# American Statistical Association

# Journal of Business & Economic Statistics

This journal is no longer published by American Statistical Association. For a followup journal, see Journal of Business & Economic Statistics, published by Taylor & Francis Journals.
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### January 1996, Volume 14, Issue 1

**69-79 Specification of Echelon-Form VARMA Models***by*Lutkepohl, Helmut & Poskitt, D S**81-90 Permanent Income, Current Income, and Consumption: Evidence from Two Panel Data Sets***by*Lusardi, Annamaria**91-101 Public Infrastructure, Private Input Demand, and Economic Performance in New England Manufacturing***by*Morrison, Catherine J & Schwartz, Amy Ellen**103-111 Economic Trends and Being Trendy: The Influence of Consumer Confidence on Retail Fashion Sales***by*Allenby, Greg M & Jen, Lichung & Leone, Robert P**113-126 Interactive Graphical Methods in the Analysis of Customer Panel Data***by*Koschat, Martin A & Swayne, Deborah F**126-128 Interactive Graphical Methods in the Analysis of Customer Panel Data: Comment***by*Allenby, Greg M**128-129 Interactive Graphical Methods in the Analysis of Customer Panel Data: Comment***by*Buja, Andreas**130-132 Interactive Graphical Methods in the Analysis of Customer Panel Data: Reply***by*Koschat, Martin A & Swayne, Deborah F**133-133 A Comparison of Time-Varying Parameter and Multiprocess Mixture Models in the Case of Money-Supply Announcements: Errata***by*LeSage, James P**135-138 Shifts in the Interest-Rate Response to Money Announcements: What Can We Say about When They Occur?***by*Roley, V Vance & Wheatley, Simon M

### October 1995, Volume 13, Issue 4

**361-364 Dan Nelson Remembered***by*Bollerslev, Tim & Rossi, Peter E**365-378 Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange: The Impact of the "Big Bang" and the 1987 Stock-Market Crash***by*Masulis, Ronald W & Ng, Victor K**379-396 Can Speculative Trading Explain the Volume-Volatility Relation?***by*Foster, F Douglas & Viswanathan, S**397-408 The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets***by*Bekaert, Geert**409-417 Sustainability of the Deficit Process with Structural Shifts***by*Quintos, Carmela E**419-433 Revealed Preference of the Federal Reserve: Using Inverse-Control Theory to Interpret the Policy Equation of a Vector Autoregression***by*Salemi, Michael K**435-440 Uncertainty about the Persistence of Economic Shocks***by*Miller, John P & Newbold, Paul**441-451 Temporal Aggregation and Economic Time Series***by*Rossana, Robert J & Seater, John J**453-458 Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money***by*Serletis, Apostolos**459-465 A Dynamic Analysis of Interfuel Substitution in U.S. Industrial Energy Demand***by*Jones, Clifton T**467-474 Duration Dependence and Dispersion in Count-Data Models***by*Winkelmann, Rainer**475-488 Some Specification Tests for Probit Models Estimated on Panel Data***by*Lechner, Michael

### July 1995, Volume 13, Issue 3

**237-252 Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability***by*Canova, Fabio & Hansen, Bruce E**253-263 Comparing Predictive Accuracy***by*Diebold, Francis X & Mariano, Roberto S**265-275 A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks***by*Swanson, Norman R & White, Halbert**277-280 Lag Order and Critical Values of the Augmented Dickey-Fuller Test***by*Cheung, Yin-Wong & Lai, Kon S**281-289 Reassessing Brand Loyalty, Price Sensitivity, and Merchandising Effects on Consumer Brand Choice***by*Allenby, Greg M & Lenk, Peter J**291-303 Modeling the Distribution of Price Sensitivity and Implications for Optimal Retail Pricing***by*Kim, Byung-Do & Blattberg, Robert C & Rossi, Peter E**305-314 Measurement Error and Earnings Dynamics: Some Estimates from the PSID Validation Study***by*Pischke, Jorn-Steffen**315-326 A Bayesian Integration of End-Use Metering and Conditional-Demand Analysis***by*Hsiao, Cheng & Mountain, Dean C & Illman, Kathleen Ho**327-335 Censored Regression Estimation under Unobserved Heterogeneity: A Stochastic Parameter Approach***by*Ioannatos, Petros E**337-346 Research on Establishment-Survey Questionnaire Design***by*Phipps, Polly A & Butani, Shail J & Chun, Young I**347-356 Variance Estimation in the Swedish Consumer Price Index***by*Dalen, Jurgen & Ohlsson, Esbjorn**357-359 Sample-Audit Tax Assessment for Businesses: What's Fair?***by*Press, S James

