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December 2004, Volume 7, Issue 2
- 505-527 Asymptotic confidence intervals for impulse responses of near-integrated processes
by Nikolay Gospodinov - 528-549 Testing for duration dependence in economic cycles
by Jonathan Ohn & Larry W. Taylor & Adrian Pagan - 550-565 Forecasting in dynamic factor models using Bayesian model averaging
by Gary Koop & Simon Potter - 566-584 Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts
by A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer - 585-617 A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
by Ekaterini Panopoulou & Nikitas Pittis - 618-627 Identification of causal factor models of stationary time series
by Chris Heaton & Victor Solo - 628-651 Vector equilibrium correction models with non-linear discontinuous adjustments
by Frédérique Bec & Anders Rahbek
June 2004, Volume 7, Issue 1
- 1-31 Pooling of forecasts
by David F. Hendry & Michael P. Clements - 32-54 Least squares estimation and tests of breaks in mean and variance under misspecification
by Jean-Yves Pitarakis - 55-62 Linearity tests and stationarity
by Rehim Kilic - 63-97 Efficient inference in multivariate fractionally integrated time series models
by Morten Orregaard Nielsen - 98-119 The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
by William Greene - 120-142 Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers
by Wei Zhang & Lung-fei Lee - 143-167 Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques
by Sylvia Fruhwirth-Schnatter - 168-190 Asymptotic inference results for multivariate long-memory processes
by Juan J. Dolado & Francesc Marmol - 191-217 Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion
by D. Harris & D. S. Poskitt - 218-231 Two-stage quantile regression when the first stage is based on quantile regression
by Tae-Hwan Kim & Christophe Muller - 232-248 Modelling phase shifts among stochastic cycles
by Gerhard Runstler - 249-271 Cointegration analysis in the presence of outliers
by Heino Bohn Nielsen - 272-306 Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations
by Jinyong Hahn & Jerry Hausman & Guido Kuersteiner
December 2003, Volume 6, Issue 2
- 261-290 Semiparametric estimation of Value at Risk
by Jianqing Fan & Juan Gu - 291-311 Tests for a change in persistence against the null of difference-stationarity
by Stephen Leybourne & Tae-Hwan Kim & Vanessa Smith & Paul Newbold - 312-334 A full-factor multivariate GARCH model
by I. D. Vrontos & P. Dellaportas & D. N. Politis - 335-356 ARMA representation of integrated and realized variances
by Nour Meddahi - 357-373 A radial basis function artificial neural network test for neglected nonlinearity
by Andrew P. Blake & George Kapetanios - 374-400 Distribution of preferences and measurement errors in a disaggregated expenditure system
by Jørgen Aasness & Erik Biørn & Terje Skjerpen - 401-407 Standard error correction in two-stage estimation with nested samples
by Pinar Karaca-Mandic & Kenneth Train - 408-420 Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
by Renate Meyer & David A. Fournier & Andreas Berg - 421-429 Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative
by A. Sen - 430-461 Econometric inflation targeting
by Gunnar Bardsen & Eilev S. Jansen & Ragnar Nymoen
June 2003, Volume 6, Issue 1
- 1-27 Discrete choice and stochastic utility maximization
by Ruud H. Koning & Geert Ridder - 28-45 Hedonic price index estimation under mean-independence of time dummies from quality characteristics
by Yasushi Kondo & Myoung-jae Lee - 46-52 A note on the estimation of mixture models under endogenous sampling
by J. M. C. Santos Silva - 53-71 An I(2) cointegration analysis of small-country import price determination
by Hans Christian Kongsted - 72-78 Critical values for multiple structural change tests
by Jushan Bai & Pierre Perron - 79-98 The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
by Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta - 99-123 Modelling sample selection using Archimedean copulas
by Murray D. Smith - 124-145 Exploring economic time series: a Bayesian graphical approach
by J. M. Marriott & J. C. Naylor & A. R. Tremayne - 146-166 Moments of the ARMA--EGARCH model
by M. Karanasos & J. Kim - 167-192 Generic consistency of the break-point estimator under specification errors
by Terence Tai-Leung Chong - 193-216 Asymptotics for unit root tests under Markov regime-switching
by Giuseppe Cavaliere - 217-259 Dynamic panel estimation and homogeneity testing under cross section dependence *
