## Content

### October 1998, Volume 16, Issue 4

**450-458 Cointegration and Long-Horizon Forecasting***by*Christoffersen, Peter F & Diebold, Francis X**459-468 Outlier Detection in Cointegration Analysis***by*Franses, Philip Hans & Lucas, Andre**469-478 Prior Density-Ratio Class Robustness in Econometrics***by*Geweke, John & Petrella, Lea**479-488 Why Do Investment Euler Equations Fail?***by*Whited, Toni M**489-497 Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example***by*Guerrero, Victor M & Pena, Daniel & Poncela, Pilar**498-507 The Risk Premium of Volatility Implicit in Currency Options***by*Guo, Dajiang

### July 1998, Volume 16, Issue 3

**261-268 Real and Spurious Long-Memory Properties of Stock-Market Data***by*Lobato, Ignacio N & Savin, N E**268-269 Real and Spurious Long-Memory Properties of Stock-Market Data: Comment***by*Granger, Clive W J**269-271 Real and Spurious Long-Memory Properties of Stock-Market Data: Comment***by*Geweke, John**272-272 Real and Spurious Long-Memory Properties of Stock-Market Data: Comment***by*Ho, Hwai-Chung Jeff & Lin, Chien-fu**273-276 Real and Spurious Long-Memory Properties of Stock-Market Data: Comment***by*Baillie, Richard T**276-279 Real and Spurious Long-Memory Properties of Stock-Market Data: Comment***by*Robinson, P M**280-283 Real and Spurious Long-Memory Properties of Stock-Market Data: Reply***by*Lobato, Ignacio N & Savin, N E**284-291 A Maximum Likelihood Approach for Non-Gaussian Stochastic Volatility Models***by*Friedman, Moshe & Harris, Lawrence**292-303 The Estimation of Food Expenditures from Household Budget Data in the Presence of Bulk Purchases***by*Pena, Daniel & Ruiz-Castillo, Javier**304-311 Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates***by*Enders, Walter & Granger, Clive W J**312-321 Spatio-Temporal Modeling of Residential Sales Data***by*Gelfand, Alan E, et al**322-330 Inference Tests for Gini-Based Tax Progressivity Indexes***by*Bishop, John A & Formby, John P & Zheng, Buhong**331-338 A Simple Method for Imposing Local Curvature in Some Flexible Consumer-Demand Systems***by*Ryan, David L & Wales, Terence J**339-348 Estimation of Autocorrelations of Survey Errors with Application to Trend Estimation in Small Areas***by*Pfeffermann, Danny & Feder, Moshe & Signorelli, David**349-356 A Locally Optimal Seaosnal Unit-Root Test***by*Caner, Mehmet**357-361 An EM Algorithm for Conditionally Heteroscedastic Factor Models***by*Demos, Antonis & Sentana, Enrique**362-368 Construction of Confidence Intervals for the Mean of a Population Containing Many Zero Values***by*Kvanli, Alan H & Shen, Yaung Kaung & Deng, Lih Yuan

### April 1998, Volume 16, Issue 2

**127-152 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program***by*Findley, David F, et al**153-155 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment***by*Cleveland, William P**155-160 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment***by*Maravall, Agustin**161-163 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment***by*Morry, Marietta & Chhab, Norma**164-165 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment***by*Wallis, Kenneth F**165-167 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment***by*Ghysels, Eric**167-168 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment***by*Hylleberg, Svend**169-177 New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply***by*Findley, David F, et al**178-186 Bayesian Analysis of the Prototypal Search Model***by*Kiefer, Nicholas M & Steel, Mark F J**187-197 On the Dynamics of Demand for Leisure and the Production of Health***by*Sickles, Robin C & Yazbeck, Abdo**198-205 A New Measure of Fit for Equations with Dichotomous Dependent Variables***by*Estrella, Arturo**206-215 Structural Instability and the Production-Smoothing Model of Inventories***by*Rossana, Robert J**216-226 Anatomy of a Market Failure: NYSE Trading Suspensions (1974-1988)***by*Bhattacharya, Utpal & Spiegel, Matthew**227-236 Nonlinearities and Nonstationarities in Stock Returns***by*de Lima, Pedro J F**237-243 Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity***by*Drost, Feike C & Nijman, Theo E & Werker, Bas J M**244-253 A Stochastic Volatility Model with Markov Switching***by*So, Mike K P & Lam, K & Li, W K**254-259 Tests for Forecast Encompassing***by*Harvey, David I & Leybourne, Stephen J & Newbold, Paul

