Last update:
Wed Nov 8 14:07:46 MST 2023
Paul Rilstone and
V. K. Srivastava and
Aman Ullah The second-order bias and mean squared
error of nonlinear estimators . . . . . 369--395
Anonymous Editorial . . . . . . . . . . . . . . . 1--7
Yacine A\"\it-Sahalia and
Andrew W. Lo Nonparametric risk management and
implied risk aversion . . . . . . . . . 9--51
Mark Broadie and
Jérôme Detemple and
Eric Ghysels and
Olivier Torrés American options with stochastic
dividends and volatility: A
nonparametric investigation . . . . . . 53--92
René Garcia and
Ramazan Gençay Pricing and hedging derivative
securities with neural networks and a
homogeneity hint . . . . . . . . . . . . 93--115
E. Clement and
C. Gourieroux and
A. Monfort Econometric specification of the risk
neutral valuation model . . . . . . . . 117--143
Eric Jacquier and
Robert Jarrow Bayesian analysis of contingent claim
model error . . . . . . . . . . . . . . 145--180
David S. Bates Post-'87 crash fears in the S&P 500
futures option market . . . . . . . . . 181--238
Nicolas P. B. Bollen and
Stephen F. Gray and
Robert E. Whaley Regime switching in foreign exchange
rates:: Evidence from currency option
prices . . . . . . . . . . . . . . . . . 239--276
Gurdip Bakshi and
Charles Cao and
Zhiwu Chen Pricing and hedging long-term options 277--318
Anonymous Pages 1--320 (January 2000) . . . . . . ??
Jason Abrevaya Rank estimation of a generalized
fixed-effects regression model . . . . . 1--23
Erwin Charlier and
Bertrand Melenberg and
Arthur van Soest Estimation of a censored regression
panel data model using conditional
moment restrictions efficiently . . . . 25--56
Teruo Nakatsuma Bayesian analysis of ARMA-GARCH models:
A Markov chain sampling approach . . . . 57--69
Leila Ayat and
Peter Burridge Unit root tests in the presence of
uncertainty about the non-stochastic
trend . . . . . . . . . . . . . . . . . 71--96
Jae-Young Kim Detection of change in persistence of a
linear time series . . . . . . . . . . . 97--116
Lung-fei Lee A numerically stable quadrature
procedure for the one-factor
random-component discrete choice model 117--129
Hang K. Ryu and
Daniel J. Slottje Estimating the density of unemployment
duration based on contaminated samples
or small samples . . . . . . . . . . . . 131--156
Anurag N. Banerjee and
Jan R. Magnus On the sensitivity of the usual $t$- and
$F$-tests to covariance misspecification 157--176
Helmut Lütkepohl and
Pentti Saikkonen Testing for the cointegrating rank of a
VAR process with a time trend . . . . . 177--198
Yi-Ting Chen and
Ray Y. Chou and
Chung-Ming Kuan Testing time reversibility without
moment restrictions . . . . . . . . . . 199--218
Anonymous Pages 1--218 (March 2000) . . . . . . . ??
Anonymous Editorial . . . . . . . . . . . . . . . 219--220
Anonymous Conference . . . . . . . . . . . . . . . 221--221
Herman J. Bierens and
Norman R. Swanson The econometric consequences of the
ceteris paribus condition in economic
theory . . . . . . . . . . . . . . . . . 223--253
Gary Chamberlain Econometrics and decision theory . . . . 255--283
Kees Jan van Garderen and
Kevin Lee and
M. Hashem Pesaran Cross-sectional aggregation of
non-linear models . . . . . . . . . . . 285--331
W. Härdle and
J. Horowitz Internet-based econometric computing . . 333--345
Roger Koenker Galton, Edgeworth, Frisch, and prospects
for quantile regression in econometrics 347--374
Joel L. Horowitz and
N. E. Savin Empirically relevant critical values for
hypothesis tests: A bootstrap approach 375--389
Tony Lancaster The incidental parameter problem since
1948 . . . . . . . . . . . . . . . . . . 391--413
Charles F. Manski Identification problems and decisions
under ambiguity: Empirical analysis of
treatment response and normative
analysis of treatment choice . . . . . . 415--442
Christopher A. Sims Using a likelihood perspective to
sharpen econometric discourse: Three
examples . . . . . . . . . . . . . . . . 443--462
Anonymous Index . . . . . . . . . . . . . . . . . 463--463
Anonymous Pages 219--464 (April 2000) . . . . . . ??
Glenn Ellison and
Sara Fisher Ellison A simple framework for nonparametric
specification testing . . . . . . . . . 1--23
J. S. Butler Efficiency results of MLE and GMM
estimation with sampling weights . . . . 25--37
Valentina Corradi and
Norman R. Swanson and
Halbert White Testing for stationarity-ergodicity and
for comovements between nonlinear
discrete time Markov processes . . . . . 39--73
Allan Timmermann Moments of Markov switching models . . . 75--111
Miguel A. Delgado and
Javier Hidalgo Nonparametric inference on structural
breaks . . . . . . . . . . . . . . . . . 113--144
Valentina Corradi Reconsidering the continuous time limit
of the $ {\rm GARCH}(1, 1) $ process . . 145--153
Wen-Jen Tsay and
Ching-Fan Chung The spurious regression of fractionally
integrated processes . . . . . . . . . . 155--182
Songnian Chen Efficient estimation of binary choice
models under symmetry . . . . . . . . . 183--199
Anonymous Pages 1--200 (May 2000) . . . . . . . . ??
Christopher R. Taber Semiparametric identification and
heterogeneity in discrete choice dynamic
programming models . . . . . . . . . . . 201--229
Alexander Michaelides and
Serena Ng Estimating the rational expectations
model of speculative storage: A Monte
Carlo comparison of three simulation
estimators . . . . . . . . . . . . . . . 231--266
Soren Feodor Nielsen On simulated EM algorithms . . . . . . . 267--292
John Geweke and
Michael Keane An empirical analysis of earnings
dynamics among men in the PSID:
1968--1989 . . . . . . . . . . . . . . . 293--356
Michael Baker and
Angelo Melino Duration dependence and nonparametric
heterogeneity: A Monte Carlo study . . . 357--393
Anonymous Index . . . . . . . . . . . . . . . . . 395--395
Anonymous Pages 201--396 (June 2000) . . . . . . . ??
Thomas Thomsen Short cuts to dynamic factor demand
modelling . . . . . . . . . . . . . . . 1--23
Siddhartha Chib and
Barton H. Hamilton Bayesian analysis of cross-section and
clustered data treatment models . . . . 25--50
Philippe J. Deschamps Exact small-sample inference in
stationary, fully regular, dynamic
demand models . . . . . . . . . . . . . 51--91
Bruce E. Hansen Testing for structural change in
conditional models . . . . . . . . . . . 93--115
William R. M. Perraudin and
Bent E. Sòrensen The demand for risky assets: Sample
selection and household portfolios . . . 117--144
Arthur Lewbel Semiparametric qualitative response
model estimation with unknown
heteroscedasticity or instrumental
variables . . . . . . . . . . . . . . . 145--177
Kyung So Im Robustifying Glejser test of
heteroskedasticity . . . . . . . . . . . 179--188
José A. F. Machado and
J. M. C. Santos Silva Glejser's test revisited . . . . . . . . 189--202
Anonymous Pages 1--206 (July 2000) . . . . . . . . ??
Ju-Chin Huang and
Douglas W. Nychka A nonparametric multiple choice method
within the random utility framework . . 207--225
Joachim Inkmann Misspecified heteroskedasticity in the
panel probit model: A small sample
comparison of GMM and SML estimators . . 227--259
Gary Koop and
Herman K. Van Dijk Testing for integration using evolving
trend and seasonals models: A Bayesian
approach . . . . . . . . . . . . . . . . 261--291
M. Hashem Pesaran and
Yongcheol Shin and
Richard J. Smith Structural analysis of vector error
correction models with exogenous I (1)
variables . . . . . . . . . . . . . . . 293--343
Garry D. A. Phillips An alternative approach to obtaining
Nagar-type moment approximations in
simultaneous equation models . . . . . . 345--364
Terence Tai-Leung Chong Estimating the differencing parameter
via the partial autocorrelation function 365--381
Anonymous Index . . . . . . . . . . . . . . . . . 383--383
Anonymous Pages 207--384 (August 2000) . . . . . . ??
John Marriott and
Paul Newbold The strength of evidence for unit
autoregressive roots and structural
breaks: A Bayesian perspective . . . . . 1--25
Yoon-Jae Whang Consistent bootstrap tests of parametric
regression functions . . . . . . . . . . 27--46
Carmen Fernández and
Gary Koop and
Mark Steel A Bayesian analysis of multiple-output
production frontiers . . . . . . . . . . 47--79
Tim Bollerslev and
Jonathan H. Wright Semiparametric estimation of long-memory
volatility dependencies: The role of
high-frequency data . . . . . . . . . . 81--106
Y. K. Tse A test for constant correlations in a
multivariate GARCH model . . . . . . . . 107--127
Tong Li and
Isabelle Perrigne and
Quang Vuong Conditionally independent private
information in OCS wildcat auctions . . 129--161
Dennis Oberhelman and
K. Rao Kadiyala Asymptotic probability concentrations
and finite sample properties of modified
LIML estimators for equations with more
than two endogenous variables . . . . . 163--185
Anonymous Pages 1--186 (September 2000) . . . . . ??
Chuanming Gao and
Kajal Lahiri Further consequences of viewing LIML as
an iterated Aitken estimator . . . . . . 187--202
David N. DeJong and
Beth F. Ingram and
Charles H. Whiteman A Bayesian approach to dynamic
macroeconomics . . . . . . . . . . . . . 203--223
Feng Yao and
Yuzo Hosoya Inference on one-way effect and evidence
in Japanese macroeconomic data . . . . . 225--255
Michael Smith and
Robert Kohn Nonparametric seemingly unrelated
regression . . . . . . . . . . . . . . . 257--281
Songnian Chen and
Shakeeb Khan Estimating censored regression models in
the presence of nonparametric
multiplicative heteroskedasticity . . . 283--316
Songnian Chen Rank estimation of a location parameter
in the binary choice model . . . . . . . 317--334
Pekka Pere Adjusted estimates and Wald statistics
for the AR(1) model with constant . . . 335--363
Sourafel Girma A quasi-differencing approach to dynamic
modelling from a time series of
independent cross-sections . . . . . . . 365--383
Anonymous Index . . . . . . . . . . . . . . . . . 385--385
Anonymous Pages 187--386 (October 2000) . . . . . ??
Kenneth Y. Chay and
David S. Lee Changes in relative wages in the 1980s
Returns to observed and unobserved
skills and black-white wage
differentials . . . . . . . . . . . . . 1--38
Jeff Racine Consistent cross-validatory
model-selection for dependent data: $ h
v$-block cross-validation . . . . . . . 39--61
Pedro Gozalo and
Oliver Linton Local nonlinear least squares: Using
parametric information in nonparametric
regression . . . . . . . . . . . . . . . 63--106
Dong Wan Shin and
Beong Soo So Gaussian tests for seasonal unit roots
based on Cauchy estimation and recursive
mean adjustments . . . . . . . . . . . . 107--137
Ming Liu Modeling long memory in stock market
volatility . . . . . . . . . . . . . . . 139--171
Robert E. McCulloch and
Nicholas G. Polson and
Peter E. Rossi A Bayesian analysis of the multinomial
probit model with fully identified
parameters . . . . . . . . . . . . . . . 173--193
Anonymous Pages 1--194 (November 2000) . . . . . . ??
