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Content
2004, Volume 121, Issue 1-2
June 2004, Volume 120, Issue 2
- 207-234 Alternative sampling methods for estimating multivariate normal probabilities
by Sandor, Zsolt & Andras, P.Peter
- 235-262 Asymptotic theory for heterogeneous dynamic pseudo-panels
by McKenzie, D.J.David J.
- 263-293 Bootstrap unit root tests in panels with cross-sectional dependency
by Chang, Yoosoon
- 295-326 Subsampling the distribution of diverging statistics with applications to finance
by Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert
- 327-359 Forecasting and turning point predictions in a Bayesian panel VAR model
by Canova, Fabio & Ciccarelli, Matteo
May 2004, Volume 120, Issue 1
- 1-33 Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
by Shintani, Mototsugu & Linton, Oliver
- 35-73 Alternative estimators and unit root tests for seasonal autoregressive processes
by Rodrigues, Paulo M. M. & Taylor, A. M. Robert
- 75-102 Contemporaneous aggregation of linear dynamic models in large economies
by Zaffaroni, Paolo
- 103-138 Nonstationary discrete choice
by Hu, Ling & Phillips, Peter C. B.
- 139-158 Stability of random coefficient ARCH models and aggregation schemes
by Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude
- 159-180 Simple estimators for nonparametric panel data models with sample attrition
by Das, M.
- 181-205 Mobility measurement, transition matrices and statistical inference
by Formby, John P. & Smith, W. James & Zheng, Buhong
April 2004, Volume 119, Issue 2
- 223-230 Dynamic factor models
by Croux, Christophe & Renault, Eric & Werker, Bas
- 231-255 The generalized dynamic factor model consistency and rates
by Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia
- 257-289 Factor representing portfolios in large asset markets
by Sentana, Enrique
- 291-321 Forecasting with nonstationary dynamic factor models
by Pena, Daniel & Poncela, Pilar
- 323-353 Kernel-based nonlinear canonical analysis and time reversibility
by Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian
- 355-379 Temporal aggregation of volatility models
by Meddahi, Nour & Renault, Eric
- 381-412 The stochastic conditional duration model: a latent variable model for the analysis of financial durations
by Bauwens, Luc & Veredas, David
- 413-433 Stochastic volatility duration models
by Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann
March 2004, Volume 119, Issue 1
- 1-18 Testing for unit roots with flow data and varying sampling frequency
by Chambers, Marcus J.
- 19-44 [tau]-estimators of regression models with structural change of unknown location
by Fiteni, Inmaculada
- 45-71 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
by Abadir, Karim M. & Lucas, Andre
- 73-98 A consistent estimator for the binomial distribution in the presence of "incidental parameters": an application to patent data
by Machado, Matilde P.
- 99-130 Nonparametric estimation of regression functions with both categorical and continuous data
by Racine, Jeff & Li, Qi
- 131-154 Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
by Arteche, Josu
- 155-198 Semiparametric estimation of a panel data proportional hazards model with fixed effects
by Horowitz, Joel L. & Lee, Sokbae
- 199-219 Maximum likelihood and the bootstrap for nonlinear dynamic models
by Goncalves, Silvia & White, Halbert
- 221-222 Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]
by Bollerslev, Tim & Zhou, Hao
2004, Volume 118, Issue 1-2
- 1-5 Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler
by Potscher, Benedikt M. & Prucha, Ingmar R.
- 7-26 Aggregation of space-time processes
by Giacomini, Raffaella & Granger, Clive W. J.
- 27-50 Estimation of simultaneous systems of spatially interrelated cross sectional equations
by Kelejian, Harry H. & Prucha, Ingmar R.
- 51-65 Robust estimation of generalized linear models with measurement errors
by Li, Tong & Hsiao, Cheng
- 67-94 A complete class of tests when the likelihood is locally asymptotically quadratic
by Ploberger, Werner
- 95-109 Least squares in general vector spaces revisited
by Schonfeld, Peter
- 111-127 An omnibus test for the time series model AR(1)
by Anderson, T. W. & Lockhart, R. A. & Stephens, M. A.
- 129-149 Generalized Levinson-Durbin and Burg algorithms
by Brockwell, P. J. & Dahlhaus, R.
