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Journal of Business & Economic Statistics

1983 - 2008

Edited by Arthur Lewbel and Serena Ng

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

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2008

Binomial Autoregressive Moving Average Models With an Application to U.S. Recessions pp. 1-8 Downloads
Richard Startz
Robust Nonnested Testing and the Demand for Money pp. 9-17 Downloads
Choi, Hwan-Sik and Nicholas M. Kiefer
Bayesian Analysis of the Output Gap pp. 18-32 Downloads
Christophe Planas, Alessandro Rossi and Gabriele Fiorentini
Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation pp. 33-41 Downloads
George Kapetanios, Vincent Labhard and Simon Price
A Comparison of the Real-Time Performance of Business Cycle Dating Methods pp. 42-49 Downloads
Marcelle Chauvet and Jeremy Piger
Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity pp. 50-65 Downloads
Ruxandra Prodan
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models pp. 66-77 Downloads
Paolo Giordani and Robert Kohn
Model-Based Clustering of Multiple Time Series pp. 78-89 Downloads
Fruhwirth-Schnatter, Sylvia and Sylvia Kaufmann
Monotonic Regression Based on Bayesian PSplines: An Application to Estimating Price Response Functions From Store-Level Scanner Data pp. 90-104 Downloads
Andreas Brezger and Winfried J. Steiner
Foreign Technology Transfer and Productivity: Evidence From a Matched Sample pp. 105-112 Downloads
Mahmut Yasar and Catherine J. Morrison Paul
A Simple Test for Nonstationarity in Mixed Panels pp. 113-127 Downloads
Serena Ng
Asset Prices Under Habit Formation and Reference-Dependent Preferences pp. 131-143 Downloads
Motohiro Yogo
Explaining and Forecasting Online Auction Prices and Their Dynamics Using Functional Data Analysis pp. 144-160 Downloads
Shanshan Wang, Wolfgang Jank and Galit Shmueli
True or Spurious Long Memory? A New Test pp. 161-175 Downloads
Arek Ohanissian, Jeffrey R. Russell and Ruey S. Tsay
A Simulation-Based Specification Test for Diffusion Processes pp. 176-193 Downloads
Geetesh Bhardwaj, Valentina Corradi and Norman R. Swanson
The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility pp. 194-210 Downloads
Thomas Lux
Dynamic Factors and the Source of Momentum Profits pp. 211-226 Downloads
Tong Yao
Cromwell's Rule and the Role of the Prior in the Economic Metric: An Application to the Portfolio Allocation Problem pp. 227-236 Downloads
Kenneth D. Roskelley
VARMA versus VAR for Macroeconomic Forecasting pp. 237-252 Downloads
George Athanasopoulos and Farshid Vahid
Marginal Comparisons With the Best and the Efficiency Measurement Problem pp. 253-260 Downloads
Yangseon Kim and Peter Schmidt

