EconPapers    
Economics at your fingertips  
 

Journal of Business & Economic Statistics

1983 - 2011

Continued by Journal of Business & Economic Statistics.

Current editor(s): Jonathan H. Wright and Keisuke Hirano

From American Statistical Association
Series data maintained by Christopher F. Baum ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


2011, volume 29, issue 4

Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks pp. 455-467 Downloads
Nikolay Gospodinov, Alex Maynard and Elena Pesavento
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models pp. 468-480 Downloads
Junye Li
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets pp. 481-492 Downloads
Richard H. Gerlach, Cathy W. S. Chen and Nancy Y. C. Chan
Employer-to-Employer Flows in the United States: Estimates Using Linked Employer-Employee Data pp. 493-505 Downloads
Melissa Bjelland, Bruce Fallick, John Haltiwanger and Erika McEntarfer
Homogenous and Heterogenous Contestants in Piece Rate Tournaments: Theory and Empirical Analysis pp. 506-517 Downloads
Tomislav Vukina and Xiaoyong Zheng
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications pp. 518-528 Downloads
Ke-Li Xu and Peter Phillips
Lumpy Price Adjustments: A Microeconometric Analysis pp. 529-540 Downloads
Emmanuel Dhyne, Catherine Fuss, M Pesaran and Patrick Sevestre
Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models pp. 541-551 Downloads
Yiguo Sun and Qi Li
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations pp. 552-563 Downloads
Drew Creal, Siem Jan Koopman and Lucas, André
Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry pp. 564-578 Downloads
Lu Han and Seung-Hyun Hong
Score Tests for Hyperbolic GARCH Models pp. 579-586 Downloads
Muyi Li, Guodong Li and Wai Keung Li
A New Approach to Estimating Production Function Parameters: The Elusive Capital–Labor Substitution Elasticity pp. 587-594 Downloads
Bob Chirinko, Steven Fazzari and Andrew P. Meyer
Editors’ Report 2011 pp. 597-597 Downloads
Keisuke Hirano and Jonathan Wright

2011, volume 29, issue 3

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility pp. 327-341 Downloads
Todd Clark
Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search pp. 342-355 Downloads
Antonello Loddo, Shawn Ni and Dongchu Sun
Volatility Jumps pp. 356-371 Downloads
Viktor Todorov and George Tauchen
The Intergenerational Transmission of Income Volatility: Is Riskiness Inherited? pp. 372-381 Downloads
Stephen H. Shore
Bayesian Inference in Structural Second-Price Common Value Auctions pp. 382-396 Downloads
Bertil Wegmann and Mattias Villani
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach pp. 397-410 Downloads
Andrew Patton and Allan Timmermann
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules pp. 411-422 Downloads
Tilmann Gneiting and Roopesh Ranjan
A Test Against Spurious Long Memory pp. 423-438 Downloads
Zhongjun Qu
Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods pp. 439-454 Downloads
Pakoš, Michal

2011, volume 29, issue 2

Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns pp. 201-215 Downloads
Patrick Bayer, Shakeeb Khan and Christopher Timmins
Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate pp. 216-227 Downloads
David Hendry and Kirstin Hubrich
Dynamic Censored Regression and the Open Market Desk Reaction Function pp. 228-237 Downloads
Robert Jong and Ana María Herrera
Robust Inference With Multiway Clustering pp. 238-249 Downloads
A. Cameron, Jonah Gelbach and Douglas Miller
Estimation for Non-Negative Lévy-Driven CARMA Processes pp. 250-259 Downloads
Peter J. Brockwell, Richard A. Davis and Yu Yang
Tests for the Second Order Stochastic Dominance Based on L-Statistics pp. 260-270 Downloads
Berrendero, José R. and Cárcamo, Javier
The Increasingly Mixed Proportional Hazard Model: An Application to Socioeconomic Status, Health Shocks, and Mortality pp. 271-281 Downloads
Paul Frijters, John P. Haisken-DeNew and Michael A. Shields
Infinite Density at the Median and the Typical Shape of Stock Return Distributions pp. 282-294 Downloads
Chirok Han, Jin Seo Cho and Peter Phillips
Local and Global Rank Tests for Multivariate Varying-Coefficient Models pp. 295-306 Downloads
Stephen Donald, Fortuna, Natércia and Vladas Pipiras
Forecast Combination Across Estimation Windows pp. 307-318 Downloads
M Pesaran and Andreas Pick
A Comparison of Sales Response Predictions From Demand Models Applied to Store-Level versus Panel Data pp. 319-326 Downloads
Rick L. Andrews, Imran S. Currim and Peter S. H. Leeflang

