Journal of Applied Econometrics

1986 - 2010

Continued by Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
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Volume 17, issue 6, 2002

Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach pp. 617-639

Keith Vorkink, Douglas Hodgson and Oliver Linton

Divergence in alternative Hicksian welfare measures: the case of revealed preference for public amenities pp. 641-666

Sudip Chattopadhyay

The stochastic volatility in mean model: empirical evidence from international stock markets pp. 667-689

Siem Jan Koopman and Eugenie Hol Uspensky

How to compute the BDS test: a software comparison pp. 691-699

Jorge Belaire-Franch and Dulce Contreras

Stated choice methods: analysis and application, Jordan J. Louviere, David A. Hensher and Joffre D. Swait, Cambridge University Press, ISBN: 0-521-78830-7 pp. 701-704

Wiebke Kuklys

Volume 17, issue 5, 2002

Financial volatility: an introduction pp. 419-424

Philip Hans Franses and Michael McAleer

New frontiers for arch models pp. 425-446

Robert Engle

Some comments on risk pp. 447-456

Clive Granger

Estimating quadratic variation using realized variance pp. 457-477

Ole Barndorff-Nielsen and Neil Shephard

A theoretical comparison between integrated and realized volatility pp. 479-508

Nour Meddahi

Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence pp. 509-534

Felix Chan and Michael McAleer

Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model pp. 535-548

Lars Forsberg and Tim Bollerslev

GO-GARCH: a multivariate generalized orthogonal GARCH model pp. 549-564

Roy van der Weide

Time irreversibility and EGARCH effects in US stock index returns pp. 565-578

Yi-Ting Chen and Chung-Ming Kuan

Detecting multiple breaks in financial market volatility dynamics pp. 579-600

Elena Andreou and Eric Ghysels

Modelling and forecasting level shifts in absolute returns pp. 601-616

Richard Paap, Philip Hans Franses and Marco van der Leij

Volume 17, issue 3, 2002

A structural model of US aggregate job flows pp. 197-223

Fabrice Collard, Patrick Fève, Francois Langot and Corinne Perraudin

Learning and communication in sender-receiver games: an econometric investigation pp. 225-247

Andreas Blume, Douglas V. DeJong, George R. Neumann and N. E. Savin

The relation between wealth and labour market transitions: an empirical study for the Netherlands pp. 249-268

Hans Bloemen

Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets pp. 269-289

Michael S. Haigh and Matthew Holt

A review of TSW: the Windows version of the TRAMO-SEATS program pp. 291-299

David Pollock

Volume 17, issue 2, 2002

Modelling the trend and seasonals within an AIDS model of the demand for alcoholic beverages in the United Kingdom pp. 95-106

I. A. Moosa and J. L. Baxter

Quantifying the uncertainty about the half-life of deviations from PPP pp. 107-125

Lutz Kilian and Tao Zha

Stochastic frontier models with random coefficients pp. 127-147

Mike Tsionas

Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation pp. 149-174

Christopher Otrok, B Ravikumar and Charles Whiteman

Using R to teach econometrics pp. 175-189

Jeffrey Racine and Rob Hyndman

Book Reviews: Introductory Econometrics: A Modern Approach, Jeffrey M. Wooldridge, South-Western College Publishing, 2000 pp. 191-193

Melvyn Weeks

Volume 17, issue 1, 2002

Transitions from home to marriage of young Americans pp. 1-23

Arnstein Aassve, Simon Burgess, Andrew Chesher and Carol Propper

Labour market institutions and employment in France pp. 25-48

Guy Laroque and Bernard Salanié

A segment-level hazard approach to studying household purchase timing decisions pp. 49-59

Demetrios Vakratsas and Frank M. Bass

This is what the leading indicators lead pp. 61-80

Maximo Camacho and Gabriel Perez-Quiros

A simple and efficient method for estimating the magnitude and precision of welfare changes: comment pp. 81-83

Ian Irvine and William Sims

A review of SORITEC for Windows pp. 85-90

Richard March

Volume 16, issue 6, 2001

Measuring predictability: theory and macroeconomic applications pp. 657-669

Francis Diebold and Lutz Kilian

Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly pp. 671-708

Alex Maynard and Peter Phillips

Estimating economic relationships subject to firm- and time-varying equality and inequality constraints pp. 709-726

Christopher O'Donnell, Alicia Rambaldi and Howard E. Doran

The demand for M3 in the euro area pp. 727-748

Günter Coenen and Juan Vega

Review of Measurement error and latent variables in econometrics, Tom Wansbeek and Erik Meijer, advanced textbooks in economics: editors C. Bliss and M. D. Intriligator, North-Holland, Amsterdam pp. 749-753

