EconPapers    
Economics at your fingertips  
 

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.
Series data maintained by Wiley-Blackwell Digital Licensing ().

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.


Volume 7, issue S, 1992

Nonlinear Dynamics and Econometrics: An Introduction pp. S1-7 Downloads
M Pesaran and Simon Potter
Complex Economic Dynamics: Obvious in History, Generic in Theory, Elusive in Data pp. S9-23 Downloads
R H Day
Using the Correlation Exponent to Decide whether an Economic Series is Chaotic pp. S25-39 Downloads
Tung Liu, Clive Granger and W P Heller
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis pp. S41-60 Downloads
W D Dechert and Ramazan Gencay
The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. S61-82 Downloads
Bruce Hansen
Merger Waves and the Structure of Merger and Acquisition Time-Series pp. S83-100 Downloads
R J Town
Nonlinear Dynamics in a Structural Model of Employment pp. S101-18 Downloads
Simon Burgess
Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models pp. S119-36 Downloads
Timo Teräsvirta and Heather Anderson
Forecast Improvements Using a Volatility Index pp. S137-49 Downloads
Blake Lebaron
Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates pp. S151-63 Downloads
Bruce Mizrach
Nonlinear Time-Series Analysis of Stock Volatilities pp. S165-85 Downloads
Charles Cao and R S Tsay
The Comparative Power of the TR Test against Simple Threshold Models pp. S187-95 Downloads
Philip Rothman

Volume 7, issue 4, 1992

Market Structure and Spells of Employment and Unemployment: Evidence from the Construction Sector in Egypt pp. 339-67 Downloads
Insan Tunali and Ragui Assaad
Stochastic Trends and Economic Fluctuations in a Small Open Economy pp. 369-94 Downloads
Erik Mellander, Anders Vredin and Anders Warne
Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach pp. 395-411 Downloads
Gary Koop
Simple Tests for Sample Selection Bias in Censored and Discrete Choice Models pp. 413-21 Downloads
Francis Vella
MicroTSP Version 7.0: A Review pp. 423-29 Downloads
Matthew L Higgins and Nabil Ltaifa

Volume 7, issue 3, 1992

Survey Evidence on the Rationality of Expectations pp. 225-41 Downloads
Marc Ivaldi
Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function pp. 243-57 Downloads
Theo Nijman and Marno Verbeek
Alternative Estimators for Factor GARCH Models--A Monte Carlo Comparison pp. 259-79 Downloads
Wen-Ling Lin
International Evidence on Persistence in Output in the Presence of an Episodic Change pp. 281-93 Downloads
Baldev Raj
The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples pp. 295-308 Downloads
Stephen R Blough
Polynomial Approximations in Cross-Sectional Models pp. 309-22 Downloads
R P Byron
A Review of the Econometrics Toolkit (ET) pp. 323-28 Downloads
Michael P Kidd

Volume 7, issue 2, 1992

The Role of the List Price in Housing Markets: Theory and an Econometric Model pp. 115-29 Downloads
Joel Horowitz
The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model pp. 131-48 Downloads
Robert Rich, J E Raymond and J S Butler
Automobile Insurance Ratemaking in the Presence of Asymmetrical Information pp. 149-65 Downloads
Georges Dionne and C Vanasse
Estimation of Data Measured with Error and Subject to Linear Restrictions pp. 167-74 Downloads
Martin Weale
Some Strange Properties of Panel Data Estimators pp. 175-89 Downloads
Donald Robertson and J Symons
Hypotheses Testing Concerning Relationships between Spot Prices of Various Types of Coffee pp. 191-201 Downloads
E Vogelvang
The Stationarity of British Economic and Productivity Growth 1856-1913 pp. 203-09 Downloads
D Greasley
Erratum [Resampling a Time-Series Process: A Method of Estimating the Probabilities Associated with Alternative Plans for Protecting Pensions against Inflation] pp. 211-13 Downloads
Frank Denton and Byron Spencer
The GAUSS Programming System: A Review pp. 215-19 Downloads
Richard Anderson

