Journal of Applied Econometrics

1986 - 2010

Continued by Journal of Applied Econometrics.

Current editor(s): M. Hashem Pesaran

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

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Volume 11, issue 6, 1996

Numerical Distribution Functions for Unit Root and Cointegration Tests pp. 601-18

James MacKinnon

Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates pp. 619-32

Leslie Papke and Jeffrey Wooldridge

Semiparametric Estimation of a Hedonic Price Function pp. 633-48

Paul Anglin and Ramazan Gencay

Comparing Fourier and Translog Specifications of Multiproduct Technology: Evidence from an Incomplete Panel of French Farmers pp. 649-67

Ivaldi, Marc, et al

A Non-linear Model of the Real US-UK Exchange Rate pp. 669-86

John Creedy, Jeanette Lye and Vance Martin

GAUSSX: Version 3.4 pp. 687-93

Richard Pierse

Volume 11, issue 5, 1996

Can We Improve the Perceived Quality of Economic Forecasts? pp. 455-73

Clive Granger

Intercept Corrections and Structural Change pp. 475-94

Michael Clements and David Hendry

Assessing Forecast Performance in a Cointegrated System pp. 495-517

Dennis Hoffman and Robert Rasche

Co-integration Constraint and Forecasting: An Empirical Examination pp. 519-38

Jin-Lung (henry) Lin and Ruey S Tsay

Estimating Time Series Models Using the Relevant Cost Function pp. 539-60

Andrew A Weiss

Further Results on Forecasting and Model Selection under Asymmetric Loss pp. 561-71

Peter Christoffersen and Francis Diebold

Stock Market Volatility and the Business Cycle pp. 573-93

James Hamilton and Lin Gang

Volume 11, issue 4, 1996

The Inconsistency of Common Scale Estimators When Output Prices Are Unobserved and Endogenous pp. 343-61

Tor Klette and Zvi Griliches

Applied Cointegration Analysis in the Mirror of Macroeconomic Theory pp. 363-81

Paul Söderlind and Anders Vredin

Persistence of Shocks on Seasonal Processes pp. 383-98

Tommaso Proietti

Analytic Derivatives and the Computation of GARCH Estimates pp. 399-417

Gabriele Fiorentini, Giorgio Calzolari and Lorenzo Panattoni

Credit Rationing and Threshold Effects in the Relation between Money and Output pp. 419-29

John Galbraith

Computing Median Unbiased Estimates in Macroeconometric Models pp. 431-35

Ray Fair

Systems Estimation: A Comparison of SAS, SHAZAM and TSP pp. 437-50

Julian Silk

Volume 11, issue 3, 1996

Regime Switching as a Test for Exchange Rate Bubbles pp. 219-51

Simon van Norden

On a Double-Threshold Autoregressive Heteroscedastic Time Series Model pp. 253-74

C W Li and W K Li

The Excess Co-movement of Commodity Prices Reconsidered pp. 275-91

Partha Deb, Pravin Trivedi and Panayotis Varangis

Occupational Pensions and Job Mobility in Britain: Estimation of a Random-Effects Competing Risks Model pp. 293-320

Fabrizia Mealli and Stephen Pudney

Parametric and Semi-parametric Estimation of the Binary Response Model of Labor Market Participation pp. 321-39

Michael Gerfin

Volume 11, issue 2, 1996

A Time Series Analysis of Real Wages, Consumption, and Asset Returns pp. 119-34

Thomas Cooley and Masao Ogaki

Measuring Underlying Economic Activity pp. 135-51

Anthony Garratt and Stephen Hall

Money Demand Revisited: An Operational Subjective Approach pp. 153-68

Gail Blattenberger

Panel Estimates of a Two-Tiered Earnings Frontier pp. 169-78

Solomon Polachek and Bong Yoon

Incorporating Monotonicity and Concavity Conditions in Flexible Functional Forms pp. 179-94

Dek Terrell

Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP pp. 195-98

Bruce Hansen

Object-Oriented Econometrics: Matrix Programming in C++ Using GCC and NEWMAT pp. 199-209

Dirk Eddelbuttel

Volume 11, issue 1, 1996

Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s pp. 1-22

Peter Phillips, James W McFarland and Patrick C McMahon

Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model pp. 23-40

Richard Baillie, Ching-Fan Chung and Margie A Tieslau

Transient Fads and the Crash of '87 pp. 41-58

Chang-Jin Kim and Myung-Jig Kim

Parametric and Semi-parametric Modelling of Vacation Expenditures pp. 59-76

Bertrand Melenberg and Arthur van Soest

Measurement of Total Factor Productivity Growth and Biases in Technological Change in Western Australian Agriculture pp. 77-91

Timothy Coelli

Money Stock Targeting and Money Supply: A Closer Examination of the Data pp. 93-104