Michael W. McCracken Robust out-of-sample inference . . . . . 195--223
Darrell Turkington Generalised vec operators and the
seemingly unrelated regression equations
model with vector correlated
disturbances . . . . . . . . . . . . . . 225--253
Jean-Marie Dufour and
Olivier Torr\`es Markovian processes, two-sided
autoregressions and finite-sample
inference for stationary and
nonstationary autoregressive processes 255--289
Rohit S. Deo Spectral tests of the martingale
hypothesis under conditional
heteroscedasticity . . . . . . . . . . . 291--315
D. S. G. Pollock Trend estimation and de-trending via
rational square-wave filters . . . . . . 317--334
Agostino Nobile Comment: Bayesian multinomial probit
models with a normalization constraint 335--345
Robert E. McCulloch and
Peter E. Rossi Reply to Nobile . . . . . . . . . . . . 347--348
Rohit S. Deo On estimation and testing goodness of
fit for $m$-dependent stable sequences 349--372
Yannis Bilias and
Songnian Chen and
Zhiliang Ying Simple resampling methods for censored
regression quantiles . . . . . . . . . . 373--386
Anonymous Index . . . . . . . . . . . . . . . . . 387--387
Anonymous Pages 195--388 (December 2000) . . . . . ??
C. Hsiao Open forum on the current state and
future challenges of econometrics . . . 1--1
James J. Heckman Econometrics and empirical economics . . 3--5
David F. Hendry Achievements and challenges in
econometric methodology . . . . . . . . 7--10
John Geweke Bayesian econometrics and forecasting 11--15
Clive W. J. Granger Macroeconometrics --- Past and future 17--19
Peter C. B. Phillips Trending time series and macroeconomic
activity: Some present and future
challenges . . . . . . . . . . . . . . . 21--27
James H. Stock Macro-econometrics . . . . . . . . . . . 29--32
Jerry Hausman Microeconometrics . . . . . . . . . . . 33--35
Joel L. Horowitz The bootstrap and hypothesis tests in
econometrics . . . . . . . . . . . . . . 37--40
Tim Bollerslev Financial econometrics: Past
developments and future challenges . . . 41--51
Robert Engle Financial econometrics --- A new
discipline with new methods . . . . . . 53--56
George Tauchen Notes on financial econometrics . . . . 57--64
Steven N. Durlauf Manifesto for a growth econometrics . . 65--69
M. Deistler Comments on the contributions by C. W.
J. Granger and J. J. Heckman . . . . . . 71--72
Francis X. Diebold Econometrics: Retrospect and prospect 73--75
Jaya Krishnakumar A short comment on the JE Open forum
essays . . . . . . . . . . . . . . . . . 77--78
Peter Lenk and
Michel Wedel Bayesian econometrics:: A reaction to
Geweke . . . . . . . . . . . . . . . . . 79--80
Helmut Lütkepohl Comment on essays on current state and
future challenges of econometrics . . . 81--82
Esfandiar Maasoumi On the relevance of first-order
asymptotic theory to economics . . . . . 83--86
H. D. Vinod Care and feeding of reproducible
econometrics . . . . . . . . . . . . . . 87--88
Tom Wansbeek and
Michel Wedel and
Erik Meijer Comment on ``Microeconometrics'' by J.
A. Hausman . . . . . . . . . . . . . . . 89--91
Arnold Zellner Comments on papers by Engle, Geweke and
Granger . . . . . . . . . . . . . . . . 93--94
Jerry Hausman Rejoinder . . . . . . . . . . . . . . . 95--96
J. L. Horowitz Response to comments of Esfandiar
Maasoumi . . . . . . . . . . . . . . . . 97--98
Joop Dirkmaat Some publishing facts, figures, and
observations on the occasion of Volume
100, number 1 of the Journal of
Econometrics . . . . . . . . . . . . . . 99--112
Anonymous Index . . . . . . . . . . . . . . . . . 153--275
Anonymous Index . . . . . . . . . . . . . . . . . 277--318
Anonymous (Open Forum) . . . . . . . . . . . . . . ??
Shakeeb Khan Two-stage rank estimation of quantile
index models . . . . . . . . . . . . . . 319--355
GianCarlo Moschini Production risk and the estimation of
ex-ante cost functions . . . . . . . . . 357--380
Carmen Fernández and
Eduardo Ley and
Mark F. J. Steel Benchmark priors for Bayesian model
averaging . . . . . . . . . . . . . . . 381--427
Anonymous Index . . . . . . . . . . . . . . . . . 429--429
Anonymous Pages 319--430 (February 2001) . . . . . ??
Anil K. Bera and
Walter Sosa-Escudero and
Mann Yoon Tests for the error component model in
the presence of local misspecification 1--23
Jon Vilasuso Causality tests and conditional
heteroskedasticity:: Monte Carlo
evidence . . . . . . . . . . . . . . . . 25--35
Elvezio Ronchetti and
Fabio Trojani Robust inference with GMM estimators . . 37--69
Erwin Charlier and
Bertrand Melenberg and
Arthur van Soest An analysis of housing expenditure using
semiparametric models and panel data . . 71--107
Robert M. de Jong Nonlinear estimation using estimated
cointegrating relations . . . . . . . . 109--122
Donald W. K. Andrews and
Biao Lu Consistent model and moment selection
procedures for GMM estimation with
application to dynamic panel data models 123--164
Amos Golan A simultaneous estimation and variable
selection rule . . . . . . . . . . . . . 165--193
Anonymous Pages 1--194 (March 2001) . . . . . . . ??
P. M. Robinson The memory of stochastic volatility
models . . . . . . . . . . . . . . . . . 195--218
Seung Chan Ahn and
Young Hoon Lee and
Peter Schmidt GMM estimation of linear panel data
models with time-varying individual
effects . . . . . . . . . . . . . . . . 219--255
Mohamed El Babsiri and
Jean-Michel Zakoian Contemporaneous asymmetry in GARCH
processes . . . . . . . . . . . . . . . 257--294
Werner Antweiler Nested random effects estimation in
unbalanced panel data . . . . . . . . . 295--313
Buhong Zheng and
Brian J. Cushing Statistical inference for testing
inequality indices with dependent
samples . . . . . . . . . . . . . . . . 315--335
Buhong Zheng Statistical inference for poverty
measures with relative poverty lines . . 337--356
Badi H. Baltagi and
Seuck Heun Song and
Byoung Cheol Jung The unbalanced nested error component
regression model . . . . . . . . . . . . 357--381
Anonymous Author index . . . . . . . . . . . . . . 383--383
Anonymous Pages 195--384 (April 2001) . . . . . . ??
Serge Darolles and
Christian Gouriéroux Truncated dynamics and estimation of
diffusion equations . . . . . . . . . . 1--22
Thomas A. Severini and
Gautam Tripathi A simplified approach to computing
efficiency bounds in semiparametric
models . . . . . . . . . . . . . . . . . 23--66
Yacine A\"\it-Sahalia and
Yubo Wang and
Francis Yared Do option markets correctly price the
probabilities of movement of the
underlying asset? . . . . . . . . . . . 67--110
Kenneth J. Singleton Estimation of affine asset pricing
models using the empirical
characteristic function . . . . . . . . 111--141
Anonymous Pages 1--142 (May 2001) . . . . . . . . ??
Enrique Sentana and
Gabriele Fiorentini Identification, estimation and testing
of conditionally heteroskedastic factor
models . . . . . . . . . . . . . . . . . 143--164
Jeff Dominitz Estimation of income expectations models
using expectations and realization data 165--195
Beong Soo So and
Dong Wan Shin An invariant sign test for random walks
based on recursive median adjustment . . 197--229
Mark Coppejans Estimation of the binary response model
using a mixture of distributions
estimator (MOD) . . . . . . . . . . . . 231--269
Gerard J. van den Berg and
Bas van der Klaauw Combining micro and macro unemployment
duration data . . . . . . . . . . . . . 271--309
Gary Koop Bayesian inference in models based on
equilibrium search theory . . . . . . . 311--338
C. Francq and
J.-M. Zako\"\ian Stationarity of multivariate
Markov-switching ARMA models . . . . . . 339--364
Ian Domowitz and
Mahmoud A. El-Gamal A consistent nonparametric test of
ergodicity for time series with
applications . . . . . . . . . . . . . . 365--398
Anonymous Author index . . . . . . . . . . . . . . 399--399
Anonymous Pages 143--400 (June 2001) . . . . . . . ??
Cheng Hsiao and
Isabelle Perrigne Studies in Estimation and Testing . . . 1--4
Shinichi Sakata and
Halbert White S-estimation of nonlinear regression
models with dependent and heterogeneous
observations . . . . . . . . . . . . . . 5--72
Shakeeb Khan and
James L. Powell Two-step estimation of semiparametric
censored regression models . . . . . . . 73--110
Pradeep Chintagunta and
Ekaterini Kyriazidou and
Josef Perktold Panel data analysis of household brand
choices . . . . . . . . . . . . . . . . 111--153
Graham Elliott and
James H. Stock Confidence intervals for autoregressive
coefficients near one . . . . . . . . . 155--181
Yongmiao Hong A test for volatility spillover with
application to exchange rates . . . . . 183--224
Jushan Bai and
Serena Ng A consistent test for conditional
symmetry in time series models . . . . . 225--258
Gabriel Perez-Quiros and
Allan Timmermann Business cycle asymmetries in stock
returns: Evidence from higher order
moments and conditional densities . . . 259--306
Pascal Lavergne An equality test across nonparametric
regressions . . . . . . . . . . . . . . 307--344
Donald W. K. Andrews and
Moshe Buchinsky Evaluation of a three-step method for
choosing the number of bootstrap
repetitions . . . . . . . . . . . . . . 345--386
Anonymous Author index . . . . . . . . . . . . . . 387--387
Anonymous (Estimation and testing) . . . . . . . . ??
Pedro L. Gozalo and
Oliver B. Linton Testing additivity in generalized
nonparametric regression models with
estimated parameters . . . . . . . . . . 1--48
Mohammad N. Hasan Rank tests of unit root hypothesis with
infinite variance errors . . . . . . . . 49--65
João M. C. Santos Silva and
Frank Windmeijer Two-part multiple spell models for
health care demand . . . . . . . . . . . 67--89
Peter Burridge and
A. M. Robert Taylor On regression-based tests for seasonal
unit roots in the presence of periodic
heteroscedasticity . . . . . . . . . . . 91--117
Kees Jan van Garderen Optimal prediction in loglinear models 119--140
Roman Liesenfeld A generalized bivariate mixture model
for stock price volatility and trading
volume . . . . . . . . . . . . . . . . . 141--178
Michael Yuanjie Zhang and
Jeffrey R. Russell and
Ruey S. Tsay A nonlinear autoregressive conditional
duration model with applications to
financial transaction data . . . . . . . 179--207
Anonymous Pages 1--208 (August 2001) . . . . . . . ??
Gordon C. R. Kemp Invariance and the Wald test . . . . . . 209--217
Harry H. Kelejian and
Ingmar R. Prucha On the asymptotic distribution of the
Moran I test statistic with applications 219--257
Tom Wansbeek GMM estimation in panel data models with
measurement error . . . . . . . . . . . 259--268
Jeremy Berkowitz Generalized spectral estimation of the
consumption-based asset pricing model 269--288
Edward Z. Shen and
Jeffrey M. Perloff Maximum entropy and Bayesian approaches
to the ratio problem . . . . . . . . . . 289--313
Valentina Corradi and
Norman R. Swanson and
Claudia Olivetti Predictive ability with cointegrated
variables . . . . . . . . . . . . . . . 315--358
Guido M. Kuersteiner Optimal instrumental variables
estimation for ARMA models . . . . . . . 359--405
Anonymous Author index . . . . . . . . . . . . . . 407--407
Anonymous Pages EX1--EX2, 209--412 (September
2001) . . . . . . . . . . . . . . . . . ??
