# Elsevier

# Journal of Econometrics

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**Current editor:**T. Amemiya

**Current editor:**A. R. Gallant

**Current editor:**J. F. Geweke

**Current editor:**C. Hsiao

**Editor:**

Additional information is available for the following
registered editor(s): A. Ronald Gallant
John Geweke
Cheng Hsiao
Arnold Zellner
**For corrections or technical questions regarding this series, please contact
(Shamier, Wendy)**

**Series handle:**repec:eee:econom

**ISSN:**0304-4076

**Citations RSS feed:**at CitEc

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### 2010, Volume 156, Issue 1

**164-189 Quasi-structural estimation of a model of childcare choices and child cognitive ability production***by*Bernal, Raquel & Keane, Michael P.**190-200 Prejudice and gender differentials in the US labor market in the last twenty years***by*Flabbi, Luca**201-211 Explaining cross-racial differences in teenage labor force participation: Results from a two-sided matching model***by*Ahn, Tom & Arcidiacono, Peter & Murphy, Alvin & Swinton, Omari**212-228 Maternal employment, migration, and child development***by*Liu, Haiyong & Mroz, Thomas A. & van der Klaauw, Wilbert**229-238 Wages, welfare benefits and migration***by*Kennan, John & Walker, James R.

### 2010, Volume 155, Issue 2

**99-116 Heterogeneous treatment effects: Instrumental variables without monotonicity?***by*Klein, Tobias J.**117-127 The dynamic invariant multinomial probit model: Identification, pretesting and estimation***by*Liesenfeld, Roman & Richard, Jean-François**128-137 Distribution-free tests for time series models specification***by*Delgado, Miguel A. & Velasco, Carlos**138-154 Efficient semiparametric estimation of multi-valued treatment effects under ignorability***by*Cattaneo, Matias D.**155-169 Nonlinearity and temporal dependence***by*Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine**170-187 Nonparametric cointegration analysis of fractional systems with unknown integration orders***by*Nielsen, Morten Ørregaard**188-194 A likelihood ratio test for stationarity of rating transitions***by*Weißbach, Rafael & Walter, Ronja

### 2010, Volume 155, Issue 1

**1-18 Micro versus macro cointegration in heterogeneous panels***by*Trapani, Lorenzo & Urga, Giovanni**19-38 Tailored randomized block MCMC methods with application to DSGE models***by*Chib, Siddhartha & Ramamurthy, Srikanth**39-55 Estimating a tournament model of intra-firm wage differentials***by*Chen, Jiawei & Shum, Matthew**56-70 Nonparametric estimation of distributional policy effects***by*Rothe, Christoph**71-82 Density estimation for nonlinear parametric models with conditional heteroscedasticity***by*Zhao, Zhibiao**83-89 Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory***by*Miller, J. Isaac & Park, Joon Y.**90-98 An integrated maximum score estimator for a generalized censored quantile regression model***by*Chen, Songnian

### 2010, Volume 154, Issue 2

**101-121 On the distribution of the sample autocorrelation coefficients***by*Kan, Raymond & Wang, Xiaolu**122-124 Testing for heteroskedasticity and serial correlation in a random effects panel data model***by*Baltagi, Badi H. & Jung, Byoung Cheol & Song, Seuck Heun**125-138 Activity signature functions for high-frequency data analysis***by*Todorov, Viktor & Tauchen, George**139-153 A comparison of two model averaging techniques with an application to growth empirics***by*Magnus, Jan R. & Powell, Owen & Prüfer, Patricia**154-164 Estimating a class of triangular simultaneous equations models without exclusion restrictions***by*Klein, Roger & Vella, Francis**165-185 Estimation of spatial autoregressive panel data models with fixed effects***by*Lee, Lung-fei & Yu, Jihai**186-202 An improved bootstrap test of stochastic dominance***by*Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae

### 2010, Volume 154, Issue 1

**1-15 A new instrumental method for dealing with endogenous selection***by*d'Haultfoeuille, Xavier**16-34 A comparison of mean-variance efficiency tests***by*Amengual, Dante & Sentana, Enrique**35-41 A note on Phillips (1991): "A constrained maximum likelihood approach to estimating switching regressions"***by*Xu, Jianjun & Tan, Xianming & Zhang, Runchu**42-58 Short and long run causality measures: Theory and inference***by*Dufour, Jean-Marie & Taamouti, Abderrahim**59-73 Adaptive estimation of the dynamics of a discrete time stochastic volatility model***by*Comte, F. & Lacour, C. & Rozenholc, Y.**74-84 Testing semiparametric conditional moment restrictions using conditional martingale transforms***by*Song, Kyungchul**85-100 Stochastic model specification search for Gaussian and partial non-Gaussian state space models***by*Frühwirth-Schnatter, Sylvia & Wagner, Helga

### 2009, Volume 153, Issue 2

**105-121 Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation***by*Mencía, Javier & Sentana, Enrique**122-132 Sequential conditional correlations: Inference and evaluation***by*Palandri, Alessandro**133-135 On the effect of mean-nonstationarity in dynamic panel data models***by*Hayakawa, Kazuhiko**136-154 Estimation with overidentifying inequality moment conditions***by*Moon, Hyungsik Roger & Schorfheide, Frank**155-173 Regression density estimation using smooth adaptive Gaussian mixtures***by*Villani, Mattias & Kohn, Robert & Giordani, Paolo**174-182 The effect of microaggregation by individual ranking on the estimation of moments***by*Schmid, Matthias & Schneeweiss, Hans**183-195 Learning in a multilateral bargaining experiment***by*Fréchette, Guillaume R.**196-210 Structural estimation of jump-diffusion processes in macroeconomics***by*Posch, Olaf

### 2009, Volume 153, Issue 1

**1-20 The dynamic effects of an earnings subsidy for long-term welfare recipients: Evidence from the self sufficiency project applicant experiment***by*Card, David & Hyslop, Dean R.**21-32 A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation***by*Zhang, Xibin & Brooks, Robert D. & King, Maxwell L.**33-50 Testing and imposing Slutsky symmetry in nonparametric demand systems***by*Haag, Berthold R. & Hoderlein, Stefan & Pendakur, Krishna**51-64 Semiparametric estimation of binary response models with endogenous regressors***by*Rothe, Christoph**65-82 Empirical likelihood-based inference for nonparametric recurrent diffusions***by*Xu, Ke-Li**83-92 Nonparametric inference of discretely sampled stable Lévy processes***by*Zhao, Zhibiao & Wu, Wei Biao**93-104 Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas***by*Prokhorov, Artem & Schmidt, Peter

### 2009, Volume 152, Issue 2

**79-80 Nonparametric and robust methods in econometrics***by*Lima, Luiz Renato & Moreira, Marcelo & Porter, Jack & Xiao, Zhijie**81-92 Functional-coefficient cointegration models***by*Xiao, Zhijie**93-103 Finite sample inference for quantile regression models***by*Chernozhukov, Victor & Hansen, Christian & Jansson, Michael**104-119 Inference on endogenously censored regression models using conditional moment inequalities***by*Khan, Shakeeb & Tamer, Elie**120-130 Parametric links for binary choice models: A Fisherian-Bayesian colloquy***by*Koenker, Roger & Yoon, Jungmo**131-140 Tests with correct size when instruments can be arbitrarily weak***by*Moreira, Marcelo J.**141-152 Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative***by*Horowitz, Joel L. & Lee, Sokbae**153-164 A panel data approach to economic forecasting: The bias-corrected average forecast***by*Issler, João Victor & Lima, Luiz Renato**165-178 Unit root quantile autoregression testing using covariates***by*Galvao Jr., Antonio F.**179-185 Quantiles, expectiles and splines***by*De Rossi, Giuliano & Harvey, Andrew**186-196 A test of non-identifying restrictions and confidence regions for partially identified parameters***by*Galichon, Alfred & Henry, Marc

