# 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 (Dana Niculescu)**

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

**ISSN:**0304-4076

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### 1994, Volume 60, Issue 1-2

**133-144 A simplification of the Kopp--Diewert method of decomposing cost efficiency and some implications***by*Mensah, Yaw M.**145-156 Confidence sets centered at James--Stein estimators : A surprise concerning the unknown-variance case***by*Hwang, J. T. Gene & Ullah, Aman**157-180 Exact densities for variance estimators of the structural disturbances in simultaneous equations models***by*Smith, Murray D.**181-202 Local scale models : State space alternative to integrated GARCH processes***by*Shephard, Neil**203-233 Five alternative methods of estimating long-run equilibrium relationships***by*Gonzalo, Jesus**235-249 A revealed preference test for weakly separable utility maximization with incomplete adjustment***by*Swofford, James L. & Whitney, Gerald A.**251-272 Testing for autocorrelation in the presence of lagged dependent variables : A specification error approach***by*Dezhbakhsh, Hashem & Thursby, Jerry G.**273-291 Joint and separate score tests for state dependence and unobserved heterogeneity***by*Jaggia, Sanjiv & Trivedi, Pravin K.**293-312 Specification diagnostics for duration models : A martingale approach***by*McCall, Brian P.**313-320 Spurious regressions and residual-based tests for cointegration when regressors are cointegrated***by*Choi, In**321-321 Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection (vol. 54 (1992) pp. 223-250)***by*Hall, Alastair

### October 1993, Volume 59, Issue 3

**213-227 The identification of multivariate linear dynamic errors-in-variables models***by*Nowak, Eugen**229-255 The spurious effect of unit roots on vector autoregressions : An analytical study***by*Toda, Hiro Y. & Phillips, Peter C. B.**257-261 Measuring technical efficiency with panel data : A dual approach***by*Atkinson, Scott E. & Cornwell, Christopher**263-286 Testing for a unit root by frequency domain regression***by*Choi, In & Phillips, Peter C. B.**287-300 Unit root tests with conditional heteroskedasticity***by*Kim, Kiwhan & Schmidt, Peter**301-317 Estimation and testing in the random effects probit model***by*Guilkey, David K. & Murphy, James L.**319-341 Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions***by*Braun, Phillip A. & Mittnik, Stefan**377-389 Maximum entropy Lorenz curves***by*Holm, Juhani**391-403 Bayesian marginal equivalence of elliptical regression models***by*Osiewalski, Jacek & Steel, Mark F. J.**405-405 Monte Carlo results on several new and existing tests for the error component model (Vol. 54, No. 1-3 (1992) pp. 95-120)***by*Baltagi, Badi H. & Chang, Young-Jae & Li, Qi

### September 1993, Volume 59, Issue 1-2

**1-4 Editors' introduction : The econometrics of panels and pseudo panels***by*Carraro, Carlo & Peracchi, Franco & Weber, Guglielmo**5-33 Simulation-based inference : A survey with special reference to panel data models***by*Gourieroux, Christian & Monfort, Alain**35-61 Orthogonality conditions for Tobit models with fixed effects and lagged dependent variables***by*Honore, Bo E.**63-86 A general framework for panel data models with an application to Canadian customer-dialed long distance telephone service***by*Hsiao, Cheng & Appelbe, Trent W. & Dineen, Christopher R.**87-97 On the testing of correlated effects with panel data***by*Arellano, Manuel**99-123 Identification and estimation of dynamic models with a time series of repeated cross-sections***by*Moffitt, Robert**125-136 Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections***by*Verbeek, Marno & Nijman, Theo**137-160 Labour supply and intertemporal substitution***by*Blundell, Richard & Meghir, Costas & Neves, Pedro**161-185 A method for the analysis of the timing and magnitude of events in a continuous-time panel : The effects of British incomes policy, 1950-1973***by*Kurosawa, Masako & Pudney, Stephen**187-211 Modelling inaccuracies in job-search duration data***by*Torelli, Nicola & Trivellato, Ugo

