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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2007, volume 25

Editorial Announcement pp. 1-1

Torben Andersen

Common Features in Economics and Finance: An Overview of Recent Developments pp. 2-11

Giovanni Urga

A Note on Common Cycles, Common Trends, and Convergence pp. 12-20

Vasco Carvalho, Andrew Harvey and Thomas Trimbur

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data pp. 21-32

Niels Haldrup, Svend Hylleberg, Gabriel Pons Rotger and Andreu Sansó

Co-Breaking: Recent Advances and a Synopsis of the Literature pp. 33-51

David Hendry and Michael Massmann

Determining the Number of Primitive Shocks in Factor Models pp. 52-60

Jushan Bai and Serena Ng

A Multivariate Generalized Orthogonal Factor GARCH Model pp. 61-75

Markku Lanne and Pentti Saikkonen

Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? pp. 76-90

Heather Anderson and Farshid Vahid

Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel pp. 91-96

Dante Amengual and Mark Watson

Estimating and Combining National Income Distributions Using Limited Data pp. 97-109

Duangkamon Chotikapanich, William Griffiths and D.S. Prasada Rao

A More Timely and Useful Index of Leading Indicators pp. 110-120

Robert H. McGuckin, Ataman Ozyildirim and Victor Zarnowitz

On the Fit of New Keynesian Models pp. 123-143

Marco Del Negro, Frank Schorfheide, Frank Smets and Raf Wouters

Comment pp. 143-151

Lawrence Christiano

Comment pp. 151-152

A. Gallant

Comment pp. 152-154

Christopher Sims

Comment pp. 154-156

Jon Faust

Comment pp. 156-159

Lutz Kilian

Rejoinder pp. 159-162

Marco Del Negro, Frank Schorfheide, Frank Smets and Raf Wouters

Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses pp. 163-176

Shawn Ni, Dongchu Sun and Xiaoqian Sun

Comparing Density Forecasts via Weighted Likelihood Ratio Tests pp. 177-190

Gianni Amisano and Raffaella Giacomini

Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation: Evidence From the Survey of Professional Forecasters pp. 191-200

Sean D. Campbell

Market-Based Measures of Monetary Policy Expectations pp. 201-212

Refet Gürkaynak, Brian T. Sack and Eric Swanson

Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods pp. 213-225

Albert Menkveld, Siem Jan Koopman and Andre Lucas

Dynamic Efficiency Estimation: An Application to U.S. Electric Utilities pp. 226-238

Supawat Rungsuriyawiboon and Spiro Stefanou

The Difference Between Hedonic Imputation Indexes and Time Dummy Hedonic Indexes pp. 239-246

Mick Silver and Saeed Heravi

Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation pp. 247-264

Denis Fougere, Hervé Le Bihan and Patrick Sevestre

Estimating the Effects of Family Background on the Return to Schooling pp. 265-277

Olivier Deschenes

Improved Errors-in-Variables Estimators for Grouped Data pp. 278-287

Paul Devereux

Peer and Selection Effects on Youth Smoking in California pp. 288-298

Brian Krauth

Using Worker Flows to Measure Firm Dynamics pp. 299-313

Gary Benedetto, John Haltiwanger, Julia Lane and Kevin McKinney

Calculating Comparable Statistics From Incomparable Surveys, With an Application to Poverty in India pp. 314-336

Alessandro Tarozzi

Analytical Bias Reduction for Small Samples in the U.S. Consumer Price Index pp. 337-346

Ralph Bradley

Robust Regression Shrinkage and Consistent Variable Selection Through the LAD-Lasso pp. 347-355

Hansheng Wang, Guodong Li and Guohua Jiang

A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression pp. 356-376

Zhenlin Yang and Y. K. Tse

Moment-Based Copula Tests for Financial Returns pp. 377-397

Yi-Ting Chen

Multivariate Tests of MeanVariance Efficiency With Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach pp. 398-410

Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf

On the Role of Risk Premia in Volatility Forecasting pp. 411-426

Mikhail Chernov

Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation pp. 427-446

Morten Nielsen

Testing for Neglected Nonlinearity in Long-Memory Models pp. 447-461

Richard T. Baillie and George Kapetanios

Estimation of Fractional Dependent Variables in Dynamic Panel Data Models With an Application to Firm Dividend Policy pp. 462-472

Margaret S. Loudermilk

Inference in Panel Cointegration Models With Long Panels pp. 473-483

Rolf Larsson and Johan Lyhagen

Does Wealth Explain BlackWhite Differences in Early Employment Careers? pp. 484-500

