Journal of Business & Economic Statistics

1983 - 2011

Edited by Jonathan H. Wright and Keisuke Hirano

from American Statistical Association

This journal is continued by Journal of Business & Economic Statistics.
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

Nikolay Gospodinov, Alex S. Maynard and Elena Pesavento

Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models pp. 468-480

Junye Li

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets pp. 481-492

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

Melissa Bjelland, Bruce Fallick, John Haltiwanger and Erika L. McEntarfer

Homogenous and Heterogenous Contestants in Piece Rate Tournaments: Theory and Empirical Analysis pp. 506-517

Tomislav Vukina and Xiaoyong Zheng

Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications pp. 518-528

Ke-Li Xu and Peter C. B. Phillips

Lumpy Price Adjustments: A Microeconometric Analysis pp. 529-540

Emmanuel Dhyne, Catherine Fuss, M Hashem Pesaran and Patrick SEVESTRE

Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models pp. 541-551

Yiguo Sun and Qi Li

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations pp. 552-563

Drew Dennis Creal, Siem Jan Koopman and Lucas, André

Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry pp. 564-578

Lu Han and Seung-Hyun Hong

Score Tests for Hyperbolic GARCH Models pp. 579-586

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

Bob Chirinko, Steven Mark Fazzari and Andrew P. Meyer

Editors’ Report 2011 pp. 597-597

Keisuke Hirano and Jonathan Wright

2011, volume 29, issue 3

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility pp. 327-341

Todd Clark

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search pp. 342-355

Antonello Loddo, Shawn Ni and Dongchu Sun

Volatility Jumps pp. 356-371

Viktor Todorov and George Tauchen

The Intergenerational Transmission of Income Volatility: Is Riskiness Inherited? pp. 372-381

Stephen H. Shore

Bayesian Inference in Structural Second-Price Common Value Auctions pp. 382-396

Bertil Wegmann and Mattias Villani

Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach pp. 397-410

Andrew Patton and Allan Timmermann

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules pp. 411-422

Tilmann Gneiting and Roopesh Ranjan

A Test Against Spurious Long Memory pp. 423-438

Zhongjun Qu

Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods pp. 439-454

Pakoš, Michal

2011, volume 29, issue 2

Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns pp. 201-215

Patrick Bayer, Shakeeb Khan and Christopher Timmins

Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate pp. 216-227

David F. Hendry and Kirstin Hubrich

Dynamic Censored Regression and the Open Market Desk Reaction Function pp. 228-237

Robert Jong and Ana María Herrera

Robust Inference With Multiway Clustering pp. 238-249

A. Colin Cameron, Jonah B. Gelbach and Douglas Lee Miller

Estimation for Non-Negative Lévy-Driven CARMA Processes pp. 250-259

Peter J. Brockwell, Richard A. Davis and Yu Yang

Tests for the Second Order Stochastic Dominance Based on L-Statistics pp. 260-270

Berrendero, José R. and Cárcamo, Javier

The Increasingly Mixed Proportional Hazard Model: An Application to Socioeconomic Status, Health Shocks, and Mortality pp. 271-281

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

Chirok Han, Jin Seo Cho and Peter C. B. Phillips

Local and Global Rank Tests for Multivariate Varying-Coefficient Models pp. 295-306

Stephen Geoffrey Donald, Fortuna, Natércia and Vladas Pipiras

Forecast Combination Across Estimation Windows pp. 307-318

M Hashem Pesaran and Andreas Pick

A Comparison of Sales Response Predictions From Demand Models Applied to Store-Level versus Panel Data pp. 319-326

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

Alberto Abadie and Guido Imbens

The Distributional Impacts of Minimum Wage Increases When Both Labor Supply and Labor Demand Are Endogenous pp. 12-23

Tom Ahn, Peter Arcidiacono and Walter Wessels

Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents pp. 24-39

Xavier Gabaix and Rustam Ibragimov

Heteroscedastic Transformation Models With Covariate Dependent Censoring pp. 40-48

Shakeeb Khan, Youngki Shin and Elie Tamer

Identification of Expected Outcomes in a Data Error Mixing Model With Multiplicative Mean Independence pp. 49-60

Brent Kreider and John V. Pepper

Estimating Income Poverty in the Presence of Missing Data and Measurement Error pp. 61-72

Cheti Nicoletti, Franco Peracchi and Francesca Foliano

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity pp. 73-85

Robert C. Jung, Roman Liesenfeld and Richard, Jean-François

An Econometric Analysis of Some Models for Constructed Binary Time Series pp. 86-95

Don Harding and Adrian Rodney Pagan

Adaptive Experimental Design Using the Propensity Score pp. 96-108

Jinyong Hahn, Keisuke Hirano and Dean S. Karlan

Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model pp. 109-125

Xiangdong Long, Liangjun Su and Aman Ullah

The Fed and the Stock Market: An Identification Based on Intraday Futures Data pp. 126-137

D’Amico, Stefania and Mira Farka

A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations pp. 138-149

Francesco Audrino and Fabio Trojani

Evaluating Value-at-Risk Models via Quantile Regression pp. 150-160

Wagner Piazza Gaglianone, Luiz Renato Lima, Oliver Bruce Linton and Daniel R. Smith

Cointegration and Long-Run Asset Allocation pp. 161-173

Ravi Bansal and Dana Kiku

Nonparametric Estimation of Labor Supply and Demand Factors pp. 174-185

Tsunao Okumura

Autocontours: Dynamic Specification Testing pp. 186-200

González-Rivera, Gloria, Zeynep Senyuz and Emre Yoldas

2010, volume 28, issue 4

t-Statistic Based Correlation and Heterogeneity Robust Inference pp. 453-468

Rustam Ibragimov and Müller, Ulrich K.

