Journal of Applied Econometrics

1986 - 2009

Edited by M. Hashem Pesaran

from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 11, issue 6, 1996

Numerical Distribution Functions for Unit Root and Cointegration Tests pp. 601-18

James MacKinnon

Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates pp. 619-32

Leslie E. Papke and Jeffrey Wooldridge

Semiparametric Estimation of a Hedonic Price Function pp. 633-48

Paul M Anglin and Ramazan Gencay

Comparing Fourier and Translog Specifications of Multiproduct Technology: Evidence from an Incomplete Panel of French Farmers pp. 649-67

Ivaldi, Marc, et al

A Non-linear Model of the Real US-UK Exchange Rate pp. 669-86

John Creedy, Jeanette Ngaire Lye and Vance Lindsay Martin

GAUSSX: Version 3.4 pp. 687-93

Richard G. Pierse

Volume 11, issue 5, 1996

Can We Improve the Perceived Quality of Economic Forecasts? pp. 455-73

Clive W. J. Granger

Intercept Corrections and Structural Change pp. 475-94

Michael Peter Clements and David F. Hendry

Assessing Forecast Performance in a Cointegrated System pp. 495-517

Dennis L Hoffman and Robert H. Rasche

Co-integration Constraint and Forecasting: An Empirical Examination pp. 519-38

Jin-Lung (henry) Lin and Ruey S Tsay

Estimating Time Series Models Using the Relevant Cost Function pp. 539-60

Andrew A Weiss

Further Results on Forecasting and Model Selection under Asymmetric Loss pp. 561-71

Peter F. Christoffersen and Francis Diebold

Stock Market Volatility and the Business Cycle pp. 573-93

James Hamilton and Lin Gang

Volume 11, issue 4, 1996

The Inconsistency of Common Scale Estimators When Output Prices Are Unobserved and Endogenous pp. 343-61

Tor Jakob Klette and Zvi Griliches

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory pp. 363-81

Paul Soderlind and Anders Vredin

Persistence of Shocks on Seasonal Processes pp. 383-98

Tommaso Proietti

Analytic Derivatives and the Computation of GARCH Estimates pp. 399-417

Gabriele Fiorentini, Giorgio Calzolari and Lorenzo Panattoni

Credit Rationing and Threshold Effects in the Relation between Money and Output pp. 419-29

John W. Galbraith

Computing Median Unbiased Estimates in Macroeconometric Models pp. 431-35

Ray Fair

Systems Estimation: A Comparison of SAS, SHAZAM and TSP pp. 437-50

Julian Silk

Volume 11, issue 3, 1996

Regime Switching as a Test for Exchange Rate Bubbles pp. 219-51

Simon van Norden

On a Double-Threshold Autoregressive Heteroscedastic Time Series Model pp. 253-74

C W Li and W K Li

The Excess Co-movement of Commodity Prices Reconsidered pp. 275-91

Partha Deb, Pravin Trivedi and Panayotis Varangis

Occupational Pensions and Job Mobility in Britain: Estimation of a Random-Effects Competing Risks Model pp. 293-320

Fabrizia Mealli and Stephen Pudney

Parametric and Semi-parametric Estimation of the Binary Response Model of Labor Market Participation pp. 321-39

Michael Gerfin

Volume 11, issue 2, 1996

A Time Series Analysis of Real Wages, Consumption, and Asset Returns pp. 119-34

Thomas Cooley and Masao Ogaki

Measuring Underlying Economic Activity pp. 135-51

Anthony Garratt and Stephen George Hall

Money Demand Revisited: An Operational Subjective Approach pp. 153-68

Gail Blattenberger

Panel Estimates of a Two-Tiered Earnings Frontier pp. 169-78

Solomon William Polachek and Bong Joon Yoon

Incorporating Monotonicity and Concavity Conditions in Flexible Functional Forms pp. 179-94

Dek Terrell

Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. 195-98

Bruce E. Hansen

Object-Oriented Econometrics: Matrix Programming in C++ Using GCC and NEWMAT pp. 199-209

Dirk Eddelbuttel

Volume 11, issue 1, 1996

Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s pp. 1-22

Peter C. B. Phillips, James W McFarland and Patrick C McMahon

Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model pp. 23-40

Richard T. Baillie, Chung, Ching-Fan and Margie A Tieslau

Transient Fads and the Crash of '87 pp. 41-58

Chang-Jin Kim and Kim, Myung-Jig

Parametric and Semi-parametric Modelling of Vacation Expenditures pp. 59-76

Bertrand Melenberg and Arthur van Soest

Measurement of Total Factor Productivity Growth and Biases in Technological Change in Western Australian Agriculture pp. 77-91

Timothy James Coelli

Money Stock Targeting and Money Supply: A Closer Examination of the Data pp. 93-104

