# Elsevier

# Journal of Econometrics

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**Current editor:**T. Amemiya

**Current editor:**A. R. Gallant

**Current editor:**J. F. Geweke

**Current editor:**C. Hsiao

**Editor:**

Additional information is available for the following
registered editor(s): A. Ronald Gallant
John Geweke
Cheng Hsiao
Arnold Zellner
**For corrections or technical questions regarding this series, please contact
(Shamier, Wendy)**

**Series handle:**repec:eee:econom

**ISSN:**0304-4076

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### 2001, Volume 104, Issue 1

**49-65 Rank tests of unit root hypothesis with infinite variance errors***by*Hasan, Mohammad N.**67-89 Two-part multiple spell models for health care demand***by*Santos Silva, Joao M. C. & Windmeijer, Frank**91-117 On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity***by*Burridge, Peter & Taylor, A. M. Robert**119-140 Optimal prediction in loglinear models***by*van Garderen, Kees Jan**141-178 A generalized bivariate mixture model for stock price volatility and trading volume***by*Liesenfeld, Roman**179-207 A nonlinear autoregressive conditional duration model with applications to financial transaction data***by*Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S.

### 2001, Volume 103, Issue 1-2

**1-4 Studies in Estimation and Testing***by*Hsiao, Cheng & Perrigne, Isabelle**5-72 S-estimation of nonlinear regression models with dependent and heterogeneous observations***by*Sakata, Shinichi & White, Halbert**73-110 Two-step estimation of semiparametric censored regression models***by*Khan, Shakeeb & Powell, James L.**111-153 Panel data analysis of household brand choices***by*Chintagunta, Pradeep & Kyriazidou, Ekaterini & Perktold, Josef**155-181 Confidence intervals for autoregressive coefficients near one***by*Elliott, Graham & Stock, James H.**183-224 A test for volatility spillover with application to exchange rates***by*Hong, Yongmiao**225-258 A consistent test for conditional symmetry in time series models***by*Bai, Jushan & Ng, Serena**259-306 Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities***by*Perez-Quiros, Gabriel & Timmermann, Allan**307-344 An equality test across nonparametric regressions***by*Lavergne, Pascal**345-386 Evaluation of a three-step method for choosing the number of bootstrap repetitions***by*Andrews, Donald W. K. & Buchinsky, Moshe

### 2001, Volume 102, Issue 2

**143-164 Identification, estimation and testing of conditionally heteroskedastic factor models***by*Sentana, Enrique & Fiorentini, Gabriele**165-195 Estimation of income expectations models using expectations and realization data***by*Dominitz, Jeff**197-229 An invariant sign test for random walks based on recursive median adjustment***by*So, Beong Soo & Shin, Dong Wan**231-269 Estimation of the binary response model using a mixture of distributions estimator (MOD)***by*Coppejans, Mark**271-309 Combining micro and macro unemployment duration data***by*van den Berg, Gerard J. & van der Klaauw, Bas**311-338 Bayesian inference in models based on equilibrium search theory***by*Koop, Gary**339-364 Stationarity of multivariate Markov-switching ARMA models***by*Francq, C. & Zakoian, J. -M.**365-398 A consistent nonparametric test of ergodicity for time series with applications***by*Domowitz, Ian & El-Gamal, Mahmoud A.

### 2001, Volume 102, Issue 1

**1-22 Truncated dynamics and estimation of diffusion equations***by*Darolles, Serge & Gourieroux, Christian**23-66 A simplified approach to computing efficiency bounds in semiparametric models***by*Severini, Thomas A. & Tripathi, Gautam**67-110 Do option markets correctly price the probabilities of movement of the underlying asset?***by*Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis**111-141 Estimation of affine asset pricing models using the empirical characteristic function***by*Singleton, Kenneth J.

