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Series handle: RePEc:eee:econom
ISSN: 0304-4076
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Content
August 2002, Volume 109, Issue 2
- 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
- 365-393 The problem of near-multicollinearity revisited: erratic vs systematic volatility
by Spanos, Aris & McGuirk, Anya
May 2002, Volume 108, Issue 1
- 1-24 Unit root tests in panel data: asymptotic and finite-sample properties
by Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang
- 25-42 Trend stationarity versus long-range dependence in time series analysis
by Marmol, Francesc & Velasco, Carlos
- 43-61 A CUSUM test for cointegration using regression residuals
by Xiao, Zhijie & Phillips, Peter C. B.
- 63-99 Testing for stationarity with a break
by Kurozumi, Eiji
- 101-111 A note on the double k-class estimator in simultaneous equations
by Gao, Chuanming & Lahiri, Kajal
- 113-131 Individual effects and dynamics in count data models
by Blundell, Richard & Griffith, Rachel & Windmeijer, Frank
- 133-156 How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
by van Giersbergen, Noud P. A. & Kiviet, Jan F.
- 157-198 Higher order approximations for Wald statistics in time series regressions with integrated processes
by Xiao, Zhijie & Phillips, Peter C. B.
- 199-202 Tastes and technology: curvature is not sufficient for regularity
by Barnett, William A.
March 2002, Volume 107, Issue 1-2
- 1-15 Information and Entropy Econometrics--Editor's View
by Golan, Amos
- 17-40 Information indices: unification and applications
by Soofi, E. S. & Retzer, J. J.
- 41-50 Information processing and Bayesian analysis
by Zellner, Arnold
- 51-86 The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis
by Bera, Anil K. & Bilias, Yannis
- 87-98 Confidence intervals in generalized method of moments models
by Imbens, Guido W. & Spady, Richard
- 99-125 Generalized empirical likelihood non-nested tests
by Ramalho, Joaquim J. S. & Smith, Richard J.
- 127-148 Generalized moment based estimation and inference
by van Akkeren, Marco & Judge, George & Mittelhammer, Ron
- 149-157 Sample selection and information-theoretic alternatives to GMM
by Nevo, Aviv
- 159-174 Connections between entropic and linear projections in asset pricing estimation
by Kitamura, Yuichi & Stutzer, Michael
- 175-193 Limited information likelihood and Bayesian analysis
by Kim, Jae-Young
- 195-211 Comparison of maximum entropy and higher-order entropy estimators
by Golan, Amos & Perloff, Jeffrey M.
- 213-233 Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
by Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W.
- 235-257 Information theoretic measures of the income distribution in food demand
by LaFrance, J. T. & Beatty, T. K. M. & Pope, R. D. & Agnew, G. K.
- 259-274 On the recovery of joint distributions from limited information
by Miller, Douglas J. & Liu, Wei-han
- 275-290 Information-based estimators for the non-stationary transition probability matrix: an application to the Danish pork industry
by Karantininis, Kostas
- 291-312 Entropy and predictability of stock market returns
by Maasoumi, Esfandiar & Racine, Jeff
- 313-326 Uses of entropy and divergence measures for evaluating econometric approximations and inference
by Ullah, Aman
- 327-344 Functional data analysis of the dynamics of the monthly index of nondurable goods production
by Ramsay, James O. & Ramsey, James B.
- 345-374 A structural labour supply model with flexible preferences
by van Soest, Arthur & Das, Marcel & Gong, Xiaodong
February 2002, Volume 106, Issue 2
- 203-216 Reduced rank regression in cointegrated models
by Anderson, T. W.
- 217-241 Determination of cointegrating rank in fractional systems
by Robinson, Peter M. & Yajima, Yoshihiro
- 243-269 Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
by Davidson, James
- 271-295 The pseudo-true score encompassing test for non-nested hypotheses
by Chen, Yi-Ting & Kuan, Chung-Ming
- 297-324 On B-robust instrumental variable estimation of the linear model with panel data
by Wagenvoort, Rien & Waldmann, Robert
- 325-368 Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
by Linton, Oliver
- 369-400 Modeling the interdependence of volatility and inter-transaction duration processes
by Grammig, Joachim & Wellner, Marc
January 2002, Volume 106, Issue 1
- 1-25 Nonparametric frontier estimation: a robust approach
by Cazals, Catherine & Florens, Jean-Pierre & Simar, Leopold
- 27-65 The surprise element: jumps in interest rates
by Das, Sanjiv R.
- 67-95 Estimating multi-way error components models with unbalanced data structures
by Davis, Peter
- 97-107 Stationarity of stable power-GARCH processes
by Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T.