### August 1993, Volume 58, Issue 3

**275-294 Bayes regression with autoregressive errors : A Gibbs sampling approach***by*Chib, Siddhartha**295-314 Nonnested testing for autocorrelation in the linear regression model***by*Silvapulle, Paramsothy & King, Maxwell L.**315-346 Seemingly unrelated regressions under additive heteroscedasticity : Theory and share equation applications***by*Mandy, David M. & Martins-Filho, Carlos**347-368 Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models***by*Borsch-Supan, Axel & Hajivassiliou, Vassilis A.**369-384 Some generalizations on the algebra of I(1) processes***by*Ermini, Luigi & Granger, Clive W. J.**385-401 A simple multiple variance ratio test***by*Chow, K. Victor & Denning, Karen C.**403-403 Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances (Vol. 50, No. 3 (1991) pp. 377-398)***by*Giles, Judith A.**405-405 The impact of stochastic and deterministic trends on money-output causality: A multi-country investigation (Vol. 45, No. 3 (1990) pp. 291-308)***by*Krol, Robert & Ohanian, Lee E.

### July 1993, Volume 58, Issue 1-2

**1-2 Nonparametric and semiparametric approaches to discrete response analysis***by*Hardle, Wolfgang & Manski, Charles F.**3-29 Semiparametric estimation of censored selection models with a nonparametric selection mechanism***by*Ahn, Hyungtaik & Powell, James L.**31-48 How sensitive are average derivatives?***by*Hardle, Wolfgang & Tsybakov, A. B.**49-70 Semiparametric estimation of a work-trip mode choice model***by*Horowitz, Joel L.**121-136 Dynamic choice in social settings : Learning from the experiences of others***by*Manski, Charles F.**137-168 Nonparametric identification and estimation of polychotomous choice models***by*Matzkin, Rosa L.**169-184 Efficiency bounds for some semiparametric selection models***by*Newey, Whitney K. & Powell, James L.**185-205 On the computation of semiparametric estimates in limited dependent variable models***by*Pinkse, C. A. P.**207-222 Nonparametric bootstrap confidence intervals for discrete regression functions***by*Rodriguez-Campos, M. C. & Cao-Abad, R.**223-256 Semiparametric quasilikelihood and variance function estimation in measurement error models***by*Sepanski, J. H. & Carroll, R. J.**257-274 Some efficiency bounds for semiparametric discrete choice models***by*Scott Thompson, T.

### 1993, Volume 57, Issue 1-3

**1-19 Quadratic mode regression***by*Lee, Myoung-jae**21-51 The impact of training on the frequency and duration of employment***by*Gritz, R. Mark**53-68 Estimating long-run relationships in economics : A comparison of different approaches***by*Inder, Brett**69-89 Measuring the unidentified parameter of the extended Roy model of selectivity***by*Vijverberg, Wim P. M.**91-115 Structural duration analysis of management data***by*Ryu, Keunkwan**117-136 Robustness to nonnormality of the Durbin-Watson test for autocorrelation***by*Ali, Mukhtar M. & Sharma, Subhash C.**137-160 Higher-order sample autocorrelations and the unit root hypothesis***by*Bierens, Herman J.**161-188 Coherency and regularity of demand systems with equality and inequality constraints***by*Soest, Arthur van & Kapteyn, Arie & Kooreman, Peter**189-203 Another look at the evidence on money-income causality***by*Friedman, Benjamin M. & Kuttner, Kenneth N.**205-232 A comparison of nonnested tests for misspecified models using the method of approximate slopes***by*Zabel, Jeffrey E.**233-255 Testing for autoregressive disturbances in a time series regression with missing observations***by*Shively, Thomas S.**257-276 Modified three-stage least squares estimator which is third-order efficient***by*Morimune, Kimio & Sakata, Shinichi**277-318 Tests of specification for parametric and semiparametric models***by*Whang, Yoon-Jae & Andrews, Donald W. K.**319-343 A nonnested approach to testing continuous time models against discrete alternatives***by*Chambers, Marcus J.**345-363 Robust bayesian inference in elliptical regression models***by*Osiewalski, Jacek & Steel, Mark F. J.**365-376 Alternative point-optimal tests for regression coefficient stability***by*Brooks, Robert D.**377-392 A simulation approach to the problem of computing Cox's statistic for testing nonnested models***by*Hashem Pesaran, M. & Pesaran, Bahram**393-406 Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances***by*Ohtani, Kazuhiro & Giles, Judith