### April 1995, Volume 13, Issue 2

**133-136 Introduction to the JBES Symposium on Program and Policy Evaluation***by*Angrist, Joshua D**137-149 The Benefit of Additional High-School Math and Science Classes for Young Men and Women***by*Levine, Phillip B & Zimmerman, David J**151-161 Natural and Quasi-experiments in Economics***by*Meyer, Bruce D**163-173 The Labor-Market Effects of Introducing National Health Insurance: Evidence from Canada***by*Gruber, Jonathan & Hanratty, Maria**175-182 The Employment Effect in Retail Trade of California's 1988 Minimum Wage Increase***by*Kim, Taeil & Taylor, Lowell J**183-188 The General-Liability Reform Experiments and the Distribution of Insurance-Market Outcomes***by*Viscusi, W Kip & Born, Patricia**189-198 The Impact of Unemployment Insurance Benefit Levels on Recipiency***by*McCall, Brian P**199-206 Minimum Wage Effects on Employment and School Enrollment***by*Neumark, David & Wascher, William**207-215 Evaluating the Cost of Conscription in The Netherlands***by*Imbens, Guido & van der Klaauw, Wilbert**217-224 Democratization or Diversion? The Effect of Community Colleges on Educational Attainment***by*Rouse, Cecilia Elena**225-235 Split-Sample Instrumental Variables Estimates of the Return to Schooling***by*Angrist, Joshua D & Krueger, Alan B

### January 1995, Volume 13, Issue 1

**1-10 Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation***by*Lumsdaine, Robin L**11-25 A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada***by*Karolyi, G Andrew**27-35 Estimation of Common Long-Memory Components in Cointegrated Systems***by*Gonzalo, Jesus & Granger, Clive W J**37-45 Long Memory in Inflation Rates: International Evidence***by*Hassler, Uwe & Wolters, Jurgen**47-51 Nonstationarity of Regressors and Tests on Real-Interest-Rate Behavior***by*Mishkin, Frederic S**53-66 Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features***by*Dorsey, Robert E & Mayer, Walter J**67-83 Money, Output, and Prices: Evidence from a New Monetary Aggregate***by*Rotemberg, Julio J & Driscoll, John C & Poterba, James M**85-94 Randomization Tests in Econometrics***by*Kennedy, Peter E**95-103 Measuring Welfare Changes When Quantity Is Constrained***by*Breslaw, Jon A & Smith, J Barry**105-111 Frontier Estimation and Firm-Specific Inefficiency Measures in the Presence of Heteroscedasticity***by*Caudill, Steven B & Ford, Jon M & Gropper, Daniel M**113-119 Contested Tender Offers: An Estimate of the Hazard Function***by*Jaggia, Sanjiv & Thosar, Satish**121-126 Establishment Microdata for Economic Research and Policy Analysis: Looking beyond the Aggregates***by*McGuckin, Robert H**127-131 A Comparison between Different Order-Determination Criteria for Identification of ARIMA Models***by*Koreisha, Sergio G & Pukkila, Tarmo