F. X. Diebold and
Kenneth D. West Forecasting and empirical methods in
finance and macroeconomics . . . . . . . 1--3
Bevan J. Blair and
Ser-Huang Poon and
Stephen J. Taylor Forecasting S&P 100 volatility: the
incremental information content of
implied volatilities and high-frequency
index returns . . . . . . . . . . . . . 5--26
Laurent Calvet and
Adlai Fisher Forecasting multifractal volatility . . 27--58
Xiaoheng Chen and
Timothy G. Conley A new semiparametric spatial model for
panel time series . . . . . . . . . . . 59--83
Todd E. Clark and
Michael W. McCracken Tests of equal forecast accuracy and
encompassing for nested models . . . . . 85--110
Dean Croushore and
Tom Stark A real-time data set for macroeconomists 111--130
Francis X. Diebold and
Atsushi Inoue Long memory and regime switching . . . . 131--159
Owen A. Lamont Economic tracking portfolios . . . . . . 161--184
Oliver Linton and
Enno Mammen and
Jans Perch Nielsen and
Carsten Tanggaard Yield curve estimation by kernel
smoothing methods . . . . . . . . . . . 185--223
D. Marinucci and
P. M. Robinson Semiparametric fractional cointegration
analysis . . . . . . . . . . . . . . . . 225--247
Ryan Sullivan and
Allan Timmermann and
Halbert White Dangers of data mining: The case of
calendar effects in stock returns . . . 249--286
Kenneth D. West Encompassing tests when no model is
encompassing . . . . . . . . . . . . . . 287--308
Richard J. Smith and
A. M. Robert Taylor Recursive and rolling regression-based
tests of the seasonal unit root
hypothesis . . . . . . . . . . . . . . . 309--336
Mototsugu Shintani A simple cointegrating rank test without
vector autoregression . . . . . . . . . 337--362
Yacine A\"\it-Sahalia and
Peter J. Bickel and
Thomas M. Stoker Goodness-of-fit tests for kernel
regression with an application to option
implied volatilities . . . . . . . . . . 363--412
Anonymous Author index to volume 105 . . . . . . . 413--413
Anonymous Pages 309--414 (December 2001) . . . . . ??
Catherine Cazals and
Jean-Pierre Florens and
Léopold Simar Nonparametric frontier estimation: a
robust approach . . . . . . . . . . . . 1--25
Sanjiv R. Das The surprise element: jumps in interest
rates . . . . . . . . . . . . . . . . . 27--65
Peter Davis Estimating multi-way error components
models with unbalanced data structures 67--95
Stefan Mittnik and
Marc S. Paolella and
Svetlozar T. Rachev Stationarity of stable power-GARCH
processes . . . . . . . . . . . . . . . 97--107
Shiqing Ling and
Michael McAleer Stationarity and the existence of
moments of a family of GARCH processes 109--117
Michael Rockinger and
Eric Jondeau Entropy densities with an application to
autoregressive conditional skewness and
kurtosis . . . . . . . . . . . . . . . . 119--142
Jean-Marie Dufour and
Lynda Khalaf Exact tests for contemporaneous
correlation of disturbances in seemingly
unrelated regressions . . . . . . . . . 143--170
Esmeralda A. Ramalho Regression models for choice-based
samples with misclassification in the
response variable . . . . . . . . . . . 171--201
Anonymous Pages 1--202 (January 2002) . . . . . . ??
T. W. Anderson Reduced rank regression in cointegrated
models . . . . . . . . . . . . . . . . . 203--216
Peter M. Robinson and
Yoshihiro Yajima Determination of cointegrating rank in
fractional systems . . . . . . . . . . . 217--241
James Davidson Establishing conditions for the
functional central limit theorem in
nonlinear and semiparametric time series
processes . . . . . . . . . . . . . . . 243--269
Yi-Ting Chen and
Chung-Ming Kuan The pseudo-true score encompassing test
for non-nested hypotheses . . . . . . . 271--295
Rien Wagenvoort and
Robert Waldmann On B-robust instrumental variable
estimation of the linear model with
panel data . . . . . . . . . . . . . . . 297--324
Oliver Linton Edgeworth approximations for
semiparametric instrumental variable
estimators and test statistics . . . . . 325--368
Joachim Grammig and
Marc Wellner Modeling the interdependence of
volatility and inter-transaction
duration processes . . . . . . . . . . . 369--400
Anonymous Author index to volume 106 . . . . . . . 401--401
Anonymous Pages EX1--EX2, 203--402 (February 2002) ??
Amos Golan Information and Entropy Econometrics ---
Editor's View . . . . . . . . . . . . . 1--15
E. S. Soofi and
J. J. Retzer Information indices: unification and
applications . . . . . . . . . . . . . . 17--40
Arnold Zellner Information processing and Bayesian
analysis . . . . . . . . . . . . . . . . 41--50
Anil K. Bera and
Yannis Bilias The MM, ME, ML, EL, EF and GMM
approaches to estimation: a synthesis 51--86
Guido W. Imbens and
Richard Spady Confidence intervals in generalized
method of moments models . . . . . . . . 87--98
Joaquim J. S. Ramalho and
Richard J. Smith Generalized empirical likelihood
non-nested tests . . . . . . . . . . . . 99--125
Marco van Akkeren and
George Judge and
Ron Mittelhammer Generalized moment based estimation and
inference . . . . . . . . . . . . . . . 127--148
Aviv Nevo Sample selection and
information-theoretic alternatives to
GMM . . . . . . . . . . . . . . . . . . 149--157
Yuichi Kitamura and
Michael Stutzer Connections between entropic and linear
projections in asset pricing estimation 159--174
Jae-Young Kim Limited information likelihood and
Bayesian analysis . . . . . . . . . . . 175--193
Amos Golan and
Jeffrey M. Perloff Comparison of maximum entropy and
higher-order entropy estimators . . . . 195--211
Allan W. Gregory and
Jean-François Lamarche and
Gregor W. Smith Information-theoretic estimation of
preference parameters: macroeconomic
applications and simulation evidence . . 213--233
J. T. LaFrance and
T. K. M. Beatty and
R. D. Pope and
G. K. Agnew Information theoretic measures of the
income distribution in food demand . . . 235--257
Douglas J. Miller and
Wei-han Liu On the recovery of joint distributions
from limited information . . . . . . . . 259--274
Kostas Karantininis Information-based estimators for the
non-stationary transition probability
matrix: an application to the Danish
pork industry . . . . . . . . . . . . . 275--290
Esfandiar Maasoumi and
Jeff Racine Entropy and predictability of stock
market returns . . . . . . . . . . . . . 291--312
Aman Ullah Uses of entropy and divergence measures
for evaluating econometric
approximations and inference . . . . . . 313--326
James O. Ramsay and
James B. Ramsey Functional data analysis of the dynamics
of the monthly index of nondurable goods
production . . . . . . . . . . . . . . . 327--344
Arthur van Soest and
Marcel Das and
Xiaodong Gong A structural labour supply model with
flexible preferences . . . . . . . . . . 345--374
Anonymous Author index to volume 107 . . . . . . . 375--375
Andrew Levin and
Chien-Fu Lin and
Chia-Shang James Chu Unit root tests in panel data:
asymptotic and finite-sample properties 1--24
Francesc Marmol and
Carlos Velasco Trend stationarity versus long-range
dependence in time series analysis . . . 25--42
Zhijie Xiao and
Peter C. B. Phillips A CUSUM test for cointegration using
regression residuals . . . . . . . . . . 43--61
Eiji Kurozumi Testing for stationarity with a break 63--99
Chuanming Gao and
Kajal Lahiri A note on the double $k$-class estimator
in simultaneous equations . . . . . . . 101--111
Richard Blundell and
Rachel Griffith and
Frank Windmeijer Individual effects and dynamics in count
data models . . . . . . . . . . . . . . 113--131
Noud P. A. van Giersbergen and
Jan F. Kiviet How to implement the bootstrap in static
or stable dynamic regression models:
test statistic versus confidence region
approach . . . . . . . . . . . . . . . . 133--156
Zhijie Xiao and
Peter C. B. Phillips Higher order approximations for Wald
statistics in time series regressions
with integrated processes . . . . . . . 157--198
William A. Barnett Tastes and technology: curvature is not
sufficient for regularity . . . . . . . 199--202
Anonymous Pages 1--202 (May 2002) . . . . . . . . ??
Scott E. Atkinson and
Daniel Primont Stochastic estimation of firm
technology, inefficiency, and
productivity growth using shadow cost
and distance functions . . . . . . . . . 203--225
Stepán Jurajda Estimating the effect of unemployment
insurance compensation on the labor
market histories of displaced workers 227--252
H. Peter Boswijk and
André Lucas Semi-nonparametric cointegration testing 253--280
Siddhartha Chib and
Federico Nardari and
Neil Shephard Markov chain Monte Carlo methods for
stochastic volatility models . . . . . . 281--316
Martin Biewen Bootstrap inference for inequality,
mobility and poverty measurement . . . . 317--342
Jörg Breitung Nonparametric tests for unit roots and
cointegration . . . . . . . . . . . . . 343--363
Aris Spanos and
Anya McGuirk The problem of near-multicollinearity
revisited: erratic vs systematic
volatility . . . . . . . . . . . . . . . 365--393
Anonymous Author index to volume 108 . . . . . . . 395--395
Anonymous Pages 203--396 (June 2002) . . . . . . . ??
In Choi Instrumental variables estimation of a
nearly nonstationary, heterogeneous
error component model . . . . . . . . . 1--32
Tim Bollerslev and
Hao Zhou Estimating stochastic volatility
diffusion using conditional moments of
integrated volatility . . . . . . . . . 33--65
Bo Honoré and
Shakeeb Khan and
James L. Powell Quantile regression under random
censoring . . . . . . . . . . . . . . . 67--105
Cheng Hsiao and
M. Hashem Pesaran and
A. Kamil Tahmiscioglu Maximum likelihood estimation of fixed
effects dynamic panel data models
covering short time periods . . . . . . 107--150
Christian Schluter and
Mark Trede Tails of Lorenz curves . . . . . . . . . 151--166
Russell Davidson and
James G. MacKinnon Bootstrap J tests of nonnested linear
regression models . . . . . . . . . . . 167--193
Anonymous Author index to volume 109 . . . . . . . EX1--EX2
Anonymous Pages EX1--EX2, 1--194 (July 2002) . . . ??
Ravi Bansal and
Christian Lundblad Market efficiency, asset returns, and
the size of the risk premium in global
equity markets . . . . . . . . . . . . . 195--237
Marine Carrasco Misspecified Structural Change,
Threshold, and Markov-switching models 239--273
Miguel A. Delgado and
Inmaculada Fiteni External bootstrap tests for parameter
stability . . . . . . . . . . . . . . . 275--303
Stephen G. Donald and
Harry J. Paarsch Superconsistent estimation and inference
in structural econometric models using
extreme order statistics . . . . . . . . 305--340
Farshid Vahid and
João Victor Issler The importance of common cyclical
features in VAR analysis: a Monte-Carlo
study . . . . . . . . . . . . . . . . . 341--363
Tae-Hwan Kim and
Stephen Leybourne and
Paul Newbold Unit root tests with a break in
innovation variance . . . . . . . . . . 365--387
Jae-Young Kim and
Rosa Badillo Amador Corrigendum to ``Detection of change in
persistence of a linear time series''
[J. Econom. \bf 95 (2000) 97--116] . . . 389--392
Anonymous Author index to volume 109 . . . . . . . 393--393
Anonymous Pages EX1--EX2, 195--397 (August 2002) ??
Anonymous Two adverts: Economics Direct, Authors EX1--EX2
Tong Li Robust and consistent estimation of
nonlinear errors-in-variables models . . 1--26
Mark Coppejans and
A. Ronald Gallant Cross-validated SNP density estimates 27--65
Siddhartha Chib and
Barton H. Hamilton Semiparametric Bayes analysis of
longitudinal data treatment models . . . 67--89
Jiri Reif and
Karel Vlcek Optimal pre-test estimators in
regression . . . . . . . . . . . . . . . 91--102
James Davidson Corrigendum to ``Establishing conditions
for the functional central limit theorem
in nonlinear and semiparametric time
series processes'': [Journal of
Econometrics \bf 106(2) (2002) 243--269] 103--104
Anonymous Pages 1--104 (September 2002) . . . . . ??