- 151-187 Modeling of time series arrays by multistep prediction or likelihood methods
by Findley, David F. & Potscher, Benedikt M. & Wei, Ching-Zong
- 189-218 Bootstrapping nonparametric estimators of the volatility function
by Franke, Jurgen & Neumann, Michael H. & Stockis, Jean-Pierre
- 219-246 Nonlinear instrumental variable estimation of an autoregression
by Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon
- 247-256 Variance expressions for spectra estimated using auto-regressions
by Xie, Liang-Liang & Ljung, Lennart
- 257-291 The asymptotic variance of subspace estimates
by Chiuso, Alessandro & Picci, Giorgio
- 293-312 The relation of the CCA subspace method to a balanced reduction of an autoregressive model
by Dahlen, Anders & Scherrer, Wolfgang
- 313-339 System theory for system identification
by van Schuppen, Jan H.
- 341-373 Deterministic least squares filtering
by Willems, J. C.
December 2003, Volume 117, Issue 2
- 207-244 Strong rules for detecting the number of breaks in a time series
by Altissimo, Filippo & Corradi, Valentina
- 245-278 Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models
by Chen, Songnian & Khan, Shakeeb
- 279-309 Semiparametric-efficient estimation of AR(1) panel data models
by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold
- 311-311 Corrigendum to "Semiparametric-efficient estimation of AR(1) panel data models": [J. Econom. 117 (2003) 279-309]
by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold
- 313-330 The equality of comparable extended families of classical-type and Hausman-type statistics
by Dastoor, Naorayex K.
- 331-367 Effective nonparametric estimation in the case of severely discretized data
by Coppejans, Mark
- 369-399 An alternative bootstrap to moving blocks for time series regression models
by Hidalgo, Javier
- 401-404 Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]
by Breitung, Jorg & Taylor, A. M. Robert
November 2003, Volume 117, Issue 1
- 1-19 A simple estimator for nonlinear error in variable models
by Hong, Han & Tamer, Elie
- 21-53 Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
by Busetti, Fabio & Taylor, A. M. Robert
- 55-93 Empirical likelihood estimation and consistent tests with conditional moment restrictions
by Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K.
- 95-121 Estimating fractional cointegration in the presence of polynomial trends
by Chen, Willa W. & Hurvich, Clifford M.
- 123-150 Testing panel data regression models with spatial error correlation
by Baltagi, Badi H. & Song, Seuck Heun & Koh, Won
- 151-178 Estimating linear regressions with mismeasured, possibly endogenous, binary explanatory variables
by Frazis, Harley & Loewenstein, Mark A.
- 179-206 Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
by Bams, Dennis & Schotman, Peter C.
2003, Volume 116, Issue 1-2
- 1-7 Frontiers of financial econometrics and financial engineering
by Ghysels, Eric & Tauchen, George
- 9-47 Nonparametric option pricing under shape restrictions
by Ait-Sahalia, Yacine & Duarte, Jefferson
- 49-83 Empirical assessment of an intertemporal option pricing model with latent variables
by Garcia, Rene & Luger, Richard & Renault, Eric
- 85-112 Estimation of risk-neutral densities using positive convolution approximation
by Bondarenko, Oleg
- 113-146 An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
by Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve
- 147-180 Purebred or hybrid?: Reproducing the volatility in term structure dynamics
by Ahn, Dong-Hyun & Dittmar, Robert F. & Gallant, A. Ronald & Gao, Bin
- 181-224 The dynamics of stochastic volatility: evidence from underlying and options markets
by Jones, Christopher S.
- 225-257 Alternative models for stock price dynamics
by Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George
- 259-292 Spectral GMM estimation of continuous-time processes
by Chacko, George & Viceira, Luis M.
- 293-328 On the functional estimation of jump-diffusion models
by Bandi, Federico M. & Nguyen, Thong H.
- 329-364 Empirical reverse engineering of the pricing kernel
by Chernov, Mikhail
- 365-386 Portfolio choice with endogenous utility: a large deviations approach
by Stutzer, Michael
- 387-404 Empirical option pricing: a retrospection
by Bates, David S.