### October 1994, Volume 12, Issue 4

**371-389 Bayesian Analysis of Stochastic Volatility Models***by*Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E**389-392 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Andersen, Torben G**393-395 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Danielsson, Jon**395-396 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Engle, Robert F**397-399 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Geweke, John**399-401 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Ghysels, Eric & Jasiak, Joanna**402-403 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Harvey, Andrew C & Ruiz, Esther**403-406 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Nelson, Daniel B**406-410 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Shephard, Neil & Kim, Sangjoon**410-412 Bayesian Analysis of Stochastic Volatility Models: Comment***by*Uhlig, Harald**413-417 Bayesian Analysis of Stochastic Volatility Models: Comments: Reply***by*Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E**419-430 Residential Demand for Electricity under Inverted Block Rates: Evidence from a Controlled Experiment***by*Herriges, Joseph A & King, Kathleen Kuester**431-436 Curvature Restrictions on Flexible Functional Forms: An Application of the Minflex Laurent Almost Ideal Demand System to the Pattern of Spanish Demand, 1954-1987***by*Ramajo Hernandez, Julian**437-448 A Combined Bound for Errors in Auditing Based on Hoeffding's Inequality and the Bootstrap***by*Clayton, Howard R**449-459 A Comparison of Unit-Root Test Criteria***by*Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A**461-470 Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection***by*Hall, Alastair R**471-478 The Effects of Additive Outliers on Tests for Unit Roots and Cointegration***by*Franses, Philip Hans & Haldrup, Niels**479-487 The Trend Behavior of Alternative Income Inequality Measures in the United States from 1947-1990 and the Structural Break***by*Raj, Baldev & Slottje, Daniel J**489-492 Posterior Properties of Long-Run Impulse Responses***by*Koop, Gary & Osiewalski, Jacek & Steel, Mark F J

### July 1994, Volume 12, Issue 3

**269-277 Inventories and the Three Phases of the Business Cycle***by*Sichel, Daniel E**279-288 Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth***by*Durland, J Michael & McCurdy, Thomas H**289-298 On the Periodic Structure of the Business Cycle***by*Ghysels, Eric**299-308 Business-Cycle Phases and Their Transitional Dynamics***by*Filardo, Andrew J**309-316 A Markov Model of Switching-Regime ARCH***by*Cai, Jun**317-328 A Random-Coefficients Logit Brand-Choice Model Applied to Panel Data***by*Jain, Dipak C & Vilcassim, Naufel J & Chintagunta, Pradeep K**329-337 Menu Pricing: An Experimental Approach***by*Kiefer, Nicholas M & Kelly, Thomas J & Burdett, Kenneth**339-346 Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function***by*Koop, Gary & Osiewalski, Jacek & Steel, Mark F J**347-360 Testing for Cointegration in Linear Quadratic Models***by*Gregory, Allan W**361-368 Estimating Potential Output as a Latent Variable***by*Kuttner, Kenneth N

### April 1994, Volume 12, Issue 2

**141-147 The Statistical Properties of the Equity Estimator***by*Hill, R Carter & Cartwright, P A**149-153 The Statistical Properties of the Equity Estimator: A Reply***by*Krishnamurthi, Lakshman & Rangaswamy, Arvind**155-155 The Statistical Properties of the Equity Estimator: Reply to Rejoinder***by*Krishnamurthi, Lakshman & Rangaswamy, Arvind**155-155 The Statistical Properties of the Equity Estimator: A Rejoinder***by*Hill, R Carter & Cartwright, P A**157-166 A Consistent Test for a Unit Root***by*Leybourne, S J & McCabe, B P M**167-176 Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests***by*MacKinnon, James G**177-186 Variance-Ratio Tests: Small-Sample Properties with an Application to International Output Data***by*Cecchetti, Stephen G & Lam, Pok-sang**187-204 Approximately Median-Unbiased Estimation of Autoregressive Models***by*Andrews, Donald W K & Chen, Hong-Yuan**205-219 Precautionary Saving: An Explanation for Excess Sensitivity of Consumption***by*Normandin, Michel**221-231 Estimating End-Use Demand: A Bayesian Approach***by*Bauwens, Luc & Fiebig, Denzil G & Steel, Mark F J**233-241 Patterns in Residential Gas and Electricity Consumption: An Econometric Analysis***by*Lee, Ray-Shine & Singh, Nirvikar**243-251 Coordinate Space versus Index Space Representations as Estimation Methods: An Application to How Macro Activity Affects the U.S. Income Distribution***by*Ryu, Hang K & Slottje, Daniel J**253-260 Endogenous Trading Volume and Momentum in Stock-Return Volatility***by*Lamoureux, Christopher G & Lastrapes, William D**261-265 Imposing Linear Homogeneity on Box-Tidwell Flexible Functional Forms***by*Shin, Richard T & Ying, John S