### 2009, Volume 152, Issue 1

**1-2 Editor's introduction***by*Delgado, Miguel A.**3-18 Semiparametric tests of conditional moment restrictions under weak or partial identification***by*Jun, Sung Jae & Pinkse, Joris**19-27 Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators***by*Andrews, Donald W.K. & Guggenberger, Patrik**28-36 Choosing instrumental variables in conditional moment restriction models***by*Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K.**37-45 Excess heterogeneity, endogeneity and index restrictions***by*Chesher, Andrew**46-60 Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals***by*Chen, Xiaohong & Pouzo, Demian**61-69 Maternal full-time employment and overweight children: Parametric, semi-parametric, and non-parametric assessment***by*Liu, Echu & Hsiao, Cheng & Matsumoto, Tomoya & Chou, Shinyi**70-78 Consistent estimation of a general nonparametric regression function in time series***by*Linton, Oliver & Sancetta, Alessio

### 2009, Volume 151, Issue 2

**99-100 Editor's introduction***by*Delgado, Miguel A.**101-112 Local inference for locally stationary time series based on the empirical spectral measure***by*Dahlhaus, Rainer**113-128 Goodness of fit for lattice processes***by*Hidalgo, Javier**129-139 Inference on transformed stationary time series***by*Hosoya, Yuzo & Terasaka, Takahiro**140-149 An automatic Portmanteau test for serial correlation***by*Escanciano, J. Carlos & Lobato, Ignacio N.**150-158 Long memory and long run variation***by*Phillips, Peter C.B.**159-177 Estimators of long-memory: Fourier versus wavelets***by*Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S.**178-189 A Wald test for the cointegration rank in nonstationary fractional systems***by*Avarucci, Marco & Velasco, Carlos**190-200 Whittle estimation of EGARCH and other exponential volatility models***by*Zaffaroni, Paolo

### 2009, Volume 151, Issue 1

**1-16 The optimal choice of moments in dynamic panel data models***by*Okui, Ryo**17-32 Optimally combining censored and uncensored datasets***by*Devereux, Paul J. & Tripathi, Gautam**33-46 A specification test for the propensity score using its distribution conditional on participation***by*Shaikh, Azeem M. & Simonsen, Marianne & Vytlacil, Edward J. & Yildiz, Nese**47-55 GMM redundancy results for general missing data problems***by*Prokhorov, Artem & Schmidt, Peter**56-69 Estimating deterministic trends with an integrated or stationary noise component***by*Perron, Pierre & Yabu, Tomoyoshi**70-81 Minimax regret treatment choice with finite samples***by*Stoye, Jörg**82-97 Local structural quantile effects in a model with a nonseparable control variable***by*Jun, Sung Jae

### 2009, Volume 150, Issue 2

**117-118 Guest editors' introduction***by*Kuan, Chung-Ming & Hong, Yongmiao**119-138 Predictive density estimators for daily volatility based on the use of realized measures***by*Corradi, Valentina & Distaso, Walter & Swanson, Norman R.**139-150 A two-stage realized volatility approach to estimation of diffusion processes with discrete data***by*Phillips, Peter C.B. & Yu, Jun**151-166 A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects***by*Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George**167-181 The Wishart Autoregressive process of multivariate stochastic volatility***by*Gourieroux, C. & Jasiak, J. & Sufana, R.**182-192 The structure of dynamic correlations in multivariate stochastic volatility models***by*Asai, Manabu & McAleer, Michael**193-206 Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models***by*Dufour, Jean-Marie & Valéry, Pascale**207-218 Copula-based multivariate GARCH model with uncorrelated dependent errors***by*Lee, Tae-Hwy & Long, Xiangdong**219-230 Maximum entropy autoregressive conditional heteroskedasticity model***by*Park, Sung Y. & Bera, Anil K.**231-247 Extracting a common stochastic trend: Theory with some applications***by*Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y.**248-260 Quantile cointegrating regression***by*Xiao, Zhijie**261-270 Assessing value at risk with CARE, the Conditional Autoregressive Expectile models***by*Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin**271-287 Granger causality in risk and detection of extreme risk spillover between financial markets***by*Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang**288-296 Estimating the structural credit risk model when equity prices are contaminated by trading noises***by*Duan, Jin-Chuan & Fulop, Andras**297-311 Forecasts of US short-term interest rates: A flexible forecast combination approach***by*Guidolin, Massimo & Timmermann, Allan**312-321 Discrete choice modeling with nonstationary panels applied to exchange rate regime choice***by*Jin, Sainan**322-331 The role of beliefs in inference for rational expectations models***by*Lehmann, Bruce N.