James Davidson and
Timo Teräsvirta Long memory and nonlinear time series 105--112
Ingolf Dittmann and
Clive W. J. Granger Properties of nonlinear transformations
of fractionally integrated processes . . 113--133
Dick van Dijk and
Philip Hans Franses and
Richard Paap A nonlinear long memory model, with an
application to US unemployment . . . . . 135--165
Jörg Breitung and
Uwe Hassler Inference on the cointegration rank in
fractionally integrated processes . . . 167--185
James Davidson A model of fractional cointegration, and
tests for cointegration using the
bootstrap . . . . . . . . . . . . . . . 187--212
Javier Hidalgo Consistent order selection with strongly
dependent data and its application to
efficient estimation . . . . . . . . . . 213--239
Robert M. de Jong Nonlinear minimization estimators in the
presence of cointegrating relations . . 241--259
Yoosoon Chang Nonlinear IV unit root tests in panels
with cross-sectional dependency . . . . 261--292
Bruce E. Hansen and
Byeongseon Seo Testing for two-regime threshold
cointegration in vector error-correction
models . . . . . . . . . . . . . . . . . 293--318
Jesús Gonzalo and
Jean-Yves Pitarakis Estimation and model selection based
inference in single and multiple
threshold models . . . . . . . . . . . . 319--352
Valentina Corradi and
Norman R. Swanson A consistent test for nonlinear out of
sample predictive accuracy . . . . . . . 353--381
Joon Y. Park Nonstationary nonlinear
heteroskedasticity . . . . . . . . . . . 383--415
Stefan Lundbergh and
Timo Teräsvirta Evaluating GARCH models . . . . . . . . 417--435
Anonymous Author index to volume 110 . . . . . . . 437--437
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Board . . . . . . . . . . . . . . . . . ifc--ifc
Robert M. de Jong A note on ``Convergence rates and
asymptotic normality for series
estimators'': uniform convergence rates 1--9
Tai-Hsin Huang and
Chung-Hua Shen Seasonal cointegration and
cross-equation restrictions on a
forward-looking buffer stock model of
money demand . . . . . . . . . . . . . . 11--46
Dietmar Bauer and
Martin Wagner Estimating cointegrated systems using
subspace algorithms . . . . . . . . . . 47--84
Nikolay Gospodinov Median unbiased forecasts for highly
persistent autoregressive processes . . 85--101
Kajal Lahiri and
Jian Gao Bayesian analysis of nested logit model
by Markov chain Monte Carlo . . . . . . 103--133
Anonymous IFC --- Inside Front Cover --- Editorial
Board . . . . . . . . . . . . . . . . . ifc--ifc
Anonymous Pages EX1--EX2, 1--134 (November 2002) ??
Richard J. Smith and
H. Peter Boswijk Finite sample and asymptotic methods in
econometrics . . . . . . . . . . . . . . 135--140
Joel L. Horowitz Bootstrap critical values for tests
based on the smoothed maximum score
estimator . . . . . . . . . . . . . . . 141--167
Andrew Chesher and
Montezuma Dumangane and
Richard J. Smith Duration response measurement error . . 169--194
Sòren Johansen A small sample correction for tests of
hypotheses on the cointegrating vectors 195--221
Frank Kleibergen and
Richard Paap Priors, posteriors and Bayes factors for
a Bayesian analysis of cointegration . . 223--249
John C. Chao and
Peter C. B. Phillips Jeffreys prior analysis of the
simultaneous equations model in the case
with n +1 endogenous variables . . . . . 251--283
Paul A. Bekker Exact inference for the linear model
with groupwise heteroscedastic spherical
disturbances . . . . . . . . . . . . . . 285--302
Jean-Marie Dufour and
Lynda Khalaf Simulation based finite and large sample
tests in multivariate regressions . . . 303--322
Peter C. B. Phillips New unit root asymptotics in the
presence of deterministic trends . . . . 323--353
Thomas J. Rothenberg Some elementary distribution theory for
an autoregression fitted to a random
walk . . . . . . . . . . . . . . . . . . 355--361
David Harris and
Brendan McCabe and
Stephen Leybourne Stochastic cointegration: estimation and
inference . . . . . . . . . . . . . . . 363--384
Anonymous Author index to volume 111 . . . . . . . 385--385
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous (EC2 meeting) . . . . . . . . . . . . . ??
Alok Bhargava Analysis of data on health: 2 . . . . . 1--1
Peter Adams and
Michael D. Hurd and
Daniel McFadden and
Angela Merrill and
Tiago Ribeiro Healthy, wealthy, and wise? Tests for
direct causal paths between health and
socioeconomic status . . . . . . . . . . 3--56
Jérôme Adda and
Tarani Chandola and
Michael Marmot Socio-economic status and health:
causality and pathways . . . . . . . . . 57--63
James M. Poterba Some observations on health status and
economic status . . . . . . . . . . . . 65--67
Clive W. J. Granger Some aspects of causal relationships . . 69--71
James Heckman Conditioning, causality and policy
analysis . . . . . . . . . . . . . . . . 73--78
Fabrizia Mealli and
Donald B. Rubin Assumptions allowing the estimation of
direct causal effects . . . . . . . . . 79--87
James M. Robins General methodological considerations 89--106
Jerry A. Hausman Triangular structural model
specification and estimation with
application to causality . . . . . . . . 107--113
John Geweke Econometric issues in using the AHEAD
panel . . . . . . . . . . . . . . . . . 115--120
Kevin D. Hoover Some causal lessons from macroeconomics 121--125
Jean-Pierre Florens Some technical issues in defining
causality . . . . . . . . . . . . . . . 127--128
P. Adams and
M. D. Hurd and
D. McFadden and
A. Merrill and
T. Ribeirio Response . . . . . . . . . . . . . . . . 129--133
Elizabeth Johnson and
Francesca Dominici and
Michael Griswold and
Scott L. Zeger Disease cases and their medical costs
attributable to smoking: an analysis of
the national medical expenditure survey 135--151
Jyotsna Jalan and
Martin Ravallion Does piped water reduce diarrhea for
children in rural India? . . . . . . . . 153--173
Dora L. Costa Understanding mid-life and older age
mortality declines: evidence from Union
Army veterans . . . . . . . . . . . . . 175--192
Kenneth W. Wachter and
John E. Knodel and
Mark VanLandingham Parental bereavement: heterogeneous
impacts of AIDS in Thailand . . . . . . 193--206
Adam Wagstaff and
Eddy van Doorslaer and
Naoko Watanabe On decomposing the causes of health
sector inequalities with an application
to malnutrition inequalities in Vietnam 207--223
Alok Bhargava Family planning, gender differences and
infant mortality: evidence from Uttar
Pradesh, India . . . . . . . . . . . . . 225--240
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Thomas Heckelei and
Ron C. Mittelhammer Bayesian bootstrap multivariate
regression . . . . . . . . . . . . . . . 241--264
Liudas Giraitis and
Piotr Kokoszka and
Remigijus Leipus and
Gilles Teyssi\`ere Rescaled variance and related tests for
long memory in volatility and levels . . 265--294
Qi Li and
Cheng Hsiao and
Joel Zinn Consistent specification tests for
semiparametric/nonparametric models
based on series estimation methods . . . 295--325
Han Hong and
Matthew Shum Econometric models of asymmetric
ascending auctions . . . . . . . . . . . 327--358
George Kapetanios and
Yongcheol Shin and
Andy Snell Testing for a unit root in the nonlinear
STAR framework . . . . . . . . . . . . . 359--379
Sangin Park Semiparametric instrumental variables
estimation . . . . . . . . . . . . . . . 381--399
Anonymous Author index to volume 112 . . . . . . . 401--402
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 241--402 (February 2003) . . . . . ??
Robert L. Basmann Introduction to statistics and
econometrics in litigation support . . . 1--2
Oral Capps, Jr. and
Jeffrey Church and
H. Alan Love Specification issues and confidence
intervals in unilateral price effects
analysis . . . . . . . . . . . . . . . . 3--31
Stephen E. Fienberg and
Clark Glymour and
Richard Scheines Expert statistical testimony and
epidemiological evidence: the toxic
effects of lead exposure on children . . 33--48
Luke Froeb and
Steven Tschantz and
Philip Crooke Bertrand competition with capacity
constraints: mergers among parking lots 49--67
Joseph L. Gastwirth Issues arising in using samples as
evidence in trademark cases . . . . . . 69--82
Daniel L. Millimet and
Michael Nieswiadomy and
Hang Ryu and
Daniel Slottje Estimating worklife expectancy: an
econometric approach . . . . . . . . . . 83--113
Arthur Lewbel Calculating compensation in cases of
wrongful death . . . . . . . . . . . . . 115--128
Joseph G. Hirschberg and
Esfandiar Maasoumi and
Daniel Slottje and
Augustine C. Arize Antitrust issues in international
comparisons of market structure . . . . 129--158
Robert L. Basmann Statistical outlier analysis in
litigation support: the case of Paul F.
Engler and Cactus Feeders, Inc., v.
Oprah Winfrey et al. . . . . . . . . . . 159--200
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Helmut Lütkepohl and
Pentti Saikkonen and
Carsten Trenkler Comparison of tests for the
cointegrating rank of a VAR process with
a structural shift . . . . . . . . . . . 201--229
Alberto Abadie Semiparametric instrumental variable
estimation of treatment response models 231--263
Samita Sareen Reference Bayesian inference in
nonregular models . . . . . . . . . . . 265--288
Daniel Houser Bayesian analysis of a dynamic
stochastic model of labor supply and
saving . . . . . . . . . . . . . . . . . 289--335
Kai Li and
Dale J. Poirier An econometric model of birth inputs and
outputs for Native Americans . . . . . . 337--361
James D. Hamilton What is an oil shock? . . . . . . . . . 363--398
Anonymous Author index to volume . . . . . . . . . 399--399
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Board . . . . . . . . . . . . . . . . . ifc--ifc
Anonymous Pages EX1--EX2, 201-400 (April 2003) . . ??
Peter M. Robinson and
Marc Henry Higher-order kernel semiparametric
M-estimation of long memory . . . . . . 1--27
Frank Kleibergen and
Eric Zivot Bayesian and classical approaches to
instrumental variable regression . . . . 29--72
Yoosoon Chang and
Joon Y. Park Index models with integrated time series 73--106
Alexei V. Egorov and
Haitao Li and
Yuewu Xu Maximum likelihood estimation of
time-inhomogeneous diffusions . . . . . 107--139
Christian M. Dahl and
Gloria González-Rivera Testing for neglected nonlinearity in
regression models based on the theory of
random fields . . . . . . . . . . . . . 141--164
Alan T. K. Wan and
Guohua Zou Optimal critical values of pre-tests
when estimating the regression error
variance: analytical findings under a
general loss structure . . . . . . . . . 165--196
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--196 (May 2003) . . . . . . . . ??
Murat K. Munkin and
Pravin K. Trivedi Bayesian analysis of a self-selection
model with multiple outcomes using
simulation-based estimation: an
application to the demand for healthcare 197--220
Ian Crawford and
François Laisney and
Ian Preston Estimation of household demand systems
with theoretically compatible Engel
curves and unit value specifications . . 221--241
Matias Eklöf and
Anders Lunander Open outcry auctions with secret reserve
prices: an empirical application to
executive auctions of tenant owner's
apartments in Sweden . . . . . . . . . . 243--260
Peter Reinhard Hansen Structural changes in the cointegrated
vector autoregressive model . . . . . . 261--295
M. Das Identification and sequential estimation
of panel data models with insufficient
exclusion restrictions . . . . . . . . . 297--328
Daniel F. Waggoner and
Tao Zha Likelihood preserving normalization in
multiple equation models . . . . . . . . 329--347
Xuezheng Bai and
Jeffrey R. Russell and
George C. Tiao Kurtosis of GARCH and stochastic
volatility models with non-normal
innovations . . . . . . . . . . . . . . 349--360
Alastair R. Hall and
Atsushi Inoue The large sample behaviour of the
generalized method of moments estimator
in misspecified models . . . . . . . . . 361--394
Anonymous Author index to volume 114 . . . . . . . 395--395
Anonymous IFC --- Inside Front Cover --- Editorial
Board . . . . . . . . . . . . . . . . . ifc--ifc
Anonymous Pages EX1--EX2, 197--396 (June 2003) . . ??