### January 1994, Volume 12, Issue 1

**1-9 Using Neoclassical Consumer-Choice Theory to Produce a Market Map from Purchase Data***by*Srinivasan, T C & Winer, Russell S**11-21 Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods***by*Pesaran, M Hashem & Pierse, Richard G & Lee, Kevin C**23-31 A Quality-Adjusted Price Index for Personal Computers***by*Nelson, Randy A & Tanguay, Tim L & Patterson, Christopher D**33-46 Financial-Firm Production of Monetary Services: A Generalized Symmetric Barnett Variable-Profit-Function Approach***by*Barnett, William A & Hahm, Jeong Ho**47-55 The Appropriate Scale Variable in the U.S. Money Demand: An Application of Nonnnested Tests of Consumption versus Income Measures***by*Elyasiani, Elyas & Nasseh, Alireza**57-79 Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models***by*Burnside, Craig**81-93 A Spectral-Temporal Index with an Application to U.S. Interest Rates***by*Lim, G C & Martin, Vance L**95-107 A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models***by*Koop, Gary & Steel, Mark F J**109-122 Semiparametric Tests for Double Unit Roots***by*Haldrup, Niels**123-127 Truncation Bias and the Ordinal Evaluation of Income Inequality***by*Bishop, John A & Chiou, Jong-Rong & Formby, John P**129-133 Forecasting Performance of Structural Time Series Models***by*Andrews, Rick L**135-136 Nonlinear Monetary Dynamics: Comment***by*Ramsey, James B & Rothman, Philip**136-137 Reply [Nonlinear Monetary Dynamics]***by*DeCoster, Gregory P & Mitchell, Douglas W**139-139 Correction [A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances]***by*Lee, John H H & King, Maxwell L

### October 1993, Volume 11, Issue 4

**369-380 Testing for Common Features***by*Engle, Robert F & Kozicki, Sharon**380-383 Testing for Common Features: Comment***by*Ericsson, Neil R**384-385 Testing for Common Features: Comment***by*Granger, Clive W J**385-386 Testing for Common Features: Comment***by*Hansen, Bruce E**386-390 Testing for Common Features: Comment***by*Quah, Danny**390-392 Testing for Common Features: Comment***by*Tsay, Ruey S**393-395 Testing for Common Features: Reply***by*Engle, Robert F & Kozicki, Sharon**397-405 Problems Associated with Designing Subannual Business Surveys***by*Hidiroglou, M A & Srinath, K P**407-416 Two-Phase Sampling of Tax Records for Business Surveys***by*Armstrong, John & Block, Clayton & Srinath, K P**417-424 Improving the Efficiency of Data Collection: A Generic Respondent Follow-Up Strategy for Economic Surveys***by*Berthelot, Jean-Marie & Latouche, Michel**428-431 Remarks on My Term at JBES***by*Tauchen, George**435-481 An Author and Subject Index to the Journal of Business & Economic Statistics, Volumes 1-10 (1983-1992.)***by*Trumbo, Bruce E & Reaves, Dixie Watts

