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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2002, volume 20, articles 4

Interview with Lars Peter Hansen pp. 442-47

Eric Ghysels and Alastair Hall

Interview with Christopher A. Sims pp. 448-49

Eric Ghysels and Alastair Hall

Sargan's Instrumental Variables Estimation and the Generalized Method of Moments pp. 450-59

Manuel Arellano

Generalized Method of Moments and Macroeconomics pp. 460-69

Bruce Hansen and Kenneth West

Generalized Method of Moments: Applications in Finance pp. 470-81

Ravi Jagannathan, Georgios Skoulakis and Zhenyu Wang

Simulation-Based Method of Moments and Efficiency pp. 482-92

Marine Carrasco and Jean-Pierre Florens

Generalized Method of Moments and Empirical Likelihood pp. 493-506

Guido Imbens

Generalized Method of Moments, Efficient Bootstrapping, and Improved Inference pp. 507-17

Bryan W Brown and Whitney Newey

A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments pp. 518-29

James Stock, Jonathan Wright and Motohiro Yogo

Generalized Method of Moments Estimation When a Parameter Is on a Boundary pp. 530-44

Donald Andrews

2002, volume 20, articles 3

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes pp. 297-316

Garland B Durham and A. Gallant

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 317-21

Yacine Ait-Sahalia

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 321-24

Michael W Brandt and Pedro Santa-Clara

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 325-27

Siddhartha Chib and Neil Shephard

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 327-29

Bjorn Eraker

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 330-31

Peter Glynn

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 331-32

George Tauchen

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment pp. 333-335

Hao Zhou

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply pp. 335-38

Garland B Durham and A. Gallant

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models pp. 339-50

Robert Engle

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations pp. 351-62

Y. K. Tse and Albert Tsui

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results pp. 363-76

Elena Andreou and Eric Ghysels

Conditional Jump Dynamics in Stock Market Returns pp. 377-89

Wing Chan and John Maheu

Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns pp. 390-411

Timothy C Johnson

Semiparametric Smooth Coefficient Models pp. 412-22

Li, Qi, et al

Reanalyzing Ultimatum Bargaining--Comparing Nondecreasing Curves without Shape Constraints pp. 423-30

Fong, Duncan K H, et al

Efficiency of Covariance Matrix Estimators for Maximum Likelihood Estimation pp. 431-40

Jack Porter

2002, volume 20, articles 2

Macroeconomic Forecasting Using Diffusion Indexes pp. 147-62

James Stock and Mark Watson

Regime Switches in Interest Rates pp. 163-82

Andrew Ang and Geert Bekaert

Markov-Switching and Stochastic Volatility Diffusion Models of Short-Term Interest Rates pp. 183-97

Daniel Smith

Estimation of Continuous-Time Processes via the Empirical Characteristic Function pp. 198-212

George J Jiang and John Knight

Collective Decision-Making and Heterogeneity in Tastes pp. 213-26

Guo Ying Luo

Costly Reversible Investment with Fixed Costs: An Empirical Study pp. 227-40

Hirokatsu Asano

An Empirical Analysis of Earnings and Employment Risk pp. 241-53

Luigi Guiso, Tullio Jappelli and Luigi Pistaferri

Bootstrap-Based Inference in Models with a Nearly Noninvertible Moving Average Component pp. 254-68

Nikolay Gospodinov

Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series pp. 269-81

Robert Taylor

Threshold Autoregressions for Strongly Autocorrelated Time Series pp. 282-89

Markku Lanne and Pentti Saikkonen

Estimating Lorenz Curves Using a Dirichlet Distribution pp. 290-95

Duangkamon Chotikapanich and William Griffiths

2002, volume 20, articles 1

Tests for Unit Roots: A Monte Carlo Investigation pp. 5-17

G. Schwert

Determining the Order of Differencing in Autoregressive Processes pp. 18-24

David Dickey and Sastry G Pantula

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis pp. 25-44

Eric Zivot and Donald Andrews

Tests for Parameter Instability in Regressions with I(1) Processes pp. 45-59

Bruce Hansen

The Message in Daily Exchange Rates: A Conditional-Variance Tale pp. 60-68

Richard Baillie and Tim Bollerslev

Bayesian Analysis of Stochastic Volatility Models pp. 69-87

Eric Jacquier, Nicholas G Polson and Peter Rossi

Estimation and Inference in Two-Step Econometric Models pp. 88-97

Kevin Murphy and Robert Topel

Issues Involved with the Seasonal Adjustment of Economic Time Series pp. 98-127

William R Bell and Steven C Hillmer

Vector Autoregressions and Reality pp. 128-33

David E Runkle

Comparing Predictive Accuracy pp. 134-44

Francis Diebold and Roberto Mariano

2001, volume 19, articles 4

Binary Choice with Binary Endogenous Regressors in Panel Data: Estimating the Effect of Fertility on Female Labor Participation pp. 385-94