### 2009, Volume 150, Issue 1

**1-15 Dynamics of state price densities***by*Härdle, Wolfgang & Hlávka, Zdenek**16-29 Edgeworth expansions and normalizing transforms for inequality measures***by*Schluter, Christian & van Garderen, Kees Jan**30-40 Reliable inference for the Gini index***by*Davidson, Russell**41-55 Identification of peer effects through social networks***by*Bramoullé, Yann & Djebbari, Habiba & Fortin, Bernard**56-70 Two estimators of the long-run variance: Beyond short memory***by*Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas**71-85 Fixed effects estimation of structural parameters and marginal effects in panel probit models***by*Fernández-Val, Iván**86-98 Central limit theorems and uniform laws of large numbers for arrays of random fields***by*Jenish, Nazgul & Prucha, Ingmar R.**99-115 On the statistical identification of DSGE models***by*Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia

### 2009, Volume 149, Issue 2

**101-117 Semiparametric binary regression models under shape constraints with an application to Indian schooling data***by*Banerjee, Moulinath & Mukherjee, Debasri & Mishra, Santosh**118-135 Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors***by*Kurozumi, Eiji & Hayakawa, Kazuhiko**136-148 Bayesian analysis of random coefficient logit models using aggregate data***by*Jiang, Renna & Manchanda, Puneet & Rossi, Peter E.**149-173 Tests of risk premia in linear factor models***by*Kleibergen, Frank**174-190 Delay times of sequential procedures for multiple time series regression models***by*Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L.**191-208 Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality***by*Carneiro, Pedro & Lee, Sokbae

### 2009, Volume 149, Issue 1

**1-1 Announcement of the establishment of the Amemiya lecture series***by*Hsiao, Cheng**2-11 Testing the assumptions behind importance sampling***by*Koopman, Siem Jan & Shephard, Neil & Creal, Drew**12-25 Consistent noisy independent component analysis***by*Bonhomme, Stphane & Robin, Jean-Marc**26-51 Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope***by*Kim, Dukpa & Perron, Pierre**52-64 Bootstrap validity for the score test when instruments may be weak***by*Moreira, Marcelo J. & Porter, Jack R. & Suarez, Gustavo A.**65-81 Parameter estimation and bias correction for diffusion processes***by*Tang, Cheng Yong & Chen, Song Xi**82-99 Panel cointegration with global stochastic trends***by*Bai, Jushan & Kao, Chihwa & Ng, Serena

### 2009, Volume 148, Issue 2

**101-113 Functional-coefficient models for nonstationary time series data***by*Cai, Zongwu & Li, Qi & Park, Joon Y.**114-123 Simulation based selection of competing structural econometric models***by*Li, Tong**124-130 The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators***by*Lawford, Steve & Stamatogiannis, Michalis P.**131-148 Estimation of continuous-time stochastic volatility models with jumps using high-frequency data***by*Todorov, Viktor**149-161 A test of cross section dependence for a linear dynamic panel model with regressors***by*Sarafidis, Vasilis & Yamagata, Takashi & Robertson, Donald**162-178 Predictable returns and asset allocation: Should a skeptical investor time the market?***by*Wachter, Jessica A. & Warusawitharana, Missaka**179-185 Thirty-five years of journal of econometrics***by*Amemiya, Takeshi**186-200 A nonparametric test for equality of distributions with mixed categorical and continuous data***by*Li, Qi & Maasoumi, Esfandiar & Racine, Jeffrey S.