### July 1993, Volume 11, Issue 3

**251-264 Auditing the Producer Price Index: Micro Evidence from Prescription Pharamceutical Preparations***by*Berndt, Ernst R & Griliches, Zvi & Rosett, Joshua G**265-277 World Temperature-Trend Uncertainties and Their Implications for Economic Policy***by*Seater, John J**279-288 Triple-System Modeling of Census, Post-enumeration Survey, and Administrative-List Data***by*Zaslavsky, Alan M & Wolfgang, Glenn S**289-300 Detection of Multiple Changes of Variance Using Posterior Odds***by*Inclan, Carla**301-309 Translating Prior Information across Specifications to Improve Predictive Accuracy***by*Pace, R Kelley & Gilley, Otis W**311-317 Estimating Moving Average Parameters: Classical Pileups and Bayesian Posteriors***by*DeJong, David N & Whiteman, Charles H**319-323 Detecting Outliers in Deterministic Nonparametric Frontier Models with Multiple Outputs***by*Wilson, Paul W**325-330 Solving Nonlinear Dynamic Models on Parallel Computers***by*Coleman, Wilbur John, II**331-339 Business-Cycle Analysis with a Markov-Switching Model***by*Goodwin, Thomas H**341-349 Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty***by*Kim, Chang-Jin**351-360 The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps***by*Vlaar, Peter J G & Palm, Franz C**361-365 Premia in Forward Foreign Exchange as Unobserved Components: A Note***by*Nijman, Theo E & Palm, Franz C & Wolff, Christian C P

### April 1993, Volume 11, Issue 2

**121-135 Calculating Interval Forecasts***by*Chatfield, Chris**136-137 Calculating Interval Forecasts: Comment***by*Ansley, Craig F**138-139 Calculating Interval Forecasts: Comment***by*Ord, Keith**140-142 Calculating Interval Forecasts: Comment: Adaptive Forecasting***by*Tsay, Ruey S**143-144 Calculating Interval Forecasts: Reply***by*Chatfield, Chris**145-155 The Input-Output Approach to Instrument Selection***by*Shea, John**157-165 Quality Management: Development of a Framework for a Statistical Agency***by*Colledge, Michael & March, Mary**167-176 Common Volatility in International Equity Markets***by*Engle, Robert F & Susmel, Raul**177-185 Theoretical Relations between Risk Premiums and Conditional Variances***by*Backus, David K & Gregory, Allan W**187-197 Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach***by*Brunner, Allan D & Hess, Gregory D**199-207 Temporary Components of Stock Prices: A Skeptic's View***by*Richardson, Matthew**209-214 Estimating Aggregate Automotive Income Elasticities from the Population Income-Share Elasticity***by*Bordley, Robert F & McDonald, James B**215-224 Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?***by*Neftci, Salih N**225-233 Testing for Noninvertible Models with Applications***by*Tsay, Ruey S**235-250 ARIMA Processes with ARIMA Parameters***by*Grillenzoni, Carlo

### January 1993, Volume 11, Issue 1

**1-15 Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts***by*Albert, James H & Chib, Siddhartha**17-27 A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances***by*Lee, John H H & King, Maxwell L**29-43 Tests of Independence in Parametric Models with Applications and Illustrations***by*Cameron, A Colin & Trivedi, Pravin K**45-60 Investment in Capital Assets and Economic Performance: The U.S. Chemicals and Primary-Metals Industries in Transition***by*Morrison, Catherine J**61-80 Seminonparametric Estimation of Binary-Choice Models with an Application to Labor-Force Participation***by*Gabler, Siegfried & Laisney, Francois & Lechner, Michael**81-92 Detecting Level Shifts in Time Series***by*Balke, Nathan S**93-101 Long Memory in Foreign-Exchange Rates***by*Cheung, Yin-Wong**103-112 A Fractional Cointegration Analysis of Purchasing Power Parity***by*Cheung, Yin-Wong & Lai, Kon S**113-119 Cyclical Patterns in the Variance of Economic Activity***by*French, Mark W & Sichel, Daniel E

