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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 ().

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1995, volume 13, issue 4

Dan Nelson Remembered pp. 361-64
Tim Bollerslev and Peter E. Rossi
Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange: The Impact of the "Big Bang" and the 1987 Stock-Market Crash pp. 365-78
Ronald Masulis and Victor K Ng
Can Speculative Trading Explain the Volume-Volatility Relation? pp. 379-96
Frederick Douglas Foster and S Viswanathan
The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets pp. 397-408
Geert Bekaert
Sustainability of the Deficit Process with Structural Shifts pp. 409-17
Carmela E Quintos
Revealed Preference of the Federal Reserve: Using Inverse-Control Theory to Interpret the Policy Equation of a Vector Autoregression pp. 419-33
Michael K Salemi
Uncertainty about the Persistence of Economic Shocks pp. 435-40
John P Miller and Paul Newbold
Temporal Aggregation and Economic Time Series pp. 441-51
Robert J. Rossana and John J. Seater
Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money pp. 453-58
Apostolos Serletis
A Dynamic Analysis of Interfuel Substitution in U.S. Industrial Energy Demand pp. 459-65
Clifton T Jones
Duration Dependence and Dispersion in Count-Data Models pp. 467-74
Rainer Winkelmann
Some Specification Tests for Probit Models Estimated on Panel Data pp. 475-88
Michael Lechner

1995, volume 13, issue 3

Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability pp. 237-52
Fabio Canova and Bruce E. Hansen
Comparing Predictive Accuracy pp. 253-63
Francis X. Diebold and Roberto S. Mariano
A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks pp. 265-75
Norman Rasmus Swanson and Halbert White
Lag Order and Critical Values of the Augmented Dickey-Fuller Test pp. 277-80
Yin-Wong Cheung and Kon S Lai
Reassessing Brand Loyalty, Price Sensitivity, and Merchandising Effects on Consumer Brand Choice pp. 281-89
Greg M Allenby and Peter J Lenk
Modeling the Distribution of Price Sensitivity and Implications for Optimal Retail Pricing pp. 291-303
Byung-Do Kim, Robert C Blattberg and Peter E. Rossi
Measurement Error and Earnings Dynamics: Some Estimates from the PSID Validation Study pp. 305-14
Jorn-Steffen Pischke
A Bayesian Integration of End-Use Metering and Conditional-Demand Analysis pp. 315-26
Cheng Hsiao, Dean Clarence Mountain and Kathleen Ho Illman
Censored Regression Estimation under Unobserved Heterogeneity: A Stochastic Parameter Approach pp. 327-35
Petros E Ioannatos
Research on Establishment-Survey Questionnaire Design pp. 337-46
Polly A Phipps, Shail J Butani and Young Chun
Variance Estimation in the Swedish Consumer Price Index pp. 347-56
Jurgen Dalen and Esbjorn Ohlsson
Sample-Audit Tax Assessment for Businesses: What's Fair? pp. 357-59
S James Press

1995, volume 13, issue 2

Introduction to the JBES Symposium on Program and Policy Evaluation pp. 133-36
Joshua D Angrist
The Benefit of Additional High-School Math and Science Classes for Young Men and Women pp. 137-49
Phillip B. Levine and David John Zimmerman
Natural and Quasi-experiments in Economics pp. 151-61
Bruce D. Meyer
The Labor-Market Effects of Introducing National Health Insurance: Evidence from Canada pp. 163-73
Jonathan Gruber and Maria Hanratty
The Employment Effect in Retail Trade of California's 1988 Minimum Wage Increase pp. 175-82
Taeil Kim and Lowell J Taylor
The General-Liability Reform Experiments and the Distribution of Insurance-Market Outcomes pp. 183-88
W Kip Viscusi and Patricia Born
The Impact of Unemployment Insurance Benefit Levels on Recipiency pp. 189-98
Brian McCall
Minimum Wage Effects on Employment and School Enrollment pp. 199-206
David Neumark and William Wascher
Evaluating the Cost of Conscription in The Netherlands pp. 207-15
Guido Imbens and Wilbert H van der Klaauw
Democratization or Diversion? The Effect of Community Colleges on Educational Attainment pp. 217-24
Cecilia Elena Rouse
Split-Sample Instrumental Variables Estimates of the Return to Schooling pp. 225-35
Joshua D Angrist and Alan B. Krueger

