# Royal Economic Society

# Econometrics Journal

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This journal is no longer published by Royal Economic Society. For a followup journal, see Econometrics Journal, published by Royal Economic Society.
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### 2011, Volume 14, Issue 3

**B5-B9 A Review of Econometric Analysis of Cross Section and Panel Data (2nd ed.) by Wooldridge (Jeffrey M.)***by*Ralf A. Wilke**351-367 Non‐parametric models in binary choice fixed effects panel data***by*Stefan Hoderlein & Enno Mammen & Kyusang Yu**368-386 A simple approach to quantile regression for panel data***by*Ivan A. Canay**387-408 Non‐parametric time‐varying coefficient panel data models with fixed effects***by*Degui Li & Jia Chen & Jiti Gao**409-437 Rank estimation of partially linear index models***by*Jason Abrevaya & Youngki Shin**438-456 Fixed‐b analysis of LM‐type tests for a shift in mean***by*Jingjing Yang & Timothy J. Vogelsang**457-486 Non‐parametric regression under location shifts***by*Peter C. B. Phillips & Liangjun Su**487-497 Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures***by*Yunmi Kim & Chang‐Jin Kim

### 2011, Volume 14, Issue 2

**B1-B4 A Review of Micro‐Econometrics: Methods of Moments and Limited Dependent Variables (2nd Ed.) by L ee (M young‐jae )***by*João M. C. Santos Silva**131-155 An I(2) cointegration model with piecewise linear trends***by*Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek**156-185 Cointegration and sampling frequency***by*Marcus J. Chambers**186-203 Misspecification in moment inequality models: back to moment equalities?***by*Maria Ponomareva & Elie Tamer**204-240 Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures***by*Almut E. D. Veraart**241-256 Quasi‐maximum likelihood estimation of discretely observed diffusions***by*Xiao Huang**257-277 On the efficiency of a semi‐parametric GARCH model***by*Jianing Di & Ashis Gangopadhyay**278-303 Test statistics for prospect and Markowitz stochastic dominances with applications***by*Zhidong Bai & Hua Li & Huixia Liu & Wing‐Keung Wong**304-320 Regressions with asymptotically collinear regressors***by*Kairat T. Mynbaev**321-329 Large deviations of generalized method of moments and empirical likelihood estimators***by*Taisuke Otsu**330-342 Simple regression‐based tests for spatial dependence***by*Benjamin Born & Jörg Breitung**343-350 Non‐parametric identification of the mixed proportional hazards model with interval‐censored durations***by*Christian N. Brinch

### 2011, Volume 14, Issue 1

**C1-C24 A hierarchical factor analysis of U.S. housing market dynamics***by*Emanuel Moench & Serena Ng**C25-C44 Short‐term forecasts of euro area GDP growth***by*Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler**C45-C90 Weak and strong cross‐section dependence and estimation of large panels***by*Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti**48-76 The Hausman test in a Cliff and Ord panel model***by*Jan Mutl & Michael Pfaffermayr**77-120 Fully modified narrow‐band least squares estimation of weak fractional cointegration***by*Morten Ørregaard Nielsen & Per Frederiksen**25-47 Testing for sphericity in a fixed effects panel data model***by*Badi H. Baltagi & Qu Feng & Chihwa Kao**1-24 Quantile regression models with factor‐augmented predictors and information criterion***by*Tomohiro Ando & Ruey S. Tsay

### 2010, Volume 13, Issue 3

**S1-S27 The practice of non-parametric estimation by solving inverse problems: the example of transformation models***by*Frédérique Fève & Jean-Pierre Florens**S28-S55 Semi-parametric estimation of non-separable models: a minimum distance from independence approach***by*Ivana Komunjer & Andres Santos**S56-S79 Inference in limited dependent variable models robust to weak identification***by*Leandro M. Magnusson**S80-S98 Non-parametric estimation of exact consumer surplus with endogeneity in price***by*Anne Vanhems**S99-S125 A structural approach to estimating the effect of taxation on the labour market dynamics of older workers***by*Peter Haan & Victoria Prowse**S126-S161 Structural dynamic model of retirement with latent health indicator***by*Fedor Iskhakov

### 2010, Volume 13, Issue 2

**145-176 Specification and estimation of social interaction models with network structures***by*Lung-fei Lee & Xiaodong Liu & Xu Lin**177-204 Improving robust model selection tests for dynamic models***by*Hwan-sik Choi & Nicholas M. Kiefer**205-217 Testing the adequacy of conventional asymptotics in GMM***by*Jonathan H. Wright**218-244 Theory and inference for a Markov switching GARCH model***by*Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts**245-270 ECF estimation of Markov models where the transition density is unknown***by*George J. Jiang & John L. Knight**271-289 Bimodal t-ratios: the impact of thick tails on inference***by*Carlo V. Fiorio & Vassilis A. Hajivassiliou & Peter C. B. Phillips

