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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2005, volume 23

A Nonparametric Approach to Measuring and Testing Curvature pp. 1-19

Jason Abrevaya and Wei Jiang

Estimating Housing Demand With an Application to Explaining Racial Segregation in Cities pp. 20-33

Patrick Bajari and Matthew Kahn

Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity pp. 34-48

Graham Elliott, Michael Jansson and Elena Pesavento

Tests for Skewness, Kurtosis, and Normality for Time Series Data pp. 49-60

Jushan Bai and Serena Ng

Hedonic Price Indexes With Unobserved Product Characteristics, and Application to Personal Computers pp. 61-75

C. Lanier Benkard and Patrick Bajari

Convergence Rates to Purchasing Power Parity for Traded and Nontraded Goods: A Structural Error-Correction Model Approach pp. 76-86

Jaebeom Kim

Long Swings in Exchange Rates: Are They Really in the Data? pp. 87-95

Franc Klaassen

Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions pp. 96-104

Michael Dueker

Bayesian Estimates for Vector Autoregressive Models pp. 105-117

Shawn Ni and Dongchu Sun

Influence Diagnostics in Generalized Autoregressive Conditional Heteroscedasticity Processes pp. 118-129

Xibin Zhang and Maxwell King

The Sensitivity of Economic Statistics to Coding Errors in Personal Identifiers pp. 133-152

John Abowd and Lars Vilhuber

Comment pp. 153-154

William E. Winkler

Comment pp. 154-157

Wilbert van der Klaauw

Comment pp. 158-160

Han Hong

Comments pp. 160-162

William W. Cohen, Stephen E. Fienberg and Pradeep Ravikumar

Rejoinder pp. 162-165

John Abowd and Lars Vilhuber

A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model pp. 166-180

Jeffrey R. Russell and Robert Engle

The Structural Break in the Equity Premium pp. 181-191

Chang-Jin Kim, James Morley and Charles Nelson

Job Turnover and the Returns to Seniority pp. 192-199

Benoit Dostie

Bias-Corrected Estimation in Dynamic Panel Data Models pp. 200-210

Maurice Bun and Martin Carree

Kernel Estimation of Average Derivatives and Differences pp. 211-225

Mark Coppejans and Holger Sieg

The Wealth-Consumption Ratio and the Consumption-Habit Ratio pp. 226-241

Yuming Li

Panel and Pseudo-Panel Estimation of Cross-Sectional and Time Series Elasticities of Food Consumption: The Case of U.S. and Polish Data pp. 242-253

François Gardes, Greg Duncan, Patrice Gaubert, Marc Gurgand and Christophe Starzec

On the Econometrics of the Bass Diffusion Model pp. 255-268

H. Peter Boswijk and Philip Hans Franses

A Failure in the Measurement of Inflation: Results From a Hedonic and Matched Experiment Using Scanner Data pp. 269-281

Mick Silver and Saeed Heravi

Modeling Parametric Evolution in a Random Utility Framework pp. 282-294

Jin Gyo Kim, Ulrich Menzefricke and Fred M. Feinberg

Is the Consumer Sector Competitive in the U.K.? A Test Using Household-Level Demand Elasticities and Firm-Level Price Equations pp. 295-304

Naercio Menezes-Filho

Monetary Policy in a Markov-Switching Vector Error-Correction Model: Implications for the Cost of Disinflation and the Price Puzzle pp. 305-313

Neville Francis and Michael Owyang

Exchange Rates and Markov Switching Dynamics pp. 314-320

Yin-Wong Cheung and Ulf Erlandsson

Level Shifts and the Illusion of Long Memory in Economic Time Series pp. 321-335

Aaron Smith

Recursive Predictability Tests for Real-Time Data pp. 336-345

Atsushi Inoue and Barbara Rossi

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models pp. 346-354

Luc Bauwens and Sébastien Laurent

Testing for the Significance of Violations of Afriat's Inequalities pp. 355-362

Adrian R. Fleissig and Gerald A. Whitney

A Test for Superior Predictive Ability pp. 365-380

Peter Hansen

Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch-Singer Hypothesis pp. 381-394

Helle Bunzel and Timothy Vogelsang

Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence pp. 395-409

David Harris, Stephen Leybourne and Brendan McCabe

Do Panels Help Solve the Purchasing Power Parity Puzzle? pp. 410-415

Christian J. Murray and David Papell

Evaluation and Combination of Conditional Quantile Forecasts pp. 416-431

Raffaella Giacomini and Ivana Komunjer

Confidence Intervals for Half-Life Deviations From Purchasing Power Parity pp. 432-442

Barbara Rossi

An Unobserved-Component Model With Switching Permanent and Transitory Innovations pp. 443-454