Estimating Static Models of Strategic Interactions pp. 469-482

Patrick Bajari, Han Hong, John Robert Krainer and Denis Nekipelov

Volatility Components, Affine Restrictions, and Nonnormal Innovations pp. 483-502

Peter F. Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang

Testing for Multiple Structural Changes in Cointegrated Regression Models pp. 503-522

Mohitosh Kejriwal and Pierre Perron

The Common-Scaling Social Cost-of-Living Index pp. 523-538

Thomas F. Crossley and Krishna Pendakur

A Pure-Jump Transaction-Level Price Model Yielding Cointegration pp. 539-558

Clifford M. Hurvich and Yi Wang

The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection pp. 559-571

Pedro Galeano and Ausín, M. Concepción

Editors’ Report 2009 pp. 574-574

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

Siem Jan Koopman, Max . P. Mallee and Michel van der Wel

Decriminalization and Marijuana Smoking Prevalence: Evidence From Australia pp. 344-356

Kannika Damrongplasit, Cheng Hsiao and Xueyan Zhao

A Bayesian Nonparametric Approach to Inference for Quantile Regression pp. 357-369

Matthew A. Taddy and Athanasios Kottas

Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve pp. 370-379

Gary Koop, Roberto Leon-Gonzalez and Rodney W. Strachan

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes pp. 380-396

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

George Kapetanios

Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models pp. 410-422

Robert F. Phillips

A New Class of Tests of Contagion With Applications pp. 423-437

Renee A. Fry, Vance Lindsay Martin and Chrismin Tang

Derivative Pricing With Wishart Multivariate Stochastic Volatility pp. 438-451

Christian S. 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

Victor Aguirregabiria

Rounding Probabilistic Expectations in Surveys pp. 219-231

Charles F. Manski and Francesca Molinari

Modeling Financial Return Dynamics via Decomposition pp. 232-245

Stanislav Anatolyev and Nikolay Gospodinov

Testing for Serial Correlation: Generalized Andrews–Ploberger Tests pp. 246-255

John C. Nankervis and N. E. Savin

Semiparametric Estimator of Time Series Conditional Variance pp. 256-274

Santosh Mishra, Liangjun Su and Aman Ullah

Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices pp. 275-290

Pierre Perron and Zhongjun Qu

Nonparametric Discrete Choice Models With Unobserved Heterogeneity pp. 291-307

Richard A. Briesch, Pradeep K. Chintagunta and Rosa Liliana Matzkin

Optimal Binary Prediction for Group Decision Making pp. 308-319

Robert Pal Lieli and Augusto Nieto-Barthaburu

Default Estimation and Expert Information pp. 320-328

Nicholas M. Kiefer

2010, volume 28, issue 1

Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions pp. 1-12

Nikolay Gospodinov

Instrumental Variables Estimation With Flexible Distributions pp. 13-25

Christian Hansen, James McDonald and Whitney K. Newey

March Madness, Quantile Regression Bracketology, and the Hayek Hypothesis pp. 26-35

Roger Koenker and Gilbert W. Bassett

Backtesting Parametric Value-at-Risk With Estimation Risk pp. 36-51

Juan Carlos Escanciano and Jose Olmo

Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions pp. 52-66

Juárez, Miguel A. and Mark Steel

Multi-Index Binary Response Analysis of Large Data Sets pp. 67-81

Prasad A. Naik, Michel Wedel and Wagner Kamakura

Missing Treatments pp. 82-95

Francesca Molinari

Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity pp. 96-114

Seung Hyun Hong and Peter C. B. Phillips

A Prior for Impulse Responses in Bayesian Structural VAR Models pp. 115-127

Kocięcki, Andrzej

Wild Bootstrap Tests for IV Regression pp. 128-144

Russell Davidson and James MacKinnon

Estimating Panel Models With Internal and External Habit Formation pp. 145-158

George M. Korniotis

Structural Vector Autoregressions With Nonnormal Residuals pp. 159-168

Markku Lanne and Lütkepohl, Helmut

Testing for Stochastic Dominance Efficiency pp. 169-180

Olivier Scaillet and Nikolas Topaloglou

Glass Ceilings or Glass Doors? Wage Disparity Within and Between Firms pp. 181-189

Krishna Pendakur and Simon D. Woodcock

The Quality Adjusted Price Index in the Pure Characteristics Demand Model pp. 190-199

Minjae Song