### 2010, Volume 13, Issue 1

**1-39 Heterogeneity in dynamic discrete choice models***by*Martin Browning & Jesus M. Carro**40-62 Smoothness adaptive average derivative estimation***by*Marcia M. A. Schafgans & Victoria Zinde-Walsh**63-94 Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests***by*Edith Madsen**95-126 The weak instrument problem of the system GMM estimator in dynamic panel data models***by*Maurice J. G. Bun & Frank Windmeijer**127-144 Estimation of a transformation model with truncation, interval observation and time-varying covariates***by*Bo E. HonorÈ & Luojia Hu

### 2009, Volume 12, Issue s1

**S1-S18 Goodness-of-fit tests for functional data***by*Federico A. Bugni & Peter Hall & Joel L. Horowitz & George R. Neumann**S19-S49 Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form***by*Elise Coudin & Jean-Marie Dufour**S50-S67 Copula-based nonlinear quantile autoregression***by*Xiaohong Chen & Roger Koenker & Zhijie Xiao**S68-S82 Large-sample inference on spatial dependence***by*P. M. Robinson**S83-S104 Semiparametric cointegrating rank selection***by*Xu Cheng & P eter C. B. Phillips**S105-S134 Distribution-free specification tests for dynamic linear models***by*Miguel A. Delgado & Javier Hidalgo & Carlos Velasco**S135-S171 Efficient GMM with nearly-weak instruments***by*Bertille Antoine & Eric Renault**S172-S199 Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities***by*Donald W. K. Andrews & Sukjin Han**S200-S216 More on monotone instrumental variables***by*Charles F. Manski & John V. Pepper**S217-S229 Two-step series estimation of sample selection models***by*Whitney K. Newey**S230-S234 A note on adapting propensity score matching and selection models to choice based samples***by*James J. Heckman & Petra E. Todd

### 2009, Volume 12, Issue 3

**C1-C32 Realized kernels in practice: trades and quotes***by*O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard**C33-C64 An arbitrage-free generalized Nelson--Siegel term structure model***by*Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch**C65-C101 The econometrics of mean-variance efficiency tests: a survey***by*Enrique Sentana**397-413 Identification of peer effects using group size variation***by*Laurent Davezies & Xavier D'Haultfoeuille & Denis Fougère**414-435 Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term***by*Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen**436-446 Stationarity of a family of GARCH processes***by*Ji-Chun Liu

### 2009, Volume 12, Issue 2

**187-207 Non-parametric regression with a latent time series***by*Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen**208-231 Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models***by*Francesco Bravo**232-247 On skewness and kurtosis of econometric estimators***by*Yong Bao & Aman Ullah**248-271 Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models***by*P. Čížek & W. Härdle & V. Spokoiny**272-291 Multi-tail generalized elliptical distributions for asset returns***by*Sebastian Kring & Svetlozar T. Rachev & Markus Höchstötter & Frank J. Fabozzi & Michele Leonardo Bianchi**292-309 Multivariate stochastic volatility, leverage and news impact surfaces***by*Manabu Asai & Michael McAleer**310-323 Looking for skewness in financial time series***by*Matteo Grigoletto & Francesco Lisi**324-339 Bayesian estimation of a random effects heteroscedastic probit model***by*Yuanyuan Gu & Denzil G. Fiebig & Edward Cripps & Robert Kohn**340-366 Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application***by*S. de Silva & K. Hadri & A. R. Tremayne**367-381 The empirical process of autoregressive residuals***by*E ric E ngler & B ent N ielsen**382-395 A note on non-parametric estimation with predicted variables***by*Stefan Sperlich

### 2009, Volume 12, Issue 1

**1-25 Identification and estimation of local average derivatives in non-separable models without monotonicity***by*Stefan Hoderlein & Enno Mammen**26-44 Assessing the magnitude of the concentration parameter in a simultaneous equations model***by*D. S. Poskitt & C. L. Skeels**45-61 Determining the number of factors in a multivariate error correction--volatility factor model***by*Qiaoling Li & Jiazhu Pan**62-81 On the impact of error cross-sectional dependence in short dynamic panel estimation***by*Vasilis Sarafidis & Donald Robertson**82-104 Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model***by*Anders Wilhelmsson**105-126 Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations***by*David Ardia**127-146 Causality and forecasting in temporally aggregated multivariate GARCH processes***by*Christian M. Hafner**147-163 Testing for volatility interactions in the Constant Conditional Correlation GARCH model***by*Tomoaki Nakatani & Timo Terasvirta**164-186 EM algorithms for ordered probit models with endogenous regressors***by*Hiroyuki Kawakatsu & Ann G. Largey

