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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2000, volume 18, articles 4

Testing for Full Insurance Using Exogenous Information pp. 387-97

John Ham and Kris Jacobs

Estimating Coke's and Pepsi's Price and Advertising Strategies pp. 398-409

Amos Golan, Larry Karp and Jeffrey Perloff

Long Memory in Stock-Market Trading Volume pp. 410-27

Ignacio Lobato and Carlos Velasco

Forecasting the Penetration of a New Product--A Bayesian Approach pp. 428-35

Scott E Pammer, Duncan K H Fong and Steven F Arnold

Modeling the ECU against the U.S. Dollar: A Structural Monetary Interpretation pp. 436-50

Lisbeth la Cour and Ronald MacDonald

Testing for the Cointegrating Rank of a VAR Process with Structural Shifts pp. 451-64

Pentti Saikkonen and Helmut Lütkepohl

Modeling and Short-term Forecasting of New South Wales Electricity System Load pp. 465-78

Michael Smith

Inequality Orderings, Normalized Stochastic Dominance, and Statistical Inference pp. 479-88

Zheng, Buhong, et al

Stationary Components in Stock Prices: An Exact Pointwise Most Powerful Invariant Test pp. 489-96

Philip A Shively

"Rule-of-Thumb" Consumption, Intertemporal Substitution, and Risk Aversion pp. 497-502

Christian Weber

Modeling Selectivity in Count-Data Models pp. 503-11

Hans van Ophem

2000, volume 18, articles 3

Unit-Root Tests Are Useful for Selecting Forecasting Models pp. 265-73

Francis Diebold and Lutz Kilian

Pooling in Dynamic Panel-Data Models: An Application to Forecasting GDP Growth Rates pp. 274-83

Andre J Hoogstrate, Franz Palm and Gerard Pfann

Modeling the Sources of Output Growth in a Panel of Countries pp. 284-99

Gary Koop, Jacek Osiewalski and Mark Steel

Time Series and Cross-Section Information in Affine Term-Structure Models pp. 300-314

Frank de Jong

Changepoint Tests Designed for the Analysis of Hiring Data Arising in Employment Discrimination Cases pp. 315-22

Boris Freidlin and Joseph L Gastwirth

Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the United States pp. 323-37

Herman Bierens

Bayesian Dynamic Factor Models and Portfolio Allocation pp. 338-57

Omar Aguilar and Mike West

Statistical Inference for Random-Variance Option Pricing pp. 358-67

Sergio Pastorello, Eric Renault and Nizar Touzi

Confidence Intervals for Univariate Impulse Responses with a Near Unit Root pp. 368-73

Jonathan Wright

A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance pp. 374-86

Jiahui Wang and Eric Zivot

2000, volume 18, articles 2

Market Microstructure Research Databases: History and Projections pp. 140-45

Robert A Wood

Some Reflections on Analysis of High-Frequency Data pp. 146-53

Torben Andersen

Some Econometric Recipes for High-Frequency Data Cooking pp. 154-63

Eric Ghysels

Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970-1996 pp. 164-73

Nicholas G Polson and Bernard V Tew

Semiparametric ARCH Models: An Estimating Function Approach pp. 174-86

David X Li and H J Turtle

Full Bayesian Inference for GARCH and EGARCH Models pp. 187-98

Ioannis Vrontos, Petros Dellaportas and D N Politis

Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume? pp. 199-210

Toshiaki Watanabe

Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests pp. 211-22

Jonathan Wright

Inference for Generalized Gini Indices Using the Iterated-Bootstrap Method pp. 223-27

Kuan Xu

The Demand for Lotto: The Role of Conscious Selection pp. 228-41

Farrell, Lisa, et al

Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk pp. 242-53

Peter Christoffersen and Lorenzo Giorgianni

Long-Range Dependence in Daily Stock Volatilities pp. 254-62

Bonnie K Ray and Ruey S Tsay

2000, volume 18, articles 1

Alternative Variance-Ratio Tests Using Ranks and Signs pp. 1-9

Jonathan Wright

Exchange-Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's pp. 10-17

Augustine C Arize, Thomas Osang and Daniel Slottje

Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem pp. 18-30

Michael Wolf

A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior pp. 31-39

Andre Lucas

Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence pp. 40-50

Lutz Kilian and Ufuk Demiroglu

Efficient Computation of Hierarchical Trends pp. 51-57

M K Francke and Aart de Vos

Aggregate Consumption and the Predictability of Asset Returns pp. 58-76

Kris Jacobs

Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations pp. 77-90

Donald Poskitt

Estimating Restricted Cointegrating Vectors pp. 91-99

Graham Elliott

Identifying Bull and Bear Markets in Stock Returns pp. 100-112

John Maheu and Thomas McCurdy

The Contribution of Establishment Births and Deaths to Employment Growth pp. 113-26

James Spletzer

Measuring Regional Cost of Living pp. 127-36

Jahyeong Koo, Keith Phillips and Fiona Sigalla

1999, volume 17, articles 4

Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes pp. 397-408

I G Morgan and R G Trevor

Testing Symmetry and Proportionality in PPP: A Panel-Data Approach pp. 409-18

Kai Li

Nonlinear Predictability of Stock Returns Using Financial and Economic Variables pp. 419-29

Min Qi

Age, Trend, and Cohort Effects in a Macro Model of Canadian Expenditure Patterns pp. 430-43