### April 1993, Volume 56, Issue 3

**269-290 Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests***by*Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J.**291-321 Distribution theory for the analysis of binary choice under uncertainty with nonparametric estimation of expectations***by*Ahn, Hyungtaik & Manski, Charles F.**323-340 Bayesian analysis of logit models using natural conjugate priors***by*Koop, Gary & Poirier, Dale J.**341-355 A pseudo-R2 measure for limited and qualitative dependent variable models***by*Laitila, Thomas**357-370 Calculating the (local) semiparametric efficiency bounds for the generated regressors problem***by*Rilstone, Paul**371-396 Exogeneity tests in a truncated structural equation***by*Tsurumi, Hiroki & Mehr, Peter**397-440 Maximum entropy estimation of density and regression functions***by*Ryu, Hang K.**441-445 A note on multiple roots of the Tobit log likelihood***by*Iwata, Shigeru

### March 1993, Volume 56, Issue 1-2

**1-3 Editors' introduction***by*Hsiao, Cheng & Ruud, Paul**5-37 Stochastic linear trends : Models and estimators***by*Maravall, Agustin**39-56 Time series properties of aggregate output fluctuations***by*Durlauf, Steven N.**57-88 Persistence, cointegration, and aggregation : A disaggregated analysis of output fluctuations in the U.S. economy***by*Pesaran, M. H. & Pierse, R. G. & Lee, K. C.**89-118 Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates***by*Min, Chung-ki & Zellner, Arnold**119-139 Testing superexogeneity and invariance in regression models***by*Engle, Robert F. & Hendry, David F.**141-168 Minimum chi-square estimation and tests for model selection***by*Vuong, Quang H. & Wang, Weiren**169-188 Some aspects of measurement error in a censored regression model***by*Weiss, Andrew A.**189-217 Simultaneous equations for hazards : Marriage duration and fertility timing***by*Lillard, Lee A.**219-242 Experimental estimates of the impact of wage subsidies***by*Dubin, Jeffrey A. & Rivers, Douglas**243-267 Econometric issues of estimating hedonic price functions : With an application to the U.S. market for automobiles***by*Arguea, Nestor M. & Hsiao, Cheng

