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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 Downloads
Nikolay Gospodinov, Alex Maynard and Elena Pesavento
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models pp. 468-480 Downloads
Junye Li
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets pp. 481-492 Downloads
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 Downloads
Melissa Bjelland, Bruce Fallick, John Haltiwanger and Erika McEntarfer
Homogenous and Heterogenous Contestants in Piece Rate Tournaments: Theory and Empirical Analysis pp. 506-517 Downloads
Tomislav Vukina and Xiaoyong Zheng
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications pp. 518-528 Downloads
Ke-Li Xu and Peter Phillips
Lumpy Price Adjustments: A Microeconometric Analysis pp. 529-540 Downloads
Emmanuel Dhyne, Catherine Fuss, Mohammad Pesaran and Patrick Sevestre
Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models pp. 541-551 Downloads
Yiguo Sun and Qi Li
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations pp. 552-563 Downloads
Drew Creal, Siem Jan Koopman and Lucas, André
Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry pp. 564-578 Downloads
Lu Han and Seung-Hyun Hong
Score Tests for Hyperbolic GARCH Models pp. 579-586 Downloads
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 Downloads
Bob Chirinko, Steven Fazzari and Andrew P. Meyer
Editors’ Report 2011 pp. 597-597 Downloads
Keisuke Hirano and Jonathan Wright

2011, volume 29, articles 3

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility pp. 327-341 Downloads
Todd Clark
Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search pp. 342-355 Downloads
Antonello Loddo, Shawn Ni and Dongchu Sun
Volatility Jumps pp. 356-371 Downloads
Viktor Todorov and George Tauchen
The Intergenerational Transmission of Income Volatility: Is Riskiness Inherited? pp. 372-381 Downloads
Stephen H. Shore
Bayesian Inference in Structural Second-Price Common Value Auctions pp. 382-396 Downloads
Bertil Wegmann and Mattias Villani
Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach pp. 397-410 Downloads
Andrew Patton and Allan Timmermann
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules pp. 411-422 Downloads
Tilmann Gneiting and Roopesh Ranjan
A Test Against Spurious Long Memory pp. 423-438 Downloads
Zhongjun Qu
Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods pp. 439-454 Downloads
Pakoš, Michal

2011, volume 29, articles 2

Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns pp. 201-215 Downloads
Patrick Bayer, Shakeeb Khan and Christopher Timmins
Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate pp. 216-227 Downloads
David Hendry and Kirstin Hubrich
Dynamic Censored Regression and the Open Market Desk Reaction Function pp. 228-237 Downloads
Robert Jong and Ana María Herrera
Robust Inference With Multiway Clustering pp. 238-249 Downloads
A. Cameron, Jonah Gelbach and Douglas Miller
Estimation for Non-Negative Lévy-Driven CARMA Processes pp. 250-259 Downloads
Peter J. Brockwell, Richard A. Davis and Yu Yang
Tests for the Second Order Stochastic Dominance Based on L-Statistics pp. 260-270 Downloads
Berrendero, José R. and Cárcamo, Javier
The Increasingly Mixed Proportional Hazard Model: An Application to Socioeconomic Status, Health Shocks, and Mortality pp. 271-281 Downloads
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 Downloads
Chirok Han, Jin Seo Cho and Peter Phillips
Local and Global Rank Tests for Multivariate Varying-Coefficient Models pp. 295-306 Downloads
Stephen Donald, Fortuna, Natércia and Vladas Pipiras
Forecast Combination Across Estimation Windows pp. 307-318 Downloads
Mohammad Pesaran and Andreas Pick
A Comparison of Sales Response Predictions From Demand Models Applied to Store-Level versus Panel Data pp. 319-326 Downloads
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 Downloads
Alberto Abadie and Guido Imbens
The Distributional Impacts of Minimum Wage Increases When Both Labor Supply and Labor Demand Are Endogenous pp. 12-23 Downloads
Tom Ahn, Peter Arcidiacono and Walter Wessels
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents pp. 24-39 Downloads
Xavier Gabaix and Rustam Ibragimov
Heteroscedastic Transformation Models With Covariate Dependent Censoring pp. 40-48 Downloads
Shakeeb Khan, Youngki Shin and Elie Tamer
Identification of Expected Outcomes in a Data Error Mixing Model With Multiplicative Mean Independence pp. 49-60 Downloads
Brent Kreider and John Pepper
Estimating Income Poverty in the Presence of Missing Data and Measurement Error pp. 61-72 Downloads
Cheti Nicoletti, Franco Peracchi and Francesca Foliano
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity pp. 73-85 Downloads
Robert Jung, Roman Liesenfeld and Richard, Jean-François
An Econometric Analysis of Some Models for Constructed Binary Time Series pp. 86-95 Downloads
Don Harding and Adrian Pagan
Adaptive Experimental Design Using the Propensity Score pp. 96-108 Downloads
Jinyong Hahn, Keisuke Hirano and Dean Karlan
Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model pp. 109-125 Downloads
Xiangdong Long, Liangjun Su and Aman Ullah
The Fed and the Stock Market: An Identification Based on Intraday Futures Data pp. 126-137 Downloads
D’Amico, Stefania and Mira Farka
A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations pp. 138-149 Downloads
Francesco Audrino and Fabio Trojani
Evaluating Value-at-Risk Models via Quantile Regression pp. 150-160 Downloads
Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel Smith
Cointegration and Long-Run Asset Allocation pp. 161-173 Downloads
Ravi Bansal and Dana Kiku
Nonparametric Estimation of Labor Supply and Demand Factors pp. 174-185 Downloads
Tsunao Okumura
Autocontours: Dynamic Specification Testing pp. 186-200 Downloads
González-Rivera, Gloria, Zeynep Senyuz and Emre Yoldas