### January 1998, Volume 16, Issue 1

**2-12 An Empirical Investigation of the "Dynamic McFadden" Model of Purchase Timing and Brand Choice: Implications for Market Structure***by*Chintagunta, Pradeep K & Prasad, Alok R**13-26 Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing***by*Backus, David & Foresi, Silverio & Zin, Stanley**27-41 Analysis of Patent Data--A Mixed-Poisson-Regression-Model Approach***by*Wang, Peiming & Cockburn, Iain M & Puterman, Martin L**42-51 Stabilized Sieve Sampling: A Point-Estimator Analysis***by*Horgan, Jane M**52-61 Are Our Data Relevant to the Theory? The Case of Aggregate Consumption Expenditures, and Empirical Consumption and Savings***by*Slesnick, Daniel T**62-72 Generalizing the Bayesian Vector Autoregression Approach for Regional Interindustry Employment Forecasting***by*Partridge, Mark D & Rickman, Dan S**73-80 Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters***by*Vogelsang, Timothy J**81-91 Modeling Price and Quantity Relations for Danish Manufacturing Exports***by*Kongsted, Hans Christian**92-100 Multiple Regimes in U.S. Output Fluctuations***by*Cooper, Suzanne J**101-109 Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume***by*Liesenfeld, Roman**110-117 Out-of-Sample Forecast Performance as a Test for Nonlinearity in Time Series***by*Jaditz, Ted & Sayers, Chera L**118-124 On the Choice of Functional Forms: Summary of a Monte Carlo Experiment***by*Gagne, Robert & Ouellette, Pierre

### October 1997, Volume 15, Issue 4

**391-401 Do Fast-Food Chains Price Discriminate on the Race and Income Characteristics of an Area?***by*Graddy, Kathryn**402-409 On Measuring Segregation in Samples with Small Units***by*Carrington, William J & Troske, Kenneth R**410-418 Seasonal Adjustment and Other Data Transformations***by*Ghysels, Eric**419-431 Efficient Estimation with Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators***by*Ziliak, James P**432-444 Measuring and Comparing Business-Cycle Features***by*Hess, Gregory D & Iwata, Shigeru**445-451 A Measure of Production Performance***by*Kokic, Philip, et al**452-463 Retrospective Reporting of Household Wealth: Evidence from the 1983-1989 Survey of Consumer Finances***by*Kennickell, Arthur B & Starr-McCluer, Martha**464-469 The Implications of Demographic-Specific Inflation Rates for Trends in Real Educational Wage Differentials***by*Idson, Todd & Miller, Cynthia**470-481 On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment***by*Ooms, Marius & Franses, Philip Hans**482-492 Dynamic Asymptotically Ideal Models and Finite Approximation***by*Fleissig, Adrian R & Swofford, James L

### July 1997, Volume 15, Issue 3

**293-299 Improving the Accessibility of the NBER's Historical Data***by*Feenberg, Daniel & Miron, Jeffrey A**300-309 Reconciling the Old and New Census Bureau Education Questions: Recommendations for Researchers***by*Jaeger, David A**310-327 Modeling Heterogeneity and State Dependence in Consumer Choice Behavior***by*Keane, Michael P**328-334 A Bayesian Analysis of Autoregressive Time Series Panel Data***by*Nandram, Balgobin & Petruccelli, Joseph D**335-344 Analyzing Ultimatum Bargaining: A Bayesian Approach to the Comparison of Two Potency Curves under Shape Constraints***by*Fong, Duncan K H & Bolton, Gary E**345-353 When Do Long-Run Identifying Restrictions Give Reliable Results?***by*Faust, Jon & Leeper, Eric M**354-368 The Modeling and Seasonal Adjustment of Weekly Observations***by*Harvey, Andrew & Koopman, Siem Jan & Riani, Marco**369-378 Consistent Significance Testing for Nonparametric Regression***by*Racine, Jeff**379-386 Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency***by*Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam**387-389 Splicing Index Numbers***by*Hill, Robert J & Fox, Kevin J