Pierre Perron and
Gabriel Rodríguez GLS detrending, efficient unit root
tests and structural change . . . . . . 1--27
Dong Wan Shin and
Oesook Lee An instrumental variable approach for
tests of unit roots and seasonal unit
roots in asymmetric time series models 29--52
Kyung So Im and
M. Hashem Pesaran and
Yongcheol Shin Testing for unit roots in heterogeneous
panels . . . . . . . . . . . . . . . . . 53--74
Graham Elliott and
Michael Jansson Testing for unit roots with stationary
covariates . . . . . . . . . . . . . . . 75--89
Eric Ghysels and
Alain Guay Structural change tests for simulated
method of moments . . . . . . . . . . . 91--123
Manuel Arellano and
Raquel Carrasco Binary choice panel data models with
predetermined variables . . . . . . . . 125--157
Shawn Ni and
Dongchu Sun Noninformative priors and frequentist
risks of Bayesian estimators of
vector-autoregressive models . . . . . . 159--197
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Board . . . . . . . . . . . . . . . . . ifc--ifc
Anonymous Pages EX1--EX2, 1--198 (July 2003) . . . ??
Paolo Zaffaroni and
Banca d'Italia Gaussian inference on certain long-range
dependent volatility models . . . . . . 199--258
Richard Luger Exact non-parametric tests for a random
walk with unknown drift under
conditional heteroscedasticity . . . . . 259--276
Hikaru Hasegawa and
Hideo Kozumi Estimation of Lorenz curves: a Bayesian
nonparametric approach . . . . . . . . . 277--291
Victor Chernozhukov and
Han Hong An MCMC approach to classical estimation 293--346
Ximing Wu Calculation of maximum entropy densities
with application to income distribution 347--354
Yixiao Sun and
Peter C. B. Phillips Nonlinear log-periodogram regression for
perturbed fractional processes . . . . . 355--389
Anonymous Author index to volume 115 . . . . . . . 391--391
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Board . . . . . . . . . . . . . . . . . ifc--ifc
Anonymous Pages 199--392 (August 2003) . . . . . . ??
Eric Ghysels and
George Tauchen Frontiers of financial econometrics and
financial engineering . . . . . . . . . 1--7
Yacine A\"\it-Sahalia and
Jefferson Duarte Nonparametric option pricing under shape
restrictions . . . . . . . . . . . . . . 9--47
René Garcia and
Richard Luger and
Eric Renault Empirical assessment of an intertemporal
option pricing model with latent
variables . . . . . . . . . . . . . . . 49--83
Oleg Bondarenko Estimation of risk-neutral densities
using positive convolution approximation 85--112
Ravi Jagannathan and
Andrew Kaplin and
Steve Sun An evaluation of multi-factor CIR models
using LIBOR, swap rates, and cap and
swaption prices . . . . . . . . . . . . 113--146
Dong-Hyun Ahn and
Robert F. Dittmar and
A. Ronald Gallant and
Bin Gao Purebred or hybrid?: Reproducing the
volatility in term structure dynamics 147--180
Christopher S. Jones The dynamics of stochastic volatility:
evidence from underlying and options
markets . . . . . . . . . . . . . . . . 181--224
Mikhail Chernov and
A. Ronald Gallant and
Eric Ghysels and
George Tauchen Alternative models for stock price
dynamics . . . . . . . . . . . . . . . . 225--257
George Chacko and
Luis M. Viceira Spectral GMM estimation of
continuous-time processes . . . . . . . 259--292
Federico M. Bandi and
Thong H. Nguyen On the functional estimation of
jump-diffusion models . . . . . . . . . 293--328
Mikhail Chernov Empirical reverse engineering of the
pricing kernel . . . . . . . . . . . . . 329--364
Michael Stutzer Portfolio choice with endogenous
utility: a large deviations approach . . 365--386
David S. Bates Empirical option pricing: a
retrospection . . . . . . . . . . . . . 387--404
Anonymous Author index to volume 116 . . . . . . . 405--405
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Han Hong and
Elie Tamer A simple estimator for nonlinear error
in variable models . . . . . . . . . . . 1--19
Fabio Busetti and
A. M. Robert Taylor Testing against stochastic trend and
seasonality in the presence of
unattended breaks and unit roots . . . . 21--53
Stephen G. Donald and
Guido W. Imbens and
Whitney K. Newey Empirical likelihood estimation and
consistent tests with conditional moment
restrictions . . . . . . . . . . . . . . 55--93
Willa W. Chen and
Clifford M. Hurvich Estimating fractional cointegration in
the presence of polynomial trends . . . 95--121
Badi H. Baltagi and
Seuck Heun Song and
Won Koh Testing panel data regression models
with spatial error correlation . . . . . 123--150
Harley Frazis and
Mark A. Loewenstein Estimating linear regressions with
mismeasured, possibly endogenous, binary
explanatory variables . . . . . . . . . 151--178
Dennis Bams and
Peter C. Schotman Direct estimation of the risk neutral
factor dynamics of Gaussian term
structure models . . . . . . . . . . . . 179--206
Anonymous IFC --- Inside Front Cover --- Editorial
Board . . . . . . . . . . . . . . . . . ifc--ifc
Anonymous Pages EX1--EX6, 1--206 (November 2003) ??
Filippo Altissimo and
Valentina Corradi Strong rules for detecting the number of
breaks in a time series . . . . . . . . 207--244
Songnian Chen and
Shakeeb Khan Rates of convergence for estimating
regression coefficients in
heteroskedastic discrete response models 245--278
Byeong U. Park and
Robin C. Sickles and
Léopold Simar Semiparametric-efficient estimation of $
{\rm AR}(1) $ panel data models . . . . 279--309
Byeong U. Park and
Robin C. Sickles and
Léopold Simar Corrigendum to
``Semiparametric-efficient estimation of
$ {\rm AR}(1) $ panel data models'': [J.
Econom. 117 (2003) 279--309] . . . . . . 311--311
Naorayex K. Dastoor The equality of comparable extended
families of classical-type and
Hausman-type statistics . . . . . . . . 313--330
Mark Coppejans Effective nonparametric estimation in
the case of severely discretized data 331--367
Javier Hidalgo An alternative bootstrap to moving
blocks for time series regression models 369--399
Jörg Breitung and
A. M. Robert Taylor Corrigendum to ``Nonparametric tests for
unit roots and cointegration'' [J.
Econom. \bf 108 (2002) 343--363] . . . . 401--404
Anonymous Author index to volume . . . . . . . . . 405--405
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Benedikt M. Pötscher and
Ingmar R. Prucha Contributions to econometrics,
time-series analysis, and systems
identification: a Festschrift in honor
of Manfred Deistler . . . . . . . . . . 1--5
Raffaella Giacomini and
Clive W. J. Granger Aggregation of space-time processes . . 7--26
Harry H. Kelejian and
Ingmar R. Prucha Estimation of simultaneous systems of
spatially interrelated cross sectional
equations . . . . . . . . . . . . . . . 27--50
Tong Li and
Cheng Hsiao Robust estimation of generalized linear
models with measurement errors . . . . . 51--65
Werner Ploberger A complete class of tests when the
likelihood is locally asymptotically
quadratic . . . . . . . . . . . . . . . 67--94
Peter Schönfeld Least squares in general vector spaces
revisited . . . . . . . . . . . . . . . 95--109
T. W. Anderson and
R. A. Lockhart and
M. A. Stephens An omnibus test for the time series
model AR(1) . . . . . . . . . . . . . . 111--127
P. J. Brockwell and
R. Dahlhaus Generalized Levinson--Durbin and Burg
algorithms . . . . . . . . . . . . . . . 129--149
David F. Findley and
Benedikt M. Pötscher and
Ching-Zong Wei Modeling of time series arrays by
multistep prediction or likelihood
methods . . . . . . . . . . . . . . . . 151--187
Jürgen Franke and
Michael H. Neumann and
Jean-Pierre Stockis Bootstrapping nonparametric estimators
of the volatility function . . . . . . . 189--218
Peter C. B. Phillips and
Joon Y. Park and
Yoosoon Chang Nonlinear instrumental variable
estimation of an autoregression . . . . 219--246
Liang-Liang Xie and
Lennart Ljung Variance expressions for spectra
estimated using auto-regressions . . . . 247--256
Alessandro Chiuso and
Giorgio Picci The asymptotic variance of subspace
estimates . . . . . . . . . . . . . . . 257--291
Anders Dahlén and
Wolfgang Scherrer The relation of the CCA subspace method
to a balanced reduction of an
autoregressive model . . . . . . . . . . 293--312
Jan H. van Schuppen System theory for system identification 313--339
J. C. Willems Deterministic least squares filtering 341--373
Anonymous Author index to volume 118 . . . . . . . 375--375
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Marcus J. Chambers Testing for unit roots with flow data
and varying sampling frequency . . . . . 1--18
Inmaculada Fiteni $ \tau $-estimators of regression models
with structural change of unknown
location . . . . . . . . . . . . . . . . 19--44
Karim M. Abadir and
André Lucas A comparison of minimum MSE and maximum
power for the nearly integrated
non-Gaussian model . . . . . . . . . . . 45--71
Matilde P. Machado A consistent estimator for the binomial
distribution in the presence of
``incidental parameters'': an
application to patent data . . . . . . . 73--98
Jeff Racine and
Qi Li Nonparametric estimation of regression
functions with both categorical and
continuous data . . . . . . . . . . . . 99--130
Josu Arteche Gaussian semiparametric estimation in
long memory in stochastic volatility and
signal plus noise models . . . . . . . . 131--154
Joel L. Horowitz and
Sokbae Lee Semiparametric estimation of a panel
data proportional hazards model with
fixed effects . . . . . . . . . . . . . 155--198
Sílvia Gonçalves and
Halbert White Maximum likelihood and the bootstrap for
nonlinear dynamic models . . . . . . . . 199--219
Tim Bollerslev and
Hao Zhou Corrigendum to ``Estimating stochastic
volatility diffusion using conditional
moments of integrated volatility'' [J.