### 2009, Volume 148, Issue 1

**1-13 Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses***by*Kim, Dukpa & Perron, Pierre**14-24 Tests for changing mean with monotonic power***by*Juhl, Ted & Xiao, Zhijie**25-35 Studying co-movements in large multivariate data prior to multivariate modelling***by*Cubadda, Gianluca & Hecq, Alain & Palm, Franz C.**36-45 On the distribution of estimated technical efficiency in stochastic frontier models***by*Wang, Wei Siang & Schmidt, Peter**46-55 Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure***by*Kim, Chang-Jin**56-71 Inference in a synchronization game with social interactions***by*de Paula, Áureo**72-85 The efficiency of top agents: An analysis through service strategy in tennis***by*Klaassen, Franc J.G.M. & Magnus, Jan R.**86-99 Properties and estimation of asymmetric exponential power distribution***by*Zhu, Dongming & Zinde-Walsh, Victoria

### 2008, Volume 147, Issue 2

**207-209 Estimating demand systems and measuring consumer preferences***by*Slottje, Daniel**210-224 Consumer preferences and demand systems***by*Barnett, William A. & Serletis, Apostolos**225-231 Chamberlin's strategy of multiple working hypotheses and a relative frequency theory of market demand***by*Basmann, R.L.**232-246 A Bayesian mixed logit-probit model for multinomial choice***by*Burda, Martin & Harding, Matthew & Hausman, Jerry**247-257 Demand and supply estimation biases due to omission of durability***by*Chen, Jiawei & Esteban, Susanna & Shum, Matthew**258-265 Nonparametric tests of collectively rational consumption behavior: An integer programming procedure***by*Cherchye, Laurens & De Rock, Bram & Sabbe, Jeroen & Vermeulen, Frederic**266-274 Estimating demand with distance functions: Parameterization in the primal and dual***by*Färe, Rolf & Grosskopf, Shawna & Hayes, Kathy J. & Margaritis, Dimitris**275-281 A nonparametric test of weak separability and consumer preferences***by*Fleissig, Adrian R. & Whitney, Gerald A.**282-298 Estimating demand systems when outcomes are correlated counts***by*Herriges, Joseph A. & Phaneuf, Daniel J. & Tobias, Justin L.**299-315 Inferential methods for elasticity estimates***by*Hirschberg, J.G. & Lye, J.N. & Slottje, D.J.**316-325 Increasing the price variation in a repeated cross section***by*Hoderlein, Stefan & Mihaleva, Sonya**326-335 Consumption and labor supply***by*Jorgenson, Dale W. & Slesnick, Daniel T.**336-349 The structure of US food demand***by*LaFrance, Jeffrey T.**350-358 Estimation of collective household models with Engel curves***by*Lewbel, Arthur & Pendakur, Krishna**359-371 A neural network demand system with heteroskedastic errors***by*McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel**372-383 An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals***by*Medeiros, Marcelo C. & McAleer, Michael & Slottje, Daniel & Ramos, Vicente & Rey-Maquieira, Javier**384-395 Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints***by*Millimet, Daniel L. & Tchernis, Rusty