August 2003, Volume 115, Issue 2
- 199-258 Gaussian inference on certain long-range dependent volatility models
by Zaffaroni, Paolo & d'Italia, Banca
- 259-276 Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
by Luger, Richard
- 277-291 Estimation of Lorenz curves: a Bayesian nonparametric approach
by Hasegawa, Hikaru & Kozumi, Hideo
- 293-346 An MCMC approach to classical estimation
by Chernozhukov, Victor & Hong, Han
- 347-354 Calculation of maximum entropy densities with application to income distribution
by Wu, Ximing
- 355-389 Nonlinear log-periodogram regression for perturbed fractional processes
by Sun, Yixiao & Phillips, Peter C. B.
July 2003, Volume 115, Issue 1
- 1-27 GLS detrending, efficient unit root tests and structural change
by Perron, Pierre & Rodriguez, Gabriel
- 29-52 An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models
by Wan Shin, Dong & Lee, Oesook
- 53-74 Testing for unit roots in heterogeneous panels
by Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol
- 75-89 Testing for unit roots with stationary covariates
by Elliott, Graham & Jansson, Michael
- 91-123 Structural change tests for simulated method of moments
by Ghysels, Eric & Guay, Alain
- 125-157 Binary choice panel data models with predetermined variables
by Arellano, Manuel & Carrasco, Raquel
- 159-197 Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models
by Ni, Shawn & Sun, Dongchu
June 2003, Volume 114, Issue 2
- 197-220 Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: an application to the demand for healthcare
by Munkin, Murat K. & Trivedi, Pravin K.
- 221-241 Estimation of household demand systems with theoretically compatible Engel curves and unit value specifications
by Crawford, Ian & Laisney, Francois & Preston, Ian
- 243-260 Open outcry auctions with secret reserve prices: an empirical application to executive auctions of tenant owner's apartments in Sweden
by Eklof, Matias & Lunander, Anders
- 261-295 Structural changes in the cointegrated vector autoregressive model
by Hansen, Peter Reinhard
- 297-328 Identification and sequential estimation of panel data models with insufficient exclusion restrictions
by Das, M.
- 329-347 Likelihood preserving normalization in multiple equation models
by Waggoner, Daniel F. & Zha, Tao
- 349-360 Kurtosis of GARCH and stochastic volatility models with non-normal innovations
by Bai, Xuezheng & Russell, Jeffrey R. & Tiao, George C.
- 361-394 The large sample behaviour of the generalized method of moments estimator in misspecified models
by Hall, Alastair R. & Inoue, Atsushi
May 2003, Volume 114, Issue 1
- 1-27 Higher-order kernel semiparametric M-estimation of long memory
by Robinson, Peter M. & Henry, Marc
- 29-72 Bayesian and classical approaches to instrumental variable regression
by Kleibergen, Frank & Zivot, Eric
- 73-106 Index models with integrated time series
by Chang, Yoosoon & Park, Joon Y.
- 107-139 Maximum likelihood estimation of time-inhomogeneous diffusions
by Egorov, Alexei V. & Li, Haitao & Xu, Yuewu
- 141-164 Testing for neglected nonlinearity in regression models based on the theory of random fields
by Dahl, Christian M. & Gonzalez-Rivera, Gloria
- 165-196 Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure
by Wan, Alan T. K. & Zou, Guohua
April 2003, Volume 113, Issue 2
March 2003, Volume 113, Issue 1
- 1-2 Introduction to statistics and econometrics in litigation support
by Basmann, Robert L.
- 3-31 Specification issues and confidence intervals in unilateral price effects analysis
by Capps Jr., Oral & Church, Jeffrey & Alan Love, H.
- 33-48 Expert statistical testimony and epidemiological evidence: the toxic effects of lead exposure on children
by Fienberg, Stephen E. & Glymour, Clark & Scheines, Richard
- 49-67 Bertrand competition with capacity constraints: mergers among parking lots
by Froeb, Luke & Tschantz, Steven & Crooke, Philip
- 69-82 Issues arising in using samples as evidence in trademark cases
by Gastwirth, Joseph L.
- 83-113 Estimating worklife expectancy: an econometric approach
by Millimet, Daniel L. & Nieswiadomy, Michael & Ryu, Hang & Slottje, Daniel
- 115-128 Calculating compensation in cases of wrongful death
by Lewbel, Arthur
- 129-158 Antitrust issues in international comparisons of market structure
by Hirschberg, Joseph G. & Maasoumi, Esfandiar & Slottje, Daniel & Arize, Augustine C.
