## Content

### November 1996, Volume 75, Issue 1

**147-161 A bayesian multivariate nonstationary time series model for estimating mutual relationships among variables***by*Kato, Hiroko & Naniwa, Sadao & Ishiguro, Makio**163-181 A Bayesian analysis of nested logit models***by*Poirier, Dale J.**183-215 A Bayesian approach to the empirical valuation of bond options***by*Schotman, Peter**217-238 Inference in successive sampling discovery models***by*West, Mike

### October 1996, Volume 74, Issue 2

**209-235 A Bayesian approach to additive semiparametric regression***by*Wong, Chi-ming & Kohn, Robert**237-254 Bayesian estimation of an autoregressive model using Markov chain Monte Carlo***by*Barnett, Glen & Kohn, Robert & Sheather, Simon**255-271 Interpreting cointegrating vectors and common stochastic trends***by*Wickens, Michael R.**273-287 The exact general formulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators***by*Ohtani, Kazuhiro & Kozumi, Hideo**289-318 Efficient estimation and stratified sampling***by*Imbens, Guido W. & Lancaster, Tony**319-361 Wage dispersion, returns to skill, and black-white wage differentials***by*Card, David & Lemieux, Thomas**363-386 Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea***by*Ermini, Luigi & Chang, Dongkoo**387-405 Estimating systems of equations with different instruments for different equations***by*Wooldridge, Jeffrey M.

### September 1996, Volume 74, Issue 1

**1-2 Editor's introduction: Asymmetries and nonlinearities in dynamic economic models***by*Burgess, Simon & Escribano, Alvaro & Pfann, Gerard**3-30 Fractionally integrated generalized autoregressive conditional heteroskedasticity***by*Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole**31-57 Closing the GARCH gap: Continuous time GARCH modeling***by*Drost, Feike C. & Werker, Bas J. M.**59-75 Testing the adequacy of smooth transition autoregressive models***by*Eitrheim, Oyvind & Terasvirta, Timo**77-118 Qualitative and asymptotic performance of SNP density estimators***by*Fenton, Victor M. & Gallant, A. Ronald**119-147 Impulse response analysis in nonlinear multivariate models***by*Koop, Gary & Pesaran, M. Hashem & Potter, Simon M.**149-176 Nonlinear interest rate dynamics and implications for the term structure***by*Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf**177-208 Volume, volatility, and leverage: A dynamic analysis***by*Tauchen, George & Zhang, Harold & Liu, Ming

### August 1996, Volume 73, Issue 2

**325-353 A reinterpretation of the tests of overidentifying restrictions***by*Magdalinos, Michael A. & Symeonides, Spyridon D.**355-376 Testing for causality in real time***by*Grillenzoni, Carlo**377-385 The stochastic specification of demand share equations: Restricting budget shares to the unit simplex***by*Fry, Jane M. & Fry, Tim R. L. & McLaren, Keith R.**387-399 Bounding mean regressions when a binary regressor is mismeasured***by*Bollinger, Christopher R.**401-410 Cointegration tests with conditional heteroskedasticity***by*Lee, Tae-Hwy & Tse, Yiuman

### July 1996, Volume 73, Issue 1

**1-3 Editors' introduction: Fractional differencing and long memory processes***by*Baillie, Richard T. & King, Maxwell L.**5-59 Long memory processes and fractional integration in econometrics***by*Baillie, Richard T.**61-77 Varieties of long memory models***by*Granger, Clive W. J. & Ding, Zhuanxin**79-99 Infinite variance stable moving averages with long memory***by*Kokoszka, Piotr S. & Taqqu, Murad S.**101-149 Long memory continuous time models***by*Comte, F. & Renault, E.**151-184 Modeling and pricing long memory in stock market volatility***by*Bollerslev, Tim & Ole Mikkelsen, Hans**185-215 Modeling volatility persistence of speculative returns: A new approach***by*Ding, Zhuanxin & Granger, Clive W. J.**217-236 The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence***by*Hosoya, Yuzo**237-259 Estimating a generalized long memory process***by*Chung, Ching-Fan**261-284 Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series***by*Hosking, Jonathan R. M.**285-302 On the power of the KPSS test of stationarity against fractionally-integrated alternatives***by*Lee, Dongin & Schmidt, Peter**303-324 Averaged periodogram estimation of long memory***by*Lobato, I. & Robinson, P. M.

