## Content

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

**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**141-168 A bayesian approach to testing the arbitrage pricing theory***by*McCulloch, Robert & Rossi, Peter E.**195-238 A Bayesian analysis of the unit root in real exchange rates***by*Schotman, Peter & van Dijk, Herman K.**239-274 Bayesian multivariate exogeneity analysis : An application to a UK money demand equation***by*Steel, Mark F. J. & Richard, Jean-Francois**275-304 Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques***by*Zellner, Arnold & Hong, Chansik & Min, Chung-ki

### June 1991, Volume 48, Issue 3

**287-312 The measurement of productivity and scarcity rents : The case of asbestos in Canada***by*Lasserre, Pierre & Ouellette, Pierre**313-324 On the relation between GARCH and stable processes***by*de Vries, Casper G.**325-353 Testing for unit roots in autoregressive moving average models : An instrumental variable approach***by*Pantula, Sastry G. & Hall, Alastair**355-371 Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity***by*Ozcam, Ahmet & Judge, George G.**373-384 The implications of periodically varying coefficients for seasonal time-series processes***by*Osborn, Denise R.**385-393 A transformation that will circumvent the problem of autocorrelation in an error-component model***by*Baltagi, Badi H. & Li, Qi**395-408 Estimation and testing when explanatory variables are endogenous : An application to a demand system***by*Attfield, C. L. F.**409-410 A note on the existence of moments of k-class estimators when k is negative***by*Kinal, Terrence

### 1991, Volume 48, Issue 1-2

**1-14 Grouping bounds for inequality measures under alternative informational assumptions***by*Cowell, Frank A.**15-27 Fighting the teflon factor : Comparing classical and Bayesian estimators for autocorrelated errors***by*Kennedy, Peter & Simons, Daniel**29-55 Specification testing and quasi-maximum- likelihood estimation***by*Wooldridge, Jeffrey M.**57-81 Empirical models of discrete games***by*Bresnahan, Timothy F. & Reiss, Peter C.**83-117 A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches***by*Steel, Mark F. J.**119-134 Bounded-influence estimators for the SURE model***by*Peracchi, Franco**135-149 Multi-step estimation and forecasting in dynamic models***by*Weiss, Andrew A.**151-181 Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards F test truncation rule***by*Eastwood, Brian J.**183-193 A note on Bayesian inference in a regression model with elliptical errors***by*Osiewalski, Jacek**195-214 On a pooled estimator and its finite-sample moments***by*Mikhail, William M. & Ghazal, G. A.**215-240 Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria***by*Tsurumi, Hiroki & Wago, Hajime**241-262 A constrained maximum-likelihood approach to estimating switching regressions***by*Phillips, Robert F.**263-285 Analysis of survival data : Estimation and specification tests using asymptotic least squares***by*Jayet, H. & Moreau, A.

### February 1991, Volume 47, Issue 2-3

**197-205 Simulation estimation of time-series models***by*Lee, Bong-Soo & Ingram, Beth Fisher**207-226 Estimation of a regression model on two or more sets of differently grouped data***by*Fukushige, Mototsugu & Hatanaka, Michio**227-242 The likelihood dominance criterion : A new approach to model selection***by*Pollak, Robert A. & Wales, Terence J.**243-266 Grouped-data estimation and testing in simple labor-supply models***by*Angrist, Joshua D.**267-272 Pooling states in the multinomial logit model***by*Cramer, J. S. & Ridder, G.**273-284 A note concerning specifications of interactive random-coefficient regression models***by*Gatto, Joseph P. & Kelejian, Harry H. & Stephan, Scott W.**285-303 Unit-roots test for time-series data with a linear time trend***by*Said, Said E.**305-331 Another look at the identification of current rational-expectations models***by*Rayner, Janne**333-357 Estimation of a linear regression model with stationary ARMA(p, q) errors***by*Zinde-Walsh, Victoria & Galbraith, John W.**359-377 Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors***by*Andrews, Donald W. K.**379-400 Demand conditions, regulation, and the measurement of productivity***by*Appelbaum, Elie & Berechman, Joseph

### January 1991, Volume 47, Issue 1

**1-4 Editors' introduction: 40 years of diagnostic testing***by*Hillier, Grant H. & King, Maxwell L.**5-46 On the application of robust, regression- based diagnostics to models of conditional means and conditional variances***by*Wooldridge, Jeffrey M.**47-66 On multiple diagnostic procedures for the linear model***by*Hillier, Grant H.**67-84 Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression***by*Robinson, P. M.**85-114 The Durbin-Watson ratio under infinite-variance errors***by*Phillips, Peter C. B. & Loretan, Mico**115-143 Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors***by*Dufour, Jean-Marie & King, Maxwell L.**145-152 Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model***by*King, Maxwell L. & Wu, Ping X.**153-173 The finite-sample distributions of heteroskedasticity robust Wald statistics***by*Chesher, Andrew & Austin, Gerard**175-194 Distributional specification tests against semiparametric alternatives***by*Peters, Simon & Smith, Richard J.