1995, volume 13, issue 1

Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation pp. 1-10
Robin L Lumsdaine
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada pp. 11-25
G. Andrew Karolyi
Estimation of Common Long-Memory Components in Cointegrated Systems pp. 27-35
Jesus Gonzalo and Clive W. J. Granger
Long Memory in Inflation Rates: International Evidence pp. 37-45
Uwe Hassler and Juergen Wolters
Nonstationarity of Regressors and Tests on Real-Interest-Rate Behavior pp. 47-51
Frederic Mishkin
Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features pp. 53-66
Robert E Dorsey and Walter J Mayer
Money, Output, and Prices: Evidence from a New Monetary Aggregate pp. 67-83
Julio Rotemberg, John C. Driscoll and James Poterba
Randomization Tests in Econometrics pp. 85-94
Peter E. Kennedy
Measuring Welfare Changes When Quantity Is Constrained pp. 95-103
Jon A. Breslaw and J Barry Smith
Frontier Estimation and Firm-Specific Inefficiency Measures in the Presence of Heteroscedasticity pp. 105-11
Steven B Caudill, Jon M. Ford and Daniel M Gropper
Contested Tender Offers: An Estimate of the Hazard Function pp. 113-19
Sanjiv Jaggia and Satish Thosar
Establishment Microdata for Economic Research and Policy Analysis: Looking beyond the Aggregates pp. 121-26
Robert H McGuckin
A Comparison between Different Order-Determination Criteria for Identification of ARIMA Models pp. 127-31
Sergio G Koreisha and Tarmo Pukkila

1994, volume 12, issue 4

Bayesian Analysis of Stochastic Volatility Models pp. 371-89
Eric Jacquier, Nicholas G Polson and Peter E. Rossi
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 389-92
Torben G. Andersen
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 393-95
Jon Danielsson
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 395-96
Robert F. Engle
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 397-99
John Geweke
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 399-401
Eric Ghysels and Joann Jasiak
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 402-03
Andrew C. Harvey and Esther Ruiz
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 403-06
Daniel B Nelson
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 406-10
Neil Shephard and Sangjoon Kim
Bayesian Analysis of Stochastic Volatility Models: Comment pp. 410-12
Harald Uhlig
Bayesian Analysis of Stochastic Volatility Models: Comments: Reply pp. 413-17
Eric Jacquier, Nicholas G Polson and Peter E. Rossi
Residential Demand for Electricity under Inverted Block Rates: Evidence from a Controlled Experiment pp. 419-30
Joseph A. Herriges and Kathleen Kuester King
Curvature Restrictions on Flexible Functional Forms: An Application of the Minflex Laurent Almost Ideal Demand System to the Pattern of Spanish Demand, 1954-1987 pp. 431-36
Julian Ramajo
A Combined Bound for Errors in Auditing Based on Hoeffding's Inequality and the Bootstrap pp. 437-48
Howard R Clayton
A Comparison of Unit-Root Test Criteria pp. 449-59
Sastry G Pantula, Graciela Gonzalez-Farias and Wayne A Fuller
Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection pp. 461-70
Alastair Hall
The Effects of Additive Outliers on Tests for Unit Roots and Cointegration pp. 471-78
Philip Hans Franses and Niels Haldrup
The Trend Behavior of Alternative Income Inequality Measures in the United States from 1947-1990 and the Structural Break pp. 479-87
Baldev Raj and Daniel J Slottje
Posterior Properties of Long-Run Impulse Responses pp. 489-92
Gary Koop, Jacek Osiewalski and Mark Steel