### 2001, Volume 101, Issue 2

**195-218 The memory of stochastic volatility models***by*Robinson, P. M.**219-255 GMM estimation of linear panel data models with time-varying individual effects***by*Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter**257-294 Contemporaneous asymmetry in GARCH processes***by*Babsiri, Mohamed El & Zakoian, Jean-Michel**295-313 Nested random effects estimation in unbalanced panel data***by*Antweiler, Werner**315-335 Statistical inference for testing inequality indices with dependent samples***by*Zheng, Buhong & J. Cushing, Brian**337-356 Statistical inference for poverty measures with relative poverty lines***by*Zheng, Buhong**357-381 The unbalanced nested error component regression model***by*H. Baltagi, Badi & Heun Song, Seuck & Cheol Jung, Byoung

### 2001, Volume 101, Issue 1

**1-23 Tests for the error component model in the presence of local misspecification***by*Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann**25-35 Causality tests and conditional heteroskedasticity: : Monte Carlo evidence***by*Vilasuso, Jon**37-69 Robust inference with GMM estimators***by*Ronchetti, Elvezio & Trojani, Fabio**71-107 An analysis of housing expenditure using semiparametric models and panel data***by*Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur**109-122 Nonlinear estimation using estimated cointegrating relations***by*de Jong, Robert M.**123-164 Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models***by*Andrews, Donald W. K. & Lu, Biao**165-193 A simultaneous estimation and variable selection rule***by*Golan, Amos

### 2001, Volume 100, Issue 2

**319-355 Two-stage rank estimation of quantile index models***by*Khan, Shakeeb**357-380 Production risk and the estimation of ex-ante cost functions***by*Moschini, GianCarlo**381-427 Benchmark priors for Bayesian model averaging***by*Fernandez, Carmen & Ley, Eduardo & Steel, Mark F. J.

### 2001, Volume 100, Issue 1

**1-1 Open forum on the current state and future challenges of econometrics***by*Hsiao, C.**3-5 Econometrics and empirical economics***by*Heckman, James J.**7-10 Achievements and challenges in econometric methodology***by*Hendry, David F.**11-15 Bayesian econometrics and forecasting***by*Geweke, John**17-19 Macroeconometrics - Past and future***by*Granger, Clive W. J.**21-27 Trending time series and macroeconomic activity: Some present and future challenges***by*Phillips, Peter C. B.**29-32 Macro-econometrics***by*Stock, James H.**33-35 Microeconometrics***by*Hausman, Jerry**37-40 The bootstrap and hypothesis tests in econometrics***by*Horowitz, Joel L.**41-51 Financial econometrics: Past developments and future challenges***by*Bollerslev, Tim**53-56 Financial econometrics - A new discipline with new methods***by*Engle, Robert**57-64 Notes on financial econometrics***by*Tauchen, George**65-69 Manifesto for a growth econometrics***by*Durlauf, Steven N.**71-72 Comments on the contributions by C.W.J. Granger and J.J. Heckman***by*Deistler, M.**73-75 Econometrics: Retrospect and prospect***by*Diebold, Francis X.**77-78 A short comment on the JE Open forum essays***by*Krishnakumar, Jaya**79-80 Bayesian econometrics:: A reaction to Geweke***by*Lenk, Peter & Wedel, Michel**81-82 Comment on essays on current state and future challenges of econometrics***by*Lutkepohl, Helmut**83-86 On the relevance of first-order asymptotic theory to economics***by*Maasoumi, Esfandiar**87-88 Care and feeding of reproducible econometrics***by*Vinod, H. D.**89-91 Comment on "Microeconometrics" by J.A. Hausman***by*Wansbeek, Tom & Wedel, Michel & Meijer, Erik**93-94 Comments on papers by Engle, Geweke and Granger***by*Zellner, Arnold**99-112 Some publishing facts, figures, and observations on the occasion of Volume 100, number 1 of the Journal of Econometrics***by*Dirkmaat, Joop

### 2000, Volume 99, Issue 2

**195-223 Robust out-of-sample inference***by*Mc Cracken, Michael W.**225-253 Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances***by*Turkington, Darrell**255-289 Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes***by*Dufour, Jean-Marie & Torres, Olivier**291-315 Spectral tests of the martingale hypothesis under conditional heteroscedasticity***by*Deo, Rohit S.**317-334 Trend estimation and de-trending via rational square-wave filters***by*Pollock, D. S. G.**335-345 Comment: Bayesian multinomial probit models with a normalization constraint***by*Nobile, Agostino**347-348 Reply to Nobile***by*McCulloch, Robert E. & Rossi, Peter E.**349-372 On estimation and testing goodness of fit for m-dependent stable sequences***by*Deo, Rohit S.**373-386 Simple resampling methods for censored regression quantiles***by*Bilias, Yannis & Chen, Songnian & Ying, Zhiliang

### 2000, Volume 99, Issue 1

**1-38 Changes in relative wages in the 1980s Returns to observed and unobserved skills and black-white wage differentials***by*Chay, Kenneth Y. & Lee, David S.**39-61 Consistent cross-validatory model-selection for dependent data: hv-block cross-validation***by*Racine, Jeff**63-106 Local nonlinear least squares: Using parametric information in nonparametric regression***by*Gozalo, Pedro & Linton, Oliver**107-137 Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments***by*Shin, Dong Wan & So, Beong Soo**139-171 Modeling long memory in stock market volatility***by*Liu, Ming**173-193 A Bayesian analysis of the multinomial probit model with fully identified parameters***by*McCulloch, Robert E. & Polson, Nicholas G. & Rossi, Peter E.

