# 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

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

**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**117-148 Bootstrap specification tests for diffusion processes***by*Corradi, Valentina & Swanson, Norman R.**149-186 Testing normality: a GMM approach***by*Bontemps, Christian & Meddahi, Nour**187-201 Point optimal tests of the null hypothesis of cointegration***by*Jansson, Michael**203-204 Corrigendum to "The second-order bias and mean squared error of nonlinear estimators": [Journal of Econometrics 75(2) (1996) 369-395]***by*Rilstone, Paul & Ullah, Aman

### 2004, Volume 123, Issue 2

**197-199 Recent advances in Bayesian econometrics***by*Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K.**201-225 Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods***by*Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D.**227-258 Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox***by*Kleibergen, Frank**259-282 Bayesian variants of some classical semiparametric regression techniques***by*Koop, Gary & Poirier, Dale J.**283-306 Bayesian evaluation of non-admissible conditioning***by*Mouchart, Michel & Scheihing, Eliana**307-325 Bayesian analysis of the error correction model***by*Strachan, Rodney W. & Inder, Brett**327-344 Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation***by*Chopin, Nicolas & Pelgrin, Florian**345-369 Density inference for ranking European research systems in the field of economics***by*Lubrano, Michel & Protopopescu, Camelia**371-391 Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland***by*Osiewalski, Jacek & Pipien, Mateusz

### 2004, Volume 123, Issue 1

**1-31 On Kolmogorov's representation of functions of several variables by functions of one variable***by*Coppejans, Mark**33-66 Tests of stationarity against a change in persistence***by*Busetti, Fabio & Taylor, A. M. Robert**67-87 Bootstrapping the HEGY seasonal unit root tests***by*Burridge, Peter & Robert Taylor, A. M.**89-120 Bootstrapping autoregressions with conditional heteroskedasticity of unknown form***by*Goncalves, Silvia & Kilian, Lutz**121-152 Semiparametric Bayesian inference for stochastic frontier models***by*Griffin, J. E. & Steel, M. F. J.**153-187 Comparing dynamic equilibrium models to data: a Bayesian approach***by*Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan**189-193 Decompositions of Pearson's chi-squared test***by*Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F.

### 2004, Volume 122, Issue 2

**213-246 An empirical model of learning and patient spillovers in new drug entry***by*Coscelli, Andrea & Shum, Matthew**247-280 Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors***by*Shin, Dong Wan & Oh, Man-Suk**281-291 Regression systems for unbalanced panel data: a stepwise maximum likelihood procedure***by*Biorn, Erik**293-316 Estimation of cross sectional and panel data censored regression models with endogeneity***by*Honore, Bo E. & Hu, Luojia**317-347 Simulation-based finite-sample tests for heteroskedasticity and ARCH effects***by*Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian**349-384 Analytical evaluation of the power of tests for the absence of cointegration***by*Pesavento, Elena**385-403 Maximum score estimation of a nonstationary binary choice model***by*Moon, Hyungsik Roger

### 2004, Volume 122, Issue 1

**1-26 Toward an empirical analysis of polarization***by*Anderson, Gordon**27-46 On the harm that ignoring pretesting can cause***by*Danilov, Dmitry & Magnus, J.R.Jan R.**47-79 Optimal forecast combinations under general loss functions and forecast error distributions***by*Elliott, Graham & Timmermann, Allan**81-126 Testing for a unit root in panels with dynamic factors***by*Moon, H.R.Hyungsik Roger & Perron, Benoit**127-136 Markov-switching models with endogenous explanatory variables***by*Kim, C.-J.Chang-Jin**137-183 Estimating cross-section common stochastic trends in nonstationary panel data***by*Bai, Jushan**185-212 Bayesian analysis of stochastic volatility models with fat-tails and correlated errors***by*Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E.

### 2004, Volume 121, Issue 1-2

**1-18 The econometrics of higher education: editor's view***by*Marsh, L.C.Lawrence C.**19-37 Econometric studies of higher education***by*Ehrenberg, R.G.Ronald G.**39-98 The effect of schooling and ability on achievement test scores***by*Hansen, Karsten T. & Heckman, James J. & Mullen, K.J.Kathleen J.**99-124 How robust is the evidence on the effects of college quality? Evidence from matching***by*Black, Dan A. & Smith, J.A.Jeffrey A.**125-142 The effect of college location on migration of college-educated labor***by*Groen, J.A.Jeffrey A.**143-173 Trade in university training: cross-state variation in the production and stock of college-educated labor***by*Bound, John & Groen, Jeffrey & Kezdi, G.Gabor & Turner, Sarah**175-212 Estimating the social return to higher education: evidence from longitudinal and repeated cross-sectional data***by*Moretti, Enrico**213-241 Why do employers pay for college?***by*Cappelli, Peter**243-269 Time-use and college outcomes***by*Stinebrickner, Ralph & Stinebrickner, T.R.Todd R.**271-296 How have college decisions changed over time? An application of the conditional logistic choice model***by*Terry Long, B.Bridget**297-317 College performance predictions and the SAT***by*Rothstein, J.M.Jesse M.**319-342 College applications and the effect of affirmative action***by*Long, M.C.Mark C.**343-375 Ability sorting and the returns to college major***by*Arcidiacono, Peter**377-404 The impact of college course offerings on the supply of academically talented public school teachers***by*Reback, RandallRandall**405-426 Bayesian solutions to graduate admissions and related selection problems***by*Marsh, L.C.Lawrence C. & Zellner, Arnold