Robert Amano and Tony S. Wirjanto

PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review pp. 105-15

Mark Wohar

Volume 10, issue S, 1995

Introduction: The Microeconometrics of Dynamic Decision Making pp. S1-7

Arie Kapteyn, Nicholas M Kiefer and John Rust

Estimating a Nonlinear Rational Expectations Commodity Price Model with Unobservable State Variables pp. S9-40

Angus Deaton and Guy Laroque

An Empirical Model of Asset Replacement in Dairy Production pp. S41-55

Mario Joseph Miranda and Gary D Schnitkey

An Investigation of the Harvest Decision of Timber Firms in the South-East United States pp. S57-74

Bill Provencher

Optimal Response to a Shift in Regulatory Regime: The Case of the US Nuclear Power Industry pp. S75-118

John Rust and Geoffrey Rothwell

Estimation of Equilibrium Wage Distributions with Heterogeneity pp. S119-31

Audra J. Bowlus, Nicholas M Kiefer and George R Neumann

Structural and Frictional Unemployment in an Equilibrium Search Model with Heterogeneous Agents pp. S133-51

Pierre Koning, Geert Ridder and Gerard J. van den Berg

Analysing Incomplete Individual Employment Histories Using Indirect Inference pp. S153-69

Thierry Magnac, Jean-Marc Robin and Michael Visser

Real-Time Pricing of Electricity for Residential Customers: Econometric Analysis of an Experiment pp. S171-91

Aubin, Christophe, et al

Volume 10, issue 4, 1995

Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks pp. 347-64

Chung-Ming Kuan and Tung Liu

Multiple Regimes and Cross-Country Growth Behaviour pp. 365-84

Steven N. Durlauf and Paul Johnson

Modelling Market Fundamentals: A Model of the Aluminum Market pp. 385-410

Christopher L Gilbert

A Class of Binary Response Models for Grouped Duration Data pp. 411-31

Glenn T Sueyoshi

Cyclical Output, Cyclical Unemployment, and Okun's Coefficient: A New Approach pp. 433-45

Christian Ernst Weber

Japan's Financial Deregulation and Linkage of the Gensaki and Euroyen Deposit Markets pp. 447-67

Lin, Wen-Ling

Review of SIMPC 3.81 pp. 469-76

R J Black

Volume 10, issue 3, 1995

The Structure of Technology in Brazilian Sugarcane Production, 1975-87: An Application of a Modified Symmetric Generalized McFadden Cost Function pp. 221-32

Kevin Rask

Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship pp. 233-53

Baldev Raj

Spectral Tests of the Martingale Hypothesis for Exchange Rates pp. 255-71

Wai Mun Fong and Sam Ouliaris

Maximum Likelihood Estimation of a Garch-Stable Model pp. 273-85

Liu, Shi-Miin and B Wade Brorsen

Heterogeneity Biases, Distributional Effects, and Aggregate Consumption pp. 287-311

Nicole M. Fortin

A Simple and Efficient Method for Estimating the Magnitude and Precision of Welfare Changes pp. 313-27

Jon A. Breslaw and J Barry Smith

The Maple Computer Algebra System: A Review pp. 329-37

John Hutton and James Hutton

Volume 10, issue 2, 1995

Convergence in International Output pp. 97-108

Andrew B. Bernard and Steven N. Durlauf

A Nonlinear Approach to US GNP pp. 109-25

Simon Potter

Forecasting in Cointegration Systems pp. 127-46

Michael Peter Clements and David F. Hendry

Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary pp. 147-63

Serena Ng

Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing pp. 165-85

Jeremy Smith and Michael McAleer

Semi-parametric Estimation of Simultaneous Equations with Limited Dependent Variables: A Case Study of Female Labour Supply pp. 187-200

Lee, Myoung-Jae

The Distribution of Personal Income: Revisited pp. 201-04

James McDonald and Anand Mantrala

Review of Coint 2.0 pp. 205-10

Serena Ng

Volume 10, issue 1, 1995

Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model pp. 1-15

Pim Adang and Bertrand Melenberg

Cointegration Tests of Present Value Models with a Time-Varying Discount Factor pp. 17-31

Allan Timmermann

Labour-Use Efficiency in Swedish Social Insurance Offices pp. 33-47

Subal C. Kumbhakar and Lennart Hjalmarsson

Separability Test for the Electricity Supply Industry pp. 49-60

Byung-Joo Lee

Efficiency in the Provision of University Teaching and Research: An Empirical Analysis of UK Universities pp. 61-72

J C Glass, Donal G McKillop and N Hyndman

Certificate-of-Need Regulation and the Diffusion of Innovations: A Random Coefficient Model pp. 73-78

Steven B Caudill, Jon M. Ford and David L Kaserman

PcGive Professional 8: A Review pp. 79-86

Alvaro Escribano