Frank Denton, Dean Mountain and Byron Spencer

CoSmo: A Constrained Scatterplot Smoother for Estimating Convex, Monotonic Transformations pp. 444-55

David Dole

Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths pp. 456-65

Rob Luginbuhl and Aart de Vos

Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate pp. 466-72

Michael Dueker

Estimating and Interpreting Models with Endogenous Treatment Effects pp. 473-78

Francis Vella and Marno Verbeek

Allowing for Zeros in Dichotomous-Choice Contingent-Valuation Models pp. 479-86

Megan Werner

Imposing Local Curvature Conditions in Flexible Demand Systems pp. 487-90

GianCarlo Moschini

Bayesian Unit-Root Testing in Stochastic Volatility Models pp. 491-96

Mike K P So and W K Li

Forecasting with Stable Seasonal Pattern Models with an Application to Hawaiian Tourism Data pp. 497-504

Rong Chen and Thomas Fomby

1999, volume 17, articles 3

A Generalized Additive Model for Discrete-Choice Data pp. 271-84

Makoto Abe

Can Supply and Demand Parameters Be Recovered from Data Generated by Market Institutions? pp. 285-97

James Cox and Ronald Oaxaca

Dynamic Asymmetries in U.S. Unemployment pp. 298-312

Gary Koop and Simon Potter

Predicting U.S. Business-Cycle Regimes pp. 313-23

Birchenhall, Chris R, et al

Time Series Evidence of Unemployment Flows: The Sample Period Matters pp. 324-34

Monika Merz

Structural Stability Testing in Models Estimated by Generalized Method of Moments pp. 335-48

Alastair Hall and Amit Sen

Semiparametric Approaches to Stochastic Panel Frontiers with Applications in the Banking Industry pp. 349-58

Robert M Adams, Allen Berger and Robin Sickles

Estimation of a Doubly Heteroscedastic Stochastic Frontier Cost Function pp. 359-63

Kaddour Hadri

Bayesian Arbitrage Threshold Analysis pp. 364-72

Catherine Forbes, Guyonne Kalb and Paul Kofman

Inferring the Distribution of Households' Duration of Residence from Data on Current Residence Time pp. 373-81

Shoshana Anily, Jacob Hornik and Miron Israeli

Random-Time Aggregation in Partial Adjustment Models pp. 382-95

Oscar Jorda

1999, volume 17, articles 2

Special Section on Consumer Price Research: Introduction pp. 137-40

Dale Jorgenson and Mark Watson

An Overview of Experimental U.S. Consumer Price Indexes pp. 141-51

Brent Moulton and Kenneth J Stewart

Using Scanner Data to Construct CPI Basic Component Indexes pp. 152-60

Marshall B Reinsdorf

The Effect of Errors in the CPI on Social Security Finances pp. 161-69

James E Duggan and Robert Gillingham

Indexing Government Programs for Changes in the Cost of Living pp. 170-81

Dale Jorgenson and Daniel T Slesnick

Beyond the CPI: An Augmented Cost-of-Living Index pp. 182-87

William Nordhaus

Cellular Telephone, New Products, and the CPI pp. 188-94

Jerry Hausman

Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes pp. 195-204

Ritva Luukkonen, Antti Ripatti and Pentti Saikkonen

A Nonparametric Analysis of Regional Unemployment Dynamics in Britain pp. 205-16

Marco Bianchi and Gylfi Zoega

Testing for Smooth Transition Nonlinearity in the Presence of Outliers pp. 217-35

Dick van Dijk, Philip Hans Franses and Andre Lucas

Lagged Regression Residuals and Serial-Correlation Tests pp. 236-47

Jan G. Gooijer and Ian B MacNeill

Preference Heterogeneity and the Rank of Demand Systems pp. 248-52

Panayiota Lyssiotou, Panos Pashardes and Thanasis Stengos

An Asymmetry Generator for Error-Correction Mechanisms, with Application to Bank Mortgage-Rate Dynamics pp. 253-63

Denise Frost and Roger Bowden

Modified Stationarity Tests with Data-Dependent Model-Selection Rules pp. 264-70

Stephen Leybourne and Brendan McCabe

1999, volume 17, articles 1

A Hierarchical Bayesian Model for Predicting the Rate of Nonacceptable In-Patient Hospital Utilization pp. 1-8

Marjorie A Rosenberg, Richard W Andrews and Peter J Lenk

Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies pp. 9-21

Tim Bollerslev and Dan Jubinski

Humps and Bumps in Lifetime Consumption pp. 22-35

Attanasio, Orazio P, et al

Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data pp. 36-49

César Alonso-Borrego and Manuel Arellano

Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model with Jumps pp. 50-66

Mohammad Pesaran and Francisco Ruge-Murcia

Semiparametric Tests for Double Unit Roots Based on Symmetric Estimators pp. 67-73

Dong Wan Shin and Hyun Jung Kim

Earnings and Employment Effects of Continuous Off-the-Job Training in East Germany after Unification pp. 74-90

Michael Lechner

A New Test for ARCH Effects and Its Finite-Sample Performance pp. 91-108

Yongmiao Hong and Ramsey D Shehadeh

Three Equivalent Methods for Filtering Finite Nonstationary Time Series pp. 109-16

Victor Gomez

Multichoice Logit: Modeling Incomplete Preference Rankings of Classical Concerts pp. 117-28

Hans van Ophem, Piet Stam and Bernard van Praag

Some Consequences of Temporal Aggregation in Empirical Analysis pp. 129-36

Massimiliano Marcellino