### October 1992, Volume 10, Issue 4

**377-389 Diagnostic Checking of Unobserved-Components Time Series Models***by*Harvey, Andrew C & Koopman, Siem Jan**391-400 A Comparative Study of Alternative Methods of Quantifying Qualitative Survey Responses Using NAPM Data***by*Dasgupta, Susmita & Lahiri, Kajal**401-407 A Markov-Chain Model for Multivariate Magazine-Exposure Distributions***by*Danaher, Peter J**409-417 Estimating the Effects of Consumer Incentive Programs on Domestic Automobile Sales***by*Thompson, Patrick A & Noordewier, Thomas**419-426 A Dynamic Model of Investment in the U.S. Beef-Cattle Industry***by*Foster, Kenneth A & Burt, Oscar R**427-435 Using Meta-Analysis Results in Bayesian Updating: The Empty-Cell Problem***by*Vanhonacker, Wilfried R & Price, Lydia J**437-444 Estimation under Profit-Driven Loss Functions***by*Blattberg, Robert C & George, Edward I**445-452 A Mixture-Model Approach to Combining Forecasts***by*LeSage, James P & Magura, Michael**453-459 Measuring Economies of Diversification: A Frontier Approach***by*Grosskopf, Shawna & Hayes, Kathy & Yaisawarng, Suthathip**467-470 Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions***by*Perron, Pierre & Vogelsang, Timothy J**470-471 Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting: Comments***by*Zellner, Arnold & Hong, Chansik**471-472 Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting: Reply***by*Otter, Pieter W**473-474 A Return to the Battlefront***by*Poirier, Dale J**561-565 A Simple Nonparametric Test of Predictive Performance***by*Pesaran, M Hashem & Timmermann, Allan

### July 1992, Volume 10, Issue 3

**237-250 Searching for a Break in GNP***by*Christiano, Lawrence J**251-270 Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis***by*Zivot, Eric & Andrews, Donald W K**271-287 Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence***by*Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H**289-299 A Direct Test for Changing Trend***by*Chu, Chia-Shang James & White, Halbert**301-320 Nonstationarity and Level Shifts with an Application to Purchasing Power Parity***by*Perron, Pierre & Vogelsang, Timothy J**321-335 Tests for Parameter Instability in Regressions with I(1) Processes***by*Hansen, Bruce E**337-345 The Privacy Bootstrap***by*Bowden, Roger J & Sim, Ah Boon**347-366 Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors***by*Shea, Gary S**367-374 On Determining the Dimension of Real-Time Stock-Price Data***by*Mayfield, E Scott & Mizrach, Bruce

### April 1992, Volume 10, Issue 2

**117-131 Projecting from Advance Data Using Propensity Modeling: An Application to Income and Tax Statistics***by*Czajka, John L, et al**133-142 Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach***by*Bera, Anil K & Higgins, Matthew L & Lee, Sangkyu**143-151 Money-Demand Variability: A Demand-Systems Approach***by*Fisher, Douglas**153-167 Forecasting State-to-State Migration Rates***by*Frees, Edward W**169-177 Inferring Changes in Expectation Behavior over Time: An Application of Nonlinear Time-Varying-Parameters Estimation***by*Fuhrer, Jeffrey C**179-192 The Credit-Constrained Consumer: An Empirical Study of Demand and Supply in the Loan Market***by*Perraudin, William R M & Sorensen, Bent E**193-200 A Note on Identification in the Multinomial Probit Model***by*Keane, Michael P**201-211 A Comparison of Time-Varying Parameter and Multiprocess Mixture Models in the Case of Money-Supply Announcements***by*LeSage, James P**213-219 Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series***by*Penm, Jack H W & Penm, Jammie H & Terrell, R D**221-228 Chow-Type Tests under Heteroscedasticity***by*Koschat, Martin A & Weerahandi, Samaradasa**229-235 Inequality Constraints in the Univariate GARCH Model***by*Nelson, Daniel B & Cao, Charles Q

### January 1992, Volume 10, Issue 1

**1-9 On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous***by*Keane, Michael P & Runkle, David E**10-14 On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Comment***by*Schmidt, Peter & Ahn, Seung C & Wyhowski, Donald**15-17 On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Comment***by*Hayashi, Fumio