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Content
December 2007, Volume 141, Issue 2
- 1100-1114 Estimating a generalized correlation coefficient for a generalized bivariate probit model
by Chen, Songnian & Zhou, Yahong
- 1115-1130 Nonstationary discrete choice: A corrigendum and addendum
by Phillips, Peter C.B. & Jin, Sainan & Hu, Ling
- 1131-1158 Endogeneity in quantile regression models: A control function approach
by Lee, Sokbae
- 1159-1195 Time and causality: A Monte Carlo assessment of the timing-of-events approach
by Gaure, Simen & Roed, Knut & Zhang, Tao
- 1196-1218 Confidence sets for the date of a single break in linear time series regressions
by Elliott, Graham & Muller, Ulrich K.
- 1219-1244 Finite sample multivariate structural change tests with application to energy demand models
by Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement
- 1245-1280 Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
by Yu, Jialin
- 1281-1301 Inverse probability weighted estimation for general missing data problems
by Wooldridge, Jeffrey M.
- 1302-1330 A simple, robust and powerful test of the trend hypothesis
by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
- 1331-1352 A theory of robust long-run variance estimation
by Muller, Ulrich K.
- 1353-1384 Nonstationarity-extended local Whittle estimation
by Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas
- 1385-1411 Efficient high-dimensional importance sampling
by Richard, Jean-Francois & Zhang, Wei
- 1412-1417 Corrigendum to "The pseudo-true score encompassing test for non-nested hypotheses": [Journal of Econometrics 106, 271-295]
by Chen, Yi-Ting & Kuan, Chung-Ming
- 1417-1418 Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]
by Hall, Alastair R. & Inoue, Atsushi
- 1417-1419 Erratum to "Generalizing the standard product rule of probability theory and Bayes's Theorem": [J. Econometrics 138 (1) (2007) 14-23]
by Zellner, Arnold
November 2007, Volume 141, Issue 1
- 1-4 Semiparametric methods in econometrics
by Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier
- 5-43 Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables
by Ai, Chunrong & Chen, Xiaohong
- 44-64 Testing the Markov property with high frequency data
by Amaro de Matos, Joao & Fernandes, Marcelo
- 65-83 Censored regression quantiles with endogenous regressors
by Blundell, Richard & Powell, James L.
- 84-108 Semiparametric identification and estimation in multi-object, English auctions
by Brendstrup, Bjarne & Paarsch, Harry J.
- 109-140 Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
by Chen, Xiaohong & Hong, Han & Shum, Matthew
- 141-166 Asymptotic and bootstrap inference for inequality and poverty measures
by Davidson, Russell & Flachaire, Emmanuel
- 167-178 Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance
by Dias, Ronaldo & Garcia, Nancy L.
- 179-212 Root-N consistent semiparametric estimators of a dynamic panel-sample-selection model
by Gayle, George-Levi & Viauroux, Christelle
- 213-249 Local multiplicative bias correction for asymmetric kernel density estimators
by Hagmann, M. & Scaillet, O.
- 250-282 The quantilogram: With an application to evaluating directional predictability
by Linton, O. & Whang, Yoon-Jae
- 283-319 Nonparametric frontier estimation via local linear regression
by Martins-Filho, Carlos & Yao, Feng
October 2007, Volume 140, Issue 2
- 333-374 Identification and estimation of econometric models with group interactions, contextual factors and fixed effects
by Lee, Lung-fei
- 375-400 Nonparametric efficiency analysis: A multivariate conditional quantile approach
by Daouia, Abdelaati & Simar, Leopold
- 401-412 Analysis of treatment response data without the joint distribution of potential outcomes
by Chib, Siddhartha
- 413-424 Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk
by Reif, Jiri
- 425-449 Stochastic volatility with leverage: Fast and efficient likelihood inference
by Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi
- 450-484 Root-n-consistent estimation of weak fractional cointegration
by Hualde, J. & Robinson, P.M.
- 485-502 Infrastructure and productivity: An extension to private infrastructure and it productivity
by Duggal, Vijaya G. & Saltzman, Cynthia & Klein, Lawrence R.
- 503-528 Estimating dynamic panel data discrete choice models with fixed effects
by Carro, Jesus M.
- 529-573 Efficient estimation of general dynamic models with a continuum of moment conditions
by Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric
- 574-617 Long difference instrumental variables estimation for dynamic panel models with fixed effects
by Hahn, Jinyong & Hausman, Jerry & Kuersteiner, Guido
- 618-649 Trends and cycles in economic time series: A Bayesian approach
by Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K.