### 2000, Volume 98, Issue 2

**187-202 Further consequences of viewing LIML as an iterated Aitken estimator***by*Gao, Chuanming & Lahiri, Kajal**203-223 A Bayesian approach to dynamic macroeconomics***by*DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H.**225-255 Inference on one-way effect and evidence in Japanese macroeconomic data***by*Yao, Feng & Hosoya, Yuzo**257-281 Nonparametric seemingly unrelated regression***by*Smith, Michael & Kohn, Robert**283-316 Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity***by*Chen, Songnian & Khan, Shakeeb**317-334 Rank estimation of a location parameter in the binary choice model***by*Chen, Songnian**335-363 Adjusted estimates and Wald statistics for the AR(1) model with constant***by*Pere, Pekka**365-383 A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections***by*Girma, Sourafel

### 2000, Volume 98, Issue 1

**1-25 The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective***by*Marriott, John & Newbold, Paul**27-46 Consistent bootstrap tests of parametric regression functions***by*Whang, Yoon-Jae**47-79 A Bayesian analysis of multiple-output production frontiers***by*Fernandez, Carmen & Koop, Gary & Steel, Mark**81-106 Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data***by*Bollerslev, Tim & Wright, Jonathan H.**107-127 A test for constant correlations in a multivariate GARCH model***by*Tse, Y. K.**129-161 Conditionally independent private information in OCS wildcat auctions***by*Li, Tong & Perrigne, Isabelle & Vuong, Quang**163-185 Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables***by*Oberhelman, Dennis & Rao Kadiyala, K.

### 2000, Volume 97, Issue 2

**207-225 A nonparametric multiple choice method within the random utility framework***by*Huang, J u-Chin & Nychka, Douglas W.**227-259 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators***by*Inkmann, Joachim**261-291 Testing for integration using evolving trend and seasonals models: A Bayesian approach***by*Koop, Gary & Dijk, Herman K. Van**293-343 Structural analysis of vector error correction models with exogenous I(1) variables***by*Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J.**345-364 An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models***by*Phillips, Garry D. A.**365-381 Estimating the differencing parameter via the partial autocorrelation function***by*Chong, Terence Tai-Leung

### 2000, Volume 97, Issue 1

**1-23 Short cuts to dynamic factor demand modelling***by*Thomsen, Thomas**25-50 Bayesian analysis of cross-section and clustered data treatment models***by*Chib, Siddhartha & Hamilton, Barton H.**51-91 Exact small-sample inference in stationary, fully regular, dynamic demand models***by*Deschamps, Philippe J.**93-115 Testing for structural change in conditional models***by*Hansen, Bruce E.**117-144 The demand for risky assets: Sample selection and household portfolios***by*Perraudin, William R. M. & Sorensen, Bent E.**145-177 Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables***by*Lewbel, Arthur**179-188 Robustifying Glejser test of heteroskedasticity***by*Im, Kyung So**189-202 Glejser's test revisited***by*Machado, Jose A. F. & Silva, J. M. C. Santos

### 2000, Volume 96, Issue 2

**201-229 Semiparametric identification and heterogeneity in discrete choice dynamic programming models***by*Taber, Christopher R.**231-266 Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators***by*Michaelides, Alexander & Ng, Serena**267-292 On simulated EM algorithms***by*Nielsen, Soren Feodor**293-356 An empirical analysis of earnings dynamics among men in the PSID: 1968-1989***by*Geweke, John & Keane, Michael**357-393 Duration dependence and nonparametric heterogeneity: A Monte Carlo study***by*Baker, Michael & Melino, Angelo