Raquel Carrasco

Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model pp. 395-403

Christopher Neely, Amlan Roy and Charles Whiteman

Markov Regime Switching and Unit-Root Tests pp. 404-15

Charles Nelson, Jeremy Piger and Eric Zivot

Structural Estimates of the U.S. Sacrifice Ratio pp. 416-27

Stephen Cecchetti and Robert Rich

Markov Chain Monte Carlo Analysis of Correlated Count Data pp. 428-35

Siddhartha Chib and Rainer Winkelmann

Business Cycles and Compositional Variation in U.S. Unemployment pp. 436-48

Jaap Abbring, Gerard van den Berg and Jan van Ours

The Econometrics of Rational Addiction: The Case of Cigarettes pp. 449-54

Badi Baltagi and James M Griffin

Overcoming Nonadmissibility in ARIMA-Model-Based Signal Extraction pp. 455-64

Gabriele Fiorentini and Christophe Planas

Testing Density Forecasts, with Applications to Risk Management pp. 465-74

Jeremy Berkowitz

Bias from Classical and Other Forms of Measurement Error pp. 475-81

Dean Hyslop and Guido Imbens

Estimation for Autoregressive Time Series with a Root Near 1 pp. 482-93

Anindya Roy and Wayne A Fuller

2001, volume 19, articles 3

Testing Target-Zone Models Using Efficient Method of Moments pp. 255-69

Chae-Shick Chung and George Tauchen

Testing Target-Zone Models Using Efficient Method of Moments: Comment pp. 269-71

Alastair Hall

Testing Target-Zone Models Using Efficient Method of Moments: Comment pp. 271-73

Peter Pedroni

Testing Target-Zone Models Using Efficient Method of Moments: Comment pp. 273-76

Richard Baillie and Young-Wook Han

Testing Target-Zone Models Using Efficient Method of Moments: Reply pp. 276-77

Chae-Shick Chung and George Tauchen

To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data pp. 278-91

Carl Bonham and Richard Cohen

Bayesian Analysis of Engel Curves Estimation with Measurement Errors and an Instrumental Variable pp. 292-98

Hikaru Hasegawa and Hideo Kozumi

Structural Breaks, Incomplete Information, and Stock Prices pp. 299-314

Allan Timmermann

A Formalization of Seasonal Encompassing with an Application to a German Macromodel pp. 315-23

Andreas Beyer

Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis pp. 324-30

John Robertson and Ellis Tallman

Rank Tests for Nonlinear Cointegration pp. 331-40

Jörg Breitung

Spatially Disaggregated Real Estate Indices pp. 341-57

Iversen, Edwin S,

Interpreting Instrumental Variables Estimates of the Returns to Schooling pp. 358-64

Jeffrey Kling

The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series pp. 365-73

Victor Gomez

On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation pp. 374-79

Peter Burridge and Robert Taylor

On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables pp. 380-82

Jeffrey Racine

2001, volume 19, articles 2

Estimation with Response Error and Nonresponse: Food-Stamp Participation in the SIPP pp. 129-41

Christopher Bollinger and Martin H David

Testing for Choice Dynamics in Panel Data pp. 142-52

Tulin Erdem and Baohong Sun

Intertemporal Variation in Financial Constraints on Investment: A Time-Varying Parameter Approach Using Panel Data pp. 153-65

A Kamil Tahmiscioglu

Cointegration and Threshold Adjustment pp. 166-76

Walter Enders and Pierre Siklos

MCMC Analysis of Diffusion Models with Application to Finance pp. 177-91

Bjorn Eraker

Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration pp. 192-207

Robert Taylor and Richard Smith

Tail-Index Estimates in Small Samples pp. 208-16

Huisman, Ronald, et al

Prediction Intervals for ARIMA Models pp. 217-25

Ralph Snyder, John Ord and Anne B Koehler

Specification Analysis in Equations with Stochastic Regressors pp. 226-32

Michael Magdalinos and Helen Kandilorou

Tests for Asymmetry in Possibly Nonstationary Time Series Data pp. 233-44

Dong Wan Shin and Oesook Lee

Tests Against Inequality Constraints When Some Nuisance Parameters Are Present Only under the Alternative: Test of ARCH in ARCH-M Models pp. 245-53

A B M Rabiul A Beg, Mervyn J Silvapulle and Paramsothy Silvapulle

2001, volume 19, articles 1

Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice pp. 2-16

Joshua Angrist

Comment: Binary Regressors in Nonlinear Panel-Data Models with Fixed Effects pp. 16-17

Jinyong Hahn

Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment pp. 17-20

Guido Imbens

Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment pp. 20-23

Robert Moffitt

Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment pp. 23-25

John Mullahy

Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Comment pp. 25-27

Petra Todd

Estimations of Limited Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice: Reply pp. 27-28

Joshua Angrist

Tests for Forecast Encompassing When Forecasts Depend on Estimated Regression Parameters pp. 29-33

Kenneth West

Testing for Forecast Consensus pp. 34-43

Allan Gregory, Gregor Smith and James Yetman

On the Normal Inverse Gaussian Stochastic Volatility Model pp. 44-54

Jonas Andersson

Influence Diagnostics and Estimation Algorithms for Powell's SCLS pp. 55-62

João Santos Silva

Bootstrap Testing Linear Restrictions on Cointegrating Vectors pp. 63-72

Mikael Gredenhoff and Tor Jacobson

A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies pp. 73-84

Michael Rockinger and Giovanni Urga

Explaining Long- and Short-Run Interactions in Time Series Data pp. 85-94

Lucio Picci

Forecasting an Accumulated Series Based on Partial Accumulation: A Bayesian Method for Short Series with Seasonal Patterns pp. 95-102

Enrique de Alba and Manuel Mendoza

Volatility of Stock-Market Indexes--An Analysis Based on SEMIFAR Models pp. 103-16

Jan Beran and Dirk Ocker

Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models pp. 117-28

Jae Kim