Journal of Business & Economic Statistics

1983 - 2011

Continued by Journal of Business & Economic Statistics.

Current editor(s): Jonathan H. Wright and Keisuke Hirano

From American Statistical Association
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2011, volume 29, articles 4

Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks pp. 455-467

Nikolay Gospodinov, Alex Maynard and Elena Pesavento

Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models pp. 468-480

Junye Li

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets pp. 481-492

Richard H. Gerlach, Cathy W. S. Chen and Nancy Y. C. Chan

Employer-to-Employer Flows in the United States: Estimates Using Linked Employer-Employee Data pp. 493-505

Melissa Bjelland, Bruce Fallick, John Haltiwanger and Erika McEntarfer

Homogenous and Heterogenous Contestants in Piece Rate Tournaments: Theory and Empirical Analysis pp. 506-517

Tomislav Vukina and Xiaoyong Zheng

Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications pp. 518-528

Ke-Li Xu and Peter Phillips

Lumpy Price Adjustments: A Microeconometric Analysis pp. 529-540

Emmanuel Dhyne, Catherine Fuss, Mohammad Pesaran and Patrick Sevestre

Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models pp. 541-551

Yiguo Sun and Qi Li

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations pp. 552-563

Drew Creal, Siem Jan Koopman and Lucas, André

Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry pp. 564-578

Lu Han and Seung-Hyun Hong

Score Tests for Hyperbolic GARCH Models pp. 579-586

Muyi Li, Guodong Li and Wai Keung Li

A New Approach to Estimating Production Function Parameters: The Elusive Capital–Labor Substitution Elasticity pp. 587-594

Bob Chirinko, Steven Fazzari and Andrew P. Meyer

Editors’ Report 2011 pp. 597-597

Keisuke Hirano and Jonathan Wright

2011, volume 29, articles 3

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility pp. 327-341

Todd Clark

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search pp. 342-355

Antonello Loddo, Shawn Ni and Dongchu Sun

Volatility Jumps pp. 356-371

Viktor Todorov and George Tauchen

The Intergenerational Transmission of Income Volatility: Is Riskiness Inherited? pp. 372-381

Stephen H. Shore

Bayesian Inference in Structural Second-Price Common Value Auctions pp. 382-396

Bertil Wegmann and Mattias Villani

Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach pp. 397-410

Andrew Patton and Allan Timmermann

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules pp. 411-422

Tilmann Gneiting and Roopesh Ranjan

A Test Against Spurious Long Memory pp. 423-438

Zhongjun Qu

Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods pp. 439-454

Pakoš, Michal

2011, volume 29, articles 2

Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns pp. 201-215

Patrick Bayer, Shakeeb Khan and Christopher Timmins

Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate pp. 216-227

David Hendry and Kirstin Hubrich

Dynamic Censored Regression and the Open Market Desk Reaction Function pp. 228-237

Robert Jong and Ana María Herrera

Robust Inference With Multiway Clustering pp. 238-249

A. Cameron, Jonah Gelbach and Douglas Miller

Estimation for Non-Negative Lévy-Driven CARMA Processes pp. 250-259

Peter J. Brockwell, Richard A. Davis and Yu Yang

Tests for the Second Order Stochastic Dominance Based on L-Statistics pp. 260-270

Berrendero, José R. and Cárcamo, Javier

The Increasingly Mixed Proportional Hazard Model: An Application to Socioeconomic Status, Health Shocks, and Mortality pp. 271-281

Paul Frijters, John P. Haisken-DeNew and Michael A. Shields

Infinite Density at the Median and the Typical Shape of Stock Return Distributions pp. 282-294

Chirok Han, Jin Seo Cho and Peter Phillips

Local and Global Rank Tests for Multivariate Varying-Coefficient Models pp. 295-306

Stephen Donald, Fortuna, Natércia and Vladas Pipiras

Forecast Combination Across Estimation Windows pp. 307-318

Mohammad Pesaran and Andreas Pick

A Comparison of Sales Response Predictions From Demand Models Applied to Store-Level versus Panel Data pp. 319-326

Rick L. Andrews, Imran S. Currim and Peter S. H. Leeflang

2011, volume 29, articles 1

Bias-Corrected Matching Estimators for Average Treatment Effects pp. 1-11

Alberto Abadie and Guido Imbens

The Distributional Impacts of Minimum Wage Increases When Both Labor Supply and Labor Demand Are Endogenous pp. 12-23

Tom Ahn, Peter Arcidiacono and Walter Wessels

Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents pp. 24-39

Xavier Gabaix and Rustam Ibragimov

Heteroscedastic Transformation Models With Covariate Dependent Censoring pp. 40-48

Shakeeb Khan, Youngki Shin and Elie Tamer

Identification of Expected Outcomes in a Data Error Mixing Model With Multiplicative Mean Independence pp. 49-60

Brent Kreider and John Pepper

Estimating Income Poverty in the Presence of Missing Data and Measurement Error pp. 61-72

Cheti Nicoletti, Franco Peracchi and Francesca Foliano

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity pp. 73-85

Robert Jung, Roman Liesenfeld and Richard, Jean-François

An Econometric Analysis of Some Models for Constructed Binary Time Series pp. 86-95

Don Harding and Adrian Pagan

Adaptive Experimental Design Using the Propensity Score pp. 96-108

Jinyong Hahn, Keisuke Hirano and Dean Karlan

Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model pp. 109-125

Xiangdong Long, Liangjun Su and Aman Ullah

The Fed and the Stock Market: An Identification Based on Intraday Futures Data pp. 126-137