### December 1990, Volume 46, Issue 3

**247-271 Limiting power of unit-root tests in time-series regression***by*Nabeya, Seiji & Tanaka, Katsuto**273-308 Testing nonnested Euler conditions with quadrature-based methods of approximation***by*Ghysels, Eric & Hall, Alastair**309-331 The small-sample performance of the information-matrix test***by*Orme, Chris**333-346 Estimation of time-dependent parameters in linear models using cross-sections, panels, or both***by*Nijman, Theo & Verbeek, Marno**347-364 Regression-based tests for overdispersion in the Poisson model***by*Cameron, A. Colin & Trivedi, Pravin K.**365-380 Multiple roots of the Tobit log-likelihood***by*Greene, William**381-398 An adjustment-costs model of export supply and import demand***by*Lawrence, Denis**399-406 A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process***by*Choudhury, Askar H. & St. Louis, Robert D.

### 1990, Volume 46, Issue 1-2

**3-5 Editor's introduction***by*Lewin, Arie Y. & Knox Lovell, C. A.**7-38 Recent developments in DEA : The mathematical programming approach to frontier analysis***by*Seiford, Lawrence M. & Thrall, Robert M.**39-56 Recent developments in the econometric estimation of frontiers***by*Bauer, Paul W.**57-72 Largest size-efficient scale and size efficiencies of decision-making units in data envelopment analysis***by*Maindiratta, Ajay**73-91 Polyhedral Cone-Ratio DEA Models with an illustrative application to large commercial banks***by*Charnes, A. & Cooper, W. W. & Huang, Z. M. & Sun, D. B.**93-108 The role of multiplier bounds in efficiency analysis with application to Kansas farming***by*Thompson, Russell G. & Langemeier, Larry N. & Lee, Chih-Tah & Lee, Euntaik & Thrall, Robert M.**109-123 Transformations in stochastic DEA models***by*Sengupta, Jati K.**125-140 Goodness-of-fit in optimizing models***by*Varian, Hal R.**141-163 A Gamma-distributed stochastic frontier model***by*Greene, William H.**165-183 Moment-based estimation and testing of stochastic frontier models***by*Kopp, Raymond J. & Mullahy, John**185-200 Production frontiers with cross-sectional and time-series variation in efficiency levels***by*Cornwell, Christopher & Schmidt, Peter & Sickles, Robin C.**201-211 Production frontiers, panel data, and time-varying technical inefficiency***by*Kumbhakar, Subal C.**213-227 Deterministic parametric and nonparametric estimation of efficiency in service production : A comparison***by*Bjurek, Hans & Hjalmarsson, Lennart & Forsund, Finn R.**229-245 Measuring cost efficiency in banking : Econometric and linear programming evidence***by*Ferrier, Gary D. & Lovell, C. A. Knox

### 1990, Volume 45, Issue 3

**291-308 The impact of stochastic and deterministic trends on money-output causality : A multi-country investigation***by*Krol, Robert & Ohanian, Lee E.**309-330 Nonparametric hazard estimation with time-varying discrete covariates***by*Leung, Siu Fai & Wong, Wing Hung**331-350 An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses***by*Wooldridge, Jeffrey M.**351-366 Personal characteristics, unemployment insurance, and the duration of unemployment***by*Follmann, Dean A. & Goldberg, Matthew S. & May, Laurie**367-384 Bounds for exact moments of estimators in the errors-in-variables model and simultaneous equations***by*Friedmann, Ralph**385-395 Mallows' Cp criterion and unbiasedness of model selection***by*Kobayashi, Masahito & Sakata, Shinichi

### 1990, Volume 45, Issue 1-2

**1-5 Editors' introduction***by*Campbell, John Y. & Melino, Angelo**7-38 ARCH models as diffusion approximations***by*Nelson, Daniel B.**39-70 Analysis of time series subject to changes in regime***by*Hamilton, James D.**71-97 Residual risk revisited***by*Lehmann, Bruce N.**99-120 Intertemporal asset pricing : An Empirical Investigation***by*Shanken, Jay**121-139 Are consumption-based intertemporal capital asset pricing models structural?***by*Ghysels, Eric & Hall, Alastair**141-179 Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution***by*Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George**181-211 An econometric analysis of nonsynchronous trading***by*Lo, Andrew W. & Craig MacKinlay, A.**213-237 Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills***by*Engle, Robert F. & Ng, Victor K. & Rothschild, Michael**239-265 Pricing foreign currency options with stochastic volatility***by*Melino, Angelo & Turnbull, Stuart M.**267-290 Alternative models for conditional stock volatility***by*Pagan, Adrian R. & Schwert, G. William

### June 1990, Volume 44, Issue 3

**241-279 The classical principles of testing using instrumental variables estimates***by*Magdalinos, Michael A.**281-309 Price elasticities from survey data : Extensions and Indonesian results***by*Deaton, Angus**311-332 Two-stage instrumental variables estimators for the nonlinear errors-in-variables model***by*Amemiya, Yasuo**333-346 On estimating and testing in a linear regression model with autocorrelated errors***by*Ohtani, Kazuhiro