by Peter C. B. Phillips & Donggyu Sul
June 2002, Volume 5, Issue 2
- 263-284 An investigation of tests for linearity and the accuracy of likelihood based inference using random fields
by Christian M. Dahl - 285-318 Distributions of error correction tests for cointegration
by Neil R. Ericsson & James G. MacKinnon - 319-344 Modelling methodology and forecast failure
by Michael P. Clements & David F. Hendry - 345-357 Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model
by Antonis Demos - 358-374 Residual-based diagnostics for conditional heteroscedasticity models
by Y. K. Tse - 374-387 Lag length and mean break in stationary VAR models
by Minxian Yang - 387-416 Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
by Claudia Klüppelberg & Ross A. Maller & Mark van de Vyver & Derick Wee - 417-434 Multinomial probit estimation without nuisance parameters
by Jon A. Breslaw - 435-456 Estimating saving functions in the presence of excessive-zeros problems
by Atsushi Yoshida & Alessandra Guariglia - 457-479 Projection estimators for autoregressive panel data models
by Stephen Bond & Frank Windmeijer - 480-493 A comparative study of alternative estimators for the unbalanced two-way error component regression model
by Badi H. Baltagi & Seuck H. Song & Byoung C. Jung - 494-519 Bounds for inference with nuisance parameters present only under the alternative
by Filippo Altissimo & Valentina Corradi - 520-532 An optimal test against a random walk component in a non-orthogonal unobserved components model
by Ralph W. Bailey & A. M. Robert Taylor
June 2002, Volume 5, Issue 1
- 1-39 Model selection tests for nonlinear dynamic models
by Douglas Rivers & Quang Vuong - 40-64 Progress from forecast failure -- the Norwegian consumption function
by Øyvind Eitrheim & Eilev S. Jansen & Ragnar Nymoen - 65-75 On Monte Carlo estimation of relative power
by Paolo Paruolo - 76-90 Notation in econometrics: a proposal for a standard
by Karim M. Abadir & Jan R. Magnus - 91-103 A new technique for simulating the likelihood of stochastic differential equations
by João Nicolau - 104-130 Testing linear restrictions in linear models with empirical likelihood
by Francesco Bravo - 131-148 The tapered block bootstrap for general statistics from stationary sequences
by Efstathios Paparoditis & Dimitris N. Politis - 149-159 Exact interpretation of dummy variables in semilogarithmic equations
by Kees Jan Van Garderen & Chandra Shah - 160-175 Consistency of kernel variance estimators for sums of semiparametric linear processes
by James Davidson & Robert M. De Jong - 176-195 On LM type tests for seasonal unit roots in quarterly data
by Paulo M. M. Rodrigues - 196-224 Forecasting autoregressive time series in the presence of deterministic components
by Serena Ng & Timothy J. Vogelsang - 225-236 Estimation of the mean of a univariate normal distribution with known variance
by Jan R. Magnus - 237-262 Maximum likelihood estimates for the Hildreth-Houck random coefficients model
by Asad Zaman
2001, Volume 4, Issue 2
- 1-1 Distinguishing between trend-break models: method and empirical evidence
by Chih-Chiang Hsu & Chung-Ming Kuan - 1-2 Wage formation and employment in a cointegrated VAR model
by Thórarinn G. Pétursson & Torsten Sløk - 1-3 A Gaussian approach for continuous time models of the short-term interest rate
by Jun Yu & Peter C. B. Phillips - 1-4 Markov level shifts and the unit-root hypothesis
by Zacharias Psaradakis - 1-5 The limiting distribution of the t-ratio for the unit root test in an AR(1)
by Franz K. Dietrich - 1-6 Testing for optimality in job search models
by Gary Koop & Dale J. Poirier - 1-7 Stochastic specification and the international GDP series
by Alok Bhargava - 1-8 Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
by Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler - 1-9 Review of PcGets 1 for Windows
by Gunnar Bårdsen - 1-10 The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
by Morten B. Jensen & Asger Lunde
2001, Volume 4, Issue 1
- 1-19 Forecasting with difference-stationary and trend-stationary models
by Michael P. Clements & David F.Hendry - 1-36 Nonlinear econometric models with cointegrated and deterministically trending regressors
by Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips - 1-37 An automatic leading indicator of economic activity: forecasting GDP growth for European countries
by Gonzalo Camba-Mendez & George Kapetanios & Richard J. Smith & Martin R. Weale - 1-38 Are apparent findings of nonlinearity due to structural instability in economic time series?