### 1996, Volume 72, Issue 1-2

**1-32 The Bierens test under data dependence***by*de Jong, Robert M.**33-48 A causality-in-variance test and its application to financial market prices***by*Cheung, Yin-Wong & Ng, Lilian K.**49-84 Smoothing bias in the measurement of marginal effects***by*Stoker, Thomas M.**85-134 Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results***by*Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul**135-149 Parameter uncertainty and impulse response analysis***by*Koop, Gary**151-175 On the power of tests for superexogeneity and structural invariance***by*Psaradakis, Zacharias & Sola, Martin**177-195 A farm-level study of labor use and efficiency wages in Indian agriculture***by*Kumbhakar, Subal C.**197-229 On the choice between sample selection and two-part models***by*Leung, Siu Fai & Yu, Shihti**231-249 Empirical implementation of ex ante cost functions***by*Pope, Rulon D. & Just, Richard E.**251-274 Two flexible functional form approaches for approximating the Lorenz curve***by*Ryu, Hang K. & Slottje, Daniel J.**275-299 Some results on the Glejser and Koenker tests for heteroskedasticity***by*Godfrey, Leslie G.**301-312 Mirror image distributions and the Dickey-Fuller regression with a maintained trend***by*Haldrup, Niels**313-356 On the determination of integration indices in I(2) systems***by*Paruolo, Paolo**357-395 The effects of vertical integration between cable television systems and pay cable networks***by*Waterman, David & Weiss, Andrew A.

### 1996, Volume 71, Issue 1-2

**1-47 Asymptotic filtering theory for multivariate ARCH models***by*Nelson, Daniel B.**49-70 Semiparametric estimates of the supply and demand effects of disability on labor force participation***by*Stern, Steven**71-87 Marginalization and contemporaneous aggregation in multivariate GARCH processes***by*Nijman, Theo & Sentana, Enrique**89-115 Tests for cointegration a Monte Carlo comparison***by*Haug, Alfred A.**117-143 Cointegration and speed of convergence to equilibrium***by*Pesaran, M. Hashem & Shin, Yongcheol**145-160 Case-control studies with contaminated controls***by*Lancaster, Tony & Imbens, Guido**161-173 Interpreting tests of the convergence hypothesis***by*Bernard, Andrew B. & Durlauf, Steven N.**175-205 Robustness to nonnormality of regression F-tests***by*Ali, Mukhtar M. & Sharma, Subhash C.**207-225 Information criteria for selecting possibly misspecified parametric models***by*Sin, Chor-Yiu & White, Halbert**227-248 Alternative methods of detrending and the power of unit root tests***by*Hwang, Jaeyoun & Schmidt, Peter**249-264 A minimum distance estimator for long-memory processes***by*Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T.**265-283 An interior point algorithm for nonlinear quantile regression***by*Koenker, Roger & Park, Beum J.**285-290 A note on Sargan densities***by*Hadri, Kaddour**291-307 Specification testing in panel data with instrumental variables***by*Metcalf, Gilbert E.**309-319 A reformulation of the Hausman test for regression models with pooled cross-section-time-series data***by*Ahn, Seung C. & Low, Stuart**321-341 Testing for structural breaks in cointegrated relationships***by*Gregory, Allan W. & Nason, James M. & Watt, David G.**343-379 Endogenous capital utilization and productivity measurement in dynamic factor demand models Theory and an application to the U.S. electrical machinery industry***by*Prucha, Ingmar R. & Nadiri, M. Ishaq**381-388 Lorenz ordering of generalized beta-II income distributions***by*Wilfling, Bernd**389-397 Semiparametric estimation of partially linear panel data models***by*Li, Qi & Stengos, Thanasis

### February 1996, Volume 70, Issue 2

**317-350 The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors***by*Perron, Pierre**351-382 Local identifiability of the factor analysis and measurement error model parameter***by*Wegge, Leon L.**383-405 Estimation methods for male labor supply functions How to take account of nonlinear taxes***by*Blomquist, Soren

### January 1996, Volume 70, Issue 1

**1-8 Editors' introduction recent developments in the econometrics of structural change***by*Dufour, Jean-Marie & Ghysels, Eric**9-38 Optimal changepoint tests for normal linear regression***by*Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner**39-68 Exact tests for structural change in first-order dynamic models***by*Dufour, Jean-Marie & Kiviet, Jan F.**69-97 The effect of linear filters on dynamic time series with structural change***by*Ghysels, Eric & Perron, Pierre**99-126 Residual-based tests for cointegration in models with regime shifts***by*Gregory, Allan W. & Hansen, Bruce E.**127-157 Specification testing in Markov-switching time-series models***by*Hamilton, James D.**159-174 Testing for structural change in a long-memory environment***by*Hidalgo, Javier & Robinson, Peter M.**175-185 A trend-resistant test for structural change based on OLS residuals***by*Ploberger, Werner & Kramer, Walter**187-220 Cointegration tests in the presence of structural breaks***by*Campos, Julia & Ericsson, Neil R. & Hendry, David F.**221-241 Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures***by*Diebold, Francis X. & Chen, Celia**243-260 Demand for international telecommunication time-varying price elasticity***by*Hackl, Peter & Westlund, Anders H.**261-290 Specification of varying coefficient time series models via generalized flexible least squares***by*Lutkepohl, Helmut & Herwartz, Helmut**291-316 The Lucas critique revisited assessing the stability of empirical Euler equations for investment***by*Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel

