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Journal of Applied Econometrics

1986 - 2010

Current editor(s): M. Hashem Pesaran

from John Wiley & Sons, Ltd.

This journal is continued by Journal of Applied Econometrics.
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Volume 11, issue 6, 1996

Numerical Distribution Functions for Unit Root and Cointegration Tests pp. 601-18 Downloads
James MacKinnon
Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates pp. 619-32 Downloads
Leslie E. Papke and Jeffrey Marc Wooldridge
Semiparametric Estimation of a Hedonic Price Function pp. 633-48 Downloads
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 Downloads
Ivaldi, Marc, et al
A Non-linear Model of the Real US-UK Exchange Rate pp. 669-86 Downloads
John Creedy, Jeanette Ngaire Lye and Vance Lindsay Martin
GAUSSX: Version 3.4 pp. 687-93 Downloads
Richard G. Pierse

Volume 11, issue 5, 1996

Can We Improve the Perceived Quality of Economic Forecasts? pp. 455-73 Downloads
Clive W. J. Granger
Intercept Corrections and Structural Change pp. 475-94 Downloads
Michael Peter Clements and David F. Hendry
Assessing Forecast Performance in a Cointegrated System pp. 495-517 Downloads
Dennis L Hoffman and Robert H. Rasche
Co-integration Constraint and Forecasting: An Empirical Examination pp. 519-38 Downloads
Lin, Jin-Lung (henry) and Ruey S Tsay
Estimating Time Series Models Using the Relevant Cost Function pp. 539-60 Downloads
Andrew A Weiss
Further Results on Forecasting and Model Selection under Asymmetric Loss pp. 561-71 Downloads
Peter F. Christoffersen and Francis X. Diebold
Stock Market Volatility and the Business Cycle pp. 573-93 Downloads
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 Downloads
Tor Jakob Klette and Zvi Griliches
Applied Cointegration Analysis in the Mirror of Macroeconomic Theory pp. 363-81 Downloads
Paul Söderlind and Anders Vredin
Persistence of Shocks on Seasonal Processes pp. 383-98 Downloads
Tommaso Proietti
Analytic Derivatives and the Computation of GARCH Estimates pp. 399-417 Downloads
Gabriele Fiorentini, Giorgio Calzolari and Lorenzo Panattoni
Credit Rationing and Threshold Effects in the Relation between Money and Output pp. 419-29 Downloads
John W. Galbraith
Computing Median Unbiased Estimates in Macroeconometric Models pp. 431-35 Downloads
Ray C. Fair
Systems Estimation: A Comparison of SAS, SHAZAM and TSP pp. 437-50 Downloads
Julian Silk

Volume 11, issue 3, 1996

Regime Switching as a Test for Exchange Rate Bubbles pp. 219-51 Downloads
Simon van Norden
On a Double-Threshold Autoregressive Heteroscedastic Time Series Model pp. 253-74 Downloads
C W Li and W K Li
The Excess Co-movement of Commodity Prices Reconsidered pp. 275-91 Downloads
Partha Deb, Pravin K Trivedi and Panayotis Varangis
Occupational Pensions and Job Mobility in Britain: Estimation of a Random-Effects Competing Risks Model pp. 293-320 Downloads
Fabrizia Mealli and Stephen Pudney
Parametric and Semi-parametric Estimation of the Binary Response Model of Labor Market Participation pp. 321-39 Downloads
Michael Gerfin

Volume 11, issue 2, 1996

A Time Series Analysis of Real Wages, Consumption, and Asset Returns pp. 119-34 Downloads
Thomas F. Cooley and Masao Ogaki
Measuring Underlying Economic Activity pp. 135-51 Downloads
Anthony Garratt and Stephen George Hall
Money Demand Revisited: An Operational Subjective Approach pp. 153-68 Downloads
Gail Blattenberger
Panel Estimates of a Two-Tiered Earnings Frontier pp. 169-78 Downloads
Solomon William Polachek and Bong Joon Yoon
Incorporating Monotonicity and Concavity Conditions in Flexible Functional Forms pp. 179-94 Downloads
Dek Terrell
Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. 195-98 Downloads
Bruce E. Hansen
Object-Oriented Econometrics: Matrix Programming in C++ Using GCC and NEWMAT pp. 199-209 Downloads
Dirk Eddelbuttel

Volume 11, issue 1, 1996

Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s pp. 1-22 Downloads
Peter C. B. Phillips, James W McFarland and Patrick C McMahon
Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model pp. 23-40 Downloads
Richard T. Baillie, Ching-Fan Chung and Margie A Tieslau
Transient Fads and the Crash of '87 pp. 41-58 Downloads
Chang-Jin Kim and Myung-Jig Kim
Parametric and Semi-parametric Modelling of Vacation Expenditures pp. 59-76 Downloads
Bertrand Melenberg and Arthur van Soest
Measurement of Total Factor Productivity Growth and Biases in Technological Change in Western Australian Agriculture pp. 77-91 Downloads
Timothy James Coelli
Money Stock Targeting and Money Supply: A Closer Examination of the Data pp. 93-104 Downloads
Robert A. Amano and Tony S. Wirjanto
PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review pp. 105-15 Downloads
Mark E. Wohar