### 2000, Volume 96, Issue 1

**1-23 A simple framework for nonparametric specification testing***by*Ellison, Glenn & Ellison, Sara Fisher**25-37 Efficiency results of MLE and GMM estimation with sampling weights***by*Butler, J. S.**39-73 Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes***by*Corradi, Valentina & Swanson, Norman R. & White, Halbert**75-111 Moments of Markov switching models***by*Timmermann, Allan**113-144 Nonparametric inference on structural breaks***by*Delgado, Miguel A. & Hidalgo, Javier**145-153 Reconsidering the continuous time limit of the GARCH(1, 1) process***by*Corradi, Valentina**155-182 The spurious regression of fractionally integrated processes***by*Tsay, Wen-Jen & Chung, Ching-Fan**183-199 Efficient estimation of binary choice models under symmetry***by*Chen, Songnian

### 2000, Volume 95, Issue 2

**223-253 The econometric consequences of the ceteris paribus condition in economic theory***by*Bierens, Herman J. & Swanson, Norman R.**255-283 Econometrics and decision theory***by*Chamberlain, Gary**285-331 Cross-sectional aggregation of non-linear models***by*van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem**333-345 Internet-based econometric computing***by*Hardle, W. & Horowitz, J.**347-374 Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics***by*Koenker, Roger**375-389 Empirically relevant critical values for hypothesis tests: A bootstrap approach***by*Horowitz, Joel L. & Savin, N. E.**391-413 The incidental parameter problem since 1948***by*Lancaster, Tony**415-442 Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice***by*Manski, Charles F.**443-462 Using a likelihood perspective to sharpen econometric discourse: Three examples***by*Sims, Christopher A.

### 2000, Volume 95, Issue 1

**1-23 Rank estimation of a generalized fixed-effects regression model***by*Abrevaya, Jason**25-56 Estimation of a censored regression panel data model using conditional moment restrictions efficiently***by*Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur**57-69 Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach***by*Nakatsuma, Teruo**71-96 Unit root tests in the presence of uncertainty about the non-stochastic trend***by*Ayat, Leila & Burridge, Peter**97-116 Detection of change in persistence of a linear time series***by*Kim, Jae-Young**117-129 A numerically stable quadrature procedure for the one-factor random-component discrete choice model***by*Lee, Lung-fei**131-156 Estimating the density of unemployment duration based on contaminated samples or small samples***by*Ryu, Hang K. & Slottje, Daniel J.**157-176 On the sensitivity of the usual t- and F-tests to covariance misspecification***by*Banerjee, Anurag N. & Magnus, Jan R.**177-198 Testing for the cointegrating rank of a VAR process with a time trend***by*Lutkepohl, Helmut & Saikkonen, Pentti**199-218 Testing time reversibility without moment restrictions***by*Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming

### 2000, Volume 94, Issue 1-2

**1-7 Econometric methods for derivative securities and risk management***by*Garcia, R. & Ghysels, E. & Renault, E.**9-51 Nonparametric risk management and implied risk aversion***by*Ait-Sahalia, Yacine & Lo, Andrew W.**53-92 American options with stochastic dividends and volatility: A nonparametric investigation***by*Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier**93-115 Pricing and hedging derivative securities with neural networks and a homogeneity hint***by*Garcia, Rene & Gencay, Ramazan**117-143 Econometric specification of the risk neutral valuation model***by*Clement, E. & Gourieroux, C. & Monfort, A.**145-180 Bayesian analysis of contingent claim model error***by*Jacquier, Eric & Jarrow, Robert**181-238 Post-'87 crash fears in the S&P 500 futures option market***by*Bates, David S.**239-276 Regime switching in foreign exchange rates: Evidence from currency option prices***by*Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E.**277-318 Pricing and hedging long-term options***by*Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu

### 1999, Volume 93, Issue 2

**203-228 Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable***by*Abrevaya, Jason**229-255 Bayesian estimation of switching ARMA models***by*Billio, M. & Monfort, A. & Robert, C. P.**257-279 Testing for ARCH in the presence of a possibly misspecified conditional mean***by*Lumsdaine, Robin L. & Ng, Serena**281-308 Weak exogeneity in I(2) VAR systems***by*Paruolo, Paolo & Rahbek, Anders**309-326 How informative is the initial condition in the dynamic panel model with fixed effects?***by*Hahn, Jinyong**327-344 GMM inference when the number of moment conditions is large***by*Koenker, Roger & Machado, Jose A. F.**345-368 Threshold effects in non-dynamic panels: Estimation, testing, and inference***by*Hansen, Bruce E.**369-401 The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors***by*Michelis, Leo