Econom. \bf 109 (2002) 33--65] . . . . . 221--222
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Christophe Croux and
Eric Renault and
Bas Werker Dynamic factor models . . . . . . . . . 223--230
Mario Forni and
Marc Hallin and
Marco Lippi and
Lucrezia Reichlin The generalized dynamic factor model
consistency and rates . . . . . . . . . 231--255
Enrique Sentana Factor representing portfolios in large
asset markets . . . . . . . . . . . . . 257--289
Daniel Peña and
Pilar Poncela Forecasting with nonstationary dynamic
factor models . . . . . . . . . . . . . 291--321
Serge Darolles and
Jean-Pierre Florens and
Christian Gouriéroux Kernel-based nonlinear canonical
analysis and time reversibility . . . . 323--353
Nour Meddahi and
Eric Renault Temporal aggregation of volatility
models . . . . . . . . . . . . . . . . . 355--379
Luc Bauwens and
David Veredas The stochastic conditional duration
model: a latent variable model for the
analysis of financial durations . . . . 381--412
Eric Ghysels and
Christian Gouriéroux and
Joann Jasiak Stochastic volatility duration models 413--433
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Mototsugu Shintani and
Oliver Linton Nonparametric neural network estimation
of Lyapunov exponents and a direct test
for chaos . . . . . . . . . . . . . . . 1--33
Paulo M. M. Rodrigues and
A. M. Robert Taylor Alternative estimators and unit root
tests for seasonal autoregressive
processes . . . . . . . . . . . . . . . 35--73
Paolo Zaffaroni Contemporaneous aggregation of linear
dynamic models in large economies . . . 75--102
Ling Hu and
Peter C. B. Phillips Nonstationary discrete choice . . . . . 103--138
Vytautas Kazakevicius and
Remigijus Leipus and
Marie-Claude Viano Stability of random coefficient ARCH
models and aggregation schemes . . . . . 139--158
M. Das Simple estimators for nonparametric
panel data models with sample attrition 159--180
John P. Formby and
W. James Smith and
Buhong Zheng Mobility measurement, transition
matrices and statistical inference . . . 181--205
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Zsolt Sándor and
Péter András Alternative sampling methods for
estimating multivariate normal
probabilities . . . . . . . . . . . . . 207--234
David J. McKenzie Asymptotic theory for heterogeneous
dynamic pseudo-panels . . . . . . . . . 235--262
Yoosoon Chang Bootstrap unit root tests in panels with
cross-sectional dependency . . . . . . . 263--293
Patrice Bertail and
Christian Haefke and
Dimitris N. Politis and
Halbert White Subsampling the distribution of
diverging statistics with applications
to finance . . . . . . . . . . . . . . . 295--326
Fabio Canova and
Matteo Ciccarelli Forecasting and turning point
predictions in a Bayesian panel VAR
model . . . . . . . . . . . . . . . . . 327--359
Anonymous Author index to volume . . . . . . . . . 361--361
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Anonymous Pages EX1--EX2, 207--362 (June 2004) . . ??
Lawrence C. Marsh The econometrics of higher education:
editor's view . . . . . . . . . . . . . 1--18
Ronald G. Ehrenberg Econometric studies of higher education 19--37
Karsten T. Hansen and
James J. Heckman and
Kathleen J. Mullen The effect of schooling and ability on
achievement test scores . . . . . . . . 39--98
Dan A. Black and
Jeffrey A. Smith How robust is the evidence on the
effects of college quality? Evidence
from matching . . . . . . . . . . . . . 99--124
Jeffrey A. Groen The effect of college location on
migration of college-educated labor . . 125--142
John Bound and
Jeffrey Groen and
Gábor Kézdi and
Sarah Turner Trade in university training:
cross-state variation in the production
and stock of college-educated labor . . 143--173
Enrico Moretti Estimating the social return to higher
education: evidence from longitudinal
and repeated cross-sectional data . . . 175--212
Peter Cappelli Why do employers pay for college? . . . 213--241
Ralph Stinebrickner and
Todd R. Stinebrickner Time-use and college outcomes . . . . . 243--269
Bridget Terry Long How have college decisions changed over
time? An application of the conditional
logistic choice model . . . . . . . . . 271--296
Jesse M. Rothstein College performance predictions and the
SAT . . . . . . . . . . . . . . . . . . 297--317
Mark C. Long College applications and the effect of
affirmative action . . . . . . . . . . . 319--342
Peter Arcidiacono Ability sorting and the returns to
college major . . . . . . . . . . . . . 343--375
Randall Reback The impact of college course offerings
on the supply of academically talented
public school teachers . . . . . . . . . 377--404
Lawrence C. Marsh and
Arnold Zellner Bayesian solutions to graduate
admissions and related selection
problems . . . . . . . . . . . . . . . . 405--426
Anonymous Author index to volume 121 . . . . . . . 427--427
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Gordon Anderson Toward an empirical analysis of
polarization . . . . . . . . . . . . . . 1--26
Dmitry Danilov and
Jan R. Magnus On the harm that ignoring pretesting can
cause . . . . . . . . . . . . . . . . . 27--46
Graham Elliott and
Allan Timmermann Optimal forecast combinations under
general loss functions and forecast
error distributions . . . . . . . . . . 47--79
Hyungsik Roger Moon and
Beno\^\it Perron Testing for a unit root in panels with
dynamic factors . . . . . . . . . . . . 81--126
Chang-Jin Kim Markov-switching models with endogenous
explanatory variables . . . . . . . . . 127--136
Jushan Bai Estimating cross-section common
stochastic trends in nonstationary panel
data . . . . . . . . . . . . . . . . . . 137--183
Eric Jacquier and
Nicholas G. Polson and
Peter E. Rossi Bayesian analysis of stochastic
volatility models with fat-tails and
correlated errors . . . . . . . . . . . 185--212
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Andrea Coscelli and
Matthew Shum An empirical model of learning and
patient spillovers in new drug entry . . 213--246
Dong Wan Shin and
Man-Suk Oh Fully modified semiparametric GLS
estimation for regressions with
nonstationary seasonal regressors . . . 247--280
Erik Biòrn Regression systems for unbalanced panel
data: a stepwise maximum likelihood
procedure . . . . . . . . . . . . . . . 281--291
Bo E. Honoré and
Luojia Hu Estimation of cross sectional and panel
data censored regression models with
endogeneity . . . . . . . . . . . . . . 293--316
Jean-Marie Dufour and
Lynda Khalaf and
Jean-Thomas Bernard and
Ian Genest Simulation-based finite-sample tests for
heteroskedasticity and ARCH effects . . 317--347
Elena Pesavento Analytical evaluation of the power of
tests for the absence of cointegration 349--384
Hyungsik Roger Moon Maximum score estimation of a
nonstationary binary choice model . . . 385--403
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Anonymous Pages 213--406 (October 2004) . . . . . ??
Mark Coppejans On Kolmogorov's representation of
functions of several variables by
functions of one variable . . . . . . . 1--31
Fabio Busetti and
A. M. Robert Taylor Tests of stationarity against a change
in persistence . . . . . . . . . . . . . 33--66
Peter Burridge and
A. M. Robert Taylor Bootstrapping the HEGY seasonal unit
root tests . . . . . . . . . . . . . . . 67--87
Sílvia Gonçalves and
Lutz Kilian Bootstrapping autoregressions with
conditional heteroskedasticity of
unknown form . . . . . . . . . . . . . . 89--120
J. E. Griffin and
M. F. J. Steel Semiparametric Bayesian inference for
stochastic frontier models . . . . . . . 121--152
Jesús Fernández-Villaverde and
Juan Francisco Rubio-Ramírez Comparing dynamic equilibrium models to
data: a Bayesian approach . . . . . . . 153--187
Gianna Boero and
Jeremy Smith and
Kenneth F. Wallis Decompositions of Pearson's chi-squared
test . . . . . . . . . . . . . . . . . . 189--193
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Anonymous Pages EX1--EX2, 1--194 (November 2004) ??
Anonymous Table of contents . . . . . . . . . . . 195--195
Luc Bauwens and
Michel Lubrano and
Herman K. van Dijk Recent advances in Bayesian econometrics 197--199
Luc Bauwens and
Charles S. Bos and
Herman K. van Dijk and
Rutger D. van Oest Adaptive radial-based direction
sampling: some flexible and robust Monte
Carlo integration methods . . . . . . . 201--225
Frank Kleibergen Invariant Bayesian inference in
regression models that is robust against
the Jeffreys--Lindley's paradox . . . . 227--258
Gary Koop and
Dale J. Poirier Bayesian variants of some classical
semiparametric regression techniques . . 259--282
Michel Mouchart and
Eliana Scheihing Bayesian evaluation of non-admissible
conditioning . . . . . . . . . . . . . . 283--306
Rodney W. Strachan and
Brett Inder Bayesian analysis of the error
correction model . . . . . . . . . . . . 307--325
Nicolas Chopin and
Florian Pelgrin Bayesian inference and state number
determination for hidden Markov models:
an application to the information
content of the yield curve about
inflation . . . . . . . . . . . . . . . 327--344
Michel Lubrano and
Camelia Protopopescu Density inference for ranking European
research systems in the field of
economics . . . . . . . . . . . . . . . 345--369
Jacek Osiewalski and
Mateusz Pipie\'n Bayesian comparison of bivariate
ARCH-type models for the main exchange
rates in Poland . . . . . . . . . . . . 371--391
Anonymous Author index to volume 123 . . . . . . . 393--393
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Todd E. Clark and
Michael W. McCracken The power of tests of predictive ability
in the presence of structural breaks . . 1--31
A. M. Robert Taylor Variance ratio tests of the seasonal
unit root hypothesis . . . . . . . . . . 33--54
In Choi Subsampling vector autoregressive tests
of linear constraints . . . . . . . . . 55--89
Jean-Pierre Florens and
Léopold Simar Parametric approximations of
nonparametric frontiers . . . . . . . . 91--116
Valentina Corradi and
Norman R. Swanson Bootstrap specification tests for
diffusion processes . . . . . . . . . . 117--148
Christian Bontemps and
Nour Meddahi Testing normality: a GMM approach . . . 149--186
Michael Jansson Point optimal tests of the null
hypothesis of cointegration . . . . . . 187--201
Paul Rilstone and
Aman Ullah Corrigendum to ``The second-order bias
and mean squared error of nonlinear
estimators'': [Journal of Econometrics
\bf 75(2) (1996) 369--395] . . . . . . . 203--204
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Anonymous Pages 1--204 (January 2005) . . . . . . ??