- 109-117 Stationarity and the existence of moments of a family of GARCH processes
by Ling, Shiqing & McAleer, Michael
- 119-142 Entropy densities with an application to autoregressive conditional skewness and kurtosis
by Rockinger, Michael & Jondeau, Eric
- 143-170 Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions
by Dufour, Jean-Marie & Khalaf, Lynda
- 171-201 Regression models for choice-based samples with misclassification in the response variable
by Ramalho, Esmeralda A.
December 2001, Volume 105, Issue 2
November 2001, Volume 105, Issue 1
- 1-3 Forecasting and empirical methods in finance and macroeconomics
by Diebold, F. X. & West, Kenneth D.
- 5-26 Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
by Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J.
- 27-58 Forecasting multifractal volatility
by Calvet, Laurent & Fisher, Adlai
- 59-83 A new semiparametric spatial model for panel time series
by Chen, Xiaoheng & Conley, Timothy G.
- 85-110 Tests of equal forecast accuracy and encompassing for nested models
by Clark, Todd E. & McCracken, Michael W.
- 111-130 A real-time data set for macroeconomists
by Croushore, Dean & Stark, Tom
- 131-159 Long memory and regime switching
by Diebold, Francis X. & Inoue, Atsushi
- 161-184 Economic tracking portfolios
by Lamont, Owen A.
- 185-223 Yield curve estimation by kernel smoothing methods
by Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten
- 225-247 Semiparametric fractional cointegration analysis
by Marinucci, D. & Robinson, P. M.
- 249-286 Dangers of data mining: The case of calendar effects in stock returns
by Sullivan, Ryan & Timmermann, Allan & White, Halbert
- 287-308 Encompassing tests when no model is encompassing
by West, Kenneth D.
September 2001, Volume 104, Issue 2
- 209-217 Invariance and the Wald test
by Kemp, Gordon C. R.
- 219-257 On the asymptotic distribution of the Moran I test statistic with applications
by H. Kelejian, Harry & Prucha, Ingmar R.
- 259-268 GMM estimation in panel data models with measurement error
by Wansbeek, Tom
- 269-288 Generalized spectral estimation of the consumption-based asset pricing model
by Berkowitz, Jeremy
- 289-313 Maximum entropy and Bayesian approaches to the ratio problem
by Shen, Edward Z. & Perloff, Jeffrey M.
- 315-358 Predictive ability with cointegrated variables
by Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia
- 359-405 Optimal instrumental variables estimation for ARMA models
by Kuersteiner, Guido M.
August 2001, Volume 104, Issue 1
- 1-48 Testing additivity in generalized nonparametric regression models with estimated parameters
by Gozalo, Pedro L. & Linton, Oliver B.
- 49-65 Rank tests of unit root hypothesis with infinite variance errors
by Hasan, Mohammad N.
- 67-89 Two-part multiple spell models for health care demand
by Santos Silva, Joao M. C. & Windmeijer, Frank
- 91-117 On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
by Burridge, Peter & Taylor, A. M. Robert
- 119-140 Optimal prediction in loglinear models
by van Garderen, Kees Jan
- 141-178 A generalized bivariate mixture model for stock price volatility and trading volume
by Liesenfeld, Roman
- 179-207 A nonlinear autoregressive conditional duration model with applications to financial transaction data
by Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S.
July 2001, Volume 103, Issue 1-2
- 1-4 Studies in Estimation and Testing
by Hsiao, Cheng & Perrigne, Isabelle
- 5-72 S-estimation of nonlinear regression models with dependent and heterogeneous observations
by Sakata, Shinichi & White, Halbert
- 73-110 Two-step estimation of semiparametric censored regression models
by Khan, Shakeeb & Powell, James L.
- 111-153 Panel data analysis of household brand choices
by Chintagunta, Pradeep & Kyriazidou, Ekaterini & Perktold, Josef
- 155-181 Confidence intervals for autoregressive coefficients near one
by Elliott, Graham & Stock, James H.
- 183-224 A test for volatility spillover with application to exchange rates
by Hong, Yongmiao
- 225-258 A consistent test for conditional symmetry in time series models
by Bai, Jushan & Ng, Serena
- 259-306 Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
by Perez-Quiros, Gabriel & Timmermann, Allan
- 307-344 An equality test across nonparametric regressions
by Lavergne, Pascal
- 345-386 Evaluation of a three-step method for choosing the number of bootstrap repetitions
by Andrews, Donald W. K. & Buchinsky, Moshe
June 2001, Volume 102, Issue 2
- 143-164 Identification, estimation and testing of conditionally heteroskedastic factor models
by Sentana, Enrique & Fiorentini, Gabriele
- 165-195 Estimation of income expectations models using expectations and realization data
by Dominitz, Jeff
- 197-229 An invariant sign test for random walks based on recursive median adjustment
by So, Beong Soo & Shin, Dong Wan
- 231-269 Estimation of the binary response model using a mixture of distributions estimator (MOD)
by Coppejans, Mark
- 271-309 Combining micro and macro unemployment duration data
by van den Berg, Gerard J. & van der Klaauw, Bas
- 311-338 Bayesian inference in models based on equilibrium search theory
by Koop, Gary
- 339-364 Stationarity of multivariate Markov-switching ARMA models
by Francq, C. & Zakoian, J. -M.