Volume 7, issue 1, 1992

Time Aggregation and the Distributional Shape of Unemployment Duration pp. 5-30 Downloads
R Bergstrom and Per-Anders Edin
Classification and Aggregation: An Application to Industrial Classification in CPS Data pp. 31-51 Downloads
R Cotterman and Franco Peracchi
Estimation of a Continuous-Time Dynamic Demand System pp. 53-64 Downloads
Marcus Chambers
'Objective' Bayesian Unit Root Tests pp. 65-82 Downloads
Gary Koop
Testing a Discrete Switching Disequilibrium Model of the UK Labour Market pp. 83-91 Downloads
Stephen Hall, S G B Henry and M Pemberton
Bootstrapping the Process of Model Selection: An Econometric Example pp. 93-99 Downloads
Michael Veall
MICRO-EBA: Leamer's Extreme Bounds Analysis on GAUSS pp. 101-03 Downloads
Tsunemasa Shiba
Review of PCBRAP pp. 105-07 Downloads
Gary Koop

Volume 6, issue 4, 1991

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends pp. 333-64 Downloads
Peter Phillips
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 365-70 Downloads
Gary Koop and Mark Steel
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: Comment pp. 371-73 Downloads
Edward Leamer
Flat Priors vs. Ignorance Priors in the Analysis of the AR(1) Model pp. 375-80 Downloads
In-Moo Kim and G S Maddala
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 381-86 Downloads
Dale J Poirier
On Bayesian Routes to Unit Roots pp. 387-401 Downloads
Peter C Schotman and Herman van Dijk
Bayesian Approaches to the 'Unit Root' Problem: A Comment pp. 403-11 Downloads
James Stock
The Case for Trend-Stationarity Is Stronger Than We Thought pp. 413-21 Downloads
David DeJong and Charles Whiteman
To Criticize the Critics: Comment pp. 423-34 Downloads
Christopher Sims
Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum pp. 435-73 Downloads
Peter Phillips

Volume 6, issue 3, 1991

Models for Truncated Counts pp. 225-38 Downloads
Jeffrey Grogger and Richard Carson
Price Formation in Commodity Markets pp. 239-54 Downloads
Montague Lord
A Small Linear Model of Wage- and Price-Inflation in the Norwegian Economy pp. 255-69 Downloads
Ragnar Nymoen
Demand for Durable and Nondurable Goods, Environmental Policy and Consumer Welfare pp. 271-86 Downloads
K Conrad and Michael Schröder
The Limiting Distribution of Extremal Exchange Rate Returns pp. 287-302 Downloads
Martien C A B Hols and Casper de Vries
Resampling a Time-Series Process: A Method of Estimating the Probabilities Associated with Alternative Plans for Protecting Pensions against Inflation pp. 303-14 Downloads
Frank Denton and Byron Spencer

Volume 6, issue 2, 1991

Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge pp. 109-24 Downloads
Richard Baillie and Robert Myers
The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market pp. 125-42 Downloads
Fabio Canova and Takatoshi Ito
Term Structure of Interest Rates in the Singapore Asian Dollar Market pp. 143-52 Downloads
Tom K Y Lee and Y. K. Tse
Expenditure Allocation across Nondurables, Services, Durables and Savings: An Empirical Study of Separability in the Long Run pp. 153-68 Downloads
G J Anderson
Specification Tests Based on the Heterogeneous Generalized Gamma Model of Duration: With an Application to Kennan's Strike Data pp. 169-80 Downloads
Sanjiv Jaggia
Describing the Separability Properties of Empirical Demand Systems pp. 181-206 Downloads
Rafiq Baccouche and Francois Laisney
A Review of STATA 2.1 pp. 207-12 Downloads
Steven P Peterson
Progressive Econometric Modelling (PERM): A Review pp. 213-17 Downloads
Chris Dineen

Volume 6, issue 1, 1991

Wage and Price Adjustment in a Multimarket Disequilibrium Model pp. 1-15 Downloads
Bernard Salanié
Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand pp. 17-30 Downloads
Marlene A Smith and David J Smyth
Persistent Deficits and the Market Value of Government Debt pp. 31-44 Downloads
Gregor Smith and Stanley Zin
Toward Efficiency in the Crude-Oil Market pp. 45-66 Downloads
Steven L Green and Knut Anton Mork
The Effect of Parameter Uncertainty on Forecast Variances and Confidence Intervals for Unit Root and Trend Stationary Time-Series Models pp. 67-76 Downloads
Michael Sampson
An Application and Test for a Random Coefficient Model in Bangladesh Agriculture pp. 77-90 Downloads
Asraul Hoque
Elasticity of Substitution, Technical Progress and Returns to Scale in Branches of Soviet Industry: A New CES Production Function Approach pp. 91-96 Downloads
Erkin Bairam
Statistical Software Tools (SST) Version 2.0: An Update pp. 97-101 Downloads
Pravin Trivedi
Page updated 2015-03-02