2010, volume 28, articles 4

t-Statistic Based Correlation and Heterogeneity Robust Inference pp. 453-468 Downloads
Rustam Ibragimov and Müller, Ulrich K.
Estimating Static Models of Strategic Interactions pp. 469-482 Downloads
Patrick Bajari, Han Hong, John Krainer and Denis Nekipelov
Volatility Components, Affine Restrictions, and Nonnormal Innovations pp. 483-502 Downloads
Peter Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang
Testing for Multiple Structural Changes in Cointegrated Regression Models pp. 503-522 Downloads
Mohitosh Kejriwal and Pierre Perron
The Common-Scaling Social Cost-of-Living Index pp. 523-538 Downloads
Thomas Crossley and Krishna Pendakur
A Pure-Jump Transaction-Level Price Model Yielding Cointegration pp. 539-558 Downloads
Clifford Hurvich and Yi Wang
The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection pp. 559-571 Downloads
Pedro Galeano and Ausín, M. Concepción
Editors’ Report 2009 pp. 574-574 Downloads
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 Downloads
Siem Jan Koopman, Max I. P. Mallee and Michel van der Wel
Decriminalization and Marijuana Smoking Prevalence: Evidence From Australia pp. 344-356 Downloads
Kannika Damrongplasit, Cheng Hsiao and Xueyan Zhao
A Bayesian Nonparametric Approach to Inference for Quantile Regression pp. 357-369 Downloads
Matthew A. Taddy and Athanasios Kottas
Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve pp. 370-379 Downloads
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 Downloads
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 Downloads
George Kapetanios
Iterated Feasible Generalized Least-Squares Estimation of Augmented Dynamic Panel Data Models pp. 410-422 Downloads
Robert Phillips
A New Class of Tests of Contagion With Applications pp. 423-437 Downloads
Fry, Renée, Vance Martin and Chrismin Tang
Derivative Pricing With Wishart Multivariate Stochastic Volatility pp. 438-451 Downloads
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 Downloads
Victor Aguirregabiria
Rounding Probabilistic Expectations in Surveys pp. 219-231 Downloads
Charles Manski and Francesca Molinari
Modeling Financial Return Dynamics via Decomposition pp. 232-245 Downloads
Stanislav Anatolyev and Nikolay Gospodinov
Testing for Serial Correlation: Generalized Andrews–Ploberger Tests pp. 246-255 Downloads
John C. Nankervis and N. E. Savin
Semiparametric Estimator of Time Series Conditional Variance pp. 256-274 Downloads
Santosh Mishra, Liangjun Su and Aman Ullah
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices pp. 275-290 Downloads
Pierre Perron and Zhongjun Qu
Nonparametric Discrete Choice Models With Unobserved Heterogeneity pp. 291-307 Downloads
Richard A. Briesch, Pradeep Chintagunta and Rosa Matzkin
Optimal Binary Prediction for Group Decision Making pp. 308-319 Downloads
Robert Lieli and Augusto Nieto-Barthaburu
Default Estimation and Expert Information pp. 320-328 Downloads
Nicholas Kiefer

2010, volume 28, articles 1

Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions pp. 1-12 Downloads
Nikolay Gospodinov
Instrumental Variables Estimation With Flexible Distributions pp. 13-25 Downloads
Christian Hansen, James McDonald and Whitney Newey
March Madness, Quantile Regression Bracketology, and the Hayek Hypothesis pp. 26-35 Downloads
Roger Koenker and Gilbert Bassett
Backtesting Parametric Value-at-Risk With Estimation Risk pp. 36-51 Downloads
Juan Carlos Escanciano and Jose Olmo
Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions pp. 52-66 Downloads
Juárez, Miguel A. and Mark Steel
Multi-Index Binary Response Analysis of Large Data Sets pp. 67-81 Downloads
Prasad A. Naik, Michel Wedel and Wagner Kamakura
Missing Treatments pp. 82-95 Downloads
Francesca Molinari
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity pp. 96-114 Downloads
Seung Hyun Hong and Peter Phillips
A Prior for Impulse Responses in Bayesian Structural VAR Models pp. 115-127 Downloads
Kocięcki, Andrzej
Wild Bootstrap Tests for IV Regression pp. 128-144 Downloads
Russell Davidson and James MacKinnon
Estimating Panel Models With Internal and External Habit Formation pp. 145-158 Downloads
George M. Korniotis
Structural Vector Autoregressions With Nonnormal Residuals pp. 159-168 Downloads
Markku Lanne and Lütkepohl, Helmut
Testing for Stochastic Dominance Efficiency pp. 169-180 Downloads
Olivier Scaillet and Nikolas Topaloglou
Glass Ceilings or Glass Doors? Wage Disparity Within and Between Firms pp. 181-189 Downloads
Krishna Pendakur and Simon Woodcock
The Quality Adjusted Price Index in the Pure Characteristics Demand Model pp. 190-199 Downloads
Minjae Song
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