316 Estimation of cross sectional and panel data censored regression models with endogeneity
  by Honore, Bo E. & Hu, Luojia [Downloadable! (restricted)]
• 317-347 Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
  by Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian [Downloadable! (restricted)]
• 349-384 Analytical evaluation of the power of tests for the absence of cointegration
  by Pesavento, Elena [Downloadable! (restricted)]
• 385-403 Maximum score estimation of a nonstationary binary choice model
  by Moon, Hyungsik Roger [Downloadable! (restricted)]

• 1-26 Toward an empirical analysis of polarization
  by Anderson, Gordon [Downloadable! (restricted)]
• 27-46 On the harm that ignoring pretesting can cause
  by Danilov, Dmitry & Magnus, J.R.Jan R. [Downloadable! (restricted)]
• 47-79 Optimal forecast combinations under general loss functions and forecast error distributions
  by Elliott, Graham & Timmermann, Allan [Downloadable! (restricted)]
• 81-126 Testing for a unit root in panels with dynamic factors
  by Moon, H.R.Hyungsik Roger & Perron, Benoit [Downloadable! (restricted)]
• 127-136 Markov-switching models with endogenous explanatory variables
  by Kim, C.-J.Chang-Jin [Downloadable! (restricted)]
• 137-183 Estimating cross-section common stochastic trends in nonstationary panel data
  by Bai, Jushan [Downloadable! (restricted)]
• 185-212 Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
  by Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E. [Downloadable! (restricted)]

• 1-18 The econometrics of higher education: editor's view
  by Marsh, L.C.Lawrence C. [Downloadable! (restricted)]
• 19-37 Econometric studies of higher education
  by Ehrenberg, R.G.Ronald G. [Downloadable! (restricted)]
• 39-98 The effect of schooling and ability on achievement test scores
  by Hansen, Karsten T. & Heckman, James J. & Mullen, K.J.Kathleen J. [Downloadable! (restricted)]
• 99-124 How robust is the evidence on the effects of college quality? Evidence from matching
  by Black, Dan A. & Smith, J.A.Jeffrey A. [Downloadable! (restricted)]
• 125-142 The effect of college location on migration of college-educated labor
  by Groen, J.A.Jeffrey A. [Downloadable! (restricted)]
• 143-173 Trade in university training: cross-state variation in the production and stock of college-educated labor
  by Bound, John & Groen, Jeffrey & Kezdi, G.Gabor & Turner, Sarah [Downloadable! (restricted)]
• 175-212 Estimating the social return to higher education: evidence from longitudinal and repeated cross-sectional data
  by Moretti, Enrico [Downloadable! (restricted)]
• 213-241 Why do employers pay for college?
  by Cappelli, Peter [Downloadable! (restricted)]
• 243-269 Time-use and college outcomes
  by Stinebrickner, Ralph & Stinebrickner, T.R.Todd R. [Downloadable! (restricted)]
• 271-296 How have college decisions changed over time? An application of the conditional logistic choice model
  by Terry Long, B.Bridget [Downloadable! (restricted)]
• 297-317 College performance predictions and the SAT
  by Rothstein, J.M.Jesse M. [Downloadable! (restricted)]
• 319-342 College applications and the effect of affirmative action
  by Long, M.C.Mark C. [Downloadable! (restricted)]
• 343-375 Ability sorting and the returns to college major
  by Arcidiacono, Peter [Downloadable! (restricted)]
• 377-404 The impact of college course offerings on the supply of academically talented public school teachers
  by Reback, RandallRandall [Downloadable! (restricted)]
• 405-426 Bayesian solutions to graduate admissions and related selection problems
  by Marsh, L.C.Lawrence C. & Zellner, Arnold [Downloadable! (restricted)]

• 207-234 Alternative sampling methods for estimating multivariate normal probabilities
  by Sandor, Zsolt & Andras, P.Peter [Downloadable! (restricted)]
• 235-262 Asymptotic theory for heterogeneous dynamic pseudo-panels
  by McKenzie, D.J.David J. [Downloadable! (restricted)]
• 263-293 Bootstrap unit root tests in panels with cross-sectional dependency
  by Chang, Yoosoon [Downloadable! (restricted)]
• 295-326 Subsampling the distribution of diverging statistics with applications to finance
  by Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert [Downloadable! (restricted)]
• 327-359 Forecasting and turning point predictions in a Bayesian panel VAR model
  by Canova, Fabio & Ciccarelli, Matteo [Downloadable! (restricted)]

• 1-33 Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
  by Shintani, Mototsugu & Linton, Oliver [Downloadable! (restricted)]
• 35-73 Alternative estimators and unit root tests for seasonal autoregressive processes
  by Rodrigues, Paulo M. M. & Taylor, A. M. Robert [Downloadable! (restricted)]
• 75-102 Contemporaneous aggregation of linear dynamic models in large economies
  by Zaffaroni, Paolo [Downloadable! (restricted)]
• 103-138 Nonstationary discrete choice
  by Hu, Ling & Phillips, Peter C. B. [Downloadable! (restricted)]
• 139-158 Stability of random coefficient ARCH models and aggregation schemes
  by Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude [Downloadable! (restricted)]
• 159-180 Simple estimators for nonparametric panel data models with sample attrition
  by Das, M. [Downloadable! (restricted)]
• 181-205 Mobility measurement, transition matrices and statistical inference
  by Formby, John P. & Smith, W. James & Zheng, Buhong [Downloadable! (restricted)]