### 2008, Volume 11, Issue 3

**409-442 Seasonal unit root tests and the role of initial conditions***by*David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor**443-477 Bootstrap inference in a linear equation estimated by instrumental variables***by*Russell Davidson & James G. MacKinnon**478-498 Using semi-parametric methods in an analysis of earnings mobility***by*Shawn W. Ulrick**499-516 Heterogeneity, state dependence and health***by*Timothy J. Halliday**517-537 Semiparametric estimation of the Box--Cox transformation model***by*Youngki Shin**538-553 A semiparametric derivative estimator in log transformation models***by*Chunrong Ai & Edward C. Norton**554-572 Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals***by*Badi H. Baltagi & Chihwa Kao & Long Liu**573-592 Asymptotic and qualitative performance of non-parametric density estimators: a comparative study***by*Teruko Takada**593-616 Estimation of the stochastic conditional duration model via alternative methods***by*John Knight & Cathy Q. Ning**617-637 Distinguishing short and long memory volatility specifications***by*Shiuyan Pong & Mark B. Shackleton & Stephen J. Taylor**638-647 Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent***by*Rickard Sandberg

### 2008, Volume 11, Issue 2

**219-243 Panel vector autoregression under cross-sectional dependence***by*Xiao Huang**244-270 Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models***by*Robert J. Elliott & Vikram Krishnamurthy & Jörn Sass**271-286 Factor analysis in a model with rational expectations***by*Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino**287-307 Generic consistency of the break-point estimators under specification errors in a multiple-break model***by*Jushan Bai & Haiqiang Chen & Terence Tai-Leung Chong & Seraph Xin Wang**308-325 Representation theorem for convex nonparametric least squares***by*Timo Kuosmanen**326-348 The impact of homework on student achievement***by*Ozkan Eren & Daniel J. Henderson**349-376 Generalized LM tests for functional form and heteroscedasticity***by*Zhenlin Yang & Yiu-Kuen Tse**377-395 A bootstrap procedure for panel data sets with many cross-sectional units***by*G. Kapetanios**396-408 K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables***by*Rui Li & Guan Gong

### 2008, Volume 11, Issue 1

**1-26 Bootstrapping Autoregression under Non-stationary Volatility***by*Ke-Li Xu**27-38 Estimating GARCH models: when to use what?***by*Da Huang & Hansheng Wang & Qiwei Yao**39-57 Influential observations in cointegrated VAR models: Danish money demand 1973--2003***by*Heino Bohn Nielsen**58-79 Inflation, exchange rates and PPP in a multivariate panel cointegration model***by*Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén**80-104 Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects***by*Hyungsik Roger Moon & Benoit Perron**105-127 A bias-adjusted LM test of error cross-section independence***by*M. Hashem Pesaran & Aman Ullah & Takashi Yamagata**128-154 Economic Reform, Growth and Convergence in China***by*Esfandiar Maasoumi & Le Wang**155-171 Modelling Portfolio Defaults Using Hidden Markov Models with Covariates***by*Konrad Banachewicz & André Lucas & Aad van der Vaart**172-192 Stochastic frontier models with dependent error components***by*Murray D. Smith**193-208 Indirect Estimation of α-Stable Distributions and Processes***by*Marco J. Lombardi & Giorgio Calzolari**209-217 Exact formulas for the Hodrick-Prescott filter***by*Tucker McElroy**i-iii The Econometrics Journal of the Royal Economic Society***by*Richard J. Smith

### 2007, Volume 10, Issue 3

**471-487 On the sensitivity of the restricted least squares estimators to covariance misspecification***by*Alan T.K. Wan & Guohua Zou & Huaizhen Qin**488-502 The Tobit model with a non-zero threshold***by*Richard T. Carson & Yixiao Sun**503-520 Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models***by*P. Dellaportas & I. D. Vrontos**521-540 Robust estimators for the fixed effects panel data model***by*Maria Caterina Bramati & Christophe Croux**541-553 Moments of IV and JIVE estimators***by*Russell Davidson & James G. MacKinnon**554-579 Expectations hypotheses tests at Long Horizons***by*Barbara Rossi**580-604 Searching for cointegration in a dynamic system***by*Zhongjun Qu**605-636 A mixture-distribution factor model for multivariate outliers***by*Iliyan Georgiev**637-644 Size matters: covariance matrix estimation under the alternative***by*Jason Allen

