Journal of Business & Economic Statistics

2011 - 2025

Continuation of Journal of Business & Economic Statistics.

Current editor(s): Eric Sampson, Rong Chen and Shakeeb Khan

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Volume 29, issue 4, 2011

Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks pp. 455-467

Nikolay Gospodinov, Alex Maynard and Elena Pesavento

Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models pp. 468-480

Junye Li

Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets pp. 481-492

Richard H. Gerlach, Cathy W. S. Chen and Nancy Y. C. Chan

Employer-to-Employer Flows in the United States: Estimates Using Linked Employer-Employee Data pp. 493-505

Melissa Bjelland, Bruce Fallick, John Haltiwanger and Erika McEntarfer

Homogenous and Heterogenous Contestants in Piece Rate Tournaments: Theory and Empirical Analysis pp. 506-517

Tomislav Vukina and Xiaoyong Zheng

Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications pp. 518-528

Ke-Li Xu and Peter Phillips

Lumpy Price Adjustments: A Microeconometric Analysis pp. 529-540

Emmanuel Dhyne, Catherine Fuss, Mohammad Pesaran and Patrick Sevestre

Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models pp. 541-551

Yiguo Sun and Qi Li

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations pp. 552-563

Drew Creal, Siem Jan Koopman and Andre Lucas

Testing Cost Inefficiency Under Free Entry in the Real Estate Brokerage Industry pp. 564-578

Lu Han and Seung-Hyun Hong

Score Tests for Hyperbolic GARCH Models pp. 579-586

Muyi Li, Guodong Li and Wai Keung Li

A New Approach to Estimating Production Function Parameters: The Elusive Capital--Labor Substitution Elasticity pp. 587-594

Bob Chirinko, Steven Fazzari and Andrew P. Meyer

Editors' Report 2011 pp. 597-597

Keisuke Hirano and Jonathan Wright

Volume 29, issue 3, 2011

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility pp. 327-341

Todd Clark

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search pp. 342-355

Antonello Loddo, Shawn Ni and Dongchu Sun

Volatility Jumps pp. 356-371

Viktor Todorov and George Tauchen

The Intergenerational Transmission of Income Volatility: Is Riskiness Inherited? pp. 372-381

Stephen H. Shore

Bayesian Inference in Structural Second-Price Common Value Auctions pp. 382-396

Bertil Wegmann and Mattias Villani

Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach pp. 397-410

Andrew Patton and Allan Timmermann

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules pp. 411-422

Tilmann Gneiting and Roopesh Ranjan

A Test Against Spurious Long Memory pp. 423-438

Zhongjun Qu

Estimating Intertemporal and Intratemporal Substitutions When Both Income and Substitution Effects Are Present: The Role of Durable Goods pp. 439-454

Michal Pakoš

Volume 29, issue 2, 2011

Nonparametric Identification and Estimation in a Roy Model With Common Nonpecuniary Returns pp. 201-215

Patrick Bayer, Shakeeb Khan and Christopher Timmins

Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate pp. 216-227

David Hendry and Kirstin Hubrich

Dynamic Censored Regression and the Open Market Desk Reaction Function pp. 228-237

Robert Jong and Ana María Herrera

Robust Inference With Multiway Clustering pp. 238-249

A. Cameron, Jonah B. Gelbach and Douglas Miller

Estimation for Non-Negative Lévy-Driven CARMA Processes pp. 250-259

Peter J. Brockwell, Richard A. Davis and Yu Yang

Tests for the Second Order Stochastic Dominance Based on L -Statistics pp. 260-270

José R. Berrendero and Javier Cárcamo

The Increasingly Mixed Proportional Hazard Model: An Application to Socioeconomic Status, Health Shocks, and Mortality pp. 271-281

Paul Frijters, John P. Haisken-DeNew and Michael Shields

Infinite Density at the Median and the Typical Shape of Stock Return Distributions pp. 282-294

Chirok Han, Jin Seo Cho and Peter Phillips

Local and Global Rank Tests for Multivariate Varying-Coefficient Models pp. 295-306

Stephen G. Donald, Natércia Fortuna and Vladas Pipiras

Forecast Combination Across Estimation Windows pp. 307-318

Mohammad Pesaran and Andreas Pick

A Comparison of Sales Response Predictions From Demand Models Applied to Store-Level versus Panel Data pp. 319-326

Rick L. Andrews, Imran S. Currim and Peter S. H. Leeflang

Volume 29, issue 1, 2011

Bias-Corrected Matching Estimators for Average Treatment Effects pp. 1-11

Alberto Abadie and Guido Imbens

The Distributional Impacts of Minimum Wage Increases When Both Labor Supply and Labor Demand Are Endogenous pp. 12-23

Tom Ahn, Peter Arcidiacono and Walter Wessels

Rank - 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents pp. 24-39

Xavier Gabaix and Rustam Ibragimov

Heteroscedastic Transformation Models With Covariate Dependent Censoring pp. 40-48

Shakeeb Khan, Youngki Shin and Elie Tamer

Identification of Expected Outcomes in a Data Error Mixing Model With Multiplicative Mean Independence pp. 49-60

Brent Kreider and John Pepper

Estimating Income Poverty in the Presence of Missing Data and Measurement Error pp. 61-72

Cheti Nicoletti, Franco Peracchi and Francesca Foliano

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity pp. 73-85

Robert C. Jung, Roman Liesenfeld and Jean-Francois Richard

An Econometric Analysis of Some Models for Constructed Binary Time Series pp. 86-95

Don Harding and Adrian Pagan

Adaptive Experimental Design Using the Propensity Score pp. 96-108

Jinyong Hahn, Keisuke Hirano and Dean Karlan

Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model pp. 109-125

Xiangdong Long, Liangjun Su and Aman Ullah

The Fed and the Stock Market: An Identification Based on Intraday Futures Data pp. 126-137

Stefania D'Amico and Mira Farka

A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations pp. 138-149

Francesco Audrino and Fabio Trojani

Evaluating Value-at-Risk Models via Quantile Regression pp. 150-160

Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel R. Smith

Cointegration and Long-Run Asset Allocation pp. 161-173

Ravi Bansal and Dana Kiku

Nonparametric Estimation of Labor Supply and Demand Factors pp. 174-185

Tsunao Okumura

Autocontours: Dynamic Specification Testing pp. 186-200

Gloria Gonzalez-Rivera, Zeynep Senyuz and Emre Yoldas