### 2004, Volume 120, Issue 2

**207-234 Alternative sampling methods for estimating multivariate normal probabilities***by*Sandor, Zsolt & Andras, P.Peter**235-262 Asymptotic theory for heterogeneous dynamic pseudo-panels***by*McKenzie, D.J.David J.**263-293 Bootstrap unit root tests in panels with cross-sectional dependency***by*Chang, Yoosoon**295-326 Subsampling the distribution of diverging statistics with applications to finance***by*Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert**327-359 Forecasting and turning point predictions in a Bayesian panel VAR model***by*Canova, Fabio & Ciccarelli, Matteo

### 2004, Volume 120, Issue 1

**1-33 Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos***by*Shintani, Mototsugu & Linton, Oliver**35-73 Alternative estimators and unit root tests for seasonal autoregressive processes***by*Rodrigues, Paulo M. M. & Taylor, A. M. Robert**75-102 Contemporaneous aggregation of linear dynamic models in large economies***by*Zaffaroni, Paolo**103-138 Nonstationary discrete choice***by*Hu, Ling & Phillips, Peter C. B.**139-158 Stability of random coefficient ARCH models and aggregation schemes***by*Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude**159-180 Simple estimators for nonparametric panel data models with sample attrition***by*Das, M.**181-205 Mobility measurement, transition matrices and statistical inference***by*Formby, John P. & Smith, W. James & Zheng, Buhong

### 2004, Volume 119, Issue 2

**223-230 Dynamic factor models***by*Croux, Christophe & Renault, Eric & Werker, Bas**231-255 The generalized dynamic factor model consistency and rates***by*Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia**257-289 Factor representing portfolios in large asset markets***by*Sentana, Enrique**291-321 Forecasting with nonstationary dynamic factor models***by*Pena, Daniel & Poncela, Pilar**323-353 Kernel-based nonlinear canonical analysis and time reversibility***by*Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian**355-379 Temporal aggregation of volatility models***by*Meddahi, Nour & Renault, Eric**381-412 The stochastic conditional duration model: a latent variable model for the analysis of financial durations***by*Bauwens, Luc & Veredas, David**413-433 Stochastic volatility duration models***by*Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann

### 2004, Volume 119, Issue 1

**1-18 Testing for unit roots with flow data and varying sampling frequency***by*Chambers, Marcus J.**19-44 [tau]-estimators of regression models with structural change of unknown location***by*Fiteni, Inmaculada**45-71 A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model***by*Abadir, Karim M. & Lucas, Andre**73-98 A consistent estimator for the binomial distribution in the presence of "incidental parameters": an application to patent data***by*Machado, Matilde P.**99-130 Nonparametric estimation of regression functions with both categorical and continuous data***by*Racine, Jeff & Li, Qi**131-154 Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models***by*Arteche, Josu**155-198 Semiparametric estimation of a panel data proportional hazards model with fixed effects***by*Horowitz, Joel L. & Lee, Sokbae**199-219 Maximum likelihood and the bootstrap for nonlinear dynamic models***by*Goncalves, Silvia & White, Halbert**221-222 Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]***by*Bollerslev, Tim & Zhou, Hao

### 2004, Volume 118, Issue 1-2

**1-5 Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler***by*Potscher, Benedikt M. & Prucha, Ingmar R.**7-26 Aggregation of space-time processes***by*Giacomini, Raffaella & Granger, Clive W. J.**27-50 Estimation of simultaneous systems of spatially interrelated cross sectional equations***by*Kelejian, Harry H. & Prucha, Ingmar R.**51-65 Robust estimation of generalized linear models with measurement errors***by*Li, Tong & Hsiao, Cheng**67-94 A complete class of tests when the likelihood is locally asymptotically quadratic***by*Ploberger, Werner**95-109 Least squares in general vector spaces revisited***by*Schonfeld, Peter**111-127 An omnibus test for the time series model AR(1)***by*Anderson, T. W. & Lockhart, R. A. & Stephens, M. A.**129-149 Generalized Levinson-Durbin and Burg algorithms***by*Brockwell, P. J. & Dahlhaus, R.**151-187 Modeling of time series arrays by multistep prediction or likelihood methods***by*Findley, David F. & Potscher, Benedikt M. & Wei, Ching-Zong**189-218 Bootstrapping nonparametric estimators of the volatility function***by*Franke, Jurgen & Neumann, Michael H. & Stockis, Jean-Pierre**219-246 Nonlinear instrumental variable estimation of an autoregression***by*Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon**247-256 Variance expressions for spectra estimated using auto-regressions***by*Xie, Liang-Liang & Ljung, Lennart**257-291 The asymptotic variance of subspace estimates***by*Chiuso, Alessandro & Picci, Giorgio**293-312 The relation of the CCA subspace method to a balanced reduction of an autoregressive model***by*Dahlen, Anders & Scherrer, Wolfgang**313-339 System theory for system identification***by*van Schuppen, Jan H.**341-373 Deterministic least squares filtering***by*Willems, J. C.

### 2003, Volume 117, Issue 2

**207-244 Strong rules for detecting the number of breaks in a time series***by*Altissimo, Filippo & Corradi, Valentina**245-278 Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models***by*Chen, Songnian & Khan, Shakeeb**279-309 Semiparametric-efficient estimation of AR(1) panel data models***by*Park, Byeong U. & Sickles, Robin C. & Simar, Leopold**311-311 Corrigendum to "Semiparametric-efficient estimation of AR(1) panel data models": [J. Econom. 117 (2003) 279-309]***by*Park, Byeong U. & Sickles, Robin C. & Simar, Leopold**313-330 The equality of comparable extended families of classical-type and Hausman-type statistics***by*Dastoor, Naorayex K.