### 2007, Volume 10, Issue 2

**193-215 Semiparametric competing risks analysis***by*José Canals-Cerdá & Shiferaw Gurmu**216-244 Estimating option implied risk-neutral densities using spline and hypergeometric functions***by*Ruijun Bu & Kaddour Hadri**245-262 On the inconsistency of the unrestricted estimator of the information matrix near a unit root***by*Tassos Magdalinos**263-293 Selection correction in panel data models: An application to the estimation of females' wage equations***by*Christian Dustmann & María Engracia Rochina-Barrachina**294-319 A model selection method for S-estimation***by*Arie Preminger & Shinichi Sakata**320-341 Method of moment estimation in the COGARCH(1,1) model***by*S. Haug & C. Klüppelberg & A. Lindner & M. Zapp**342-358 Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models***by*Hiroyuki Kawakatsu**359-407 Propensity score matching without conditional independence assumption--with an application to the gender wage gap in the United Kingdom***by*Markus Frölich**408-425 Bayesian inference for the mixed conditional heteroskedasticity model***by*L. Bauwens & J.V.K. Rombouts**426-438 Two-stage estimation of limited dependent variable models with errors-in-variables***by*Liqun Wang & Cheng Hsiao**439-452 Controlling for overdispersion in grouped conditional logit models: A computationally simple application of Dirichlet-multinomial regression***by*Paulo Guimarães & Richard C. Lindrooth**453-469 Estimation of impulse response functions using long autoregression***by*Pao-Li Chang & Shinichi Sakata

### 2007, Volume 10, Issue 1

**1-34 Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities***by*Kyoo il Kim**35-48 Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry***by*Bryan W. Brown & Douglas J. Hodgson**49-81 Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models***by*Cheng Hsiao & Siyan Wang**82-112 How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes?***by*Chi-Young Choi & Young-Kyu Moh**113-123 Non-trading day effects in asymmetric conditional and stochastic volatility models***by*Manabu Asai & Michael McAleer**124-148 Minimum distance estimation of stationary and non-stationary ARFIMA processes***by*Laura Mayoral**149-165 Testing for time series linearity***by*David I. Harvey & Stephen J. Leybourne**166-192 Local sensitivity and diagnostic tests***by*Jan R. Magnus & Andrey L. Vasnev

### 2006, Volume 9, Issue 3

**357-372 Temporal disaggregation by state space methods: Dynamic regression methods revisited***by*Tommaso Proietti**373-403 Change-point monitoring in linear models***by*Alexander Aue & Lajos Horváth & Marie Hušková & Piotr Kokoszka**404-422 The asymptotic distribution of the F-test statistic for individual effects***by*Chris D. Orme & Takashi Yamagata**423-447 A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend***by*Ai Deng & Pierre Perron**448-471 Cross-validation and non-parametric k nearest-neighbour estimation***by*Desheng Ouyang & Dong Li & Qi Li**472-491 A sequential procedure for determining the number of regimes in a threshold autoregressive model***by*Birgit Strikholm & Timo Teräsvirta**492-510 Optimal Fractional Dickey-Fuller tests***by*Ignacio N. Lobato & Carlos Velasco**511-540 Non-parametric regression for binary dependent variables***by*Markus Frölich

### 2006, Volume 9, Issue 2

**177-195 Consistent estimation of binary-choice panel data models with heterogeneous linear trends***by*Alban Thomas**196-224 Joint hypothesis specification for unit root tests with a structural break ****by*Josep Lluís Carrion-i-Silvestre & Andreu Sansó**225-251 Unit root tests and structural change when the initial observation is drawn from its unconditional distribution***by*Hui Liu & Gabriel Rodríguez**252-278 Unit root tests in three-regime SETAR models***by*George Kapetanios & Yongcheol Shin**279-290 On robust model selection within the Cox model***by*Tadeusz Bednarski & Edyta Mocarska**291-306 Instrumental variables estimation of stationary and non-stationary cointegrating regressions***by*P. M. Robinson & M. Gerolimetto**307-331 Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization***by*Partha Deb & Pravin K. Trivedi**332-355 Semiparametric estimation and testing of the trend of temperature series***by*Jiti Gao & Kim Hawthorne

