# 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

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registered editor(s): A. Ronald Gallant
John Geweke
Cheng Hsiao
Arnold Zellner
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### 2006, Volume 135, Issue 1-2

**229-254 Finite-sample simulation-based inference in VAR models with application to Granger causality testing***by*Dufour, Jean-Marie & Jouini, Tarek**255-284 Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?***by*Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao**285-310 Minimizing the impact of the initial condition on testing for unit roots***by*Elliott, Graham & Muller, Ulrich K.**311-347 Large shocks vs. small shocks. (Or does size matter? May be so.)***by*Gonzalo, Jesus & Martinez, Oscar**349-376 A regime switching long memory model for electricity prices***by*Haldrup, Niels & Nielsen, Morten Orregaard**377-398 Interval forecasts and parameter uncertainty***by*Hansen, Bruce E.**399-426 Robustifying forecasts from equilibrium-correction systems***by*Hendry, David F.**427-463 Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process***by*Hsiao, Cheng & Wang, Siyan**465-497 Bagging binary and quantile predictors for time series***by*Lee, Tae-Hwy & Yang, Yang**499-526 A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series***by*Marcellino, Massimiliano & Stock, James H. & Watson, Mark W.**527-566 Time-series estimation of the effects of natural experiments***by*White, Halbert

### 2006, Volume 134, Issue 2

**317-340 Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis***by*Kumbhakar, Subal C. & Wang, Hung-Jen**341-371 Analysis of high dimensional multivariate stochastic volatility models***by*Chib, Siddhartha & Nardari, Federico & Shephard, Neil**373-399 Estimating restricted structural change models***by*Perron, Pierre & Qu, Zhongjun**401-417 Joint LM test for homoskedasticity in a one-way error component model***by*Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain**419-440 Estimation of technical and allocative inefficiency: A primal system approach***by*Kumbhakar, Subal C. & Wang, Hung-Jen**441-469 Modified tests for a change in persistence***by*Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert**471-506 Quantile regression methods for recursive structural equation models***by*Ma, Lingjie & Koenker, Roger**507-551 Saddlepoint approximations for continuous-time Markov processes***by*Ai[dieresis]t-Sahalia, Yacine & Yu, Jialin**553-577 Markov-switching model selection using Kullback-Leibler divergence***by*Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling**579-604 Residual autocorrelation testing for vector error correction models***by*Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti**605-644 Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility***by*Griffin, J.E. & Steel, M.F.J.**645-664 Bayesian point estimation of the cointegration space***by*Villani, Mattias

### 2006, Volume 134, Issue 1

**1-68 Asymptotic properties of Monte Carlo estimators of diffusion processes***by*Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel**69-94 Identification and estimation in sequential, asymmetric, English auctions***by*Brendstrup, Bjarne & Paarsch, Harry J.**95-128 Matrix exponential GARCH***by*Kawakatsu, Hiroyuki**129-150 Bootstrap testing for the null of no cointegration in a threshold vector error correction model***by*Seo, Myunghwan**151-185 Generalized spectral tests for the martingale difference hypothesis***by*Escanciano, J. Carlos & Velasco, Carlos**187-214 Estimation of quantity games in the presence of indivisibilities and heterogeneous firms***by*Davis, Peter**215-234 An instrumental variable approach for panel unit root tests under cross-sectional dependence***by*Shin, Dong Wan & Kang, Seungho**235-256 Distributional properties of portfolio weights***by*Okhrin, Yarema & Schmid, Wolfgang**257-281 Estimation of mis-specified long memory models***by*Chen, Willa W. & Deo, Rohit S.**283-315 Semiparametric Bayesian inference in smooth coefficient models***by*Koop, Gary & Tobias, Justin L.