D’Amico, Stefania and Mira Farka

A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations pp. 138-149

Francesco Audrino and Fabio Trojani

Evaluating Value-at-Risk Models via Quantile Regression pp. 150-160

Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel Smith

Cointegration and Long-Run Asset Allocation pp. 161-173

Ravi Bansal and Dana Kiku

Nonparametric Estimation of Labor Supply and Demand Factors pp. 174-185

Tsunao Okumura

Autocontours: Dynamic Specification Testing pp. 186-200

González-Rivera, Gloria, Zeynep Senyuz and Emre Yoldas

2010, volume 28, articles 4

t-Statistic Based Correlation and Heterogeneity Robust Inference pp. 453-468

Rustam Ibragimov and Müller, Ulrich K.

Estimating Static Models of Strategic Interactions pp. 469-482

Patrick Bajari, Han Hong, John Krainer and Denis Nekipelov

Volatility Components, Affine Restrictions, and Nonnormal Innovations pp. 483-502

Peter Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang

Testing for Multiple Structural Changes in Cointegrated Regression Models pp. 503-522

Mohitosh Kejriwal and Pierre Perron

The Common-Scaling Social Cost-of-Living Index pp. 523-538

Thomas Crossley and Krishna Pendakur

A Pure-Jump Transaction-Level Price Model Yielding Cointegration pp. 539-558

Clifford Hurvich and Yi Wang

The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection pp. 559-571

Pedro Galeano and Ausín, M. Concepción

Editors’ Report 2009 pp. 574-574

Arthur Lewbel, Serena Ng, Keisuke Hirano and Jonathan Wright

2010, volume 28, articles 3

Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters pp. 329-343

Siem Jan Koopman, Max I. P. Mallee and Michel van der Wel

Decriminalization and Marijuana Smoking Prevalence: Evidence From Australia pp. 344-356

Kannika Damrongplasit, Cheng Hsiao and Xueyan Zhao

A Bayesian Nonparametric Approach to Inference for Quantile Regression pp. 357-369

Matthew A. Taddy and Athanasios Kottas

Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve pp. 370-379

Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes pp. 380-396

Gurdip Bakshi, Dilip Madan and George Panayotov

A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets pp. 397-409

George Kapetanios

Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models pp. 410-422

Robert Phillips

A New Class of Tests of Contagion With Applications pp. 423-437

Fry, Renée, Vance Martin and Chrismin Tang

Derivative Pricing With Wishart Multivariate Stochastic Volatility pp. 438-451

Christian Gourieroux and Razvan Sufana

2010, volume 28, articles 2

Another Look at the Identification of Dynamic Discrete Decision Processes: An Application to Retirement Behavior pp. 201-218

Victor Aguirregabiria

Rounding Probabilistic Expectations in Surveys pp. 219-231

Charles Manski and Francesca Molinari

Modeling Financial Return Dynamics via Decomposition pp. 232-245

Stanislav Anatolyev and Nikolay Gospodinov

Testing for Serial Correlation: Generalized Andrews–Ploberger Tests pp. 246-255

John C. Nankervis and N. E. Savin

Semiparametric Estimator of Time Series Conditional Variance pp. 256-274

Santosh Mishra, Liangjun Su and Aman Ullah

Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices pp. 275-290

Pierre Perron and Zhongjun Qu

Nonparametric Discrete Choice Models With Unobserved Heterogeneity pp. 291-307

Richard A. Briesch, Pradeep Chintagunta and Rosa Matzkin

Optimal Binary Prediction for Group Decision Making pp. 308-319

Robert Lieli and Augusto Nieto-Barthaburu

Default Estimation and Expert Information pp. 320-328

Nicholas Kiefer

2010, volume 28, articles 1

Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions pp. 1-12

Nikolay Gospodinov

Instrumental Variables Estimation With Flexible Distributions pp. 13-25

Christian Hansen, James McDonald and Whitney Newey

March Madness, Quantile Regression Bracketology, and the Hayek Hypothesis pp. 26-35

Roger Koenker and Gilbert Bassett

Backtesting Parametric Value-at-Risk With Estimation Risk pp. 36-51

Juan Carlos Escanciano and Jose Olmo

Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions pp. 52-66

Juárez, Miguel A. and Mark Steel

Multi-Index Binary Response Analysis of Large Data Sets pp. 67-81

Prasad A. Naik, Michel Wedel and Wagner Kamakura

Missing Treatments pp. 82-95

Francesca Molinari

Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity pp. 96-114

Seung Hyun Hong and Peter Phillips

A Prior for Impulse Responses in Bayesian Structural VAR Models pp. 115-127

Kocięcki, Andrzej

Wild Bootstrap Tests for IV Regression pp. 128-144

Russell Davidson and James MacKinnon

Estimating Panel Models With Internal and External Habit Formation pp. 145-158

George M. Korniotis

Structural Vector Autoregressions With Nonnormal Residuals pp. 159-168

Markku Lanne and Lütkepohl, Helmut

Testing for Stochastic Dominance Efficiency pp. 169-180

Olivier Scaillet and Nikolas Topaloglou

Glass Ceilings or Glass Doors? Wage Disparity Within and Between Firms pp. 181-189

Krishna Pendakur and Simon Woodcock

The Quality Adjusted Price Index in the Pure Characteristics Demand Model pp. 190-199

Minjae Song