Hans Christian Kongsted Testing the nominal-to-real
transformation . . . . . . . . . . . . . 205--225
Karim M. Abadir and
Gabriel Talmain Autocovariance functions of series and
of their transforms . . . . . . . . . . 227--252
Giovanni Forchini Optimal weighted average power similar
tests for the covariance structure in
the linear regression model . . . . . . 253--267
Philippe Andrade and
Catherine Bruneau and
Stéphane Gregoir Testing for the cointegration rank when
some cointegrating directions are
changing . . . . . . . . . . . . . . . . 269--310
Kosuke Imai and
David A. van Dyk A Bayesian analysis of the multinomial
probit model using marginal data
augmentation . . . . . . . . . . . . . . 311--334
M. Das Instrumental variables estimators of
nonparametric models with discrete
endogenous regressors . . . . . . . . . 335--361
Ted Juhl and
Zhijie Xiao Testing for cointegration using
partially linear models . . . . . . . . 363--394
Anonymous Author index to volume 124 . . . . . . . 395--395
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John C. Ham and
Robert J. LaLonde Special issue on Experimental and
non-experimental evaluation of economic
policy and models . . . . . . . . . . . 1--13
Arild Aakvik and
James J. Heckman and
Edward J. Vytlacil Estimating treatment effects for
discrete outcomes when responses to
treatment vary: an application to
Norwegian vocational rehabilitation
programs . . . . . . . . . . . . . . . . 15--51
Orley Ashenfelter and
David Ashmore and
Olivier Deschênes Do unemployment insurance recipients
actively seek work? Evidence from
randomized trials in four U.S. states 53--75
Govert E. Bijwaard and
Geert Ridder Correcting for selective compliance in a
re-employment bonus experiment . . . . . 77--111
David Card and
Philip K. Robins How important are ``entry effects'' in
financial incentive programs for welfare
recipients? Experimental evidence from
the Self-Sufficiency Project . . . . . . 113--139
Rajeev H. Dehejia Program evaluation as a decision problem 141--173
John C. Ham and
John H. Kagel and
Steven F. Lehrer Randomization, endogeneity and
laboratory experiments: the role of cash
balances in private value auctions . . . 175--205
William N. Evans and
Diana S. Lien The benefits of prenatal care: evidence
from the PAT bus strike . . . . . . . . 207--239
V. Joseph Hotz and
Guido W. Imbens and
Julie H. Mortimer Predicting the efficacy of future
training programs using past experiences
at other locations . . . . . . . . . . . 241--270
Louis Jacobson and
Robert LaLonde and
Daniel G. Sullivan Estimating the returns to community
college schooling for displaced workers 271--304
Jeffrey A. Smith and
Petra E. Todd Does matching overcome LaLonde's
critique of nonexperimental estimators? 305--353
Rajeev Dehejia Practical propensity score matching: a
reply to Smith and Todd . . . . . . . . 355--364
Jeffrey Smith and
Petra Todd Rejoinder . . . . . . . . . . . . . . . 365--375
Anonymous Author index to volume 125 . . . . . . . 377--377
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Timothy J. Vogelsang and
Philip Hans Franses Testing for common deterministic trend
slopes . . . . . . . . . . . . . . . . . 1--24
Frank Windmeijer A finite sample correction for the
variance of linear efficient two-step
GMM estimators . . . . . . . . . . . . . 25--51
Susan Orbe and
Eva Ferreira and
Juan Rodriguez-Poo Nonparametric estimation of time varying
parameters under shape restrictions . . 53--77
Gongmeng Chen and
Yoon K. Choi and
Yong Zhou Nonparametric estimation of structural
change points in volatility models for
time series . . . . . . . . . . . . . . 79--114
J. Hidalgo A bootstrap causality test for
covariance stationary processes . . . . 115--143
Debopam Bhattacharya Asymptotic inference from multi-stage
samples . . . . . . . . . . . . . . . . 145--171
Tong Li Econometrics of first-price auctions
with entry and binding reservation
prices . . . . . . . . . . . . . . . . . 173--200
Joost Driessen and
Bertrand Melenberg and
Theo Nijman Testing affine term structure models in
case of transaction costs . . . . . . . 201--232
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Jeffrey H. Dorfman and
Gary Koop Current developments in productivity and
efficiency measurement . . . . . . . . . 233--240
Chirok Han and
Luis Orea and
Peter Schmidt Estimation of a panel data model with
parametric temporal variation in
individual effects . . . . . . . . . . . 241--267
William Greene Reconsidering heterogeneity in panel
data estimators of the stochastic
frontier model . . . . . . . . . . . . . 269--303
Robin C. Sickles Panel estimators and the identification
of firm-specific efficiency levels in
parametric, semiparametric and
nonparametric settings . . . . . . . . . 305--334
William C. Horrace On ranking and selection from
independent truncated normal
distributions . . . . . . . . . . . . . 335--354
Subal C. Kumbhakar and
Efthymios G. Tsionas Measuring technical and allocative
inefficiency in the translog cost
system: a Bayesian approach . . . . . . 355--384
William E. Griffiths and
Christopher J. O'Donnell Estimating variable returns to scale
production frontiers with alternative
stochastic assumptions . . . . . . . . . 385--409
Carmen Fernández and
Gary Koop and
Mark F. J. Steel Alternative efficiency measures for
multiple-output production . . . . . . . 411--444
Scott E. Atkinson and
Jeffrey H. Dorfman Bayesian measurement of productivity and
efficiency in the presence of
undesirable outputs: crediting electric
utilities for reducing air pollution . . 445--468
Rolf Färe and
Shawna Grosskopf and
Dong-Woon Noh and
William Weber Characteristics of a polluting
technology: theory and practice . . . . 469--492
Christopher J. O'Donnell and
Timothy J. Coelli A Bayesian approach to imposing
curvature on distance functions . . . . 493--523
Catherine J. Morrison Paul and
Richard Nehring Product diversification, production
systems, and economic performance in
U.S. agricultural production . . . . . . 525--548
Badi H. Baltagi and
Daniel P. Rich Skill-biased technical change in US
manufacturing: a general index approach 549--570
Liudas Giraitis and
Piotr Kokoszka and
Remigijus Leipus and
Gilles Teyssi\`ere Corrigendum to ``Rescaled variance and
related tests for long memory in
volatility and levels'': [J. Econom. \bf
112 (2003) 265--294] . . . . . . . . . . 571--572
Anonymous The Arnold Zellner award . . . . . . . . 573--573
Anonymous Fellows of the \booktitleJournal of
Econometrics as of 2005 . . . . . . . . 575--586
Anonymous Author index to volume 126 . . . . . . . 587--588
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T. W. Anderson Origins of the limited information
maximum likelihood and two-stage least
squares estimators . . . . . . . . . . . 1--16
D. A. S. Fraser and
M. Rekkas and
A. Wong Highly accurate likelihood analysis for
the seemingly unrelated regression
problem . . . . . . . . . . . . . . . . 17--33
Marcelo Fernandes and
Joachim Grammig Nonparametric specification tests for
conditional duration models . . . . . . 35--68
Pentti Saikkonen Stability results for nonlinear error
correction models . . . . . . . . . . . 69--81
Marno Verbeek and
Francis Vella Estimating dynamic models from repeated
cross-sections . . . . . . . . . . . . . 83--102
Niels Haldrup and
Antonio Montanés and
Andreu Sanso Measurement errors and outliers in
seasonal unit root testing . . . . . . . 103--128
Anonymous The Dennis J. Aigner Award . . . . . . . 129--129
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Anonymous Pages 1--130 (July 2005) . . . . . . . . ??
Thomas M. Stoker and
Ernst R. Berndt and
A. Denny Ellerman and
Susanne M. Schennach Panel data analysis of U.S. coal
productivity . . . . . . . . . . . . . . 131--164
Jun Yu On leverage in a stochastic volatility
model . . . . . . . . . . . . . . . . . 165--178
Ted Juhl and
Zhijie Xiao A nonparametric test for changing trends 179--199
Jesús Gonzalo and
Michael Wolf Subsampling inference in threshold
autoregressive models . . . . . . . . . 201--224
Peter Hall and
Adonis Yatchew Unified approach to testing functional
hypotheses in semiparametric contexts 225--252
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Anonymous Pages 131--254 (August 2005) . . . . . . ??
Anonymous Erratum . . . . . . . . . . . . . . . . i--i
Ron C. Mittelhammer and
George G. Judge Combining estimators to improve
structural model estimation and
inference under quadratic loss . . . . . 1--29
Pieter Omtzigt and
Paolo Paruolo Impact factors . . . . . . . . . . . . . 31--68
Claudio Ortelli and
Fabio Trojani Robust efficient method of moments . . . 69--97
Frank Schorfheide VAR forecasting under misspecification 99--136
Ivana Komunjer Quasi-maximum likelihood estimation for
conditional quantiles . . . . . . . . . 137--164
Helmut Herwartz and
Michael H. Neumann Bootstrap inference in systems of single
equation error correction models . . . . 165--193
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Anonymous Pages 1--194 (September 2005) . . . . . ??
Ulrich K. Müller Size and power of tests of stationarity
in highly autocorrelated time series . . 195--213
Miguel A. Delgado and
Carlos Velasco Sign tests for long-memory time series 215--251
James Davidson and
Philipp Sibbertsen Generating schemes for long memory
processes: regimes, aggregation and
linearity . . . . . . . . . . . . . . . 253--282
P. M. Robinson The distance between rival nonstationary
fractional processes . . . . . . . . . . 283--300
Sophia Rabe-Hesketh and
Anders Skrondal and
Andrew Pickles Maximum likelihood estimation of limited
and discrete dependent variable models
with nested random effects . . . . . . . 301--323
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Anonymous Pages 195--326 (October 2005) . . . . . ??
Anindya Banerjee and
Giovanni Urga Modelling structural breaks, long memory
and stock market volatility: an overview 1--34
Clive W. J. Granger The past and future of empirical
finance: some personal comments . . . . 35--40
Antonio Montañés and
Irene Olloqui and
Elena Calvo Selection of the break in the
Perron-type tests . . . . . . . . . . . 41--64
Pierre Perron and
Xiaokang Zhu Structural breaks with deterministic and
stochastic trends . . . . . . . . . . . 65--119
Eric Hillebrand Neglecting parameter changes in GARCH
models . . . . . . . . . . . . . . . . . 121--138
Patrick Gagliardini and
Fabio Trojani and
Giovanni Urga Robust GMM tests for structural breaks 139--182
M. Hashem Pesaran and
Allan Timmermann Small sample properties of forecasts
from autoregressive models under
structural breaks . . . . . . . . . . . 183--217
Violetta Dalla and
Javier Hidalgo A parametric bootstrap test for cycles 219--261
P. M. Robinson and
F. Iacone Cointegration in fractional systems with
deterministic trends . . . . . . . . . . 263--298
Remigijus Leipus and
Vygantas Paulauskas and
Donatas Surgailis Renewal regime switching and stable
limit laws . . . . . . . . . . . . . . . 299--327
Stepána Lazarová Testing for structural change in
regression with long memory processes 329--372
Anonymous Author index to volume 129 . . . . . . . 373--373
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Anonymous Modelling structural breaks . . . . . . ??
Marcelo Fernandes and
Joachim Grammig A family of autoregressive conditional
duration models . . . . . . . . . . . . 1--23
Robert J. Hill Superlative index numbers: not all of
them are super . . . . . . . . . . . . . 25--43
Stéphane Gregoir Efficient tests for the presence of a
pair of complex conjugate unit roots in
real time series . . . . . . . . . . . . 45--100
Sivagowry Sriananthakumar and
Maxwell L. King A new approximate point optimal test of
a composite null hypothesis . . . . . . 101--122
Jean-Marie Dufour and
Abdeljelil Farhat and
Marc Hallin Distribution-free bounds for serial
correlation coefficients in
heteroskedastic symmetric time series 123--142
Clive W. J. Granger and
Namwon Hyung Introduction to $m$--$m$ processes . . . 143--164
U. Hassler and
F. Marmol and
C. Velasco Residual log-periodogram inference for
long-run relationships . . . . . . . . . 165--207
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Anonymous Pages 1--208 (January 2006) . . . . . . ??
Katsumi Shimotsu and
Peter C. B. Phillips Local Whittle estimation of fractional
integration and some of its variants . . 209--233
Myoung-jae Lee and
Francis Vella A semi-parametric estimator for censored
selection models with endogeneity . . . 235--252
Charles H. Mullin Identification and estimation with
contaminated data: When do covariate
data sharpen inference? . . . . . . . . 253--272
Atsushi Inoue and
Lutz Kilian On the selection of forecasting models 273--306
Xiaohong Chen and
Yanqin Fan Estimation of copula-based
semiparametric time series models . . . 307--335
Francis X. Diebold and
Canlin Li Forecasting the term structure of
government bond yields . . . . . . . . . 337--364
Lijian Yang A semiparametric GARCH model for foreign
exchange volatility . . . . . . . . . . 365--384
Anonymous Author index to volume 130 . . . . . . . 385--385
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Anonymous Pages 209--386 (February 2006) . . . . . ??