### 2008, Volume 147, Issue 1

**1-4 Econometric modelling in finance and risk management: An overview***by*Gao, Jiti & McAleer, Michael & Allen, David E.**5-16 Correlation testing in time series, spatial and cross-sectional data***by*Robinson, P.M.**17-33 Out of sample forecasts of quadratic variation***by*Aït-Sahalia, Yacine & Mancini, Loriano**34-46 Realized volatility forecasting and option pricing***by*Bandi, Federico M. & Russell, Jeffrey R. & Yang, Chen**47-59 Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error***by*Kalnina, Ilze & Linton, Oliver**60-71 Nonlinear models for strongly dependent processes with financial applications***by*Baillie, Richard T. & Kapetanios, George**72-83 Econometric estimation in long-range dependent volatility models: Theory and practice***by*Casas, Isabel & Gao, Jiti**84-98 Testing for a change in persistence in the presence of non-stationary volatility***by*Cavaliere, Giuseppe & Taylor, A.M. Robert**99-103 A complete asymptotic series for the autocovariance function of a long memory process***by*Lieberman, Offer & Phillips, Peter C.B.**104-119 A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries***by*McAleer, Michael & Medeiros, Marcelo C.**120-130 Nonparametric estimation of conditional VaR and expected shortfall***by*Cai, Zongwu & Wang, Xian**131-140 Specification testing in discretized diffusion models: Theory and practice***by*Gao, Jiti & Casas, Isabel**141-150 Fiscal policy and asset markets: A semiparametric analysis***by*Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian**151-162 Testing for multivariate volatility functions using minimum volume sets and inverse regression***by*Polonik, Wolfgang & Yao, Qiwei**163-185 Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks***by*Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton**186-197 High dimensional covariance matrix estimation using a factor model***by*Fan, Jianqing & Fan, Yingying & Lv, Jinchi**198-205 Dynamic quantile models***by*Gourieroux, C. & Jasiak, J.

### 2008, Volume 146, Issue 2

**199-201 Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson***by*Cogley, Timothy & Durlauf, Steven N. & Nason, James M.**202-206 The Beveridge-Nelson decomposition in retrospect and prospect***by*Nelson, Charles R.**207-219 The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics***by*Oh, Kum Hwa & Zivot, Eric & Creal, Drew**220-226 Trend/cycle decomposition of regime-switching processes***by*Morley, James & Piger, Jeremy**227-240 Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?***by*Kim, Chang-Jin**241-254 Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments***by*Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H.**255-274 Methods for inference in large multiple-equation Markov-switching models***by*Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao**275-292 Time series properties of ARCH processes with persistent covariates***by*Han, Heejoon & Park, Joon Y.**293-303 Efficient forecast tests for conditional policy forecasts***by*Faust, Jon & Wright, Jonathan H.**304-317 Forecasting economic time series using targeted predictors***by*Bai, Jushan & Ng, Serena**318-328 Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?***by*De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia**329-341 Bayesian Model Averaging and exchange rate forecasts***by*Wright, Jonathan H.**342-350 Least-squares forecast averaging***by*Hansen, Bruce E.**351-363 Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach***by*Diebold, Francis X. & Li, Canlin & Yue, Vivian Z.**364-375 Quality control for structural credit risk models***by*Andreou, Elena & Ghysels, Eric

### 2008, Volume 146, Issue 1

**1-9 Explaining individual response using aggregated data***by*van Dijk, Bram & Paap, Richard**10-25 Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks***by*Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele**26-43 Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach***by*Moench, Emanuel**44-58 A Gaussian approximation scheme for computation of option prices in stochastic volatility models***by*Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S.**59-73 The limit distribution of the estimates in cointegrated regression models with multiple structural changes***by*Kejriwal, Mohitosh & Perron, Pierre**74-85 Partial identification and testable restrictions in multi-unit auctions***by*McAdams, David**86-91 Exact computation of max weighted score estimators***by*Florios, Kostas & Skouras, Spyros**92-106 Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models***by*Kasahara, Hiroyuki & Shimotsu, Katsumi**107-117 Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities***by*Rosen, Adam M.**118-134 Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large***by*Yu, Jihai & de Jong, Robert & Lee, Lung-fei**135-145 A joint serial correlation test for linear panel data models***by*Yamagata, Takashi**146-161 Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root***by*Gospodinov, Nikolay**162-169 The wild bootstrap, tamed at last***by*Davidson, Russell & Flachaire, Emmanuel**170-184 Testing for structural change in regression quantiles***by*Qu, Zhongjun