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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1995, volume 13, articles 4

Dan Nelson Remembered pp. 361-64

Tim Bollerslev and Peter Rossi

Overnight and Daytime Stock-Return Dynamics on the London Stock Exchange: The Impact of the "Big Bang" and the 1987 Stock-Market Crash pp. 365-78

Ronald Masulis and Victor K Ng

Can Speculative Trading Explain the Volume-Volatility Relation? pp. 379-96

Frederick Foster and S Viswanathan

The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets pp. 397-408

Geert Bekaert

Sustainability of the Deficit Process with Structural Shifts pp. 409-17

Carmela E Quintos

Revealed Preference of the Federal Reserve: Using Inverse-Control Theory to Interpret the Policy Equation of a Vector Autoregression pp. 419-33

Michael K Salemi

Uncertainty about the Persistence of Economic Shocks pp. 435-40

John P Miller and Paul Newbold

Temporal Aggregation and Economic Time Series pp. 441-51

Robert Rossana and John Seater

Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money pp. 453-58

Apostolos Serletis

A Dynamic Analysis of Interfuel Substitution in U.S. Industrial Energy Demand pp. 459-65

Clifton T Jones

Duration Dependence and Dispersion in Count-Data Models pp. 467-74

Rainer Winkelmann

Some Specification Tests for Probit Models Estimated on Panel Data pp. 475-88

Michael Lechner

1995, volume 13, articles 3

Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability pp. 237-52

Fabio Canova and Bruce Hansen

Comparing Predictive Accuracy pp. 253-63

Francis Diebold and Roberto Mariano

A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks pp. 265-75

Norman Swanson and Halbert White

Lag Order and Critical Values of the Augmented Dickey-Fuller Test pp. 277-80

Yin-Wong Cheung and Kon S Lai

Reassessing Brand Loyalty, Price Sensitivity, and Merchandising Effects on Consumer Brand Choice pp. 281-89

Greg M Allenby and Peter J Lenk

Modeling the Distribution of Price Sensitivity and Implications for Optimal Retail Pricing pp. 291-303

Byung-Do Kim, Robert C Blattberg and Peter Rossi

Measurement Error and Earnings Dynamics: Some Estimates from the PSID Validation Study pp. 305-14

Jorn-Steffen Pischke

A Bayesian Integration of End-Use Metering and Conditional-Demand Analysis pp. 315-26

Cheng Hsiao, Dean Mountain and Kathleen Ho Illman

Censored Regression Estimation under Unobserved Heterogeneity: A Stochastic Parameter Approach pp. 327-35

Petros E Ioannatos

Research on Establishment-Survey Questionnaire Design pp. 337-46

Polly A Phipps, Shail J Butani and Young I Chun

Variance Estimation in the Swedish Consumer Price Index pp. 347-56

Jurgen Dalen and Esbjorn Ohlsson

Sample-Audit Tax Assessment for Businesses: What's Fair? pp. 357-59

S James Press

1995, volume 13, articles 2

Introduction to the JBES Symposium on Program and Policy Evaluation pp. 133-36

Joshua Angrist

The Benefit of Additional High-School Math and Science Classes for Young Men and Women pp. 137-49

Phillip Levine and David Zimmerman

Natural and Quasi-experiments in Economics pp. 151-61

Bruce Meyer

The Labor-Market Effects of Introducing National Health Insurance: Evidence from Canada pp. 163-73

Jonathan Gruber and Maria Hanratty

The Employment Effect in Retail Trade of California's 1988 Minimum Wage Increase pp. 175-82

Taeil Kim and Lowell Taylor

The General-Liability Reform Experiments and the Distribution of Insurance-Market Outcomes pp. 183-88

W Viscusi and Patricia Born

The Impact of Unemployment Insurance Benefit Levels on Recipiency pp. 189-98

Brian McCall

Minimum Wage Effects on Employment and School Enrollment pp. 199-206

David Neumark and William Wascher

Evaluating the Cost of Conscription in The Netherlands pp. 207-15

Guido Imbens and Wilbert van der Klaauw

Democratization or Diversion? The Effect of Community Colleges on Educational Attainment pp. 217-24