### 1993, Volume 55, Issue 1-2

**1-8 Editor's introduction : Seasonality and econometric models***by*Ghysels, Eric**9-19 Rational expectations modeling with seasonally adjusted data***by*Sims, Christopher A.**21-55 Seasonality and approximation errors in rational expectations models***by*Hansen, Lars Peter & Sargent, Thomas J.**57-98 The effect of seasonal adjustment filters on tests for a unit root***by*Ghysels, Eric & Perron, Pierre**99-103 Discussion : The effect of seasonal adjustment filters on tests for a unit root***by*Diebold, Francis X.**105-128 The importance of seasonality in inventory models : Evidence from business survey data***by*Nerlove, Marc & Ross, David & Willson, Douglas**129-133 The importance of seasonality in inventory models***by*Dufour, Jean-Marie**135-168 Induced seasonality and production-smoothing models of inventory behavior***by*Krane, Spencer D.**169-172 Induced seasonality and production-smoothing models of inventory behavior***by*Hall, Alastair**173-200 Forecasting time series with common seasonal patterns***by*Canova, Fabio**201-202 Forecasting time series with common seasonal patterns***by*Geweke, John**203-229 Seasonal BVAR models : A search along some time domain priors***by*Raynauld, Jacques & Simonato, Jean-Guy**231-234 Discussion : Seasonal BVAR models***by*Zellner, Arnold**235-265 The effect of sampling error on the time series behavior of consumption data***by*Bell, William R. & Wilcox, David W.**267-273 The effect of sampling error on the time series behavior of consumption data***by*Gregory, Allan W. & Wirjanto, Tony**275-298 The Japanese consumption function***by*Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S.**299-303 Seasonal cointegration***by*Osborn, Denise R.**305-328 Seasonal unit roots in aggregate U.S. data***by*Joseph Beaulieu, J. & Miron, Jeffrey A.**329-331 Seasonal unit roots in aggregate U.S. data***by*Dickey, David A.**333-351 Dynamic linear models for time series components***by*Dagum, Estela Bee & Quenneville, Benoit**353-356 Dynamic linear models for time series components***by*Findley, David F.

### 1992, Volume 54, Issue 1-3

**1-47 Maximum likelihood inference on cointegration and seasonal cointegration***by*Lee, Hahn Shik**49-78 Tests of overidentification and predeterminedness in simultaneous equation models***by*Anderson, T. W. & Kunitomo, Naoto**79-93 Discrete/continuous models of consumer demand with binding nonnegativity constraints***by*Chiang, Jeongwen & Lee, Lung-Fei**95-120 Monte Carlo results on several new and existing tests for the error component model***by*Baltagi, Badi H. & Chang, Young-Jae & Li, Qi**121-138 Testing and estimating location vectors when the error covariance matrix is unknown***by*Griffiths, William & Judge, George**139-158 Heteroskedastic cointegration***by*Hansen, Bruce E.**159-178 Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?***by*Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol**179-201 Quasi-Aitken estimation for heteroskedasticity of unknown form***by*Cragg, John G.**203-222 Regression-based methods for using control variates in Monte Carlo experiments***by*Davidson, Russell & MacKinnon, James G.**223-250 Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection***by*Hall, Alastair**251-275 Adaptive estimation in time series regression models***by*Steigerwald, Douglas G.**277-300 Computing p-values for the generalized Durbin-Watson and other invariant test statistics***by*Ansley, Craig F. & Kohn, Robert & Shively, Thomas S.**301-320 Identification and estimation of noninvertible non-Gaussian MA(q) processes***by*Ramsey, James B. & Montenegro, Alvaro**321-334 Properties of ordinary least squares estimators in regression models with nonspherical disturbances***by*Fiebig, Denzil G. & McAleer, Michael & Bartels, Robert**335-346 An econometric approach to the construction of generalized Theil-Tornqvist indices for multilateral comparisons***by*Selvanathan, E. A. & Prasada Rao, D. S.**347-370 Overdispersion tests for truncated Poisson regression models***by*Gurmu, Shiferaw & Trivedi, Pravin K.**371-400 On the finite sample behavior of adaptive estimators***by*Steigerwald, Douglas G.