2011, volume 29, issue 1

Bias-Corrected Matching Estimators for Average Treatment Effects pp. 1-11 Downloads
Alberto Abadie and Guido Imbens
The Distributional Impacts of Minimum Wage Increases When Both Labor Supply and Labor Demand Are Endogenous pp. 12-23 Downloads
Tom Ahn, Peter Arcidiacono and Walter Wessels
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents pp. 24-39 Downloads
Xavier Gabaix and Rustam Ibragimov
Heteroscedastic Transformation Models With Covariate Dependent Censoring pp. 40-48 Downloads
Shakeeb Khan, Youngki Shin and Elie Tamer
Identification of Expected Outcomes in a Data Error Mixing Model With Multiplicative Mean Independence pp. 49-60 Downloads
Brent Kreider and John Pepper
Estimating Income Poverty in the Presence of Missing Data and Measurement Error pp. 61-72 Downloads
Cheti Nicoletti, Franco Peracchi and Francesca Foliano
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity pp. 73-85 Downloads
Robert Jung, Roman Liesenfeld and Richard, Jean-François
An Econometric Analysis of Some Models for Constructed Binary Time Series pp. 86-95 Downloads
Don Harding and Adrian Pagan
Adaptive Experimental Design Using the Propensity Score pp. 96-108 Downloads
Jinyong Hahn, Keisuke Hirano and Dean Karlan
Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model pp. 109-125 Downloads
Xiangdong Long, Liangjun Su and Aman Ullah
The Fed and the Stock Market: An Identification Based on Intraday Futures Data pp. 126-137 Downloads
D’Amico, Stefania and Mira Farka
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations pp. 138-149 Downloads
Francesco Audrino and Fabio Trojani
Evaluating Value-at-Risk Models via Quantile Regression pp. 150-160 Downloads
Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel Smith
Cointegration and Long-Run Asset Allocation pp. 161-173 Downloads
Ravi Bansal and Dana Kiku
Nonparametric Estimation of Labor Supply and Demand Factors pp. 174-185 Downloads
Tsunao Okumura
Autocontours: Dynamic Specification Testing pp. 186-200 Downloads
González-Rivera, Gloria, Zeynep Senyuz and Emre Yoldas

2010, volume 28, issue 4

t-Statistic Based Correlation and Heterogeneity Robust Inference pp. 453-468 Downloads
Rustam Ibragimov and Müller, Ulrich K.
Estimating Static Models of Strategic Interactions pp. 469-482 Downloads
Patrick Bajari, Han Hong, John Krainer and Denis Nekipelov
Volatility Components, Affine Restrictions, and Nonnormal Innovations pp. 483-502 Downloads
Peter Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang
Testing for Multiple Structural Changes in Cointegrated Regression Models pp. 503-522 Downloads
Mohitosh Kejriwal and Pierre Perron
The Common-Scaling Social Cost-of-Living Index pp. 523-538 Downloads
Thomas Crossley and Krishna Pendakur
A Pure-Jump Transaction-Level Price Model Yielding Cointegration pp. 539-558 Downloads
Clifford Hurvich and Yi Wang
The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection pp. 559-571 Downloads
Pedro Galeano and Ausín, M. Concepción
Editors’ Report 2009 pp. 574-574 Downloads
Arthur Lewbel, Serena Ng, Keisuke Hirano and Jonathan Wright

