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 17, issue 6, 2002

Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach pp. 617-639

Keith Vorkink, Douglas James Hodgson and Oliver Bruce Linton

Divergence in alternative Hicksian welfare measures: the case of revealed preference for public amenities pp. 641-666

Sudip Chattopadhyay

The stochastic volatility in mean model: empirical evidence from international stock markets pp. 667-689

Siem Jan Koopman and Eugenie Hol Uspensky

How to compute the BDS test: a software comparison pp. 691-699

Jorge Belaire-Franch and Dulce Contreras

Stated choice methods: analysis and application, Jordan J. Louviere, David A. Hensher and Joffre D. Swait, Cambridge University Press, ISBN: 0-521-78830-7 pp. 701-704

Wiebke Kuklys

Volume 17, issue 5, 2002

Financial volatility: an introduction pp. 419-424

Philip Hans Franses and Michael McAleer

New frontiers for arch models pp. 425-446

Robert F. Engle

Some comments on risk pp. 447-456

Clive W. J. Granger

Estimating quadratic variation using realized variance pp. 457-477

Ole E. Barndorff-Nielsen and Neil Shephard

A theoretical comparison between integrated and realized volatility pp. 479-508

Nour Meddahi

Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence pp. 509-534

Felix Chan and Michael McAleer

Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model pp. 535-548

Lars Forsberg and Tim Bollerslev

GO-GARCH: a multivariate generalized orthogonal GARCH model pp. 549-564

Roy van der Weide

Time irreversibility and EGARCH effects in US stock index returns pp. 565-578

Yi-Ting Chen and Chung-Ming Kuan

Detecting multiple breaks in financial market volatility dynamics pp. 579-600

Elena Andreou and Eric Ghysels

Modelling and forecasting level shifts in absolute returns pp. 601-616

Richard Paap, Philip Hans Franses and Marco Juri van der Leij

Volume 17, issue 3, 2002

A structural model of US aggregate job flows pp. 197-223

Fabrice Collard, Patrick Fève, Francois Langot and Corinne Perraudin

Learning and communication in sender-receiver games: an econometric investigation pp. 225-247

Andreas Blume, Douglas V. DeJong, George R. Neumann and N. E. Savin

The relation between wealth and labour market transitions: an empirical study for the Netherlands pp. 249-268

Hans Bloemen

Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets pp. 269-289

Michael S. Haigh and Matthew T. Holt

A review of TSW: the Windows version of the TRAMO-SEATS program pp. 291-299

David Stephen Pollock

Volume 17, issue 2, 2002

Modelling the trend and seasonals within an AIDS model of the demand for alcoholic beverages in the United Kingdom pp. 95-106

I. A. Moosa and J. L. Baxter

Quantifying the uncertainty about the half-life of deviations from PPP pp. 107-125

Lutz Kilian and Tao Zha

Stochastic frontier models with random coefficients pp. 127-147

Efthymios G. Tsionas

Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation pp. 149-174

Christopher Otrok, B Ravikumar and Charles H. Whiteman

Using R to teach econometrics pp. 175-189

Jeffrey Scott Racine and Rob J Hyndman

Book Reviews: Introductory Econometrics: A Modern Approach, Jeffrey M. Wooldridge, South-Western College Publishing, 2000 pp. 191-193

Melvyn Weeks

Volume 17, issue 1, 2002

Transitions from home to marriage of young Americans pp. 1-23

Arnstein Aassve, Simon Burgess, Andrew Chesher and Carol Propper

Labour market institutions and employment in France pp. 25-48

Guy Laroque and Bernard Salanié

A segment-level hazard approach to studying household purchase timing decisions pp. 49-59

Demetrios Vakratsas and Frank M. Bass

This is what the leading indicators lead pp. 61-80

Maximo Camacho and Gabriel Perez-Quiros

A simple and efficient method for estimating the magnitude and precision of welfare changes: comment pp. 81-83

Ian Irvine and William Sims

A review of SORITEC for Windows pp. 85-90

Richard March

Volume 16, issue 6, 2001

Measuring predictability: theory and macroeconomic applications pp. 657-669

Francis Diebold and Lutz Kilian

Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly pp. 671-708

Alex S. Maynard and Peter C. B. Phillips

Estimating economic relationships subject to firm- and time-varying equality and inequality constraints pp. 709-726

Christopher O'Donnell, Alicia Rambaldi and Howard E. Doran

The demand for M3 in the euro area pp. 727-748

Günter Coenen and J.-L. Vega

Review of Measurement error and latent variables in econometrics, Tom Wansbeek and Erik Meijer, advanced textbooks in economics: editors C. Bliss and M. D. Intriligator, North-Holland, Amsterdam pp. 749-753