### 2006, Volume 133, Issue 2

**411-419 Resampling methods in econometrics***by*Dufour, Jean-Marie & Perron, Benoit**421-441 The power of bootstrap and asymptotic tests***by*Davidson, Russell & MacKinnon, James G.**443-477 Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics***by*Dufour, Jean-Marie**479-512 MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm***by*Jouneau-Sion, Frederic & Torres, Olivier**513-529 Exact permutation tests for non-nested non-linear regression models***by*Luger, Richard**531-555 Bootstrapping GMM estimators for time series***by*Inoue, Atsushi & Shintani, Mototsugu**557-578 A fast subsampling method for nonlinear dynamic models***by*Hong, H. & Scaillet, O.**579-599 Nonparametric state price density estimation using constrained least squares and the bootstrap***by*Yatchew, Adonis & Hardle, Wolfgang**601-638 Unit root testing via the stationary bootstrap***by*Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N.**639-672 A bootstrap theory for weakly integrated processes***by*Park, Joon Y.**673-702 Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes***by*Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim**703-739 Bootstrapping cointegrating regressions***by*Chang, Yoosoon & Park, Joon Y. & Song, Kevin**741-777 Alternative bootstrap procedures for testing cointegration in fractionally integrated processes***by*Davidson, James**779-806 Bootstrap conditional distribution tests in the presence of dynamic misspecification***by*Corradi, Valentina & Swanson, Norman R.**807-839 Bootstrap specification tests for linear covariance stationary processes***by*Hidalgo, J. & Kreiss, J.-P.**841-862 Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness***by*Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E.**863-886 A consistent bootstrap test for conditional density functions with time-series data***by*Li, Fuchun & Tkacz, Greg

### 2006, Volume 133, Issue 1

**1-29 Estimation of models with grouped and ungrouped data by means of "2SLS"***by*Dhrymes, Phoebus J. & Lleras-Muney, Adriana**31-49 Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market***by*Radchenko, Stanislav & Tsurumi, Hiroki**51-70 Bounding parameters in a linear regression model with a mismeasured regressor using additional information***by*Hu, Yingyao**71-96 Estimation of stochastic frontier production functions with input-oriented technical efficiency***by*Kumbhakar, Subal C. & Tsionas, Efthymios G.**97-126 Generalized reduced rank tests using the singular value decomposition***by*Kleibergen, Frank & Paap, Richard**127-152 The thick market effect on local unemployment rate fluctuations***by*Gan, Li & Zhang, Qinghua**153-190 A flexible prior distribution for Markov switching autoregressions with Student-t errors***by*Deschamps, Philippe J.**191-205 Testing for stochastic dominance using the weighted McFadden-type statistic***by*Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas**207-241 Functional coefficient instrumental variables models***by*Cai, Zongwu & Das, Mitali & Xiong, Huaiyu & Wu, Xizhi**243-271 Simulation-based estimation of peer effects***by*Krauth, Brian V.**273-305 Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models***by*Durham, Garland B.**307-341 Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data***by*Guell, Maia & Hu, Luojia**343-371 Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting***by*Christensen, Bent Jesper & Nielsen, Morten Orregaard**373-386 Semiparametric efficient adaptive estimation of asymmetric GARCH models***by*Sun, Yiguo & Stengos, Thanasis**387-409 GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model***by*Doran, Howard E. & Schmidt, Peter

### 2006, Volume 132, Issue 2

**305-309 Causality and exogeneity in econometrics***by*Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre**311-336 Granger causality and the sampling of economic processes***by*McCrorie, J. Roderick & Chambers, Marcus J.**337-362 Short run and long run causality in time series: inference***by*Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric**363-378 Testing for short- and long-run causality: A frequency-domain approach***by*Breitung, Jorg & Candelon, Bertrand**379-407 Non-causality in bivariate binary time series***by*Mosconi, Rocco & Seri, Raffaello**409-444 The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models***by*Bun, Maurice J.G. & Kiviet, Jan F.**445-459 Identification and estimation of statistical functionals using incomplete data***by*Horowitz, Joel L. & Manski, Charles F.**461-489 Nonresponse in dynamic panel data models***by*Nicoletti, Cheti**491-525 Instrumental quantile regression inference for structural and treatment effect models***by*Chernozhukov, Victor & Hansen, Christian**527-543 Exogeneity in structural equation models***by*de Luna, Xavier & Johansson, Per

### 2006, Volume 132, Issue 1

**1-5 Common features***by*Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid**7-42 A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones***by*Engle, Robert F. & Marcucci, Juri**43-57 Common factors in conditional distributions for bivariate time series***by*Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J.**59-79 Synchronization of cycles***by*Harding, Don & Pagan, Adrian**81-115 Statistical analysis of hypotheses on the cointegrating relations in the I(2) model***by*Johansen, Soren**117-141 Common cyclical features analysis in VAR models with cointegration***by*Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre**143-168 Common trends and cycles in I(2) VAR systems***by*Paruolo, Paolo**169-194 Are more data always better for factor analysis?***by*Boivin, Jean & Ng, Serena**195-229 The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test***by*Corradi, Valentina & Swanson, Norman R.**231-255 The common and specific components of dynamic volatility***by*Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver**257-279 VARs, common factors and the empirical validation of equilibrium business cycle models***by*Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca**281-303 The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity***by*Issler, Joao Victor & Vahid, Farshid