Cecilia Elena Rouse

Split-Sample Instrumental Variables Estimates of the Return to Schooling pp. 225-35

Joshua Angrist and Alan Krueger

1995, volume 13, articles 1

Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation pp. 1-10

Robin L Lumsdaine

A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada pp. 11-25

G. Karolyi

Estimation of Common Long-Memory Components in Cointegrated Systems pp. 27-35

Jesus Gonzalo and Clive Granger

Long Memory in Inflation Rates: International Evidence pp. 37-45

Uwe Hassler and Juergen Wolters

Nonstationarity of Regressors and Tests on Real-Interest-Rate Behavior pp. 47-51

Frederic Mishkin

Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features pp. 53-66

Robert E Dorsey and Walter J Mayer

Money, Output, and Prices: Evidence from a New Monetary Aggregate pp. 67-83

Julio Rotemberg, John Driscoll and James Poterba

Randomization Tests in Econometrics pp. 85-94

Peter Kennedy

Measuring Welfare Changes When Quantity Is Constrained pp. 95-103

Jon Breslaw and Barry Smith

Frontier Estimation and Firm-Specific Inefficiency Measures in the Presence of Heteroscedasticity pp. 105-11

Steven B Caudill, Jon Ford and Daniel Gropper

Contested Tender Offers: An Estimate of the Hazard Function pp. 113-19

Sanjiv Jaggia and Satish Thosar

Establishment Microdata for Economic Research and Policy Analysis: Looking beyond the Aggregates pp. 121-26

Robert H McGuckin

A Comparison between Different Order-Determination Criteria for Identification of ARIMA Models pp. 127-31

Sergio G Koreisha and Tarmo Pukkila

1994, volume 12, articles 4

Bayesian Analysis of Stochastic Volatility Models pp. 371-89

Eric Jacquier, Nicholas G Polson and Peter Rossi

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 389-92

Torben Andersen

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 393-95

Jon Danielsson

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 395-96

Robert Engle

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 397-99

John Geweke

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 399-401

Eric Ghysels and Joann Jasiak

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 402-03

Andrew Harvey and Esther Ruiz

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 403-06

Daniel B Nelson

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 406-10

Neil Shephard and Sangjoon Kim

Bayesian Analysis of Stochastic Volatility Models: Comment pp. 410-12

Harald Uhlig

Bayesian Analysis of Stochastic Volatility Models: Comments: Reply pp. 413-17

Eric Jacquier, Nicholas G Polson and Peter Rossi

Residential Demand for Electricity under Inverted Block Rates: Evidence from a Controlled Experiment pp. 419-30

Joseph Herriges and Kathleen Kuester King

Curvature Restrictions on Flexible Functional Forms: An Application of the Minflex Laurent Almost Ideal Demand System to the Pattern of Spanish Demand, 1954-1987 pp. 431-36

Julian Ramajo

A Combined Bound for Errors in Auditing Based on Hoeffding's Inequality and the Bootstrap pp. 437-48

Howard R Clayton

A Comparison of Unit-Root Test Criteria pp. 449-59

Sastry G Pantula, Graciela Gonzalez-Farias and Wayne A Fuller

Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection pp. 461-70

Alastair Hall

The Effects of Additive Outliers on Tests for Unit Roots and Cointegration pp. 471-78

Philip Hans Franses and Niels Haldrup

The Trend Behavior of Alternative Income Inequality Measures in the United States from 1947-1990 and the Structural Break pp. 479-87

Baldev Raj and Daniel Slottje

Posterior Properties of Long-Run Impulse Responses pp. 489-92

Gary Koop, Jacek Osiewalski and Mark Steel

1994, volume 12, articles 3

Inventories and the Three Phases of the Business Cycle pp. 269-77

Daniel Sichel

Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth pp. 279-88

J Michael Durland and Thomas McCurdy

On the Periodic Structure of the Business Cycle pp. 289-98

Eric Ghysels

Business-Cycle Phases and Their Transitional Dynamics pp. 299-308

Andrew Filardo

A Markov Model of Switching-Regime ARCH pp. 309-16

Jun Cai

A Random-Coefficients Logit Brand-Choice Model Applied to Panel Data pp. 317-28

Dipak C Jain, Naufel J Vilcassim and Pradeep Chintagunta

Menu Pricing: An Experimental Approach pp. 329-37

Nicholas Kiefer, Thomas J Kelly and Kenneth Burdett

Bayesian Efficiency Analysis with a Flexible Form: The AIM Cost Function pp. 339-46