2010, volume 28, issue 3

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters pp. 329-343 Downloads
Siem Jan Koopman, Max I. P. Mallee and Michel van der Wel
Decriminalization and Marijuana Smoking Prevalence: Evidence From Australia pp. 344-356 Downloads
Kannika Damrongplasit, Cheng Hsiao and Xueyan Zhao
A Bayesian Nonparametric Approach to Inference for Quantile Regression pp. 357-369 Downloads
Matthew A. Taddy and Athanasios Kottas
Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve pp. 370-379 Downloads
Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan
Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes pp. 380-396 Downloads
Gurdip Bakshi, Dilip Madan and George Panayotov
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets pp. 397-409 Downloads
George Kapetanios
Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models pp. 410-422 Downloads
Robert Phillips
A New Class of Tests of Contagion With Applications pp. 423-437 Downloads
Fry, Renée, Vance Martin and Chrismin Tang
Derivative Pricing With Wishart Multivariate Stochastic Volatility pp. 438-451 Downloads
Christian Gourieroux and Razvan Sufana

2010, volume 28, issue 2

Another Look at the Identification of Dynamic Discrete Decision Processes: An Application to Retirement Behavior pp. 201-218 Downloads
Victor Aguirregabiria
Rounding Probabilistic Expectations in Surveys pp. 219-231 Downloads
Charles Manski and Francesca Molinari
Modeling Financial Return Dynamics via Decomposition pp. 232-245 Downloads
Stanislav Anatolyev and Nikolay Gospodinov
Testing for Serial Correlation: Generalized Andrews–Ploberger Tests pp. 246-255 Downloads
John C. Nankervis and N. E. Savin
Semiparametric Estimator of Time Series Conditional Variance pp. 256-274 Downloads
Santosh Mishra, Liangjun Su and Aman Ullah
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices pp. 275-290 Downloads
Pierre Perron and Zhongjun Qu
Nonparametric Discrete Choice Models With Unobserved Heterogeneity pp. 291-307 Downloads
Richard A. Briesch, Pradeep Chintagunta and Rosa Matzkin
Optimal Binary Prediction for Group Decision Making pp. 308-319 Downloads
Robert Lieli and Augusto Nieto-Barthaburu
Default Estimation and Expert Information pp. 320-328 Downloads
Nicholas Kiefer

2010, volume 28, issue 1

Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions pp. 1-12 Downloads
Nikolay Gospodinov
Instrumental Variables Estimation With Flexible Distributions pp. 13-25 Downloads
Christian Hansen, James McDonald and Whitney Newey
March Madness, Quantile Regression Bracketology, and the Hayek Hypothesis pp. 26-35 Downloads
Roger Koenker and Gilbert Bassett
Backtesting Parametric Value-at-Risk With Estimation Risk pp. 36-51 Downloads
Juan Carlos Escanciano and Jose Olmo
Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions pp. 52-66 Downloads
Juárez, Miguel A. and Mark Steel
Multi-Index Binary Response Analysis of Large Data Sets pp. 67-81 Downloads
Prasad A. Naik, Michel Wedel and Wagner Kamakura
Missing Treatments pp. 82-95 Downloads
Francesca Molinari
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity pp. 96-114 Downloads
Seung Hyun Hong and Peter Phillips
A Prior for Impulse Responses in Bayesian Structural VAR Models pp. 115-127 Downloads
Kocięcki, Andrzej
Wild Bootstrap Tests for IV Regression pp. 128-144 Downloads
Russell Davidson and James MacKinnon
Estimating Panel Models With Internal and External Habit Formation pp. 145-158 Downloads
George M. Korniotis
Structural Vector Autoregressions With Nonnormal Residuals pp. 159-168 Downloads
Markku Lanne and Lütkepohl, Helmut
Testing for Stochastic Dominance Efficiency pp. 169-180 Downloads
Olivier Scaillet and Nikolas Topaloglou
Glass Ceilings or Glass Doors? Wage Disparity Within and Between Firms pp. 181-189 Downloads
Krishna Pendakur and Simon Woodcock
The Quality Adjusted Price Index in the Pure Characteristics Demand Model pp. 190-199 Downloads
Minjae Song
Page updated 2017-05-22