by Gary Koop & Simon M. Potter - 1-39 Graphical conditional moment tests
by Peter G. Moffatt - 1-39 Testing the unit root hypothesis using generalized range statistics
by Giuseppe Cavaliere - 1-40 Estimation of AR(1) models with unequally spaced pseudo-panels
by David J. Mckenzie - 1-41 Likelihood-based cointegration tests in heterogeneous panels
by Rolf Larsson & Johan Lyhagen & Mickael Lothgren - 1-42 Asymptotic approximations in the near-integrated model with a non-zero initial condition
by Pierre Perron & Cosme Vodounou - 20-36 Fiscal forecasting: The track record of the IMF, OECD and EC
by Michael Artis & Massimiliano Marcellino - 37-55 Analysis of a panel of UK macroeconomic forecasts
by David I. Harvey & Stephen J. Leybourne & Paul Newbold
2000, Volume 3, Issue 2
- 123-147 Prediction-based estimating functions
by Michael Sørensen - 148-161 Testing for stationarity in heterogeneous panel data
by Kaddour Hadri - 162-176 The representative household’s demand for money in a cointegrated VAR model
by Thórarinn G. Pétursson - 177-197 Testing for linear autoregressive dynamics under heteroskedasticity
by Christian M. Hafner & Helmut Herwartz - 198-215 BUGS for a Bayesian analysis of stochastic volatility models
by Renate Meyer & Jun Yu - 216-249 Cointegration analysis in the presence of structural breaks in the deterministic trend
by Søren Johansen & Rocco Mosconi & Bent Nielsen - 250-264 Determining the order of differencing in seasonal time series processes
by Philip Hans Franses And A. M. Robert Taylor
2000, Volume 3, Issue 1
- 1-15 Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
by Stephen J. Leybourne And Paul Newbold - 16-38 Non-monotonic hazard functions and the autoregressive conditional duration model
by Joachim Grammig & Kai-Oliver Maurer - 39-65 Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
by Sylvia Kaufmann - 66-83 Controlling the significance levels of prediction error tests for linear regression models
by Leslie G. Godfrey & Chris D. Orme - 84-107 Signal extraction and the formulation of unobserved components models
by Andrew Harvey & Siem Jan Koopman - 108-121 The finite sample distribution of the KPSS test
by Attila Hornok & Rolf Larsson
1999, Volume 2, Issue 2
- 167-191 Data mining reconsidered: encompassing and the general-to-specific approach to specification search
by Kevin D. Hoover & Stephen J. Perez - 192-201 Discussion of 'Data mining reconsidered'
by Bruce E. Hansen - 202-219 Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
by David F. Hendry & Hans-Martin Krolzig - 220-225 Data mining with local model specification uncertainty: a discussion of Hoover and Perez
by Clive Granger & Allan Timmermann - 226-240 Contructive data mining: modeling consumers' expenditure in Venezuela
by Julia Campos & Neil R. Ericsson - 241-243 Discussion contribution on 'Data mining reconsidered: encompassing and the general-to-specific approach to specification search' by Hoover and Perez
by David J. Hand - 244-247 Reply to our discussants
by Kevin D. Hoover & Stephen J. Perez - 248-267 Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling
by Robert P. Sherman & Yu-Yun K. Ho & Siddhartha R. Dalal - 268-291 The optimal capital structure of a liquidity-insuring bank
by Hans-Jürg Büttler - 292-305 Rank estimation of a transformation model with observed truncation
by Jason Abrevaya - 306-333 Some tests for parameter constancy in cointegrated VAR-models
by Henrik Hansen & Søren Johansen
1999, Volume 2, Issue 1
- 1-28 Nonparametric bounds on employment and income effects of continuous vocational training in East Germany
by Michael Lechner - 29-48 Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application
by Murat K. Munkin & Pravin K. Trivedi - 49-75 Inference for Lorenz curve orderings
by Valentino Dardanoni & Antonio Forcina - 76-91 Cointegration rank inference with stationary regressors in VAR models
by Anders Rahbek & Rocco Mosconi - 92-106 The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis
by Stephen J. Leybourne & Paul Newbold - 107-160 Statistical algorithms for models in state space using SsfPack 2.2
by Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik - 161-166 Review of SsfPack 2.2: statistical algorithms for models in state space
by Marius Ooms
1998, Volume 1, Issue RegularPapers
- 1-1 Foreword by the Editors
by David F. Hendry & Neil Shephard - 1-9 The relation between conditionally heteroskedastic factor models and factor GARCH models
by Enrique Sentana - 10-26 Distribution approximation of unit root tests in autoregressive models
by Rolf Larsson - 27-43 An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
by Zhije Xiao & Peter C.B. Phillips - 44-70 Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
by Jan F. Kiviet & Garry D.A. Phillips
1998, Volume 1, Issue ConferenceIssue
- 1-1 Simulation methods in econometrics: editors' introduction
by Giampiero M. Gallo & Grayham E. Mizon - 1-22 Spurious periodic autoregressions
by Tommaso Proietti - 23-46 Bayesian inference on GARCH models using the Gibbs sampler
by Luc Bauwens & Michel Lubrano - 47-75 A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP
by Michael P. Clements & Hans-Martin Krolzig - 76-99 Estimating the Kronecker indices of cointegrated echelon-form VARMA models
by Holger Bartel & Helmut Lutkepohl - 100-112 Control variates for variance reduction in indirect inference: Interest rate models in continuous time
by Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini - 113-128 Estimating stochastic volatility models through indirect inference
by Chiara Monfardini - 129-153 Simulated maximum likelihood estimation in transition models
by Thierry Kamionka - 154-173 Simulation-based finite sample normality tests in linear regressions
by Jean-Marie Dufour & Abdeljelil Farhat & Lucien Gardiol & Lynda Khalaf - 174-202 Simulation-based likelihood inference for limited dependent processes
by Aurora Manrique & Neil Shephard - 203-227 Computationally attractive stability tests for the efficient method of moments
by Pieter J. Van Der Sluis - 228-266 A framework for economic forecasting
by Neil R. Ericsson & Jaime Marquez