Melvyn Weeks

Volume 16, issue 5, 2001

Model uncertainty in cross-country growth regressions pp. 563-576

Carmen Fernandez, Eduardo Ley and Mark Steel

A score test for non-nested hypotheses with applications to discrete data models pp. 577-597

João M.C. Santos Silva

Income distribution and income dynamics in the United Kingdom pp. 599-617

Jayasri Dutta, James Sefton and Martin Robert Weale

Unemployment insurance and subsequent job duration: job matching versus unobserved heterogeneity pp. 619-636

Christian Belzil

Review of Stata 7 pp. 637-646

Stanislav Kolenikov

Applied macroeconometrics, Carlo A. Favero, Oxford University Press, Oxford, 2001, ISBN 0-19-877583-0 (hardback), pp. xi + 282, £40.00 pp. 647-652

Anthony Garratt

Journal of Applied Econometrics distinguished authors pp. 653-654

M Hashem Pesaran

Volume 16, issue 4, 2001

The non-linear dynamics of output and unemployment in the U.S pp. 461-486

Filippo Altissimo and Giovanni Luca Violante

Monetary policy analysis and inflation targeting in a small open economy: a VAR approach pp. 487-520

Tor Jacobson, Per Jansson, Anders Vredin and Anders Warne

A flexible parametric GARCH model with an application to exchange rates pp. 521-536

Kai-Li Wang, Chris Fawson, Christopher B. Barrett and James Mcdonald

Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test pp. 537-551

Philip A. Shively

Scilab as an econometric programming system pp. 553-559

Mico Mrkaic

Journal of Applied Econometrics Conference Sponsorship Grants pp. 561-561

M Hashem Pesaran

Volume 16, issue 3, 2001

A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics pp. 197-202

David F. Hendry and M Hashem Pesaran

Earnings, unemployment, and housing in Britain pp. 203-220

Gavin Cameron and John Muellbauer

An I(2) analysis of inflation and the markup pp. 221-240

Anindya Banerjee, Lynne Cockerell and Bill Russell

Output and inflation in the long run pp. 241-253

Neil R. Ericsson, John S. Irons and Ralph W. Tryon

Modelling UK inflation, 1875-1991 pp. 255-275

David F. Hendry

Non-linear error correction and the UK demand for broad money, 1878-1993 pp. 277-288

Timo Teräsvirta and Ann-Charlotte Eliasson

Bounds testing approaches to the analysis of level relationships pp. 289-326

M Hashem Pesaran, Yongcheol Shin and Richard J. Smith

Stability and wage acceleration in macroeconomic models of cyclical growth pp. 327-340

A. R. Bergstrom

European integration and monetary transmission mechanisms: the case of Italy pp. 341-358

Katarina Juselius

Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 pp. 359-370

Massimiliano Marcellino and Grayham E. Mizon

Estimating shocks and impulse response functions pp. 371-387

Michael R. Wickens and Roberto Motto

Descriptive econometrics for non-stationary time series with empirical illustrations pp. 389-413

Peter C. B. Phillips

Testing against smooth stochastic trends pp. 415-429

Jukka Nyblom and Andrew C. Harvey

Finite sample improvements in statistical inference with I(1) processes pp. 431-444

D. Marinucci and Peter M. Robinson

Clusters of attributes and well-being in the USA pp. 445-460

Joseph Gerald Hirschberg, Esfandiar Maasoumi and Daniel J. Slottje

Volume 16, issue 2, 2001

Testing of seasonal fractional integration in UK and Japanese consumption and income pp. 95-114

Luis Alberiko Gil-Alana and Peter M. Robinson

Autoregressive conditional heteroscedasticity in commodity spot prices pp. 115-132

Stacie E. Beck

Modelling the conditional volatility of commodity index futures as a regime switching process pp. 133-163

Wai Mun Fong and Kim Hock See

The effect of physician advice on alcohol consumption: count regression with an endogenous treatment effect pp. 165-184

Donald S. Kenkel and Joseph V. Terza

Software for parallel computing: the LAM implementation of MPI pp. 185-194

Christopher A. Swann

Volume 16, issue 1, 2001

Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior pp. 1-22

Michele Campolieti

Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal pp. 23-39

Maria Fraga O. Martins

Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis pp. 41-57

H. Youn Kim and Junsoo Lee

An empirical comparison of flexible demand system functional forms pp. 59-80

Douglas Fisher, Adrian R. Fleissig and Apostolos Serletis

A comparison of different LaTeX programs pp. 81-92

Ruud Koning