- 365-398 A consistent nonparametric test of ergodicity for time series with applications
by Domowitz, Ian & El-Gamal, Mahmoud A.
May 2001, Volume 102, Issue 1
April 2001, Volume 101, Issue 2
- 195-218 The memory of stochastic volatility models
by Robinson, P. M.
- 219-255 GMM estimation of linear panel data models with time-varying individual effects
by Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter
- 257-294 Contemporaneous asymmetry in GARCH processes
by Babsiri, Mohamed El & Zakoian, Jean-Michel
- 295-313 Nested random effects estimation in unbalanced panel data
by Antweiler, Werner
- 315-335 Statistical inference for testing inequality indices with dependent samples
by Zheng, Buhong & J. Cushing, Brian
- 337-356 Statistical inference for poverty measures with relative poverty lines
by Zheng, Buhong
- 357-381 The unbalanced nested error component regression model
by H. Baltagi, Badi & Heun Song, Seuck & Cheol Jung, Byoung
March 2001, Volume 101, Issue 1
- 1-23 Tests for the error component model in the presence of local misspecification
by Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann
- 25-35 Causality tests and conditional heteroskedasticity: : Monte Carlo evidence
by Vilasuso, Jon
- 37-69 Robust inference with GMM estimators
by Ronchetti, Elvezio & Trojani, Fabio
- 71-107 An analysis of housing expenditure using semiparametric models and panel data
by Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur
- 109-122 Nonlinear estimation using estimated cointegrating relations
by de Jong, Robert M.
- 123-164 Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
by Andrews, Donald W. K. & Lu, Biao
- 165-193 A simultaneous estimation and variable selection rule
by Golan, Amos
February 2001, Volume 100, Issue 2
January 2001, Volume 100, Issue 1
- 1-1 Open forum on the current state and future challenges of econometrics
by Hsiao, C.
- 3-5 Econometrics and empirical economics
by Heckman, James J.
- 7-10 Achievements and challenges in econometric methodology
by Hendry, David F.
- 11-15 Bayesian econometrics and forecasting
by Geweke, John
- 17-19 Macroeconometrics - Past and future
by Granger, Clive W. J.
- 21-27 Trending time series and macroeconomic activity: Some present and future challenges
by Phillips, Peter C. B.
- 29-32 Macro-econometrics
by Stock, James H.
- 33-35 Microeconometrics
by Hausman, Jerry
- 37-40 The bootstrap and hypothesis tests in econometrics
by Horowitz, Joel L.
- 41-51 Financial econometrics: Past developments and future challenges
by Bollerslev, Tim
- 53-56 Financial econometrics - A new discipline with new methods
by Engle, Robert
- 57-64 Notes on financial econometrics
by Tauchen, George
- 65-69 Manifesto for a growth econometrics
by Durlauf, Steven N.
- 71-72 Comments on the contributions by C.W.J. Granger and J.J. Heckman
by Deistler, M.
- 73-75 Econometrics: Retrospect and prospect
by Diebold, Francis X.
- 77-78 A short comment on the JE Open forum essays
by Krishnakumar, Jaya
- 79-80 Bayesian econometrics:: A reaction to Geweke
by Lenk, Peter & Wedel, Michel
- 81-82 Comment on essays on current state and future challenges of econometrics
by Lutkepohl, Helmut
- 83-86 On the relevance of first-order asymptotic theory to economics
by Maasoumi, Esfandiar
- 87-88 Care and feeding of reproducible econometrics
by Vinod, H. D.
- 89-91 Comment on "Microeconometrics" by J.A. Hausman
by Wansbeek, Tom & Wedel, Michel & Meijer, Erik
- 93-94 Comments on papers by Engle, Geweke and Granger
by Zellner, Arnold
- 99-112 Some publishing facts, figures, and observations on the occasion of Volume 100, number 1 of the Journal of Econometrics
by Dirkmaat, Joop
December 2000, Volume 99, Issue 2
- 195-223 Robust out-of-sample inference
by Mc Cracken, Michael W.
