# 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
(Zhang, Lei)**

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

**ISSN:**0304-4076

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### 2007, Volume 138, Issue 1

**208-230 Product attributes and models of multiple discreteness***by*Kim, Jaehwan & Allenby, Greg M. & Rossi, Peter E.**231-251 Seasonality and non-linear price effects in scanner-data-based market-response models***by*Fok, Dennis & Hans Franses, Philip & Paap, Richard**252-290 Smoothly mixing regressions***by*Geweke, John & Keane, Michael**291-311 Approximately normal tests for equal predictive accuracy in nested models***by*Clark, Todd E. & West, Kenneth D.**312-355 A pair-wise approach to testing for output and growth convergence***by*Hashem Pesaran, M.**356-378 Reconciling introspective utility with revealed preference: Experimental arguments based on prospect theory***by*Abdellaoui, Mohammed & Barrios, Carolina & Wakker, Peter P.

### 2007, Volume 137, Issue 2

**277-310 Gaussian semiparametric estimation of multivariate fractionally integrated processes***by*Shimotsu, Katsumi**311-333 A robust version of the KPSS test based on indicators***by*de Jong, Robert M. & Amsler, Christine & Schmidt, Peter**334-353 Granger causality and path diagrams for multivariate time series***by*Eichler, Michael**354-395 A simple approach to the parametric estimation of potentially nonstationary diffusions***by*Bandi, Federico M. & Phillips, Peter C.B.**396-413 Finite sample properties of maximum likelihood estimator in spatial models***by*Bao, Yong & Ullah, Aman**414-440 Decisionmetrics: A decision-based approach to econometric modelling***by*Skouras, Spyros**441-471 Optimal statistical decisions about some alternative financial models***by*Stummer, Wolfgang & Vajda, Igor**472-488 Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean***by*Blake, Andrew P. & Kapetanios, George**489-514 GMM and 2SLS estimation of mixed regressive, spatial autoregressive models***by*Lee, Lung-fei**515-555 Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction***by*Chao, John & Swanson, Norman R.**556-576 Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations***by*Hang Chan, Ngai & Deng, Shi-Jie & Peng, Liang & Xia, Zhendong**577-614 On efficient estimation of the ordered response model***by*Coppejans, Mark**615-640 MCMC maximum likelihood for latent state models***by*Jacquier, Eric & Johannes, Michael & Polson, Nicholas**641-673 Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers***by*Ferreira, Jose T.A.S. & Steel, Mark F.J.**674-707 Inference on inequality from household survey data***by*Bhattacharya, Debopam**708-728 Marginal likelihood and unit roots***by*Francke, Marc K. & de Vos, Aart F.

### 2007, Volume 137, Issue 1

**1-27 Nonparametric stochastic frontiers: A local maximum likelihood approach***by*Kumbhakar, Subal C. & Park, Byeong U. & Simar, Leopold & Tsionas, Efthymios G.**28-67 Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases***by*Caner, Mehmet**68-111 Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity***by*Seo, Byeongseon**112-133 A unified approach to nonlinearity, structural change, and outliers***by*Giordani, Paolo & Kohn, Robert & van Dijk, Dick**134-161 Selection of estimation window in the presence of breaks***by*Pesaran, M. Hashem & Timmermann, Allan**162-188 Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence***by*Phillips, Peter C.B. & Sul, Donggyu**189-229 An efficient nonparametric estimator for models with nonlinear dependence***by*Gagliardini, Patrick & Gourieroux, Christian**230-259 Nonstationary nonlinear heteroskedasticity in regression***by*Chung, Heetaik & Park, Joon Y.**260-276 Bayesian analysis of a Tobit quantile regression model***by*Yu, Keming & Stander, Julian