### October 1995, Volume 69, Issue 2

**367-391 The predictive ability of several models of exchange rate volatility***by*West, Kenneth D. & Cho, Dongchul**393-414 Assessing cross-sectional correlation in panel data***by*Frees, Edward W.**415-425 Nonparametric tests of regularity, Farrell efficiency, and goodness-of-fit***by*Fare, Rolf & Grosskopf, Shawna**427-428 A generalization of the beta distribution with applications***by*McDonald, James B. & Xu, Yexiao J.

### September 1995, Volume 69, Issue 1

**1-4 Editors' introduction Bayesian and classical econometric modeling of time series***by*Bauwens, Luc & Lubrano, Michel**5-25 Tests for seasonal unit roots general to specific or specific to general?***by*Hylleberg, Svend**27-59 Classical and Bayesian aspects of robust unit root inference***by*Hoek, Henk & Lucas, Andre & van Dijk, Herman K.**61-80 Bayesian long-run prediction in time series models***by*Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J.**81-109 Testing for unit roots in a Bayesian framework***by*Lubrano, Michel**111-132 Identifying restrictions of linear equations with applications to simultaneous equations and cointegration***by*Johansen, Soren**133-158 Efficient inference on cointegration parameters in structural error correction models***by*Boswijk, H. Peter**159-171 Conditional and structural error correction models***by*Ericsson, Neil R.**173-175 Conditional and structural error correction models reply***by*Boswijk, H. Peter**177-210 Partial versus full system modelling of cointegrated systems an empirical illustration***by*Urbain, Jean-Pierre**211-240 Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model***by*Juselius, Katarina**241-266 The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models***by*Kiviet, Jan F. & Phillips, Garry D. A. & Schipp, Bernhard**267-288 A simple message for autocorrelation correctors: Don't***by*Mizon, Grayham E.**289-331 Bayesian model selection and prediction with empirical applications***by*Phillips, Peter C. B.**333-335 Bayesian model selection and prediction with empirical applications comments***by*Palm, Franz C.**337-349 Bayesian model selection and prediction with empirical applications discussion***by*Richard, Jean-Francois**351-365 Bayesian prediction a response***by*Phillips, Peter C. B.

### August 1995, Volume 68, Issue 2

**269-286 On a simultaneous equations pre-test estimator***by*Skeels, Christopher L. & Taylor, Larry W.**287-302 Double bootstrap for shrinkage estimators***by*Vinod, H. D.**303-338 Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study***by*Buchinsky, Moshe**339-360 Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models***by*Chib, Siddhartha & Greenberg, Edward**361-366 The heteroskedastic linear regression model and the Hadamard product a note***by*Neudecker, Heinz & Polasek, Wolfgang & Liu, Shuangzhe**367-397 A Bayesian approach to diagnosis of asset pricing models***by*Stutzer, Michael

### July 1995, Volume 68, Issue 1

**1-4 Editor's introduction Panel data***by*Baltagi, Badi H.**5-27 Efficient estimation of models for dynamic panel data***by*Ahn, Seung C. & Schmidt, Peter**29-51 Another look at the instrumental variable estimation of error-components models***by*Arellano, Manuel & Bover, Olympia**53-78 On bias, inconsistency, and efficiency of various estimators in dynamic panel data models***by*Kiviet, Jan F.**79-113 Estimating long-run relationships from dynamic heterogeneous panels***by*Pesaran, M. Hashem & Smith, Ron**115-132 Selection corrections for panel data models under conditional mean independence assumptions***by*Wooldridge, Jeffrey M.**133-151 Testing AR(1) against MA(1) disturbances in an error component model***by*Baltagi, Badi H. & Li, Qi**153-179 How representative are matched cross-sections? Evidence from the Current Population Survey***by*Peracchi, Franco & Welch, Finis**205-227 A new framework for analyzing survey forecasts using three-dimensional panel data***by*Davies, Anthony & Lahiri, Kajal**229-242 An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads***by*Maddala, G. S. & Nimalendran, M.