### 2006, Volume 9, Issue 1

**1-22 Semiparametric estimation of single-index hazard functions without proportional hazards***by*Tue Gørgens**23-47 Dynamic adjustment cost models with forward-looking behaviour***by*Luca Fanelli**48-75 A bootstrap approach to moment selection***by*Atsushi Inoue**76-97 Simulation-based tests for heteroskedasticity in linear regression models: Some further results***by*L. G. Godfrey & C. D. Orme & J. M. C. Santos Silva**98-122 The polynomial aggregated AR(1) model***by*Terence Tai-Leung Chong**123-158 Mean group tests for stationarity in heterogeneous panels***by*Yongcheol Shin & Andy Snell**159-176 Further results on optimal critical values of pre-test when estimating the regression error variance***by*Alan T.K. Wan & Guohua Zou & Kazuhiro Ohtani

### 2005, Volume 8, Issue 3

**277-291 Estimation of the mean of a univariate normal distribution when the variance is not known***by*Dmitry Danilov**292-305 On the arbitrariness of some asymptotic test statistics based on generalized inverses***by*Naorayex K. Dastoor**306-322 Artificial regression testing in the GARCH-in-mean model***by*Riccardo Lucchetti & Eduardo Rossi**323-351 Residual-based block bootstrap unit root testing in the presence of trend breaks***by*Evangelos E. Ioannidis**352-366 Partially adaptive estimation via the maximum entropy densities***by*Ximing Wu & Thanasis Stengos**367-379 Expansions for approximate maximum likelihood estimators of the fractional difference parameter***by*Offer Lieberman & Peter C. B. Phillips**380-405 Estimating cointegrating relations from a cross section***by*Edith Madsen**406-417 Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances***by*Christian Kleiber & Walter Krämer**418-427 Repeated surveys and the Kalman filter***by*Jo Thori Lind**428-454 Measurement of aggregate risk with copulas***by*Markus Junker & Angelika May

### 2005, Volume 8, Issue 2

**115-142 Moment approximation for least-squares estimators in dynamic regression models with a unit root ****by*Jan F. Kiviet & Garry D. A. Phillips**143-158 Robust modelling of DTARCH models***by*Yer Van Hui & Jiancheng Jiang**159-175 Breaking the panels: An application to the GDP per capita***by*Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo**176-196 Simultaneous equations in ordered discrete responses with regressor-dependent thresholds***by*Myoung-Jae Lee & Ayal Kimhi**197-213 Functional-coefficient models under unit root behaviour***by*Ted Juhl**214-234 Temporal disaggregation using multivariate structural time series models***by*Filippo Moauro & Giovanni Savio**235-250 Adaptive MCMC methods for inference on affine stochastic volatility models with jumps***by*Davide Raggi**251-276 Non-linear GARCH models for highly persistent volatility***by*Markku Lanne & Pentti Saikkonen

### 2005, Volume 8, Issue 1

**1-22 Counts with an endogenous binary regressor: A series expansion approach***by*Andrés Romeu & Marcos Vera-Hernández**23-38 Granger's representation theorem: A closed-form expression for I(1) processes***by*Peter Reinhard Hansen**39-54 On Theil's errors***by*Jan R. Magnus & Ashoke K. Sinha**55-69 Testing for stationarity in heterogeneous panel data where the time dimension is finite***by*Kaddour Hadri & Rolf Larsson**70-78 Bootstrap estimation of covariance matrices via the percentile method***by*José A. F. Machado & Paulo Parente**79-96 Estimating the effect of price limits on limit-hitting days***by*Jeff Chung & Li Gan**97-111 On testing for unit roots and the initial observation***by*David I. Harvey & Stephen J. Leybourne

### 2004, Volume 7, Issue 2

**307-321 The consequences of seasonal adjustment for periodic autoregressive processes***by*Tomas del Barrio Castro & Denise R. Osborn**322-340 Some cautions on the use of panel methods for integrated series of macroeconomic data***by*Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat**341-365 Testing linearity in cointegrating smooth transition regressions***by*In Choi & Pentti Saikkonen**366-388 Response error in a transformation model with an application to earnings-equation estimation ****by*Jason Abrevaya & Jerry A. Hausman**389-397 More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term***by*Søren Johansen & Anders Rygh Swensen**398-425 Markov switching stochastic frontier model***by*Efthymios G. Tsionas & Subal C. Kumbhakar**426-454 Semiparametric mixture models for multivariate count data, with application***by*Marco Alfò & Giovanni Trovato**455-475 On the forecasting ability of ARFIMA models when infrequent breaks occur***by*Vasco J. Gabriel & Luis F. Martins**476-504 Oil prices and exchange rates: Norwegian evidence***by*Q. Farooq Akram**505-527 Asymptotic confidence intervals for impulse responses of near-integrated processes***by*Nikolay Gospodinov