### April 1997, Volume 15, Issue 2

**115-129 Unemployment Insurance Eligibility and the School-to-Work Transition in Canada and the United States***by*Ferrall, Christopher**130-152 Measuring the Influence of Unemployment Insurance on Unemployment Experiences***by*Gritz, R Mark & MaCurdy, Thomas**153-164 Savings and Labor-Market Transitions***by*Blundell, Richard & Magnac, Thierry & Meghir, Costas**165-179 Exact Structural Inference in Optimal Job-Search Models***by*Lancaster, Tony**180-194 Precautionary Saving, Credit Constraints, and Irreversible Investment: Theory and Evidence from Semiarid India***by*Fafchamps, Marcel & Pender, John**195-208 On the Optimal Lifetime of Nuclear Power Plants***by*Rothwell, Geoffrey & Rust, John**209-220 Auctioning and Bargaining: An Econometric Study of Timber Auctions with Secret Reservation Prices***by*Elyakime, Bernard, et al**221-236 Equilibrium Wage and Dismissal Processes***by*Flinn, Christopher J**237-253 A Microeconometric Comparison of Household Behavior between Countries***by*Miller, Robert A & Sieg, Holger**254-268 Uncertain Health and Survival: Effects on End-of-Life Consumption***by*Lillard, Lee A & Weiss, Yoram**269-281 Job Search and Commuting Time***by*van den Berg, Gerard J & Gorter, Cees**282-292 Dynamic Savings Decisions in Agricultural Environments with Incomplete Markets***by*Behrman, Jere R & Foster, Andrew & Rosenzweig, Mark R

### January 1997, Volume 15, Issue 1

**1-14 Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100***by*Abhyankar, A & Copeland, L S & Wong, W**15-25 Impulse Response Function for Conditional Volatility in GARCH Models***by*Lin, Wen-Ling**26-34 Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility***by*Dueker, Michael J**35-42 Common Predictable Components in Regional Stock Markets***by*Cheung, Yin-Wong & He, Jia & Ng, Lilian K**43-50 ARCH and Bilinearity as Competing Models for Nonlinear Dependence***by*Bera, Anil K & Higgins, Matthew L**51-59 Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates***by*Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam**60-67 Approximate Asymptotic P Values for Structural-Change Tests***by*Hansen, Bruce E**68-73 Further Investigation of the Uncertain Unit Root in GNP***by*Cheung, Yin-Wong & Chinn, Menzie D**74-81 Measuring Tail Thickness to Estimate the Stable Index Alpha: A Critique***by*McCulloch, J Huston**82-89 GMM Estimation of Count-Panel-Data Models with Fixed Effects and Predetermined Instruments***by*Montalvo, Jose G**90-100 Estimation of Short-Run and Long-Run Elasticities of Energy Demand from Panel Data Using Shrinkage Estimators***by*Maddala, G S, et al**101-108 Empirical Bayes Small-Area Estimation Using Logistic Regression Models and Summary Statistics***by*Farrell, Patrick J & MacGibbon, Brenda & Tomberlin, Thomas J

### October 1996, Volume 14, Issue 4

**399-411 Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate***by*Den Haan, Wouter J**412-420 Bayesian Estimation of Stochastic Discount Factors***by*Gordon, Stephen & Samson, Lucie & Carmichael, Benoit**421-428 Predicting Turning Points through the Integration of Multiple Models***by*Li, David T & Dorfman, Jeffrey H**429-434 Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns***by*Harvey, Andrew C & Shephard, Neil**435-446 Can Economic Time Series Be Differenced to Stationarity?***by*Leybourne, S J & McCabe, B P M & Tremayne, A R**447-459 An Exponential-Family Multidimensional Scaling Mixture Methodology***by*Wedel, Michel & DeSarbo, Wayne S**460-468 Semiparametric Estimation of Stochastic Production Frontier Models***by*Fan, Yanqin & Li, Qi & Weersink, Alfons**469-477 Excess Zeros in Count Models for Recreational Trips***by*Gurmu, Shiferaw & Trivedi, Pravin K**478-486 On Using Linear Regressions in Welfare Economics***by*Yitzhaki, Shlomo**487-496 Semiparametric (Distribution-Free) Testing of the Expectations Hypothesis in a Parimutuel Gambling Market***by*Goodwin, Barry K