Melvyn Weeks

Volume 16, issue 5, 2001

Model uncertainty in cross-country growth regressions pp. 563-576

Carmen Fernandez, Eduardo Ley and Mark Steel

A score test for non-nested hypotheses with applications to discrete data models pp. 577-597

João Santos Silva

Income distribution and income dynamics in the United Kingdom pp. 599-617

Jayasri Dutta, James Sefton and Martin Weale

Unemployment insurance and subsequent job duration: job matching versus unobserved heterogeneity pp. 619-636

Christian Belzil

Review of Stata 7 pp. 637-646

Stanislav Kolenikov

Applied macroeconometrics, Carlo A. Favero, Oxford University Press, Oxford, 2001, ISBN 0-19-877583-0 (hardback), pp. xi + 282, £40.00 pp. 647-652

Anthony Garratt

Journal of Applied Econometrics distinguished authors pp. 653-654

Mohammad Pesaran

Volume 16, issue 4, 2001

The non-linear dynamics of output and unemployment in the U.S pp. 461-486

Filippo Altissimo and Giovanni Violante

Monetary policy analysis and inflation targeting in a small open economy: a VAR approach pp. 487-520

Tor Jacobson, Per Jansson, Anders Vredin and Anders Warne

A flexible parametric GARCH model with an application to exchange rates pp. 521-536

Kai-Li Wang, Chris Fawson, Christopher Barrett and James McDonald

Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test pp. 537-551

Philip A. Shively

Scilab as an econometric programming system pp. 553-559

Mico Mrkaic

Journal of Applied Econometrics Conference Sponsorship Grants pp. 561-561

Mohammad Pesaran

Volume 16, issue 3, 2001

A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics pp. 197-202

David Hendry and Mohammad Pesaran

Earnings, unemployment, and housing in Britain pp. 203-220

Gavin Cameron and John Muellbauer

An I(2) analysis of inflation and the markup pp. 221-240

Anindya Banerjee, Lynne Cockerell and Bill Russell

Output and inflation in the long run pp. 241-253

Neil Ericsson, John S. Irons and Ralph W. Tryon

Modelling UK inflation, 1875-1991 pp. 255-275

David Hendry

Non-linear error correction and the UK demand for broad money, 1878-1993 pp. 277-288

Timo Teräsvirta and Ann-Charlotte Eliasson

Bounds testing approaches to the analysis of level relationships pp. 289-326

Mohammad Pesaran, Yongcheol Shin and Richard Smith

Stability and wage acceleration in macroeconomic models of cyclical growth pp. 327-340

Albert Bergstrom

European integration and monetary transmission mechanisms: the case of Italy pp. 341-358

Katarina Juselius

Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994 pp. 359-370

Massimiliano Marcellino and Grayham Mizon

Estimating shocks and impulse response functions pp. 371-387

Michael Wickens and Roberto Motto

Descriptive econometrics for non-stationary time series with empirical illustrations pp. 389-413

Peter Phillips

Testing against smooth stochastic trends pp. 415-429

Jukka Nyblom and Andrew Harvey

Finite sample improvements in statistical inference with I(1) processes pp. 431-444

D. Marinucci and Peter Robinson

Clusters of attributes and well-being in the USA pp. 445-460

Joseph Hirschberg, Esfandiar Maasoumi and Daniel Slottje

Volume 16, issue 2, 2001

Testing of seasonal fractional integration in UK and Japanese consumption and income pp. 95-114

Luis Gil-Alana and Peter Robinson

Autoregressive conditional heteroscedasticity in commodity spot prices pp. 115-132

Stacie Beck

Modelling the conditional volatility of commodity index futures as a regime switching process pp. 133-163

Wai Mun Fong and Kim Hock See

The effect of physician advice on alcohol consumption: count regression with an endogenous treatment effect pp. 165-184

Donald Kenkel and Joseph Terza

Software for parallel computing: the LAM implementation of MPI pp. 185-194

Christopher Swann

Volume 16, issue 1, 2001

Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior pp. 1-22

Michele Campolieti

Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal pp. 23-39

Maria Fraga O. Martins

Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis pp. 41-57

H. Youn Kim and Junsoo Lee

An empirical comparison of flexible demand system functional forms pp. 59-80

Douglas Fisher, Adrian R. Fleissig and Apostolos Serletis

A comparison of different LaTeX programs pp. 81-92

Ruud Koning