1994, volume 12, issue 3

Inventories and the Three Phases of the Business Cycle pp. 269-77
Daniel Sichel
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth pp. 279-88
J Michael Durland and Tom McCurdy
On the Periodic Structure of the Business Cycle pp. 289-98
Eric Ghysels
Business-Cycle Phases and Their Transitional Dynamics pp. 299-308
Andrew J Filardo
A Markov Model of Switching-Regime ARCH pp. 309-16
Jun Cai
A Random-Coefficients Logit Brand-Choice Model Applied to Panel Data pp. 317-28
Dipak C Jain, Naufel J Vilcassim and Pradeep K. Chintagunta
Menu Pricing: An Experimental Approach pp. 329-37
Nicholas M. Kiefer, Thomas J Kelly and Kenneth Burdett
Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function pp. 339-46
Gary Koop, Jacek Osiewalski and Mark Steel
Testing for Cointegration in Linear Quadratic Models pp. 347-60
Allan W. Gregory
Estimating Potential Output as a Latent Variable pp. 361-68
Kenneth Neil Kuttner

1994, volume 12, issue 2

The Statistical Properties of the Equity Estimator pp. 141-47
R Carter Hill and Phillip A. Cartwright
The Statistical Properties of the Equity Estimator: A Reply pp. 149-53
Lakshman Krishnamurthi and Arvind Rangaswamy
The Statistical Properties of the Equity Estimator: A Rejoinder pp. 155
R Carter Hill and Phillip A. Cartwright
The Statistical Properties of the Equity Estimator: Reply to Rejoinder pp. 155a
Lakshman Krishnamurthi and Arvind Rangaswamy
A Consistent Test for a Unit Root pp. 157-66
Stephen Leybourne and Brendan McCabe
Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests pp. 167-76
James MacKinnon
Variance-Ratio Tests: Small-Sample Properties with an Application to International Output Data pp. 177-86
Stephen Cecchetti and Pok-sang Lam
Approximately Median-Unbiased Estimation of Autoregressive Models pp. 187-204
Donald W. K. Andrews and Hong-Yuan Chen
Precautionary Saving: An Explanation for Excess Sensitivity of Consumption pp. 205-19
Michel Normandin
Estimating End-Use Demand: A Bayesian Approach pp. 221-31
Luc Bauwens, Denzil G. Fiebig and Mark Steel
Patterns in Residential Gas and Electricity Consumption: An Econometric Analysis pp. 233-41
Ray-Shine Lee and Nirvikar Singh
Coordinate Space versus Index Space Representations as Estimation Methods: An Application to How Macro Activity Affects the U.S. Income Distribution pp. 243-51
Hang K Ryu and Daniel J Slottje
Endogenous Trading Volume and Momentum in Stock-Return Volatility pp. 253-60
Christopher G Lamoureux and William D Lastrapes
Imposing Linear Homogeneity on Box-Tidwell Flexible Functional Forms pp. 261-65
Richard T. Shin and John S. Ying

1994, volume 12, issue 1

Using Neoclassical Consumer-Choice Theory to Produce a Market Map from Purchase Data pp. 1-9
T C Srinivasan and Russell S Winer
Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods pp. 11-21
M Hashem Pesaran, Richard G. Pierse and Kevin Charles Lee
A Quality-Adjusted Price Index for Personal Computers pp. 23-31
Randy Nelson, Tim L Tanguay and Christopher D Patterson
Financial-Firm Production of Monetary Services: A Generalized Symmetric Barnett Variable-Profit-Function Approach pp. 33-46
William Arnold Barnett and Jeong Ho Hahm
The Appropriate Scale Variable in the U.S. Money Demand: An Application of Nonnnested Tests of Consumption versus Income Measures pp. 47-55
Elyas Elyasiani and Alireza Nasseh
Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models pp. 57-79
Craig Burnside
A Spectral-Temporal Index with an Application to U.S. Interest Rates pp. 81-93
Guay C. Lim and Vance Lindsay Martin
A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models pp. 95-107
Gary Koop and Mark Steel
Semiparametric Tests for Double Unit Roots pp. 109-22
Niels Haldrup
Truncation Bias and the Ordinal Evaluation of Income Inequality pp. 123-27
John A Bishop, Jong-Rong Chiou and John P Formby
Forecasting Performance of Structural Time Series Models pp. 129-33
Rick L Andrews
Nonlinear Monetary Dynamics: Comment pp. 135-36
James B Ramsey and Philip Rothman
Reply [Nonlinear Monetary Dynamics] pp. 136-37
Gregory P DeCoster and Douglas W Mitchell
Correction [A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances] pp. 139
John H H Lee and Maxwell Leslie King
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