Gary Koop, Jacek Osiewalski and Mark Steel

Testing for Cointegration in Linear Quadratic Models pp. 347-60

Allan Gregory

Estimating Potential Output as a Latent Variable pp. 361-68

Kenneth Kuttner

1994, volume 12, articles 2

The Statistical Properties of the Equity Estimator pp. 141-47

Carter Hill and Phillip Cartwright

The Statistical Properties of the Equity Estimator: A Reply pp. 149-53

Lakshman Krishnamurthi and Arvind Rangaswamy

The Statistical Properties of the Equity Estimator: A Rejoinder pp. 155

Carter Hill and Phillip Cartwright

The Statistical Properties of the Equity Estimator: Reply to Rejoinder pp. 155a

Lakshman Krishnamurthi and Arvind Rangaswamy

A Consistent Test for a Unit Root pp. 157-66

Stephen Leybourne and Brendan McCabe

Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests pp. 167-76

James MacKinnon

Variance-Ratio Tests: Small-Sample Properties with an Application to International Output Data pp. 177-86

Stephen Cecchetti and Pok-sang Lam

Approximately Median-Unbiased Estimation of Autoregressive Models pp. 187-204

Donald Andrews and Hong-Yuan Chen

Precautionary Saving: An Explanation for Excess Sensitivity of Consumption pp. 205-19

Michel Normandin

Estimating End-Use Demand: A Bayesian Approach pp. 221-31

Luc Bauwens, Denzil Fiebig and Mark Steel

Patterns in Residential Gas and Electricity Consumption: An Econometric Analysis pp. 233-41

Ray-Shine Lee and Nirvikar Singh

Coordinate Space versus Index Space Representations as Estimation Methods: An Application to How Macro Activity Affects the U.S. Income Distribution pp. 243-51

Hang K Ryu and Daniel Slottje

Endogenous Trading Volume and Momentum in Stock-Return Volatility pp. 253-60

Christopher G Lamoureux and William Lastrapes

Imposing Linear Homogeneity on Box-Tidwell Flexible Functional Forms pp. 261-65

Richard Shin and John Ying

1994, volume 12, articles 1

Using Neoclassical Consumer-Choice Theory to Produce a Market Map from Purchase Data pp. 1-9

T C Srinivasan and Russell S Winer

Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods pp. 11-21

Mohammad Pesaran, Richard Pierse and Kevin Lee

A Quality-Adjusted Price Index for Personal Computers pp. 23-31

Randy Nelson, Tim L Tanguay and Christopher D Patterson

Financial-Firm Production of Monetary Services: A Generalized Symmetric Barnett Variable-Profit-Function Approach pp. 33-46

William Barnett and Jeong Ho Hahm

The Appropriate Scale Variable in the U.S. Money Demand: An Application of Nonnnested Tests of Consumption versus Income Measures pp. 47-55

Elyas Elyasiani and Alireza Nasseh

Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models pp. 57-79

Craig Burnside

A Spectral-Temporal Index with an Application to U.S. Interest Rates pp. 81-93

Guay Lim and Vance Martin

A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models pp. 95-107

Gary Koop and Mark Steel

Semiparametric Tests for Double Unit Roots pp. 109-22

Niels Haldrup

Truncation Bias and the Ordinal Evaluation of Income Inequality pp. 123-27

John A Bishop, Jong-Rong Chiou and John P Formby

Forecasting Performance of Structural Time Series Models pp. 129-33

Rick L Andrews

Nonlinear Monetary Dynamics: Comment pp. 135-36

James B Ramsey and Philip Rothman

Reply [Nonlinear Monetary Dynamics] pp. 136-37

Gregory P DeCoster and Douglas W Mitchell

Correction [A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances] pp. 139

John H H Lee and Maxwell King