- 225-253 Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
by Turkington, Darrell
- 255-289 Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
by Dufour, Jean-Marie & Torres, Olivier
- 291-315 Spectral tests of the martingale hypothesis under conditional heteroscedasticity
by Deo, Rohit S.
- 317-334 Trend estimation and de-trending via rational square-wave filters
by Pollock, D. S. G.
- 335-345 Comment: Bayesian multinomial probit models with a normalization constraint
by Nobile, Agostino
- 347-348 Reply to Nobile
by McCulloch, Robert E. & Rossi, Peter E.
- 349-372 On estimation and testing goodness of fit for m-dependent stable sequences
by Deo, Rohit S.
- 373-386 Simple resampling methods for censored regression quantiles
by Bilias, Yannis & Chen, Songnian & Ying, Zhiliang
November 2000, Volume 99, Issue 1
- 1-38 Changes in relative wages in the 1980s Returns to observed and unobserved skills and black-white wage differentials
by Chay, Kenneth Y. & Lee, David S.
- 39-61 Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
by Racine, Jeff
- 63-106 Local nonlinear least squares: Using parametric information in nonparametric regression
by Gozalo, Pedro & Linton, Oliver
- 107-137 Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
by Shin, Dong Wan & So, Beong Soo
- 139-171 Modeling long memory in stock market volatility
by Liu, Ming
- 173-193 A Bayesian analysis of the multinomial probit model with fully identified parameters
by McCulloch, Robert E. & Polson, Nicholas G. & Rossi, Peter E.
October 2000, Volume 98, Issue 2
- 187-202 Further consequences of viewing LIML as an iterated Aitken estimator
by Gao, Chuanming & Lahiri, Kajal
- 203-223 A Bayesian approach to dynamic macroeconomics
by DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H.
- 225-255 Inference on one-way effect and evidence in Japanese macroeconomic data
by Yao, Feng & Hosoya, Yuzo
- 257-281 Nonparametric seemingly unrelated regression
by Smith, Michael & Kohn, Robert
- 283-316 Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity
by Chen, Songnian & Khan, Shakeeb
- 317-334 Rank estimation of a location parameter in the binary choice model
by Chen, Songnian
- 335-363 Adjusted estimates and Wald statistics for the AR(1) model with constant
by Pere, Pekka
- 365-383 A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
by Girma, Sourafel
September 2000, Volume 98, Issue 1
- 1-25 The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
by Marriott, John & Newbold, Paul
- 27-46 Consistent bootstrap tests of parametric regression functions
by Whang, Yoon-Jae
- 47-79 A Bayesian analysis of multiple-output production frontiers
by Fernandez, Carmen & Koop, Gary & Steel, Mark
- 81-106 Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
by Bollerslev, Tim & Wright, Jonathan H.
- 107-127 A test for constant correlations in a multivariate GARCH model
by Tse, Y. K.
- 129-161 Conditionally independent private information in OCS wildcat auctions
by Li, Tong & Perrigne, Isabelle & Vuong, Quang
- 163-185 Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables
by Oberhelman, Dennis & Rao Kadiyala, K.
August 2000, Volume 97, Issue 2
- 207-225 A nonparametric multiple choice method within the random utility framework
by Huang, J u-Chin & Nychka, Douglas W.
- 227-259 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
by Inkmann, Joachim
- 261-291 Testing for integration using evolving trend and seasonals models: A Bayesian approach
by Koop, Gary & Dijk, Herman K. Van
- 293-343 Structural analysis of vector error correction models with exogenous I(1) variables
by Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J.
- 345-364 An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
by Phillips, Garry D. A.
- 365-381 Estimating the differencing parameter via the partial autocorrelation function
by Chong, Terence Tai-Leung
July 2000, Volume 97, Issue 1
- 1-23 Short cuts to dynamic factor demand modelling
by Thomsen, Thomas
- 25-50 Bayesian analysis of cross-section and clustered data treatment models
by Chib, Siddhartha & Hamilton, Barton H.
- 51-91 Exact small-sample inference in stationary, fully regular, dynamic demand models
by Deschamps, Philippe J.
- 93-115 Testing for structural change in conditional models
by Hansen, Bruce E.
- 117-144 The demand for risky assets: Sample selection and household portfolios
by Perraudin, William R. M. & Sorensen, Bent E.
- 145-177 Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables
by Lewbel, Arthur
- 179-188 Robustifying Glejser test of heteroskedasticity
by Im, Kyung So
- 189-202 Glejser's test revisited
by Machado, Jose A. F. & Silva, J. M. C. Santos
June 2000, Volume 96, Issue 2
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