- 650-669 The second-order bias and mean squared error of estimators in time-series models
by Bao, Yong & Ullah, Aman
- 670-694 Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects
by Hansen, Christian B.
- 695-718 Testing joint hypotheses when one of the alternatives is one-sided
by Abadir, Karim M. & Distaso, Walter
- 719-752 Asymptotics for out of sample tests of Granger causality
by McCracken, Michael W.
- 753-780 Testing constancy of the error covariance matrix in vector models
by Eklund, Bruno & Terasvirta, Timo
- 781-801 Modeling and calculating the effect of treatment at baseline from panel outcomes
by Chib, Siddhartha & Jacobi, Liana
- 802-826 A consistent model specification test with mixed discrete and continuous data
by Hsiao, Cheng & Li, Qi & Racine, Jeffrey S.
- 827-848 A structural analysis of the correlated random coefficient wage regression model
by Belzil, Christian & Hansen, Jorgen
- 849-873 Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
by Ling, Shiqing
- 874-883 Why elementary price index number formulas differ: Evidence on price dispersion
by Silver, Mick & Heravi, Saeed
- 884-918 Properties of optimal forecasts under asymmetric loss and nonlinearity
by Patton, Andrew J. & Timmermann, Allan
- 919-947 Testing for unit roots in time series models with non-stationary volatility
by Cavaliere, Giuseppe & Taylor, A.M. Robert
September 2007, Volume 140, Issue 1
- 1-4 Analysis of spatially dependent data
by Baltagi, Badi H. & Kelejian, Harry H. & Prucha, Ingmar R.
- 5-51 Testing for serial correlation, spatial autocorrelation and random effects using panel data
by Baltagi, Badi H. & Heun Song, Seuck & Cheol Jung, Byoung & Koh, Won
- 52-75 Identification of binary choice models with social interactions
by Brock, William A. & Durlauf, Steven N.
- 76-96 Spatial correlation robust inference with errors in location or distance
by Conley, Timothy G. & Molinari, Francesca
- 97-130 Panel data models with spatially correlated error components
by Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R.
- 131-154 HAC estimation in a spatial framework
by Kelejian, Harry H. & Prucha, Ingmar R.
- 155-189 The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models
by Lee, Lung-fei
- 190-214 A matrix exponential spatial specification
by LeSage, James P. & Kelley Pace, R.
- 215-225 A central limit theorem for endogenous locations and complex spatial interactions
by Pinkse, Joris & Shen, Lihong & Slade, Margaret
- 226-259 A spatial model for multivariate lattice data
by Sain, Stephan R. & Cressie, Noel
- 260-281 Estimating models of complex FDI: Are there third-country effects?
by Baltagi, Badi H. & Egger, Peter & Pfaffermayr, Michael
- 282-303 Estimating dynamic local interactions models
by Conley, Timothy G. & Topa, Giorgio
- 304-332 The origin of spatial interaction
by Keller, Wolfgang & Shiue, Carol H.
August 2007, Volume 139, Issue 2
- 237-241 The econometrics of intellectual property: An overview
by McAleer, Michael
- 242-258 Estimation of patent licensing value using a flexible demand specification
by Hausman, Jerry A. & Leonard, Gregory K.
- 259-284 An econometric analysis of asymmetric volatility: Theory and application to patents
by McAleer, Michael & Chan, Felix & Marinova, Dora
- 285-302 Valuing intangible assets with a nested logit market share model
by Dubin, Jeffrey A.
- 303-317 Econometric analysis of copyrights
by Slottje, Daniel J. & Millimet, Daniel L. & Buchanan, Michael J.
- 318-339 The size distribution of innovations revisited: An application of extreme value statistics to citation and value measures of patent significance
by Silverberg, Gerald & Verspagen, Bart
- 340-354 Patenting, intellectual property rights and sectoral outputs in Industrial Revolution Britain, 1780-1851
by Greasley, David & Oxley, Les
- 355-375 Patent activity and technical change
by Basmann, Robert L. & McAleer, Michael & Slottje, Daniel
- 376-390 Modeling the diffusion of scientific publications
by Fok, Dennis & Franses, Philip Hans
July 2007, Volume 139, Issue 1
- 1-3 Endogeneity, instruments and identification
by Chesher, Andrew & Dhaene, Geert & van Dijk, Herman
- 4-14 Instrumental variable estimation of nonseparable models
by Chernozhukov, Victor & Imbens, Guido W. & Newey, Whitney K.
