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 7, issue S, 1992

Nonlinear Dynamics and Econometrics: An Introduction pp. S1-7

M Hashem Pesaran and Simon Potter

Complex Economic Dynamics: Obvious in History, Generic in Theory, Elusive in Data pp. S9-23

R H Day

Using the Correlation Exponent to Decide whether an Economic Series is Chaotic pp. S25-39

Tung Liu, Clive W. J. Granger and W P Heller

Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis pp. S41-60

W D Dechert and Ramazan Gencay

The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. S61-82

Bruce E. Hansen

Merger Waves and the Structure of Merger and Acquisition Time-Series pp. S83-100

R J Town

Nonlinear Dynamics in a Structural Model of Employment pp. S101-18

Simon Burgess

Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models pp. S119-36

Timo Teräsvirta and Heather M. Anderson

Forecast Improvements Using a Volatility Index pp. S137-49

Blake LeBaron

Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates pp. S151-63

Bruce Mizrach

Nonlinear Time-Series Analysis of Stock Volatilities pp. S165-85

C Q Cao and R S Tsay

The Comparative Power of the TR Test against Simple Threshold Models pp. S187-95

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

Insan Tunali and Ragui Assaad

Stochastic Trends and Economic Fluctuations in a Small Open Economy pp. 369-94

Erik Mellander, Anders Vredin and Anders Warne

Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach pp. 395-411

Gary Koop

Simple Tests for Sample Selection Bias in Censored and Discrete Choice Models pp. 413-21

F Vella

MicroTSP Version 7.0: A Review pp. 423-29

Matthew L Higgins and Nabil Ltaifa

Volume 7, issue 3, 1992

Survey Evidence on the Rationality of Expectations pp. 225-41

Marc IVALDI

Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function pp. 243-57

Theo Nijman and Marno Verbeek

Alternative Estimators for Factor GARCH Models--A Monte Carlo Comparison pp. 259-79

Lin, Wen-Ling

International Evidence on Persistence in Output in the Presence of an Episodic Change pp. 281-93

Baldev Raj

The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples pp. 295-308

Stephen R Blough

Polynomial Approximations in Cross-Sectional Models pp. 309-22

R P Byron

A Review of the Econometrics Toolkit (ET) pp. 323-28

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

Joel L. Horowitz

The Relationship between Forecast Dispersion and Forecast Uncertainty: Evidence from a Survey Data-ARCH Model pp. 131-48

Robert Rich, J E Raymond and J S Butler

Automobile Insurance Ratemaking in the Presence of Asymmetrical Information pp. 149-65

Georges Dionne and C Vanasse

Estimation of Data Measured with Error and Subject to Linear Restrictions pp. 167-74

Martin Robert Weale

Some Strange Properties of Panel Data Estimators pp. 175-89

Donald Robertson and J Symons

Hypotheses Testing Concerning Relationships between Spot Prices of Various Types of Coffee pp. 191-201

E Vogelvang

The Stationarity of British Economic and Productivity Growth 1856-1913 pp. 203-09

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

Frank Trevor Denton and Byron Grant Spencer

The GAUSS Programming System: A Review pp. 215-19

Richard G. Anderson

Volume 7, issue 1, 1992

Time Aggregation and the Distributional Shape of Unemployment Duration pp. 5-30

R Bergstrom and Per-Anders Edin

Classification and Aggregation: An Application to Industrial Classification in CPS Data pp. 31-51

R Cotterman and Franco Peracchi

Estimation of a Continuous-Time Dynamic Demand System pp. 53-64

Marcus J. Chambers

'Objective' Bayesian Unit Root Tests pp. 65-82

Gary Koop

Testing a Discrete Switching Disequilibrium Model of the UK Labour Market pp. 83-91

Stephen George Hall, S G B Henry and M Pemberton

Bootstrapping the Process of Model Selection: An Econometric Example pp. 93-99

Michael R. Veall

MICRO-EBA: Leamer's Extreme Bounds Analysis on GAUSS pp. 101-03

Tsunemasa Shiba

Review of PCBRAP pp. 105-07

Gary Koop

Volume 6, issue 4, 1991

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends pp. 333-64

Peter C. B. Phillips

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 365-70

Gary Koop and Mark Steel

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: Comment pp. 371-73

Edward E. Leamer

Flat Priors vs. Ignorance Priors in the Analysis of the AR(1) Model pp. 375-80

Kim, In-Moo and G S Maddala

To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends: A Comment pp. 381-86

Dale J Poirier

On Bayesian Routes to Unit Roots pp. 387-401

Peter C Schotman and Herman K. van Dijk

Bayesian Approaches to the 'Unit Root' Problem: A Comment pp. 403-11

James H. Stock

The Case for Trend-Stationarity Is Stronger Than We Thought pp. 413-21

David N. DeJong and Charles H. Whiteman

To Criticize the Critics: Comment pp. 423-34

Christopher Sims

Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum pp. 435-73

Peter C. B. Phillips

Volume 6, issue 3, 1991

Models for Truncated Counts pp. 225-38

Jeffrey T. Grogger and Richard T. Carson

Price Formation in Commodity Markets pp. 239-54

Montague J. Lord

A Small Linear Model of Wage- and Price-Inflation in the Norwegian Economy pp. 255-69

R Nymoen

Demand for Durable and Nondurable Goods, Environmental Policy and Consumer Welfare pp. 271-86

K Conrad and M Schroder

The Limiting Distribution of Extremal Exchange Rate Returns pp. 287-302

Martien C A B Hols and Casper G. 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

Frank Trevor Denton and Byron Grant Spencer

Volume 6, issue 2, 1991

Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge pp. 109-24

Richard T. Baillie and Robert J Myers

The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market pp. 125-42

Fabio Canova and Takatoshi Ito

Term Structure of Interest Rates in the Singapore Asian Dollar Market pp. 143-52

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

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

Sanjiv Jaggia

Describing the Separability Properties of Empirical Demand Systems pp. 181-206

Rafiq Baccouche and Francois Laisney

A Review of STATA 2.1 pp. 207-12

Steven P Peterson

Progressive Econometric Modelling (PERM): A Review pp. 213-17

Chris Dineen

Volume 6, issue 1, 1991

Wage and Price Adjustment in a Multimarket Disequilibrium Model pp. 1-15

Bernard Salanié

Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand pp. 17-30

Marlene A Smith and David J Smyth

Persistent Deficits and the Market Value of Government Debt pp. 31-44

Gregor W. Smith and Stanley E. Zin

Toward Efficiency in the Crude-Oil Market pp. 45-66

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

Michael Sampson

An Application and Test for a Random Coefficient Model in Bangladesh Agriculture pp. 77-90

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

Erkin Bairam

Statistical Software Tools (SST) Version 2.0: An Update pp. 97-101

Pravin Trivedi