• 223-230 Dynamic factor models
  by Croux, Christophe & Renault, Eric & Werker, Bas [Downloadable! (restricted)]
• 231-255 The generalized dynamic factor model consistency and rates
  by Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia [Downloadable! (restricted)]
• 257-289 Factor representing portfolios in large asset markets
  by Sentana, Enrique [Downloadable! (restricted)]
• 291-321 Forecasting with nonstationary dynamic factor models
  by Pena, Daniel & Poncela, Pilar [Downloadable! (restricted)]
• 323-353 Kernel-based nonlinear canonical analysis and time reversibility
  by Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian [Downloadable! (restricted)]
• 355-379 Temporal aggregation of volatility models
  by Meddahi, Nour & Renault, Eric [Downloadable! (restricted)]
• 381-412 The stochastic conditional duration model: a latent variable model for the analysis of financial durations
  by Bauwens, Luc & Veredas, David [Downloadable! (restricted)]
• 413-433 Stochastic volatility duration models
  by Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann [Downloadable! (restricted)]

• 1-18 Testing for unit roots with flow data and varying sampling frequency
  by Chambers, Marcus J. [Downloadable! (restricted)]
• 19-44 [tau]-estimators of regression models with structural change of unknown location
  by Fiteni, Inmaculada [Downloadable! (restricted)]
• 45-71 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
  by Abadir, Karim M. & Lucas, Andre [Downloadable! (restricted)]
• 73-98 A consistent estimator for the binomial distribution in the presence of "incidental parameters": an application to patent data
  by Machado, Matilde P. [Downloadable! (restricted)]
• 99-130 Nonparametric estimation of regression functions with both categorical and continuous data
  by Racine, Jeff & Li, Qi [Downloadable! (restricted)]
• 131-154 Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
  by Arteche, Josu [Downloadable! (restricted)]
• 155-198 Semiparametric estimation of a panel data proportional hazards model with fixed effects
  by Horowitz, Joel L. & Lee, Sokbae [Downloadable! (restricted)]
• 199-219 Maximum likelihood and the bootstrap for nonlinear dynamic models
  by Goncalves, Silvia & White, Halbert [Downloadable! (restricted)]
• 221-222 Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]
  by Bollerslev, Tim & Zhou, Hao [Downloadable! (restricted)]

• 1-5 Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler
  by Potscher, Benedikt M. & Prucha, Ingmar R. [Downloadable! (restricted)]
• 7-26 Aggregation of space-time processes
  by Giacomini, Raffaella & Granger, Clive W. J. [Downloadable! (restricted)]
• 27-50 Estimation of simultaneous systems of spatially interrelated cross sectional equations
  by Kelejian, Harry H. & Prucha, Ingmar R. [Downloadable! (restricted)]
• 51-65 Robust estimation of generalized linear models with measurement errors
  by Li, Tong & Hsiao, Cheng [Downloadable! (restricted)]
• 67-94 A complete class of tests when the likelihood is locally asymptotically quadratic
  by Ploberger, Werner [Downloadable! (restricted)]
• 95-109 Least squares in general vector spaces revisited
  by Schonfeld, Peter [Downloadable! (restricted)]
• 111-127 An omnibus test for the time series model AR(1)
  by Anderson, T. W. & Lockhart, R. A. & Stephens, M. A. [Downloadable! (restricted)]
• 129-149 Generalized Levinson-Durbin and Burg algorithms
  by Brockwell, P. J. & Dahlhaus, R. [Downloadable! (restricted)]
• 151-187 Modeling of time series arrays by multistep prediction or likelihood methods
  by Findley, David F. & Potscher, Benedikt M. & Wei, Ching-Zong [Downloadable! (restricted)]
• 189-218 Bootstrapping nonparametric estimators of the volatility function
  by Franke, Jurgen & Neumann, Michael H. & Stockis, Jean-Pierre [Downloadable! (restricted)]
• 219-246 Nonlinear instrumental variable estimation of an autoregression
  by Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon [Downloadable! (restricted)]
• 247-256 Variance expressions for spectra estimated using auto-regressions
  by Xie, Liang-Liang & Ljung, Lennart [Downloadable! (restricted)]
• 257-291 The asymptotic variance of subspace estimates
  by Chiuso, Alessandro & Picci, Giorgio [Downloadable! (restricted)]
• 293-312 The relation of the CCA subspace method to a balanced reduction of an autoregressive model
  by Dahlen, Anders & Scherrer, Wolfgang [Downloadable! (restricted)]
• 313-339 System theory for system identification
  by van Schuppen, Jan H. [Downloadable! (restricted)]
• 341-373 Deterministic least squares filtering
  by Willems, J. C. [Downloadable! (restricted)]

• 207-244 Strong rules for detecting the number of breaks in a time series
  by Altissimo, Filippo & Corradi, Valentina [Downloadable! (restricted)]
• 245-278 Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
  by Chen, Songnian & Khan, Shakeeb [Downloadable! (restricted)]
• 279-309 Semiparametric-efficient estimation of AR(1) panel data models
  by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold [Downloadable! (restricted)]
• 311-311 Corrigendum to "Semiparametric-efficient estimation of AR(1) panel data models": [J. Econom. 117 (2003) 279-309]
  by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold [Downloadable! (restricted)]
• 313-330 The equality of comparable extended families of classical-type and Hausman-type statistics
  by Dastoor, Naorayex K. [Downloadable! (restricted)]
• 331-367 Effective nonparametric estimation in the case of severely discretized data
  by Coppejans, Mark [Downloadable! (restricted)]

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This page was last updated on 2008-11-27.