Silvio Rendon

Editors' Report 2006 pp. 503-503

Torben Andersen, Arthur Lewbel and Serena Ng

2006, volume 24

On the Relationships Between Real Consumption, Income, and Wealth pp. 1-11

Michael Palumbo, Jeremy Rudd and Karl Whelan

Testing Cross-Section Correlation in Panel Data Using Spacings pp. 12-23

Serena Ng

Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry pp. 24-42

Norman Swanson and Dick van Dijk

Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns pp. 43-56

Hui Guo and Robert Savickas

Levels and Long-Term Trends in Earnings Inequality: Overcoming Current Population Survey Censoring Problems Using the GB2 Distribution pp. 57-62

Shuaizhang Feng, Richard Burkhauser and J. Butler

Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand pp. 63-76

David Zimmer and Pravin Trivedi

Gradients in Spatial Response Surfaces With Application to Urban Land Values pp. 77-90

Anandamayee Majumdar, Henry J. Munneke, Alan E. Gelfand, Sudipto Banerjee and C.F. Sirmans

Exports and Labor Demand: Searching for Functional Structure in Multi-Output Multi-Skill Technologies pp. 91-103

Bertrand Koebel

Evaluating Models of Autoregressive Conditional Duration pp. 104-124

Mika Meitz and Timo Teräsvirta

Realized Variance and Market Microstructure Noise pp. 127-161

Peter Hansen and Asger Lunde

Comment pp. 162-167

Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang

Comment pp. 167-173

Federico M. Bandi and Jeffrey R. Russell

Comment pp. 173-179

Torben Andersen, Tim Bollerslev, Per Houmann Frederiksen and Morten Nielsen

Comment pp. 179-181

Ole Barndorff-Nielsen and Neil Shephard

Comment pp. 181-183

Francis Diebold

Comment pp. 184-192

René Garcia and Nour Meddahi

Comment pp. 192-194

Eric Ghysels and Arthur Sinko

Comment pp. 195-202

Roel Oomen

Comment pp. 202-208

Peter Phillips and Jun Yu

Rejoinder pp. 208-218

Peter Hansen and Asger Lunde

Properties of Realized Variance Under Alternative Sampling Schemes pp. 219-237

Roel Oomen

Testing and Valuing Dynamic Correlations for Asset Allocation pp. 238-253

Robert Engle and Riccardo Colacito

The Identification of Fixed Costs From Consumer Behavior pp. 255-265

David Donaldson and Krishna Pendakur

Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output pp. 266-277

Richard Ashley and Douglas M. Patterson

Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter pp. 278-290

João Valle e Azevedo, Siem Jan Koopman and António Rua

Distributional Dominance With Trimmed Data pp. 291-300

Frank Cowell and Maria-Pia Victoria-Feser

New Evidence on Price Anomalies in Sequential Auctions: Used Cars in New Jersey pp. 301-312

Yaron Raviv

Multivariate Stochastic Volatility via Wishart Processes pp. 313-328

Alexander Philipov and Mark E. Glickman

Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers pp. 329-337

J.Q. Smith and Antonio Santos

Tree-Structured Multiple Regimes in Interest Rates pp. 338-353

Francesco Audrino

Estimating Potential Output, Core Inflation, and the NAIRU as Latent Variables pp. 354-365

Rafael Domenech and Victor Gomez

Standard Errors as Weights in Multilateral Price Indexes pp. 366-377

Robert Hill and Marcel Timmer

Tests for Cointegration Breakdown Over a Short Time Period pp. 379-394

Donald Andrews and Jae-Young Kim

Stock Market Downswing and the Stability of European Monetary Union Money Demand pp. 395-402

Kai Carstensen

Private Insurance, Selection, and Health Care Use: A Bayesian Analysis of a Roy-Type Model pp. 403-415

Partha Deb, Murat Munkin and Pravin Trivedi

Schooling, Capital Constraints, and Entrepreneurial Performance: The Endogenous Triangle pp. 416-431

Simon Parker and Mirjam Praag

Contrasts Between Types of Assets in Fixed Investment Equations as a Way of Testing Real Options Theory pp. 432-443

Ciaran Driver, Paul Temple and Giovanni Urga

Testing the Continuous Semimartingale Hypothesis for the SP 500 pp. 444-454

Remco T. Peters and Robin G. de Vilder

Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models pp. 455-469

Viktor Todorov and George Tauchen

Volatility Forecasting With Range-Based EGARCH Models pp. 470-486

Michael W. Brandt and Christopher S. Jones

Modeling Purchases as Repeated Events pp. 487-502

Govert Bijwaard, Philip Hans Franses and Richard Paap

Editor Report 2005 pp. 505-505

Torben Andersen