- 15-34 Instrumental values
by Chesher, Andrew
- 35-75 Nonparametric IV estimation of local average treatment effects with covariates
by Frolich, Markus
- 76-104 Identification and information in monotone binary models
by Magnac, Thierry & Maurin, Eric
- 105-115 Minimax-regret treatment choice with missing outcome data
by Manski, Charles F.
- 116-132 Performance of conditional Wald tests in IV regression with weak instruments
by Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H.
- 133-153 Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
by Dufour, Jean-Marie & Taamouti, Mohamed
- 154-180 On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks
by Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K.
- 181-216 Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
by Kleibergen, Frank
- 217-236 Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
by Poskitt, D.S. & Skeels, C.L.
June 2007, Volume 138, Issue 2
- 379-387 Information and entropy econometrics - volume overview and synthesis
by Golan, Amos
- 388-404 Some aspects of the history of Bayesian information processing
by Zellner, Arnold
- 405-429 Information optimality and Bayesian modelling
by Clarke, Bertrand
- 430-460 Efficient information theoretic inference for conditional moment restrictions
by Smith, Richard J.
- 461-487 On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood
by Antoine, Bertille & Bonnal, Helene & Renault, Eric
- 488-512 Information in generalized method of moments estimation and entropy-based moment selection
by Hall, Alastair R. & Inoue, Atsushi & Jana, Kalidas & Shin, Changmock
- 513-531 Estimation and inference in the case of competing sets of estimating equations
by Judge, George G. & Mittelhammer, Ron C.
- 532-546 GMM estimation of a maximum entropy distribution with interval data
by Wu, Ximing & Perloff, Jeffrey M.
- 547-567 A versatile and robust metric entropy test of time-reversibility, and other hypotheses
by Racine, Jeffrey S. & Maasoumi, Esfandiar
- 568-585 Information measures for generalized gamma family
by Dadpay, Ali & Soofi, Ehsan S. & Soyer, Refik
May 2007, Volume 138, Issue 1
- 1-2 Progress and challenges in econometrics
by Franses, Philip Hans & van Dijk, Herman K.
- 3-13 Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam
by Granger, Clive W.J.
- 14-23 Generalizing the standard product rule of probability theory and Bayes's Theorem
by Zellner, Arnold
- 24-46 Testing with many weak instruments
by Andrews, Donald W.K. & Stock, James H.
- 47-62 The zero-information-limit condition and spurious inference in weakly identified models
by Nelson, Charles R. & Startz, Richard
- 63-103 Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
by Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K.
- 104-124 Unit root log periodogram regression
by Phillips, Peter C.B.
- 125-180 No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
by Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav
- 181-207 Measuring volatility with the realized range
by Martens, Martin & van Dijk, Dick
- 208-230 Product attributes and models of multiple discreteness
by Kim, Jaehwan & Allenby, Greg M. & Rossi, Peter E.
- 231-251 Seasonality and non-linear price effects in scanner-data-based market-response models
by Fok, Dennis & Hans Franses, Philip & Paap, Richard
- 252-290 Smoothly mixing regressions
by Geweke, John & Keane, Michael
- 291-311 Approximately normal tests for equal predictive accuracy in nested models
by Clark, Todd E. & West, Kenneth D.
- 312-355 A pair-wise approach to testing for output and growth convergence
by Hashem Pesaran, M.
- 356-378 Reconciling introspective utility with revealed preference: Experimental arguments based on prospect theory
by Abdellaoui, Mohammed & Barrios, Carolina & Wakker, Peter P.
April 2007, Volume 137, Issue 2
- 277-310 Gaussian semiparametric estimation of multivariate fractionally integrated processes
by Shimotsu, Katsumi
- 311-333 A robust version of the KPSS test based on indicators
by de Jong, Robert M. & Amsler, Christine & Schmidt, Peter
- 334-353 Granger causality and path diagrams for multivariate time series
by Eichler, Michael
- 354-395 A simple approach to the parametric estimation of potentially nonstationary diffusions
by Bandi, Federico M. & Phillips, Peter C.B.
- 396-413 Finite sample properties of maximum likelihood estimator in spatial models
by Bao, Yong & Ullah, Aman
- 414-440 Decisionmetrics: A decision-based approach to econometric modelling
by Skouras, Spyros
- 441-471 Optimal statistical decisions about some alternative financial models
by Stummer, Wolfgang & Vajda, Igor
- 472-488 Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
by Blake, Andrew P. & Kapetanios, George
- 489-514 GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
by Lee, Lung-fei
- 515-555 Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
by Chao, John & Swanson, Norman R.