### 2006, Volume 131, Issue 1-2

**1-2 The econometrics of macroeconomics, finance, and the interface***by*Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F.**3-27 A multiple indicators model for volatility using intra-daily data***by*Engle, Robert F. & Gallo, Giampiero M.**29-58 Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment***by*Deo, Rohit & Hurvich, Clifford & Lu, Yi**59-95 Predicting volatility: getting the most out of return data sampled at different frequencies***by*Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen**97-121 Consistent ranking of volatility models***by*Hansen, Peter Reinhard & Lunde, Asger**123-150 Volatility puzzles: a simple framework for gauging return-volatility regressions***by*Bollerslev, Tim & Zhou, Hao**151-177 Breaks and persistency: macroeconomic causes of stock market volatility***by*Beltratti, A. & Morana, C.**179-215 Volatility comovement: a multifrequency approach***by*Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B.**217-252 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes***by*Barndorff-Nielsen, Ole E. & Shephard, Neil**253-284 Option valuation with conditional skewness***by*Christoffersen, Peter & Heston, Steve & Jacobs, Kris**285-308 Term structure of risk under alternative econometric specifications***by*Guidolin, Massimo & Timmermann, Allan**309-338 The macroeconomy and the yield curve: a dynamic latent factor approach***by*Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S.**339-358 Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates***by*Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna**359-403 What does the yield curve tell us about GDP growth?***by*Ang, Andrew & Piazzesi, Monika & Wei, Min**405-444 A joint econometric model of macroeconomic and term-structure dynamics***by*Hordahl, Peter & Tristani, Oreste & Vestin, David**445-473 Regime switching for dynamic correlations***by*Pelletier, Denis**475-505 Multivariate Jacobi process with application to smooth transitions***by*Gourieroux, Christian & Jasiak, Joann**507-537 Evaluating latent and observed factors in macroeconomics and finance***by*Bai, Jushan & Ng, Serena**539-578 An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series***by*Bhardwaj, Geetesh & Swanson, Norman R.**579-609 A time series model for an exchange rate in a target zone with applications***by*Lundbergh, Stefan & Terasvirta, Timo

### 2006, Volume 130, Issue 2

**209-233 Local Whittle estimation of fractional integration and some of its variants***by*Shimotsu, Katsumi & Phillips, Peter C.B.**235-252 A semi-parametric estimator for censored selection models with endogeneity***by*Lee, Myoung-jae & Vella, Francis**253-272 Identification and estimation with contaminated data: When do covariate data sharpen inference?***by*Mullin, Charles H.**273-306 On the selection of forecasting models***by*Inoue, Atsushi & Kilian, Lutz**307-335 Estimation of copula-based semiparametric time series models***by*Chen, Xiaohong & Fan, Yanqin**337-364 Forecasting the term structure of government bond yields***by*Diebold, Francis X. & Li, Canlin**365-384 A semiparametric GARCH model for foreign exchange volatility***by*Yang, Lijian

### 2006, Volume 130, Issue 1

**1-23 A family of autoregressive conditional duration models***by*Fernandes, Marcelo & Grammig, Joachim**25-43 Superlative index numbers: not all of them are super***by*Hill, Robert J.**45-100 Efficient tests for the presence of a pair of complex conjugate unit roots in real time series***by*Gregoir, Stephane**101-122 A new approximate point optimal test of a composite null hypothesis***by*Sriananthakumar, Sivagowry & King, Maxwell L.**123-142 Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series***by*Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc**143-164 Introduction to m-m processes***by*Granger, Clive W.J. & Hyung, Namwon**165-207 Residual log-periodogram inference for long-run relationships***by*Hassler, U. & Marmol, F. & Velasco, C.

### 2005, Volume 129, Issue 1-2

**1-34 Modelling structural breaks, long memory and stock market volatility: an overview***by*Banerjee, Anindya & Urga, Giovanni**35-40 The past and future of empirical finance: some personal comments***by*Granger, Clive W.J.**41-64 Selection of the break in the Perron-type tests***by*Montanes, Antonio & Olloqui, Irene & Calvo, Elena**65-119 Structural breaks with deterministic and stochastic trends***by*Perron, Pierre & Zhu, Xiaokang**121-138 Neglecting parameter changes in GARCH models***by*Hillebrand, Eric**139-182 Robust GMM tests for structural breaks***by*Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni**183-217 Small sample properties of forecasts from autoregressive models under structural breaks***by*Pesaran, M. Hashem & Timmermann, Allan**219-261 A parametric bootstrap test for cycles***by*Dalla, Violetta & Hidalgo, Javier**263-298 Cointegration in fractional systems with deterministic trends***by*Robinson, P.M. & Iacone, F.**299-327 Renewal regime switching and stable limit laws***by*Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas**329-372 Testing for structural change in regression with long memory processes***by*Lazarova, Stepana

