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

Richard Startz

Robust Nonnested Testing and the Demand for Money pp. 9-17

Choi, Hwan-Sik and Nicholas M. Kiefer

Bayesian Analysis of the Output Gap pp. 18-32

Christophe Planas, Alessandro Rossi and Gabriele Fiorentini

Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation pp. 33-41

George Kapetanios, Vincent Labhard and Simon Price

A Comparison of the Real-Time Performance of Business Cycle Dating Methods pp. 42-49

Marcelle Chauvet and Jeremy Piger

Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity pp. 50-65

Ruxandra Prodan

Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models pp. 66-77

Paolo Giordani and Robert Kohn

Model-Based Clustering of Multiple Time Series pp. 78-89

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

Andreas Brezger and Winfried J. Steiner

Foreign Technology Transfer and Productivity: Evidence From a Matched Sample pp. 105-112

Mahmut Yasar and Catherine J. Morrison Paul

A Simple Test for Nonstationarity in Mixed Panels pp. 113-127

Serena Ng

Asset Prices Under Habit Formation and Reference-Dependent Preferences pp. 131-143

Motohiro Yogo

Explaining and Forecasting Online Auction Prices and Their Dynamics Using Functional Data Analysis pp. 144-160

Shanshan Wang, Wolfgang Jank and Galit Shmueli

True or Spurious Long Memory? A New Test pp. 161-175

Arek Ohanissian, Jeffrey R. Russell and Ruey S. Tsay

A Simulation-Based Specification Test for Diffusion Processes pp. 176-193

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

Thomas Lux

Dynamic Factors and the Source of Momentum Profits pp. 211-226

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

Kenneth D. Roskelley

VARMA versus VAR for Macroeconomic Forecasting pp. 237-252

George Athanasopoulos and Farshid Vahid

Marginal Comparisons With the Best and the Efficiency Measurement Problem pp. 253-260

Yangseon Kim and Peter Schmidt

2007

Editorial Announcement pp. 1-1

Torben G. Andersen

Common Features in Economics and Finance: An Overview of Recent Developments pp. 2-11

Giovanni Urga

A Note on Common Cycles, Common Trends, and Convergence pp. 12-20

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

Niels Haldrup, Svend Hylleberg, Gabriel Pons and Andreu Sanso

Co-Breaking: Recent Advances and a Synopsis of the Literature pp. 33-51

David F. Hendry and Michael Massmann

Determining the Number of Primitive Shocks in Factor Models pp. 52-60

Jushan Bai and Serena Ng

A Multivariate Generalized Orthogonal Factor GARCH Model pp. 61-75

Markku Lanne and Pentti Saikkonen

Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? pp. 76-90

Heather M. Anderson and Farshid Vahid

Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel pp. 91-96

Dante Amengual and Mark W. Watson

Estimating and Combining National Income Distributions Using Limited Data pp. 97-109

Duangkamon Chotikapanich, William Edward Griffiths and D.S. Prasada Rao

A More Timely and Useful Index of Leading Indicators pp. 110-120

Robert H. McGuckin, Ataman Ozyildirim and Victor Zarnowitz

On the Fit of New Keynesian Models pp. 123-143

Marco Del Negro, Frank Schorfheide, Frank Smets and Rafael Wouters

Comment pp. 143-151

Lawrence J. Christiano

Comment pp. 151-152

A. Ronald Gallant

Comment pp. 152-154

Christopher A. Sims

Comment pp. 154-156

Jon Faust

Comment pp. 156-159

Lutz Kilian

Rejoinder pp. 159-162

Marco Del Negro, Frank Schorfheide, Frank Smets and Rafael Wouters

Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses pp. 163-176

Shawn Ni, Dongchu Sun and Xiaoqian Sun

Comparing Density Forecasts via Weighted Likelihood Ratio Tests pp. 177-190

Gianni Amisano and Raffaella Giacomini

Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation: Evidence From the Survey of Professional Forecasters pp. 191-200

Sean D. Campbell

Market-Based Measures of Monetary Policy Expectations pp. 201-212

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

Albert J. Menkveld, Siem Jan Koopman and Andre Lucas

Dynamic Efficiency Estimation: An Application to U.S. Electric Utilities pp. 226-238

Supawat Rungsuriyawiboon and Spiro E. Stefanou

The Difference Between Hedonic Imputation Indexes and Time Dummy Hedonic Indexes pp. 239-246

Mick Silver and Saeed Heravi

Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation pp. 247-264

Denis Fougere, Herve Le Bihan and Patrick Sevestre

Estimating the Effects of Family Background on the Return to Schooling pp. 265-277

Olivier Deschenes

Improved Errors-in-Variables Estimators for Grouped Data pp. 278-287

Paul J. Devereux

Peer and Selection Effects on Youth Smoking in California pp. 288-298

Brian V. Krauth

Using Worker Flows to Measure Firm Dynamics pp. 299-313

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

Alessandro Tarozzi

Analytical Bias Reduction for Small Samples in the U.S. Consumer Price Index pp. 337-346

Ralph Bradley

Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso pp. 347-355

Hansheng Wang, Guodong Li and Guohua Jiang

A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression pp. 356-376

Z.L. Yang and Y.K. Tse

Moment-Based Copula Tests for Financial Returns pp. 377-397

Chen, Yi-Ting

Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach pp. 398-410

Beaulieu, Marie-Claude, Dufour, Jean-Marie and Lynda Khalaf

On the Role of Risk Premia in Volatility Forecasting pp. 411-426

Mikhail Chernov

Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation pp. 427-446

Morten Orregaard Nielsen

Testing for Neglected Nonlinearity in Long-Memory Models pp. 447-461

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

Margaret S. Loudermilk

Inference in Panel Cointegration Models With Long Panels pp. 473-483

Rolf Larsson and Johan Lyhagen

Does Wealth Explain BlackWhite Differences in Early Employment Careers? pp. 484-500

Silvio Rendon

Editors' Report 2006 pp. 503-503

Torben G. Andersen, Arthur Lewbel and Serena Ng