Chung-Ming Kuan, Yu-Lieh Huang and Ruey S. Tsay

A Trading Approach to Testing for Predictability pp. 455-461

Stanislav Anatolyev and Alexander Gerko

The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment pp. 462-472

Ana María Herrera and Elena Pesavento

Purchase-Frequency Bias in Random-Coefficients Brand-Choice Models pp. 473-484

Anand V. Bodapati and Sachin Gupta

The Hedonic Regression Time-Dummy Method and the Monotonicity Axioms pp. 485-492

Daniel Melser

Editor's Report 2004 pp. 495-495

Torben Andersen

2004, volume 22, articles 1

Bayesian Analysis of the Heterogeneity Model pp. 2-15

Sylvia Fruhwirth-Schnatter, Regina Tuchler and Thomas Otter

Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model pp. 16-29

James Davidson

On the Performance of Some Robust Instrumental Variables Estimators pp. 30-39

Bo E Honore and Luojia Hu

Semiparametric Duration Models pp. 40-50

Feike C. Drost and Bas Werker

Financial Constraints and Farm Investment: A Bayesian Examination pp. 51-63

Chad Hart and Sergio Lence

How Do Behavioral Assumptions Affect Structural Inference? Evidence from a Laboratory Experiment pp. 64-79

Daniel Houser and Joachim Winter

The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations pp. 80-93

Chang-Jin Kim, Charles Nelson and Jeremy Piger

Sampling Frequency and the Comparison between Matched-Model and Hedonic Regression Price Indexes pp. 94-106

George Deltas and Eleftherios Zacharias

Deviance Information Criterion for Comparing Stochastic Volatility Models pp. 107-20

Andreas Berg, Renate Meyer and Jun Yu

An Empirical Bayes Procedure for Improving Individual-Level Estimates and Predictions from Finite Mixtures of Multinomial Logit Models pp. 121-25

Wagner A Kamakura and Michel Wedel

2004, volume 22

Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model pp. 129-162

Mohammad Pesaran, Til Schuermann and Weiner S.M.

Comment pp. 163-164

Badi Baltagi

Comment pp. 165-169

Richard Dennis and Jose Lopez

Comment pp. 169-172

Soren Johansen

Comment pp. 172-175

Kenneth Wallis

Rejoinder pp. 175-181

Mohammad Pesaran, Til Schuermann and Weiner S.M.

Hierarchical Models for Employment Decisions pp. 182-193

Kadane J.B. and Woodworth G.G.

Estimation and Welfare Analysis With Large Demand Systems pp. 194-205

Roger von Haefen, Daniel Phaneuf and George Parsons

Spatial Modeling of House Prices Using Normalized Distance-Weighted Sums pp. 206-213

Banerjee S., Gelfand A.E., John Knight and Sirmans C.F.

Choice Behavior Under Time-Variant Quality: State Dependence Versus pp. 214-224

Klaus Moeltner and Jeffrey Englin

Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function pp. 225-239

Eric Jondeau, Hervé Le Bihan and Galles C.

Asset Returns and State-Dependent Risk Preferences pp. 241-252

Stephen Gordon and Pascal St-Amour

Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets pp. 253-273

Asger Lunde and Allan Timmermann

The Performance of German Firms in the Business-Related Service Sector: A Dynamic Analysis pp. 274-295

Nguyen Van P., Francois Laisney and Ulrich Kaiser

The Minimum Wage: Consequences for Prices and Quantities in Low-Wage Labor Markets pp. 296-311

Wolfson P. and Belman D.

An Analysis of Speaking Fluency of Immigrants Using Ordered Response Models With Classification Errors pp. 312-321

Christian Dustmann and Arthur van Soest

Semiparametric Approaches to Welfare Evaluations in Binary Response Models pp. 322-330

Belluzzo Jr W.

Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics pp. 331-345

Morten Nielsen

State Space Models With a Common Stochastic Variance pp. 346-357

Siem Jan Koopman and Charles Bos

Testing for the Monotone Likelihood Ratio Assumption pp. 358-366

Jutta Roosen and David Hennessy

CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles pp. 367-381

Robert Engle and Simone Manganelli

Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship pp. 382-395

Frédérique Bec, Melika Ben Salem and Marine Carrasco

Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle pp. 396-409

Ravi Bansal, George Tauchen and Hao Zhou

The Measurement of Medicaid Coverage in the SIPP: Evidence From a Comparison of Matched Records pp. 410-420

David Card, Andrew K.G. Hildreth and Lara Shore-Sheppard

Decreasing Relative Risk Aversion, Risk Sharing, and the Permanent Income Hypothesis pp. 421-430

Qiang Zhang and Masao Ogaki

Bayesian Analysis of Interval Data Contingent Valuation Models and Pricing Policies pp. 431-442

Carmen Fernandez, Carmelo J. Leon, Mark Steel and Francisco Jose Vazquez-Polo

Dynamics and Seasonality in Quarterly Panel Data: An Analysis of Earnings Mobility in Spain pp. 443-456

Javier Alvarez

Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models pp. 457-473

Yongmiao Hong, Haitao Li and Feng Zhao

Testing Asset Pricing Models With Coskewness pp. 474-485

Giovanni Barone Adesi, Patrick Gagliardini and Giovanni Urga

Editors Report 2003 pp. 488-488

Eric Ghysels and Alastair Hall