### 1999, Volume 93, Issue 1

**1-24 I(0) In, integration and cointegration out:: Time series properties of endogenous growth models***by*Paul Lau, Sau-Him**25-47 On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components***by*Galbraith, JohnW. & Zinde-Walsh, Victoria**49-72 A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco***by*Labeaga, Jose M.**73-91 Testing exact rational expectations in cointegrated vector autoregressive models***by*Johansen, Soren & Swensen, Anders Rygh**93-111 Efficiency comparisons of maximum-likelihood-based estimators in GARCH models***by*Gonzalez-Rivera, Gloria & Drost, Feike C.**113-148 Finite sample properties of tests of the Epstein-Zin asset pricing model***by*Smith, David C.**149-175 Indirect estimation of ARFIMA and VARFIMA models***by*Martin, Vance L. & Wilkins, Nigel P.**177-201 Efficient estimation of panel data models with strictly exogenous explanatory variables***by*So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M.

### 1999, Volume 92, Issue 2

**193-232 Stratified partial likelihood estimation***by*Ridder, Geert & Tunali, Insan**233-274 Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome***by*Mroz, Thomas A.**275-294 A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models***by*Skeels, Christopher L. & Vella, Francis**295-323 The sensitivity of OLS when the variance matrix is (partially) unknown***by*Banerjee, Anurag N. & Magnus, Jan R.**325-353 Estimation error and the specification of unobserved component models***by*Maravall, Agustin & Planas, Christophe**355-390 Estimation of dynamic and ARCH Tobit models***by*Lee, Lung-fei

### 1999, Volume 92, Issue 1

**1-45 GMM estimation with cross sectional dependence***by*Conley, T. G.**47-74 Infrastructure and productivity: a nonlinear approach***by*G. Duggal, Vijaya & Saltzman, Cynthia & Klein, Lawrence R.**75-99 Long-term equity anticipation securities and stock market volatility dynamics***by*Bollerslev, Tim & Ole Mikkelsen, Hans**101-147 Consistent model specification tests for time series econometric models***by*Li, Qi**149-172 The relative efficiency of method of moments estimators1***by*Ronald Gallant, A. & Tauchen, George**173-192 Properties of moments of a family of GARCH processes***by*He, Changli & Terasvirta, Timo

### 1999, Volume 91, Issue 2

**201-226 Inference for unit roots in dynamic panels where the time dimension is fixed***by*Harris, Richard D. F. & Tzavalis, Elias**227-271 Model selection in partially nonstationary vector autoregressive processes with reduced rank structure***by*Chao, John C. & Phillips, Peter C. B.**273-298 Measurement errors: A principal investigator-agent approach***by*Philipson, Tomas & Malani, Anup**299-323 Likelihood ratio tests for multiple structural changes***by*Bai, Jushan**325-371 Non-stationary log-periodogram regression***by*Velasco, Carlos**373-401 Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series***by*Chen, Xiaohong & Fan, Yanqin

### 1999, Volume 91, Issue 1

**1-42 The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series***by*Whang, Yoon-Jae & Linton, Oliver**43-60 An ordered family of Lorenz curves***by*Sarabia, J. -M. & Castillo, Enrique & Slottje, Daniel J.**61-87 Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study***by*Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E.**89-111 Redundancy of moment conditions***by*Breusch, Trevor & Qian, Hailong & Schmidt, Peter & Wyhowski, Donald**113-144 Distribution theory for unit root tests with conditional heteroskedasticity1***by*Seo, Byeongseon**145-169 Improved instrumental variables and generalized method of moments estimators***by*Qian, Hailong & Schmidt, Peter**171-199 Distribution-free estimation of the random coefficient dummy endogenous variable model***by*Chen, Songnian

### 1999, Volume 90, Issue 2

**155-191 Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable***by*Gorgens, Tue & Horowitz, Joel L.**193-213 Testing parameter constancy in linear models against stochastic stationary parameters***by*Lin, Chien-Fu Jeff & Terasvirta, Timo**215-237 Tests of cointegrating rank with a trend-break***by*Inoue, Atsushi**239-263 Two-step estimation of panel data models with censored endogenous variables and selection bias***by*Vella, Francis & Verbeek, Marno**265-289 Trend stationarity in the I(2) cointegration model***by*Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara**291-316 Block recursion and structural vector autoregressions***by*Zha, Tao