- 159-200 Statistical outlier analysis in litigation support: the case of Paul F. Engler and Cactus Feeders, Inc., v. Oprah Winfrey et al
by Basmann, Robert L.
February 2003, Volume 112, Issue 2
- 241-264 Bayesian bootstrap multivariate regression
by Heckelei, Thomas & Mittelhammer, Ron C.
- 265-294 Rescaled variance and related tests for long memory in volatility and levels
by Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles
- 295-325 Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
by Li, Qi & Hsiao, Cheng & Zinn, Joel
- 327-358 Econometric models of asymmetric ascending auctions
by Hong, Han & Shum, Matthew
- 359-379 Testing for a unit root in the nonlinear STAR framework
by Kapetanios, George & Shin, Yongcheol & Snell, Andy
- 381-399 Semiparametric instrumental variables estimation
by Park, Sangin
January 2003, Volume 112, Issue 1
- 1-1 Analysis of data on health: 2
by Bhargava, Alok
- 3-56 Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status
by Adams, Peter & Hurd, Michael D. & McFadden, Daniel & Merrill, Angela & Ribeiro, Tiago
- 57-63 Socio-economic status and health: causality and pathways
by Adda, Jerome & Chandola, Tarani & Marmot, Michael
- 65-67 Some observations on health status and economic status
by Poterba, James M.
- 69-71 Some aspects of causal relationships
by Granger, Clive W. J.
- 73-78 Conditioning, causality and policy analysis
by Heckman, James
- 79-87 Assumptions allowing the estimation of direct causal effects
by Mealli, Fabrizia & Rubin, Donald B.
- 89-106 General methodological considerations
by Robins, James M.
- 107-113 Triangular structural model specification and estimation with application to causality
by Hausman, Jerry A.
- 115-120 Econometric issues in using the AHEAD panel
by Geweke, John
- 121-125 Some causal lessons from macroeconomics
by Hoover, Kevin D.
- 127-128 Some technical issues in defining causality
by Florens, Jean-Pierre
- 129-133 Response
by Adams, P. & Hurd, M. D. & McFadden, D. & Merrill, A. & Ribeirio, T.
- 135-151 Disease cases and their medical costs attributable to smoking: an analysis of the national medical expenditure survey
by Johnson, Elizabeth & Dominici, Francesca & Griswold, Michael & L. Zeger, Scott
- 153-173 Does piped water reduce diarrhea for children in rural India?
by Jalan, Jyotsna & Ravallion, Martin
- 175-192 Understanding mid-life and older age mortality declines: evidence from Union Army veterans
by Costa, Dora L.
- 193-206 Parental bereavement: heterogeneous impacts of AIDS in Thailand
by Wachter, Kenneth W. & Knodel, John E. & VanLandingham, Mark
- 207-223 On decomposing the causes of health sector inequalities with an application to malnutrition inequalities in Vietnam
by Wagstaff, Adam & van Doorslaer, Eddy & Watanabe, Naoko
- 225-240 Family planning, gender differences and infant mortality: evidence from Uttar Pradesh, India
by Bhargava, Alok
December 2002, Volume 111, Issue 2
- 135-140 Finite sample and asymptotic methods in econometrics
by Smith, Richard J. & Boswijk, H. Peter
- 141-167 Bootstrap critical values for tests based on the smoothed maximum score estimator
by Horowitz, Joel L.
- 169-194 Duration response measurement error
by Chesher, Andrew & Dumangane, Montezuma & Smith, Richard J.
- 195-221 A small sample correction for tests of hypotheses on the cointegrating vectors
by Johansen, Soren
- 223-249 Priors, posteriors and bayes factors for a Bayesian analysis of cointegration
by Kleibergen, Frank & Paap, Richard
- 251-283 Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
by Chao, John C. & Phillips, Peter C. B.
- 285-302 Exact inference for the linear model with groupwise heteroscedastic spherical disturbances
by Bekker, Paul A.
- 303-322 Simulation based finite and large sample tests in multivariate regressions
by Dufour, Jean-Marie & Khalaf, Lynda
- 323-353 New unit root asymptotics in the presence of deterministic trends
by Phillips, Peter C. B.
- 355-361 Some elementary distribution theory for an autoregression fitted to a random walk
by Rothenberg, Thomas J.