### 1992, Volume 53, Issue 1-3

**1-4 Fellow's opinion : Rules of thumb and pseudo-science***by*Maasoumi, Esfandiar**5-23 How common is identification in parametric models?***by*McManus, Douglas A.**25-44 Making noisy data sing : Estimating production technologies in developing countries***by*Tybout, James R.**45-51 A monotonic property for iterative GLS in the two-way random effects model***by*Baltagi, Badi H. & Li, Qi**53-85 Frequency of purchase and the estimation of demand systems***by*Meghir, Costas & Robin, Jean-Marc**87-121 Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends***by*Hansen, Bruce E.**123-139 Estimation of polynomial distributed lags and leads with end point constraints***by*Andrews, Donald W. K. & Fair, Ray C.**141-163 Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone***by*Pesaran, M. Hashem & Samiei, Hossein**165-188 Maximum likelihood estimation of stationary univariate fractionally integrated time series models***by*Sowell, Fallaw**189-209 Finite-sample properties of single-equation estimators under structural change***by*Hodoshima, Jiro**211-244 Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK***by*Johansen, SÃ¸ren & Juselius, Katarina**245-269 Saddlepath solutions for multivariate linear rational expectations models***by*Salemi, Michael K. & Song, Jaeyeong**271-295 Highest predictive density estimator in regression models***by*Iwata, Shigeru**297-322 Instrumental variables estimation in errors-in-variables models when instruments are correlated with errors***by*Iwata, Shigeru**323-343 The power problems of unit root test in time series with autoregressive errors***by*DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H.**345-361 Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances***by*Giles, Judith A.**363-386 A comparison of several exact and approximate tests for structural shift under heteroscedasticity***by*Thursby, Jerry G.**387-399 The potential for efficiency gains in estimation from the use of additional moment restrictions***by*Kemp, Gordon C. R.

### June 1992, Volume 52, Issue 3

**315-346 A Bayesian approach to state space multivariate time series modeling***by*Dorfman, Jeffrey H. & Havenner, Arthur M.**347-370 Co-integration and trend-stationarity in macroeconomic time series : Evidence from the likelihood function***by*DeJong, David N.**371-380 Monte Carlo evidence on panel data regressions with AR(1) disturbances and an arbitrary variance on the initial observations***by*Baltagi, Badi H. & Chang, Young-Jae & Li, Qi**381-388 Bayesian prediction tests for structural stability***by*Mills, Jeffrey A.**389-402 Cointegration in partial systems and the efficiency of single-equation analysis***by*Johansen, Soren**403-406 Morrison's measure of capacity utilization : A critique***by*Hauver, James H. & Yee, Jet**407-417 More on grouping coarseness in linear normal regression models***by*Caudill, Steven B.**419-421 The impact of grouping coarseness in alternative grouped-data regression models***by*Cameron, Trudy Ann

### 1992, Volume 52, Issue 1-2

**5-59 ARCH modeling in finance : A review of the theory and empirical evidence***by*Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F.**61-90 Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model***by*Nelson, Daniel B.**91-113 Prediction in dynamic models with time-dependent conditional variances***by*Baillie, Richard T. & Bollerslev, Tim**115-127 Stationarity of Garch processes and of some nonnegative time series***by*Bougerol, Philippe & Picard, Nico**129-157 Unobserved component time series models with Arch disturbances***by*Harvey, Andrew & Ruiz, Esther & Sentana, Enrique**159-199 Qualitative threshold ARCH models***by*Gourieroux, Christian & Monfort, Alain**225-244 A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators***by*McCurdy, Thomas H. & Stengos, Thanasis**245-266 A multi-dynamic-factor model for stock returns***by*Ng, Victor & Engle, Robert F. & Rothschild, Michael**289-311 Implied ARCH models from options prices***by*Engle, Robert F. & Mustafa, Chowdhury