- 556-576 Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
by Hang Chan, Ngai & Deng, Shi-Jie & Peng, Liang & Xia, Zhendong
- 577-614 On efficient estimation of the ordered response model
by Coppejans, Mark
- 615-640 MCMC maximum likelihood for latent state models
by Jacquier, Eric & Johannes, Michael & Polson, Nicholas
- 641-673 Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
by Ferreira, Jose T.A.S. & Steel, Mark F.J.
- 674-707 Inference on inequality from household survey data
by Bhattacharya, Debopam
- 708-728 Marginal likelihood and unit roots
by Francke, Marc K. & de Vos, Aart F.
March 2007, Volume 137, Issue 1
- 1-27 Nonparametric stochastic frontiers: A local maximum likelihood approach
by Kumbhakar, Subal C. & Park, Byeong U. & Simar, Leopold & Tsionas, Efthymios G.
- 28-67 Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
by Caner, Mehmet
- 68-111 Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
by Seo, Byeongseon
- 112-133 A unified approach to nonlinearity, structural change, and outliers
by Giordani, Paolo & Kohn, Robert & van Dijk, Dick
- 134-161 Selection of estimation window in the presence of breaks
by Pesaran, M. Hashem & Timmermann, Allan
- 162-188 Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
by Phillips, Peter C.B. & Sul, Donggyu
- 189-229 An efficient nonparametric estimator for models with nonlinear dependence
by Gagliardini, Patrick & Gourieroux, Christian
- 230-259 Nonstationary nonlinear heteroskedasticity in regression
by Chung, Heetaik & Park, Joon Y.
- 260-276 Bayesian analysis of a Tobit quantile regression model
by Yu, Keming & Stander, Julian
February 2007, Volume 136, Issue 2
- 325-329 Special issue editors' introduction: The interface between econometrics and economic theory
by Aliprantis, Charalambos D. & Barnett, William A. & Cornet, Bernard & Durlauf, Steven
- 331-339 Philosophy and objectives of econometrics
by Zellner, Arnold
- 341-396 Dynamic discrete choice and dynamic treatment effects
by Heckman, James J. & Navarro, Salvador
- 397-430 Indirect inference and calibration of dynamic stochastic general equilibrium models
by Dridi, Ramdan & Guay, Alain & Renault, Eric
- 431-456 Riesz estimators
by Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee
- 457-482 Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries
by Barnett, William A.
- 483-508 Growth and convergence: A profile of distribution dynamics and mobility
by Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis
- 509-530 Econometric specification of stochastic discount factor models
by Gourieroux, C. & Monfort, A.
- 531-564 Empirical labor search: A survey
by Eckstein, Zvi & van den Berg, Gerard J.
- 565-594 Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
by Kapetanios, G. & Pagan, A. & Scott, A.
- 595-627 Econometric analysis of linearized singular dynamic stochastic general equilibrium models
by Bierens, Herman J.
- 629-664 Model uncertainty and policy evaluation: Some theory and empirics
by Brock, William A. & Durlauf, Steven N. & West, Kenneth D.
- 665-698 Selection into and across credit contracts: Theory and field research
by Ahlin, Christian & Townsend, Robert M.
- 699-723 Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
by Corradi, Valentina & Swanson, Norman R.
January 2007, Volume 136, Issue 1
- 1-29 Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
by Chambers, Marcus J. & Roderick McCrorie, J.
- 31-64 Estimation and inference in two-stage, semi-parametric models of production processes
by Simar, Leopold & Wilson, Paul W.
- 65-88 A method of estimating the average derivative
by Banerjee, Anurag
- 89-114 Asymmetry and nonstationarity for a seasonal time series model
by Shin, Dong Wan & Lee, Oesook
- 115-130 Limit theory for moderate deviations from a unit root
by Phillips, Peter C.B. & Magdalinos, Tassos
- 131-162 Non-parametric tests of productive efficiency with errors-in-variables
by Kuosmanen, Timo & Post, Thierry & Scholtes, Stefan
- 163-188 Trending time-varying coefficient time series models with serially correlated errors
by Cai, Zongwu
- 189-211 A simple ordered data estimator for inverse density weighted expectations
by Lewbel, Arthur & Schennach, Susanne M.