2007

Editorial Announcement pp. 1-1 Downloads
Torben G. Andersen
Common Features in Economics and Finance: An Overview of Recent Developments pp. 2-11 Downloads
Giovanni Urga
A Note on Common Cycles, Common Trends, and Convergence pp. 12-20 Downloads
Vasco Marques de Carvalho, Andrew C. Harvey and Thomas Trimbur
Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data pp. 21-32 Downloads
Niels Haldrup, Svend Hylleberg, Gabriel Pons and Andreu Sanso
Co-Breaking: Recent Advances and a Synopsis of the Literature pp. 33-51 Downloads
David F. Hendry and Michael Massmann
Determining the Number of Primitive Shocks in Factor Models pp. 52-60 Downloads
Jushan Bai and Serena Ng
A Multivariate Generalized Orthogonal Factor GARCH Model pp. 61-75 Downloads
Markku Lanne and Pentti Saikkonen
Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? pp. 76-90 Downloads
Heather M. Anderson and Farshid Vahid
Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel pp. 91-96 Downloads
Dante Amengual and Mark W. Watson
Estimating and Combining National Income Distributions Using Limited Data pp. 97-109 Downloads
Duangkamon Chotikapanich, William Edward Griffiths and D.S. Prasada Rao
A More Timely and Useful Index of Leading Indicators pp. 110-120 Downloads
Robert H. McGuckin, Ataman Ozyildirim and Victor Zarnowitz
On the Fit of New Keynesian Models pp. 123-143 Downloads
Marco Del Negro, Frank Schorfheide, Frank Smets and Rafael Wouters
Comment pp. 143-151 Downloads
Lawrence J. Christiano
Comment pp. 151-152 Downloads
A. Ronald Gallant
Comment pp. 152-154 Downloads
Christopher A. Sims
Comment pp. 154-156 Downloads
Jon Faust
Comment pp. 156-159 Downloads
Lutz Kilian
Rejoinder pp. 159-162 Downloads
Marco Del Negro, Frank Schorfheide, Frank Smets and Rafael Wouters
Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses pp. 163-176 Downloads
Shawn Ni, Dongchu Sun and Xiaoqian Sun
Comparing Density Forecasts via Weighted Likelihood Ratio Tests pp. 177-190 Downloads
Gianni Amisano and Raffaella Giacomini
Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation: Evidence From the Survey of Professional Forecasters pp. 191-200 Downloads
Sean D. Campbell
Market-Based Measures of Monetary Policy Expectations pp. 201-212 Downloads
Refet S. Gurkaynak, Brian T. Sack and Eric P. Swanson
Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods pp. 213-225 Downloads
Albert J. Menkveld, Siem Jan Koopman and Andre Lucas
Dynamic Efficiency Estimation: An Application to U.S. Electric Utilities pp. 226-238 Downloads
Supawat Rungsuriyawiboon and Spiro E. Stefanou
The Difference Between Hedonic Imputation Indexes and Time Dummy Hedonic Indexes pp. 239-246 Downloads
Mick Silver and Saeed Heravi
Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation pp. 247-264 Downloads
Denis Fougere, Herve Le Bihan and Patrick Sevestre
Estimating the Effects of Family Background on the Return to Schooling pp. 265-277 Downloads
Olivier Deschenes
Improved Errors-in-Variables Estimators for Grouped Data pp. 278-287 Downloads
Paul J. Devereux
Peer and Selection Effects on Youth Smoking in California pp. 288-298 Downloads
Brian V. Krauth
Using Worker Flows to Measure Firm Dynamics pp. 299-313 Downloads
Gary Benedetto, John Haltiwanger, Julia Lane and Kevin McKinney
Calculating Comparable Statistics From Incomparable Surveys, With an Application to Poverty in India pp. 314-336 Downloads
Alessandro Tarozzi
Analytical Bias Reduction for Small Samples in the U.S. Consumer Price Index pp. 337-346 Downloads
Ralph Bradley
Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso pp. 347-355 Downloads
Hansheng Wang, Guodong Li and Guohua Jiang
A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression pp. 356-376 Downloads
Z.L. Yang and Y.K. Tse
Moment-Based Copula Tests for Financial Returns pp. 377-397 Downloads
Chen, Yi-Ting
Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach pp. 398-410 Downloads
Beaulieu, Marie-Claude, Dufour, Jean-Marie and Lynda Khalaf
On the Role of Risk Premia in Volatility Forecasting pp. 411-426 Downloads
Mikhail Chernov
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation pp. 427-446 Downloads
Morten Orregaard Nielsen
Testing for Neglected Nonlinearity in Long-Memory Models pp. 447-461 Downloads
Richard T. Baillie and George Kapetanios
Estimation of Fractional Dependent Variables in Dynamic Panel Data Models With an Application to Firm Dividend Policy pp. 462-472 Downloads
Margaret S. Loudermilk
Inference in Panel Cointegration Models With Long Panels pp. 473-483 Downloads
Rolf Larsson and Johan Lyhagen
Does Wealth Explain BlackWhite Differences in Early Employment Careers? pp. 484-500 Downloads
Silvio Rendon
Editors' Report 2006 pp. 503-503 Downloads
Torben G. Andersen, Arthur Lewbel and Serena Ng
Page updated 2008-07-18