### July 1996, Volume 14, Issue 3

**262-280 Finite-Sample Properties of Some Alternative GMM Estimators***by*Hansen, Lars Peter & Heaton, John & Yaron, Amir**281-293 A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model***by*West, Kenneth D & Wilcox, David W**294-308 Small-Sample Properties of GMM-Based Wald Tests***by*Burnside, Craig & Eichenbaum, Martin S**309-327 Small-Sample Properties of GMM for Business-Cycle Analysis***by*Chistiano, Lawrence J & den Haan, Wouter J**328-352 GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study***by*Andersen, Torben G & Sorensen, Bent E**353-366 Small-Sample Bias in GMM Estimation of Covariance Structures***by*Altonji, Joseph G & Segal, Lewis M**367-373 Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure***by*Clark, Todd E**374-386 Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?***by*Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L**387-388 Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment***by*Bell, William R**388-389 Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment***by*Hylleberg, Svend**389-393 Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment***by*Findley, David F**394-396 Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment***by*Watson, Mark W**396-397 Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply***by*Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L

### April 1996, Volume 14, Issue 2

**139-151 Periodic Autoregressive Conditional Heteroscedasticity***by*Bollerslev, Tim & Ghysels, Eric**153-160 Testing Identifiability of Cointegrating Vectors***by*Boswijk, H Peter**161-168 The Level and Power of the Bootstrap t Test in the AR(1) Model with Trend***by*Nankervis, John C & Savin, N E**169-177 Blanchard's Model of Consumption: An Empirical Study***by*Haug, Alfred A**179-187 The Persistence of Shocks to Macroeconomic Time Series: Some Evidence from Economic Theory***by*Cushing, Matthew J & McGarvey, Mary G**189-198 Why Are Some Industries More Cyclical Than Others?***by*Petersen, Bruce & Strongin, Steven**199-202 The APT Model as Reduced-Rank Regression***by*Bekker, Paul & Dobbelstein, Pascal & Wansbeek, Tom**203-208 Measuring Substitution in Monetary-Asset Demand Systems***by*Davis, George C & Gauger, Jean**209-220 R-Squared Measures for Count Data Regression Models with Applications to Health-Care Utilization***by*Cameron, A Colin & Windmeijer, Frank A G**221-229 Inferring the Order of the Choice Process Using Consumer Purchase Histories***by*Morgan, Michael S & Trivedi, Minakshi**231-241 Nonresponse Bias and Business Turnover Rates: The Case of the Characteristics of Business Owners Survey***by*Holmes, Thomas J & Schmitz, James A, Jr**243-250 Prediction of the U.S. Employment Links: An Application of an Empirical Bayes Procedure***by*Wang, Wenyu**251-255 Two Simple Algorithms for Generating a Subset of Data Consistent with WARP and Other Binary Relations***by*Gross, John & Kaiser, Dan**257-257 Correction [Posterior Properties of Long-Run Impulse Responses]***by*Koop, Gary & Osiewalski, Jacek & Steel, Mark F J

### January 1996, Volume 14, Issue 1

**1-9 A Bayesian Approach to Calibration***by*DeJong, David N & Ingram, Beth Fisher & Whiteman, Charles H**11-30 Evidence on Structural Instability in Macroeconomic Time Series Relations***by*Stock, James H & Watson, Mark W**31-43 A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps***by*Ho, Mun S & Perraudin, William R M & Sorensen, Bent E**45-52 High-Frequency Data and Volatility in Foreign-Exchange Rates***by*Zhou, Bin**53-68 Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors***by*Hansen, Lars Peter & Singleton, Kenneth J**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