### June 1995, Volume 67, Issue 2

**259-302 Flexible functional forms and tests of homogeneous separability***by*Diewert, W. E. & Wales, T. J.**303-335 Filtering and forecasting with misspecified ARCH models II : Making the right forecast with the wrong model***by*Nelson, Daniel B. & Foster, Dean P.**337-378 Nonparametric two-stage estimation of conditional choice probabilities in a binary choice model under uncertainty***by*Ahn, Hyungtaik**379-401 Consistent nonparametric hypothesis tests with an application to Slutsky symmetry***by*Lewbel, Arthur

### May 1995, Volume 67, Issue 1

**1-3 Editors' introduction : The significance of testing in econometrics***by*Keuzenkamp, Hugo A. & Magnus, Jan R.**5-24 On tests and significance in econometrics***by*Keuzenkamp, Hugo A. & Magnus, Jan R.**25-46 Three ways to think about testing in econometrics***by*Mirowski, Philip**47-59 Probabilities and experiments***by*Cartwright, Nancy**61-79 The role of theory in econometrics***by*Pesaran, M. Hashem & Smith, Ron**81-102 Empirical model particularities and belief in the natural rate hypothesis***by*Kim, Jinbang & De Marchi, Neil & Morgan, Mary S.**103-127 Rejection without falsification on the history of testing the homogeneity condition in the theory of consumer demand***by*Keuzenkamp, Hugo A. & Barten, Anton P.**129-147 Frisch on testing of business cycle theories***by*Boumans, Marcel**149-171 The significance of testing empirical non-nested models***by*McAleer, Michael**173-187 Comments on testing economic theories and the use of model selection criteria***by*Granger, Clive W. J. & King, Maxwell L. & White, Halbert**189-226 On theory testing in econometrics : Modeling with nonexperimental data***by*Spanos, Aris**227-257 Nonclassical demand : A model-free examination of price-quantity relations in the Marseille fish market***by*Hardle, Wolfgang & Kirman, Alan

### 1995, Volume 66, Issue 1-2

**1-33 Shrinkage estimation in nonlinear regression The Box-Cox transformation***by*Kim, Minbo & CarterHill, R.**35-59 Alternative size corrections for some GLS test statistics the case of the AR(1) model***by*Magdalinos, Michael A. & Symeonides, Spyridon D.**61-98 Nonconvexities, labor hoarding, technology shocks, and procyclical productivity a structural econometric analysis***by*Chirinko, Robert S.**99-121 Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances***by*Srivastava, V. K. & Maekawa, Koichi**123-129 Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald***by*Potscher, Benedikt M.**131-132 Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models'***by*Steigerwald, Douglas G.**133-152 A generalization of the beta distribution with applications***by*McDonald, James B. & Xu, Yexiao J.**153-173 An outlier robust unit root test with an application to the extended Nelson-Plosser data***by*Lucas, Andre**175-205 Stochastic specification in random production models of cost-minimizing firms***by*Brown, Bryan W. & Walker, Mary Beth**207-223 A Bartlett adjustment to the likelihood ratio test for a system of equations***by*Attfield, C. L. F.**225-250 Statistical inference in vector autoregressions with possibly integrated processes***by*Toda, Hiro Y. & Yamamoto, Taku**251-287 Nonparametric estimation of structural models for high-frequency currency market data***by*Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George**289-324 A numerical bayesian test for cointegration of AR processes***by*Dorfman, Jeffrey H.**325-348 Optimal stock/flow panels***by*Lancaster, Tony & Imbens, Guido**349-355 Transforming the error-components model for estimation with general ARMA disturbances***by*Galbraith, John W. & Zinde-Walsh, Victoria**357-369 Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence***by*Granger, C. W. J. & Siklos, Pierre L.

### February 1995, Volume 65, Issue 2

**333-345 Temporal aggregation and the power of tests for a unit root***by*Pierse, R. G. & Snell, A. J.**347-380 Two-step estimation of heteroskedastic sample selection models***by*Donald, Stephen G.**381-428 Semiparametric maximum likelihood estimation of polychotomous and sequential choice models***by*Lee, Lung-fei