- 213-235 An econometric method of correcting for unit nonresponse bias in surveys
by Korinek, Anton & Mistiaen, Johan A. & Ravallion, Martin
- 237-249 Aggregation and memory of models of changing volatility
by Zaffaroni, Paolo
- 251-280 Partial rank estimation of duration models with general forms of censoring
by Khan, Shakeeb & Tamer, Elie
- 281-301 Semiparametric efficient estimation of dynamic panel data models
by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold
- 303-318 Time reversibility of stationary regular finite-state Markov chains
by McCausland, William J.
- 319-324 General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
by Lutkepohl, Helmut
2006, Volume 135, Issue 1-2
- 1-9 Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
by Swanson, Norman R. & Elliott, Graham & Ghysels, Eric & Gonzalo, Jesus
- 11-13 Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004
by Granger, Clive W.J.
- 15-29 Structural attribution of observed volatility clustering
by Granger, Clive W.J. & Machina, Mark J.
- 31-53 Persistence in forecasting performance and conditional combination strategies
by Aiolfi, Marco & Timmermann, Allan
- 55-76 Reduced rank regression for blocks of simultaneous equations
by Anderson, T.W.
- 77-124 Monitoring disruptions in financial markets
by Andreou, Elena & Ghysels, Eric
- 125-154 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
by Chen, Xiaohong & Fan, Yanqin
- 155-186 Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
by Clark, Todd E. & West, Kenneth D.
- 187-228 Predictive density and conditional confidence interval accuracy tests
by Corradi, Valentina & Swanson, Norman R.
- 229-254 Finite-sample simulation-based inference in VAR models with application to Granger causality testing
by Dufour, Jean-Marie & Jouini, Tarek
- 255-284 Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
by Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao
- 285-310 Minimizing the impact of the initial condition on testing for unit roots
by Elliott, Graham & Muller, Ulrich K.
- 311-347 Large shocks vs. small shocks. (Or does size matter? May be so.)
by Gonzalo, Jesus & Martinez, Oscar
- 349-376 A regime switching long memory model for electricity prices
by Haldrup, Niels & Nielsen, Morten Orregaard
- 377-398 Interval forecasts and parameter uncertainty
by Hansen, Bruce E.
- 399-426 Robustifying forecasts from equilibrium-correction systems
by Hendry, David F.
- 427-463 Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
by Hsiao, Cheng & Wang, Siyan
- 465-497 Bagging binary and quantile predictors for time series
by Lee, Tae-Hwy & Yang, Yang
- 499-526 A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
by Marcellino, Massimiliano & Stock, James H. & Watson, Mark W.
- 527-566 Time-series estimation of the effects of natural experiments
by White, Halbert
October 2006, Volume 134, Issue 2
- 317-340 Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis
by Kumbhakar, Subal C. & Wang, Hung-Jen
- 341-371 Analysis of high dimensional multivariate stochastic volatility models
by Chib, Siddhartha & Nardari, Federico & Shephard, Neil
- 373-399 Estimating restricted structural change models
by Perron, Pierre & Qu, Zhongjun
- 401-417 Joint LM test for homoskedasticity in a one-way error component model
by Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain
- 419-440 Estimation of technical and allocative inefficiency: A primal system approach
by Kumbhakar, Subal C. & Wang, Hung-Jen
- 441-469 Modified tests for a change in persistence
by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
- 471-506 Quantile regression methods for recursive structural equation models
by Ma, Lingjie & Koenker, Roger
- 507-551 Saddlepoint approximations for continuous-time Markov processes
by Ai[dieresis]t-Sahalia, Yacine & Yu, Jialin
- 553-577 Markov-switching model selection using Kullback-Leibler divergence
by Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling
- 579-604 Residual autocorrelation testing for vector error correction models
by Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti
- 605-644 Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
by Griffin, J.E. & Steel, M.F.J.
- 645-664 Bayesian point estimation of the cointegration space
by Villani, Mattias
September 2006, Volume 134, Issue 1
- 1-68 Asymptotic properties of Monte Carlo estimators of diffusion processes
by Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel
- 69-94 Identification and estimation in sequential, asymmetric, English auctions
by Brendstrup, Bjarne & Paarsch, Harry J.
- 95-128 Matrix exponential GARCH
by Kawakatsu, Hiroyuki
- 129-150 Bootstrap testing for the null of no cointegration in a threshold vector error correction model
by Seo, Myunghwan
- 151-185 Generalized spectral tests for the martingale difference hypothesis
by Escanciano, J. Carlos & Velasco, Carlos
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