### 2005, Volume 128, Issue 2

**195-213 Size and power of tests of stationarity in highly autocorrelated time series***by*Muller, Ulrich K.**215-251 Sign tests for long-memory time series***by*Delgado, Miguel A. & Velasco, Carlos**253-282 Generating schemes for long memory processes: regimes, aggregation and linearity***by*Davidson, James & Sibbertsen, Philipp**283-300 The distance between rival nonstationary fractional processes***by*Robinson, P.M.**301-323 Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects***by*Rabe-Hesketh, Sophia & Skrondal, Anders & Pickles, Andrew

### 2005, Volume 128, Issue 1

**1-29 Combining estimators to improve structural model estimation and inference under quadratic loss***by*Mittelhammer, Ron C. & Judge, George G.**31-68 Impact factors***by*Omtzigt, Pieter & Paruolo, Paolo**69-97 Robust efficient method of moments***by*Ortelli, Claudio & Trojani, Fabio**99-136 VAR forecasting under misspecification***by*Schorfheide, Frank**137-164 Quasi-maximum likelihood estimation for conditional quantiles***by*Komunjer, Ivana**165-193 Bootstrap inference in systems of single equation error correction models***by*Herwartz, Helmut & Neumann, Michael H.

### 2005, Volume 127, Issue 2

**131-164 Panel data analysis of U.S. coal productivity***by*Stoker, Thomas M. & Berndt, Ernst R. & Denny Ellerman, A. & Schennach, Susanne M.**165-178 On leverage in a stochastic volatility model***by*Yu, Jun**179-199 A nonparametric test for changing trends***by*Juhl, Ted & Xiao, Zhijie**201-224 Subsampling inference in threshold autoregressive models***by*Gonzalo, Jesus & Wolf, Michael**225-252 Unified approach to testing functional hypotheses in semiparametric contexts***by*Hall, Peter & Yatchew, Adonis

### 2005, Volume 127, Issue 1

**1-16 Origins of the limited information maximum likelihood and two-stage least squares estimators***by*Anderson, T.W.**17-33 Highly accurate likelihood analysis for the seemingly unrelated regression problem***by*Fraser, D.A.S. & Rekkas, M. & Wong, A.**35-68 Nonparametric specification tests for conditional duration models***by*Fernandes, Marcelo & Grammig, Joachim**69-81 Stability results for nonlinear error correction models***by*Saikkonen, Pentti**83-102 Estimating dynamic models from repeated cross-sections***by*Verbeek, Marno & Vella, Francis**103-128 Measurement errors and outliers in seasonal unit root testing***by*Haldrup, Niels & Montanes, Antonio & Sanso, Andreu

### 2005, Volume 126, Issue 2

**233-240 Current developments in productivity and efficiency measurement***by*Dorfman, Jeffrey H. & Koop, Gary**241-267 Estimation of a panel data model with parametric temporal variation in individual effects***by*Han, Chirok & Orea, Luis & Schmidt, Peter**269-303 Reconsidering heterogeneity in panel data estimators of the stochastic frontier model***by*Greene, William**305-334 Panel estimators and the identification of firm-specific efficiency levels in parametric, semiparametric and nonparametric settings***by*Sickles, Robin C.**335-354 On ranking and selection from independent truncated normal distributions***by*Horrace, William C.**355-384 Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach***by*Kumbhakar, Subal C. & Tsionas, Efthymios G.**385-409 Estimating variable returns to scale production frontiers with alternative stochastic assumptions***by*Griffiths, William E. & O'Donnell, Christopher J.**411-444 Alternative efficiency measures for multiple-output production***by*Fernandez, Carmen & Koop, Gary & Steel, Mark F.J.**445-468 Bayesian measurement of productivity and efficiency in the presence of undesirable outputs: crediting electric utilities for reducing air pollution***by*Atkinson, Scott E. & Dorfman, Jeffrey H.**469-492 Characteristics of a polluting technology: theory and practice***by*Fare, Rolf & Grosskopf, Shawna & Noh, Dong-Woon & Weber, William**493-523 A Bayesian approach to imposing curvature on distance functions***by*O'Donnell, Christopher J. & Coelli, Timothy J.**525-548 Product diversification, production systems, and economic performance in U.S. agricultural production***by*Paul, Catherine J. Morrison & Nehring, Richard**549-570 Skill-biased technical change in US manufacturing: a general index approach***by*Baltagi, Badi H. & Rich, Daniel P.**571-572 Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294]***by*Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles

### 2005, Volume 126, Issue 1

**1-24 Testing for common deterministic trend slopes***by*Vogelsang, Timothy J. & Franses, Philip Hans**25-51 A finite sample correction for the variance of linear efficient two-step GMM estimators***by*Windmeijer, Frank**53-77 Nonparametric estimation of time varying parameters under shape restrictions***by*Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan**79-114 Nonparametric estimation of structural change points in volatility models for time series***by*Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong**115-143 A bootstrap causality test for covariance stationary processes***by*Hidalgo, J.**145-171 Asymptotic inference from multi-stage samples***by*Bhattacharya, Debopam**173-200 Econometrics of first-price auctions with entry and binding reservation prices***by*Tong Li**201-232 Testing affine term structure models in case of transaction costs***by*Driessen, Joost & Melenberg, Bertrand & Nijman, Theo

### 2005, Volume 125, Issue 1-2

**1-13 Special issue on Experimental and non-experimental evaluation of economic policy and models***by*Ham, John C. & LaLonde, Robert J.**15-51 Estimating treatment effects for discrete outcomes when responses to treatment vary: an application to Norwegian vocational rehabilitation programs***by*Aakvik, Arild & Heckman, James J. & Vytlacil, Edward J.**53-75 Do unemployment insurance recipients actively seek work? Evidence from randomized trials in four U.S. States***by*Ashenfelter, Orley & Ashmore, David & Deschenes, Olivier**77-111 Correcting for selective compliance in a re-employment bonus experiment***by*Bijwaard, Govert E. & Ridder, Geert**113-139 How important are "entry effects" in financial incentive programs for welfare recipients? Experimental evidence from the Self-Sufficiency Project***by*Card, David & Robins, Philip K.**141-173 Program evaluation as a decision problem***by*Dehejia, Rajeev H.**175-205 Randomization, endogeneity and laboratory experiments: the role of cash balances in private value auctions***by*Ham, John C. & Kagel, John H. & Lehrer, Steven F.**207-239 The benefits of prenatal care: evidence from the PAT bus strike***by*Evans, William N. & Lien, Diana S.**241-270 Predicting the efficacy of future training programs using past experiences at other locations***by*Joseph Hotz, V. & Imbens, Guido W. & Mortimer, Julie H.**271-304 Estimating the returns to community college schooling for displaced workers***by*Jacobson, Louis & LaLonde, Robert & G. Sullivan, Daniel**305-353 Does matching overcome LaLonde's critique of nonexperimental estimators?***by*A. Smith, Jeffrey & E. Todd, Petra**355-364 Practical propensity score matching: a reply to Smith and Todd***by*Dehejia, Rajeev**365-375 Rejoinder***by*Smith, Jeffrey & Todd, Petra

### 2005, Volume 124, Issue 2

**205-225 Testing the nominal-to-real transformation***by*Kongsted, Hans Christian**227-252 Autocovariance functions of series and of their transforms***by*Abadir, Karim M. & Talmain, Gabriel**253-267 Optimal weighted average power similar tests for the covariance structure in the linear regression model***by*Forchini, Giovanni**269-310 Testing for the cointegration rank when some cointegrating directions are changing***by*Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane**311-334 A Bayesian analysis of the multinomial probit model using marginal data augmentation***by*Imai, Kosuke & van Dyk, David A.**335-361 Instrumental variables estimators of nonparametric models with discrete endogenous regressors***by*Das, M.**363-394 Testing for cointegration using partially linear models***by*Juhl, Ted & Xiao, Zhijie

### 2005, Volume 124, Issue 1

**1-31 The power of tests of predictive ability in the presence of structural breaks***by*Clark, Todd E. & McCracken, Michael W.**33-54 Variance ratio tests of the seasonal unit root hypothesis***by*Taylor, A. M. Robert**55-89 Subsampling vector autoregressive tests of linear constraints***by*Choi, In**91-116 Parametric approximations of nonparametric frontiers***by*Florens, Jean-Pierre & Simar, Leopold