### 1992, Volume 51, Issue 1-2

**3-5 Fellow's opinion: Evaluating economic theory***by*Granger, Clive W. J.**7-24 Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality***by*Evans, Merran**25-58 Semiparametric proportional hazards estimation of competing risks models with time-varying covariates***by*Sueyoshi, Glenn T.**59-77 Median regression for ordered discrete response***by*Lee, Myoung-jae**79-99 Bayes inference in the Tobit censored regression model***by*Chib, Siddhartha**101-112 On the power function of the Durbin-Watson test***by*Bartels, Robert**113-150 Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations***by*Choi, In & Phillips, Peter C. B.**151-181 Simultaneous equations and panel data***by*Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald**183-189 The optimal choice of controls and pre-experimental observations***by*Nijman, Theo & Verbeek, Marno**191-215 Deciding between the common and private value paradigms in empirical models of auctions***by*Paarsch, Harry J.**217-231 Nonparametric evidence on asymmetry in business cycles using aggregate employment time series***by*Hussey, Robert**233-257 Investment and Tobin's Q: Evidence from company panel data***by*Blundell, Richard & Bond, Stephen & Devereux, Michael & Schiantarelli, Fabio**259-284 Finite sample evidence on the performance of stochastic frontiers and data envelopment analysis using panel data***by*Gong, Byeong-Ho & Sickles, Robin C.**287-287 International conference on econometric inference using simulation techniques***by*Van Dijk, Herman K.

### December 1991, Volume 50, Issue 3

**229-229 Editorial***by*Aigner, Dennis J.**231-231 Tribute to Dennis J.Aigner***by*Zellner, Arnold**235-256 A semiparametric structural analysis of the idling of cement kilns***by*Das, Sanghamitra**257-272 On Wald tests for globally and locally quadratic restrictions***by*Kemp, Gordon C. R.**273-295 Identification and estimation of polynomial errors-in-variables models***by*Hausman, Jerry A. & Newey, Whitney K. & Ichimura, Hidehiko & Powell, James L.**297-327 A random coefficient approach to the estimation of residential end-use load profiles***by*Fiebig, Denzil G. & Bartels, Robert & Aigner, Dennis J.**329-353 On the asymptotic normality of Fourier flexible form estimates***by*Gallant, A. Ronald & Souza, Geraldo**355-376 Spectral based testing of the martingale hypothesis***by*Durlauf, Steven N.**377-398 Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances***by*Giles, Judith A.

### October 1991, Volume 50, Issue 1-2

**1-5 Editor's introduction***by*Maasoumi, Esfandiar**7-13 On the measurement of welfare***by*Tinbergen, Jan**15-29 Welfare, preference and freedom***by*Sen, Amartya**31-48 Welfare comparisons and situation comparisons***by*Pollak, Robert A.**69-89 Ordinal and cardinal utility : An integration of the two dimensions of the welfare concept***by*van Praag, Bernard M. S.**91-105 A numerical methods approach to calculating cost-of-living indices***by*Porter-Hudak, Susan & Hayes, Kathy**131-150 Cluster analysis for measuring welfare and quality of life across countries***by*Hirschberg, Joseph G. & Maasoumi, Esfandiar & Slottje, Daniel J.**151-181 Statistical and measurement issues in assessing the welfare status of aged individuals and populations***by*Manton, Kenneth G. & Woodbury, Max A. & Stallard, Eric**183-203 Black-white mortality inequalities***by*Behrman, Jere R. & Sickles, Robin & Taubman, Paul & Yazbeck, Abdo**205-228 Inequality at birth : The scope for policy intervention***by*Rosenzweig, Mark R. & Wolpin, Kenneth I.

### September 1991, Volume 49, Issue 3

**305-341 Extensions of estimation methods using the EM algorithm***by*Ruud, Paul A.**343-372 Power and robustness of jackknife and likelihood-ratio tests for grouped heteroscedasticity***by*Sharma, Subhash C. & Giaccotto, Carmelo**373-399 The efficiency of rotating-panel designs in an analysis-of-variance model***by*Nijman, Theo & Verbeek, Marno & van Soest, Arthur

### 1991, Volume 49, Issue 1-2

**1-4 Editor's introduction***by*Poirier, Dale J.**5-50 Seminonparametric Bayesian estimation of the asymptotically ideal production model***by*Barnett, William A. & Geweke, John & Wolfe, Michael**51-104 A posterior odds analysis of the weekend effect***by*Connolly, Robert A.**105-139 Cointegration tests in present value relationships : A Bayesian look at the bivariate properties of stock prices and dividends***by*Koop, Gary