- 363-384 Stochastic cointegration: estimation and inference
by Harris, David & McCabe, Brendan & Leybourne, Stephen
November 2002, Volume 111, Issue 1
October 2002, Volume 110, Issue 2
- 105-112 Long memory and nonlinear time series
by Davidson, James & Terasvirta, Timo
- 113-133 Properties of nonlinear transformations of fractionally integrated processes
by Dittmann, Ingolf & Granger, Clive W. J.
- 135-165 A nonlinear long memory model, with an application to US unemployment
by van Dijk, Dick & Franses, Philip Hans & Paap, Richard
- 167-185 Inference on the cointegration rank in fractionally integrated processes
by Breitung, Jorg & Hassler, Uwe
- 187-212 A model of fractional cointegration, and tests for cointegration using the bootstrap
by Davidson, James
- 213-239 Consistent order selection with strongly dependent data and its application to efficient estimation
by Hidalgo, Javier
- 241-259 Nonlinear minimization estimators in the presence of cointegrating relations
by de Jong, Robert M.
- 261-292 Nonlinear IV unit root tests in panels with cross-sectional dependency
by Chang, Yoosoon
- 293-318 Testing for two-regime threshold cointegration in vector error-correction models
by Hansen, Bruce E. & Seo, Byeongseon
- 319-352 Estimation and model selection based inference in single and multiple threshold models
by Gonzalo, Jesus & Pitarakis, Jean-Yves
- 353-381 A consistent test for nonlinear out of sample predictive accuracy
by Corradi, Valentina & Swanson, Norman R.
- 383-415 Nonstationary nonlinear heteroskedasticity
by Park, Joon Y.
- 417-435 Evaluating GARCH models
by Lundbergh, Stefan & Terasvirta, Timo
September 2002, Volume 110, Issue 1
August 2002, Volume 109, Issue 2
- 195-237 Market efficiency, asset returns, and the size of the risk premium in global equity markets
by Bansal, Ravi & Lundblad, Christian
- 239-273 Misspecified Structural Change, Threshold, and Markov-switching models
by Carrasco, Marine
- 275-303 External bootstrap tests for parameter stability
by Delgado, Miguel A. & Fiteni, Inmaculada
- 305-340 Superconsistent estimation and inference in structural econometric models using extreme order statistics
by Donald, Stephen G. & Paarsch, Harry J.
- 341-363 The importance of common cyclical features in VAR analysis: a Monte-Carlo study
by Vahid, Farshid & Issler, Joao Victor
- 365-387 Unit root tests with a break in innovation variance
by Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul
- 389-392 Corrigendum to "Detection of change in persistence of a linear time series" [J. Econom. 95 (2000) 97-116]
by Kim, Jae-Young & Belaire-Franch, Jorge & Amador, Rosa Badillo
July 2002, Volume 109, Issue 1
- 1-32 Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model
by Choi, In
- 33-65 Estimating stochastic volatility diffusion using conditional moments of integrated volatility
by Bollerslev, Tim & Zhou, Hao
- 67-105 Quantile regression under random censoring
by Honore, Bo & Khan, Shakeeb & Powell, James L.
- 107-150 Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
by Hsiao, Cheng & Hashem Pesaran, M. & Kamil Tahmiscioglu, A.
- 151-166 Tails of Lorenz curves
by Schluter, Christian & Trede, Mark
- 167-193 Bootstrap J tests of nonnested linear regression models
by Davidson, Russell & MacKinnon, James G.
June 2002, Volume 108, Issue 2
- 203-225 Stochastic estimation of firm technology, inefficiency, and productivity growth using shadow cost and distance functions
by Atkinson, Scott E. & Primont, Daniel
- 227-252 Estimating the effect of unemployment insurance compensation on the labor market histories of displaced workers
by Jurajda, Stepan
- 253-280 Semi-nonparametric cointegration testing
by Boswijk, H. Peter & Lucas, Andre
- 281-316 Markov chain Monte Carlo methods for stochastic volatility models
by Chib, Siddhartha & Nardari, Federico & Shephard, Neil
- 317-342 Bootstrap inference for inequality, mobility and poverty measurement
by Biewen, Martin
- 343-363 Nonparametric tests for unit roots and cointegration
by Breitung, Jorg
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