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Journal of Business & Economic Statistics
1983 - 2011

Current editor(s): 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
On this page 1995, volume 13
Issue 4 Issue 3 Issue 2 Issue 1 1994, volume 12
Issue 4 Issue 3 Issue 2 Issue 1 Other years 2011, volume 29
2010, volume 28
2009, volume 27
2008, volume 26
2007, volume 25
2006, volume 24
2005, volume 23
2004, volume 22
2003, volume 21
2002, volume 20
2001, volume 19
2000, volume 18
1999, volume 17
1998, volume 16
1997, volume 15
1996, volume 14
1993, volume 11
1992, volume 10
1991, volume 9
1990, volume 8
1989, volume 7
1988, volume 6
1987, volume 5
1986, volume 4
1985, volume 3
1984, volume 2
1983, volume 1
On this page 1995, volume 13
Issue 4 Issue 3 Issue 2 Issue 1 1994, volume 12
Issue 4 Issue 3 Issue 2 Issue 1 Other years 2011, volume 29
2010, volume 28
2009, volume 27
2008, volume 26
2007, volume 25
2006, volume 24
2005, volume 23
2004, volume 22
2003, volume 21
2002, volume 20
2001, volume 19
2000, volume 18
1999, volume 17
1998, volume 16
1997, volume 15
1996, volume 14
1993, volume 11
1992, volume 10
1991, volume 9
1990, volume 8
1989, volume 7
1988, volume 6
1987, volume 5
1986, volume 4
1985, volume 3
1984, volume 2
1983, volume 1