Econometrics

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9812002: Bayesian and Classical Approaches to Instrumental Variables Regression

Frank Kleibergen and Eric Zivot

9812001: Cointegration and Forward and Spot Exchange Rate Regressions

Eric Zivot

9809001: Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study

Michael A. Hauser

9808001: Impulse Response Priors for Discriminating Structural Vector Autoregressions

Mark Dwyer

9805004: On the Estimation of a Linear Time Trend Regression with a One- Way Error Component Model in the Presence of Serially Correlated Errors

Chihwa Kao and Jamie Emerson

9805003: Martingales, Nonlinearity, and Chaos

William Barnett and Apostolos Serletis

9805001: Relative Efficiency with Equivalence Classes of Asymptotic Covariances

David Mandy and Carlos Martins-Filho

9804001: Benchmark Priors for Bayesian Model Averaging

Carmen Fernandez, Eduardo Ley and Mark Steel

9802003: An Approximate Wavelet MLE of Short and Long Memory Parameters

Mark Jensen

9802002: Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance

Surajit Ray, B Ravikumar and N. Eugene Savin

9802001: MCMC Methods for Fitting and Comparing Multinomial Response Models

Siddhartha Chib, Edward Greenberg and Yuxin Chen

9712002: A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne McCoskey and Chihwa Kao

9712001: Statistical Modeling of Fishing Activities in the North Atlantic

Carmen Fernandez, Eduardo Ley and Mark Steel

9711002: A RESIDUAL-BASED TEST OF THE NULL OF COINTEGRATION IN PANEL DATA

Chihwa Kao and Suzanne McCoskey

9711001: Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings

Francisco Cribari-Neto, Mark Jensen and Álvaro Novo

9710002: Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter

Mark Jensen

9710001: Testing between Different Types of Switching Regression Models

Frieder Knuepling

9709002: An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets

Mark Jensen

9709001: Nonlinear and Complex Dynamics in Economics

William Barnett, Alfredo Medio and Apostolos Serletis

9705001: The Impact of Training on Unemployment Duration in West Germany -Combining a Discrete Hazard Rate Model with Matching Techniques-

R. Hujer, K.-O. Maurer and M. Wellner

9704001: Estimating the Effect of Training on Unemployment Duration in West Germany - A Discrete Hazard-Rate Model with Instrumental Variables

R. Hujer, K.-O. Maurer and M. Wellner

9703002: Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Chihwa Kao

9703001: On the Estimation and Inference of a Cointegrated Regression in Panel Data

Chihwa Kao and Min-Hsien Chiang

9612007: One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Thomas Kaiser

9612006: Selecting the Number of Replications in a Simulation Study

Ignacio Dmaz-Emparanza

9612004: Causality Among Sales,Advertising and Prices: New Evidence from a Multivariate Cointegrated System

Francisco F. R. Ramos

9612002: Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Charles Nelson, Richard Startz and Eric Zivot

9612001: The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified

Eric Zivot

9611005: Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data

Mark An

9611004: Using Indirect Inference to Solve the Initial Conditions Problem

Mark An and Ming Liu

9611003: Nonparametric Estimation of a Survivor Function with Across- Interval-Censored Data

Mark An and Roberto Ayala

9611002: A Mixture Model of Willingness to Pay Distributions

Mark An and Roberto Ayala

9611001: Semiparametric Estimation of Willingness to Pay Distributions

Mark An

9610005: Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Jiahui Wang and Eric Zivot

9610004: Distribution of the Least Squares Estimator in a First-Order Autoregressive Model

Mukhtar M. Ali

9610003: Bootstrap Methods For Covariance Structures

Joel Horowitz

9610002: STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS

Sangjoon Kim, Neil Shephard and Siddhartha Chib

9608004: Bootstrap Methods for Median Regression Models

Joel Horowitz

9608003: Posterior Simulation and Bayes Factors in Panel Count Data Models

Siddhartha Chib, Edward Greenberg and Rainer Winkelmann

9608002: Bayesian Analysis of Multivariate Probit Models

Siddhartha Chib and Edward Greenberg

9608001: A Spline Analysis of the Small Firm Effect: Does Size Really Matter?

Joel Horowitz, Tim Loughran and N. E. Savin

9607001: The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility

Michel Normandin and Louis Phaneuf

9606003: Measuring Productivity Differences in Equilibrium Search Models

Gauthier Lanot and George Neumann

9606002: The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models

N.E. Savin and Allan Würtz

9606001: Power of Tests in Binary Response Models

N.E. Savin and Allan Würtz

9605004: Real and Spurious Long Memory Properties of Stock Market Data

Ignacio Lobato and N.E. Savin

9605001: Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning

Kenneth Train

9604002: The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market

Francisco F. R. Ramos

9604001: Exact Distribution of the Least Squares Estimator in a First- Order Autoregressive Model

Mukhtar M. Ali

9603004: Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Simon van Norden and Robert Vigfusson