Robert Amano and Tony Wirjanto

PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review pp. 105-15

Mark Wohar

Volume 10, issue S, 1995

Introduction: The Microeconometrics of Dynamic Decision Making pp. S1-7

Arie Kapteyn, Nicholas Kiefer and John Rust

Estimating a Nonlinear Rational Expectations Commodity Price Model with Unobservable State Variables pp. S9-40

Angus Deaton and Guy Laroque

An Empirical Model of Asset Replacement in Dairy Production pp. S41-55

Mario Miranda and Gary Schnitkey

An Investigation of the Harvest Decision of Timber Firms in the South-East United States pp. S57-74

Bill Provencher

Optimal Response to a Shift in Regulatory Regime: The Case of the US Nuclear Power Industry pp. S75-118

John Rust and Geoffrey Rothwell

Estimation of Equilibrium Wage Distributions with Heterogeneity pp. S119-31

Audra Bowlus, Nicholas Kiefer and George R Neumann

Structural and Frictional Unemployment in an Equilibrium Search Model with Heterogeneous Agents pp. S133-51

Pierre Koning, Geert Ridder and Gerard van den Berg

Analysing Incomplete Individual Employment Histories Using Indirect Inference pp. S153-69

Thierry Magnac, Jean-Marc Robin and Michael Visser

Real-Time Pricing of Electricity for Residential Customers: Econometric Analysis of an Experiment pp. S171-91

Aubin, Christophe, et al

Volume 10, issue 4, 1995

Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks pp. 347-64

Chung-Ming Kuan and Tung Liu

Multiple Regimes and Cross-Country Growth Behaviour pp. 365-84

Steven Durlauf and Paul Johnson

Modelling Market Fundamentals: A Model of the Aluminum Market pp. 385-410

Christopher L Gilbert

A Class of Binary Response Models for Grouped Duration Data pp. 411-31

Glenn T Sueyoshi

Cyclical Output, Cyclical Unemployment, and Okun's Coefficient: A New Approach pp. 433-45

Christian Weber

Japan's Financial Deregulation and Linkage of the Gensaki and Euroyen Deposit Markets pp. 447-67

Wen-Ling Lin

Review of SIMPC 3.81 pp. 469-76

R J Black

Volume 10, issue 3, 1995

The Structure of Technology in Brazilian Sugarcane Production, 1975-87: An Application of a Modified Symmetric Generalized McFadden Cost Function pp. 221-32

Kevin Rask

Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship pp. 233-53

Baldev Raj

Spectral Tests of the Martingale Hypothesis for Exchange Rates pp. 255-71

Wai Mun Fong and Sam Ouliaris

Maximum Likelihood Estimation of a Garch-Stable Model pp. 273-85

Shi-Miin Liu and B Brorsen

Heterogeneity Biases, Distributional Effects, and Aggregate Consumption pp. 287-311

Nicole Fortin

A Simple and Efficient Method for Estimating the Magnitude and Precision of Welfare Changes pp. 313-27

Jon Breslaw and Barry Smith

The Maple Computer Algebra System: A Review pp. 329-37

John Hutton and James Hutton

Volume 10, issue 2, 1995

Convergence in International Output pp. 97-108

Andrew Bernard and Steven Durlauf

A Nonlinear Approach to US GNP pp. 109-25

Simon Potter

Forecasting in Cointegration Systems pp. 127-46

Michael Clements and David Hendry

Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary pp. 147-63

Serena Ng

Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing pp. 165-85

Jeremy Smith and Michael McAleer

Semi-parametric Estimation of Simultaneous Equations with Limited Dependent Variables: A Case Study of Female Labour Supply pp. 187-200

Myoung-jae Lee

The Distribution of Personal Income: Revisited pp. 201-04

James McDonald and Anand Mantrala

Review of Coint 2.0 pp. 205-10

Serena Ng

Volume 10, issue 1, 1995

Nonnegativity Constraints and Intratemporal Uncertainty in a Multi-good Life-Cycle Model pp. 1-15

Pim Adang and Bertrand Melenberg

Cointegration Tests of Present Value Models with a Time-Varying Discount Factor pp. 17-31

Allan Timmermann

Labour-Use Efficiency in Swedish Social Insurance Offices pp. 33-47

Subal Kumbhakar and Lennart Hjalmarsson

Separability Test for the Electricity Supply Industry pp. 49-60

Byung-Joo Lee

Efficiency in the Provision of University Teaching and Research: An Empirical Analysis of UK Universities pp. 61-72

J C Glass, Donal G McKillop and N Hyndman

Certificate-of-Need Regulation and the Diffusion of Innovations: A Random Coefficient Model pp. 73-78

Steven B Caudill, Jon Ford and David L Kaserman

PcGive Professional 8: A Review pp. 79-86

Alvaro Escribano