### January 1995, Volume 65, Issue 1

**1-8 Editors' introduction***by*Fuss, Melvyn & Pakes, Ariel**9-43 High-tech capital formation and economic performance in U.S. manufacturing industries An exploratory analysis***by*Berndt, Ernst R. & Morrison, Catherine J.**45-81 The production and cost structure of Israeli industry Evidence from individual firm data***by*Bregman, Arie & Fuss, Melvyn & Regev, Haim**83-108 General purpose technologies 'Engines of growth'?***by*Bresnahan, Timothy F. & Trajtenberg, M.**109-154 Quantile regression, Box-Cox transformation model, and the U.S. wage structure, 1963-1987***by*Buchinsky, Moshe**155-174 The production-theoretic measurement of input price and quantity indices***by*Fisher, Franklin M.**175-203 Firm productivity in Israeli industry 1979-1988***by*Griliches, Zvi & Regev, Haim**205-233 Nonlinear errors in variables Estimation of some Engel curves***by*Hausman, J. A. & Newey, W. K. & Powell, J. L.**235-261 A random linear functional approach to efficiency bounds***by*Holly, Alberto**263-293 Exploring the relationship between R&D and productivity in French manufacturing firms***by*Hall, Bronwyn H. & Mairesse, Jacques**295-332 A limit theorem for a smooth class of semiparametric estimators***by*Pakes, Ariel & Olley, Steven

### 1994, Volume 64, Issue 1-2

**3-27 Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models***by*Bewley, Ronald & Orden, David & Yang, Minxian & Fisher, Lance A.**29-43 Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity***by*Szroeter, Jerzy**45-76 Specification tests in simultaneous equations systems***by*Dhrymes, Phoebus J.**77-96 Testing for linearity in a semiparametric regression model***by*Shively, Thomas S. & Kohn, Robert & Ansley, Craig F.**97-122 Measuring and comparing smoothness in time series the production smoothing hypothesis***by*Froeb, Luke & Koyak, Robert**123-144 Partially adaptive estimation via a normal mixture***by*Phillips, Robert F.**145-163 Parameter estimation in regression models with errors in the variables and autocorrelated disturbances***by*Dagenais, Marcel G.**165-182 A two-stage estimator for probit models with structural group effects***by*Borjas, George J. & Sueyoshi, Glenn T.**183-206 Bayes inference in regression models with ARMA (p, q) errors***by*Chib, Siddhartha & Greenberg, Edward**207-240 An exact likelihood analysis of the multinomial probit model***by*McCulloch, Robert & Rossi, Peter E.**241-278 Pairwise difference estimators of censored and truncated regression models***by*Honore, Bo E. & Powell, James L.**279-306 Subsample instability and asymmetries in money-income causality***by*Thoma, Mark A.**307-333 Autoregressive conditional heteroskedasticity and changes in regime***by*Hamilton, James D. & Susmel, Raul**335-353 Semiparametric estimation from time series with long-range dependence***by*Cheng, Bing & Robinson, P. M.**355-373 Coherency and estimation in simultaneous models with censored or qualitative dependent variables***by*Blundell, Richard & Smith, Richard J.**375-400 Stochastic volatility in asset prices estimation with simulated maximum likelihood***by*Danielsson, Jon

### August 1994, Volume 63, Issue 2

**327-339 Jeffreys' prior for logit models***by*Poirier, Dale**341-388 Semiparametric instrumental variable estimation of simultaneous equation sample selection models***by*Lee, Lung-Fei**389-396 On the compatibility of nested logit models with utility maximization : A comment***by*Koning, Ruud H. & Ridder, Geert**397-405 The covariance matrix of ARMA errors in closed form***by*van der Leeuw, Jan

### July 1994, Volume 63, Issue 1

**1-5 Structure and dynamics in econometrics***by*Kiviet, Jan F. & Dijk, Herman K. van**7-36 Identification of the long-run and the short-run structure an application to the ISLM model***by*Johansen, Soren & Juselius, Katarina**37-60 Testing for an unstable root in conditional and structural error correction models***by*Peter Boswijk, H.**61-103 Direct cointegration testing in error correction models***by*Kleibergen, Frank & van Dijk, Herman K.**105-131 Deciding between I(1) and I(0)***by*Stock, James H.**133-151 A multivariate approach to modeling univariate seasonal time series***by*Franses, Philip Hans**153-181 The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables***by*Haldrup, Niels**183-214 Polynomial cointegration estimation and test***by*Gregoir, Stephane & Laroque, Guy**215-243 Bias assessment and reduction in linear error-correction models***by*Kiviet, Jan F. & Phillips, Garry D. A.**245-270 Encompassing in stationary linear dynamic models***by*Govaerts, Bernadette & Hendry, David F. & Richard, Jean-Francois**271-287 Simplified conditions for noncausality between vectors in multivariate ARMA models***by*Boudjellaba, Hafida & Dufour, Jean-Marie & Roy, Roch