### 2007, Volume 136, Issue 2

**325-329 Special issue editors' introduction: The interface between econometrics and economic theory***by*Aliprantis, Charalambos D. & Barnett, William A. & Cornet, Bernard & Durlauf, Steven**331-339 Philosophy and objectives of econometrics***by*Zellner, Arnold**341-396 Dynamic discrete choice and dynamic treatment effects***by*Heckman, James J. & Navarro, Salvador**397-430 Indirect inference and calibration of dynamic stochastic general equilibrium models***by*Dridi, Ramdan & Guay, Alain & Renault, Eric**431-456 Riesz estimators***by*Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee**457-482 Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries***by*Barnett, William A.**483-508 Growth and convergence: A profile of distribution dynamics and mobility***by*Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis**509-530 Econometric specification of stochastic discount factor models***by*Gourieroux, C. & Monfort, A.**531-564 Empirical labor search: A survey***by*Eckstein, Zvi & van den Berg, Gerard J.**565-594 Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling***by*Kapetanios, G. & Pagan, A. & Scott, A.**595-627 Econometric analysis of linearized singular dynamic stochastic general equilibrium models***by*Bierens, Herman J.**629-664 Model uncertainty and policy evaluation: Some theory and empirics***by*Brock, William A. & Durlauf, Steven N. & West, Kenneth D.**665-698 Selection into and across credit contracts: Theory and field research***by*Ahlin, Christian & Townsend, Robert M.**699-723 Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data***by*Corradi, Valentina & Swanson, Norman R.

### 2007, Volume 136, Issue 1

**1-29 Frequency domain estimation of temporally aggregated Gaussian cointegrated systems***by*Chambers, Marcus J. & Roderick McCrorie, J.**31-64 Estimation and inference in two-stage, semi-parametric models of production processes***by*Simar, Leopold & Wilson, Paul W.**65-88 A method of estimating the average derivative***by*Banerjee, Anurag**89-114 Asymmetry and nonstationarity for a seasonal time series model***by*Shin, Dong Wan & Lee, Oesook**115-130 Limit theory for moderate deviations from a unit root***by*Phillips, Peter C.B. & Magdalinos, Tassos**131-162 Non-parametric tests of productive efficiency with errors-in-variables***by*Kuosmanen, Timo & Post, Thierry & Scholtes, Stefan**163-188 Trending time-varying coefficient time series models with serially correlated errors***by*Cai, Zongwu**189-211 A simple ordered data estimator for inverse density weighted expectations***by*Lewbel, Arthur & Schennach, Susanne M.**213-235 An econometric method of correcting for unit nonresponse bias in surveys***by*Korinek, Anton & Mistiaen, Johan A. & Ravallion, Martin**237-249 Aggregation and memory of models of changing volatility***by*Zaffaroni, Paolo**251-280 Partial rank estimation of duration models with general forms of censoring***by*Khan, Shakeeb & Tamer, Elie**281-301 Semiparametric efficient estimation of dynamic panel data models***by*Park, Byeong U. & Sickles, Robin C. & Simar, Leopold**303-318 Time reversibility of stationary regular finite-state Markov chains***by*McCausland, William J.**319-324 General-to-specific or specific-to-general modelling? An opinion on current econometric terminology***by*Lutkepohl, Helmut

### 2006, Volume 135, Issue 1-2

**1-9 Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger***by*Swanson, Norman R. & Elliott, Graham & Ghysels, Eric & Gonzalo, Jesus**11-13 Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004***by*Granger, Clive W.J.**15-29 Structural attribution of observed volatility clustering***by*Granger, Clive W.J. & Machina, Mark J.**31-53 Persistence in forecasting performance and conditional combination strategies***by*Aiolfi, Marco & Timmermann, Allan**55-76 Reduced rank regression for blocks of simultaneous equations***by*Anderson, T.W.**77-124 Monitoring disruptions in financial markets***by*Andreou, Elena & Ghysels, Eric**125-154 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification***by*Chen, Xiaohong & Fan, Yanqin**155-186 Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis***by*Clark, Todd E. & West, Kenneth D.**187-228 Predictive density and conditional confidence interval accuracy tests***by*Corradi, Valentina & Swanson, Norman R.**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