Volume 10, issue S, 1995

Introduction: The Microeconometrics of Dynamic Decision Making pp. S1-7 Downloads
Arie Kapteyn, Nicholas M. Kiefer and John Philip Rust
Estimating a Nonlinear Rational Expectations Commodity Price Model with Unobservable State Variables pp. S9-40 Downloads
Angus S. Deaton and Guy Laroque
An Empirical Model of Asset Replacement in Dairy Production pp. S41-55 Downloads
Mario Javier Miranda and Gary D Schnitkey
An Investigation of the Harvest Decision of Timber Firms in the South-East United States pp. S57-74 Downloads
Bill Provencher
Optimal Response to a Shift in Regulatory Regime: The Case of the US Nuclear Power Industry pp. S75-118 Downloads
John Philip Rust and Geoffrey Scott Rothwell
Estimation of Equilibrium Wage Distributions with Heterogeneity pp. S119-31 Downloads
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 Downloads
Pierre Koning, Geert Ridder and Gerard J. van den Berg
Analysing Incomplete Individual Employment Histories Using Indirect Inference pp. S153-69 Downloads
Thierry Magnac, Jean-Marc Robin and Michael Visser
Real-Time Pricing of Electricity for Residential Customers: Econometric Analysis of an Experiment pp. S171-91 Downloads
Aubin, Christophe, et al

Volume 10, issue 4, 1995

Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks pp. 347-64 Downloads
Chung-Ming Kuan and Tung Liu
Multiple Regimes and Cross-Country Growth Behaviour pp. 365-84 Downloads
Steven N. Durlauf and Paul Johnson
Modelling Market Fundamentals: A Model of the Aluminum Market pp. 385-410 Downloads
Christopher L Gilbert
A Class of Binary Response Models for Grouped Duration Data pp. 411-31 Downloads
Glenn T Sueyoshi
Cyclical Output, Cyclical Unemployment, and Okun's Coefficient: A New Approach pp. 433-45 Downloads
Christian Ernst Weber
Japan's Financial Deregulation and Linkage of the Gensaki and Euroyen Deposit Markets pp. 447-67 Downloads
Wen-Ling Lin
Review of SIMPC 3.81 pp. 469-76 Downloads
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 Downloads
Kevin Rask
Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship pp. 233-53 Downloads
Baldev Raj
Spectral Tests of the Martingale Hypothesis for Exchange Rates pp. 255-71 Downloads
Wai Mun Fong and Sam Ouliaris
Maximum Likelihood Estimation of a Garch-Stable Model pp. 273-85 Downloads
Shi-Miin Liu and B Wade Brorsen
Heterogeneity Biases, Distributional Effects, and Aggregate Consumption pp. 287-311 Downloads
Nicole M. Fortin
A Simple and Efficient Method for Estimating the Magnitude and Precision of Welfare Changes pp. 313-27 Downloads
Jon A. Breslaw and J Barry Smith
The Maple Computer Algebra System: A Review pp. 329-37 Downloads
John Hutton and James Hutton

Volume 10, issue 2, 1995

Convergence in International Output pp. 97-108 Downloads
Andrew B. Bernard and Steven N. Durlauf
A Nonlinear Approach to US GNP pp. 109-25 Downloads
Simon Potter
Forecasting in Cointegration Systems pp. 127-46 Downloads
Michael Peter Clements and David F. Hendry
Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary pp. 147-63 Downloads
Serena Ng
Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing pp. 165-85 Downloads
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 Downloads
Myoung-jae Lee
The Distribution of Personal Income: Revisited pp. 201-04 Downloads
James Bott McDonald and Anand Mantrala
Review of Coint 2.0 pp. 205-10 Downloads
Serena Ng

Volume 10, issue 1, 1995

Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model pp. 1-15 Downloads
Pim Adang and Bertrand Melenberg
Cointegration Tests of Present Value Models with a Time-Varying Discount Factor pp. 17-31 Downloads
Allan Timmermann
Labour-Use Efficiency in Swedish Social Insurance Offices pp. 33-47 Downloads
Subal C. Kumbhakar and Lennart Hjalmarsson
Separability Test for the Electricity Supply Industry pp. 49-60 Downloads
Byung-Joo Lee
Efficiency in the Provision of University Teaching and Research: An Empirical Analysis of UK Universities pp. 61-72 Downloads
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 Downloads
Steven B Caudill, Jon M. Ford and David L Kaserman
PcGive Professional 8: A Review pp. 79-86 Downloads
Alvaro Escribano
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