F. X. Diebold and
R. F. Engle and
C. Favero and
G. M. Gallo and
F. Schorfheide The econometrics of macroeconomics,
finance, and the interface . . . . . . . 1--2
Robert F. Engle and
Giampiero M. Gallo A multiple indicators model for
volatility using intra-daily data . . . 3--27
Rohit Deo and
Clifford Hurvich and
Yi Lu Forecasting realized volatility using a
long-memory stochastic volatility model:
estimation, prediction and seasonal
adjustment . . . . . . . . . . . . . . . 29--58
Eric Ghysels and
Pedro Santa-Clara and
Rossen Valkanov Predicting volatility: getting the most
out of return data sampled at different
frequencies . . . . . . . . . . . . . . 59--95
Peter Reinhard Hansen and
Asger Lunde Consistent ranking of volatility models 97--121
Tim Bollerslev and
Hao Zhou Volatility puzzles: a simple framework
for gauging return-volatility
regressions . . . . . . . . . . . . . . 123--150
A. Beltratti and
C. Morana Breaks and persistency: macroeconomic
causes of stock market volatility . . . 151--177
Laurent E. Calvet and
Adlai J. Fisher and
Samuel B. Thompson Volatility comovement: a multifrequency
approach . . . . . . . . . . . . . . . . 179--215
Ole E. Barndorff-Nielsen and
Neil Shephard Impact of jumps on returns and realised
variances: econometric analysis of
time-deformed Lévy processes . . . . . . 217--252
Peter Christoffersen and
Steve Heston and
Kris Jacobs Option valuation with conditional
skewness . . . . . . . . . . . . . . . . 253--284
Massimo Guidolin and
Allan Timmermann Term structure of risk under alternative
econometric specifications . . . . . . . 285--308
Francis X. Diebold and
Glenn D. Rudebusch and
S. Bora\ugan Aruoba The macroeconomy and the yield curve: a
dynamic latent factor approach . . . . . 309--338
Andrea Carriero and
Carlo A. Favero and
Iryna Kaminska Financial factors, macroeconomic
information and the Expectations Theory
of the term structure of interest rates 339--358
Andrew Ang and
Monika Piazzesi and
Min Wei What does the yield curve tell us about
GDP growth? . . . . . . . . . . . . . . 359--403
Peter Hördahl and
Oreste Tristani and
David Vestin A joint econometric model of
macroeconomic and term-structure
dynamics . . . . . . . . . . . . . . . . 405--444
Denis Pelletier Regime switching for dynamic
correlations . . . . . . . . . . . . . . 445--473
Christian Gourieroux and
Joann Jasiak Multivariate Jacobi process with
application to smooth transitions . . . 475--505
Jushan Bai and
Serena Ng Evaluating latent and observed factors
in macroeconomics and finance . . . . . 507--537
Geetesh Bhardwaj and
Norman R. Swanson An empirical investigation of the
usefulness of ARFIMA models for
predicting macroeconomic and financial
time series . . . . . . . . . . . . . . 539--578
Stefan Lundbergh and
Timo Teräsvirta A time series model for an exchange rate
in a target zone with applications . . . 579--609
Anonymous Author index to volume 131 . . . . . . . 611--612
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Anonymous Pages 1--612 (March--April 2006) . . . . ??
Heather M. Anderson and
João Victor Issler and
Farshid Vahid Common features . . . . . . . . . . . . 1--5
Robert F. Engle and
Juri Marcucci A long-run Pure Variance Common Features
model for the common volatilities of the
Dow Jones . . . . . . . . . . . . . . . 7--42
Clive W. J. Granger and
Timo Teräsvirta and
Andrew J. Patton Common factors in conditional
distributions for bivariate time series 43--57
Don Harding and
Adrian Pagan Synchronization of cycles . . . . . . . 59--79
Sòren Johansen Statistical analysis of hypotheses on
the cointegrating relations in the I(2)
model . . . . . . . . . . . . . . . . . 81--115
Alain Hecq and
Franz C. Palm and
Jean-Pierre Urbain Common cyclical features analysis in VAR
models with cointegration . . . . . . . 117--141
Paolo Paruolo Common trends and cycles in I(2) VAR
systems . . . . . . . . . . . . . . . . 143--168
Jean Boivin and
Serena Ng Are more data always better for factor
analysis? . . . . . . . . . . . . . . . 169--194
Valentina Corradi and
Norman R. Swanson The effect of data transformation on
common cycle, cointegration, and unit
root tests: Monte Carlo results and a
simple test . . . . . . . . . . . . . . 195--229
Gregory Connor and
Robert A. Korajczyk and
Oliver Linton The common and specific components of
dynamic volatility . . . . . . . . . . . 231--255
Domenico Giannone and
Lucrezia Reichlin and
Luca Sala VARs, common factors and the empirical
validation of equilibrium business cycle
models . . . . . . . . . . . . . . . . . 257--279
João Victor Issler and
Farshid Vahid The missing link: using the NBER
recession indicator to construct
coincident and leading indices of
economic activity . . . . . . . . . . . 281--303
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Luc Bauwens and
H. Peter Boswijk and
Jean-Pierre Urbain Causality and exogeneity in econometrics 305--309
J. Roderick McCrorie and
Marcus J. Chambers Granger causality and the sampling of
economic processes . . . . . . . . . . . 311--336
Jean-Marie Dufour and
Denis Pelletier and
Éric Renault Short run and long run causality in time
series: inference . . . . . . . . . . . 337--362
Jörg Breitung and
Bertrand Candelon Testing for short- and long-run
causality: A frequency-domain approach 363--378
Rocco Mosconi and
Raffaello Seri Non-causality in bivariate binary time
series . . . . . . . . . . . . . . . . . 379--407
Maurice J. G. Bun and
Jan F. Kiviet The effects of dynamic feedbacks on LS
and MM estimator accuracy in panel data
models . . . . . . . . . . . . . . . . . 409--444
Joel L. Horowitz and
Charles F. Manski Identification and estimation of
statistical functionals using incomplete
data . . . . . . . . . . . . . . . . . . 445--459
Cheti Nicoletti Nonresponse in dynamic panel data models 461--489
Victor Chernozhukov and
Christian Hansen Instrumental quantile regression
inference for structural and treatment
effect models . . . . . . . . . . . . . 491--525
Xavier de Luna and
Per Johansson Exogeneity in structural equation models 527--543
Anonymous Author index to volume 132 . . . . . . . 545--546
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Anonymous Pages 305--546 (June 2006) . . . . . . . ??
Phoebus J. Dhrymes and
Adriana Lleras-Muney Estimation of models with grouped and
ungrouped data by means of ``2SLS'' . . 1--29
Stanislav Radchenko and
Hiroki Tsurumi Limited information Bayesian analysis of
a simultaneous equation with an
autocorrelated error term and its
application to the U.S. gasoline market 31--49
Yingyao Hu Bounding parameters in a linear
regression model with a mismeasured
regressor using additional information 51--70
Subal C. Kumbhakar and
Efthymios G. Tsionas Estimation of stochastic frontier
production functions with input-oriented
technical efficiency . . . . . . . . . . 71--96
Frank Kleibergen and
Richard Paap Generalized reduced rank tests using the
singular value decomposition . . . . . . 97--126
Li Gan and
Qinghua Zhang The thick market effect on local
unemployment rate fluctuations . . . . . 127--152
Philippe J. Deschamps A flexible prior distribution for Markov
switching autoregressions with
Student-$t$ errors . . . . . . . . . . . 153--190
Lajos Horváth and
Piotr Kokoszka and
Ricardas Zitikis Testing for stochastic dominance using
the weighted McFadden-type statistic . . 191--205
Zongwu Cai and
Mitali Das and
Huaiyu Xiong and
Xizhi Wu Functional coefficient instrumental
variables models . . . . . . . . . . . . 207--241
Brian V. Krauth Simulation-based estimation of peer
effects . . . . . . . . . . . . . . . . 243--271
Garland B. Durham Monte Carlo methods for estimating,
smoothing, and filtering one- and
two-factor stochastic volatility models 273--305
Maia Güell and
Luojia Hu Estimating the probability of leaving
unemployment using uncompleted spells
from repeated cross-section data . . . . 307--341
Bent Jesper Christensen and
Morten Òrregaard Nielsen Asymptotic normality of narrow-band
least squares in the stationary
fractional cointegration model and
volatility forecasting . . . . . . . . . 343--371
Yiguo Sun and
Thanasis Stengos Semiparametric efficient adaptive
estimation of asymmetric GARCH models 373--386
Howard E. Doran and
Peter Schmidt GMM estimators with improved finite
sample properties using principal
components of the weighting matrix, with
an application to the dynamic panel data
model . . . . . . . . . . . . . . . . . 387--409
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Jean-Marie Dufour and
Beno\^\it Perron Resampling methods in econometrics . . . 411--419
Russell Davidson and
James G. MacKinnon The power of bootstrap and asymptotic
tests . . . . . . . . . . . . . . . . . 421--441
Jean-Marie Dufour Monte Carlo tests with nuisance
parameters: A general approach to
finite-sample inference and nonstandard
asymptotics . . . . . . . . . . . . . . 443--477
Frédéric Jouneau-Sion and
Olivier Torr\`es MMC techniques for limited dependent
variables models: Implementation by the
branch-and-bound algorithm . . . . . . . 479--512
Richard Luger Exact permutation tests for non-nested
non-linear regression models . . . . . . 513--529
Atsushi Inoue and
Mototsugu Shintani Bootstrapping GMM estimators for time
series . . . . . . . . . . . . . . . . . 531--555
H. Hong and
O. Scaillet A fast subsampling method for nonlinear
dynamic models . . . . . . . . . . . . . 557--578
Adonis Yatchew and
Wolfgang Härdle Nonparametric state price density
estimation using constrained least
squares and the bootstrap . . . . . . . 579--599
Cameron Parker and
Efstathios Paparoditis and
Dimitris N. Politis Unit root testing via the stationary
bootstrap . . . . . . . . . . . . . . . 601--638
Joon Y. Park A bootstrap theory for weakly integrated
processes . . . . . . . . . . . . . . . 639--672
Donald W. K. Andrews and
Offer Lieberman and
Vadim Marmer Higher-order improvements of the
parametric bootstrap for long-memory
Gaussian processes . . . . . . . . . . . 673--702
Yoosoon Chang and
Joon Y. Park and
Kevin Song Bootstrapping cointegrating regressions 703--739
James Davidson Alternative bootstrap procedures for
testing cointegration in fractionally
integrated processes . . . . . . . . . . 741--777
Valentina Corradi and
Norman R. Swanson Bootstrap conditional distribution tests
in the presence of dynamic
misspecification . . . . . . . . . . . . 779--806
J. Hidalgo and
J.-P. Kreiss Bootstrap specification tests for linear
covariance stationary processes . . . . 807--839
Joel L. Horowitz and
I. N. Lobato and
John C. Nankervis and
N. E. Savin Bootstrapping the Box--Pierce $Q$ test:
a robust test of uncorrelatedness . . . 841--862
Fuchun Li and
Greg Tkacz A consistent bootstrap test for
conditional density functions with
time-series data . . . . . . . . . . . . 863--886
Anonymous Author index to volume 133 . . . . . . . 887--888
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Anonymous Pages 411--888 (August 2006) . . . . . . ??
Jérôme Detemple and
René Garcia and
Marcel Rindisbacher Asymptotic properties of Monte Carlo
estimators of diffusion processes . . . 1--68
Bjarne Brendstrup and
Harry J. Paarsch Identification and estimation in
sequential, asymmetric, English auctions 69--94
Hiroyuki Kawakatsu Matrix exponential GARCH . . . . . . . . 95--128
Myunghwan Seo Bootstrap testing for the null of no
cointegration in a threshold vector
error correction model . . . . . . . . . 129--150
J. Carlos Escanciano and
Carlos Velasco Generalized spectral tests for the
martingale difference hypothesis . . . . 151--185
Peter Davis Estimation of quantity games in the
presence of indivisibilities and
heterogeneous firms . . . . . . . . . . 187--214
Dong Wan Shin and
Seungho Kang An instrumental variable approach for
panel unit root tests under
cross-sectional dependence . . . . . . . 215--234
Yarema Okhrin and
Wolfgang Schmid Distributional properties of portfolio
weights . . . . . . . . . . . . . . . . 235--256
Willa W. Chen and
Rohit S. Deo Estimation of mis-specified long memory
models . . . . . . . . . . . . . . . . . 257--281
Gary Koop and
Justin L. Tobias Semiparametric Bayesian inference in
smooth coefficient models . . . . . . . 283--315
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Anonymous Pages 1--316 (September 2006) . . . . . ??
Subal C. Kumbhakar and
Hung-Jen Wang Pitfalls in the estimation of a cost
function that ignores allocative
inefficiency: A Monte Carlo analysis . . 317--340
Siddhartha Chib and
Federico Nardari and
Neil Shephard Analysis of high dimensional
multivariate stochastic volatility
models . . . . . . . . . . . . . . . . . 341--371
Pierre Perron and
Zhongjun Qu Estimating restricted structural change
models . . . . . . . . . . . . . . . . . 373--399
Badi H. Baltagi and
Georges Bresson and
Alain Pirotte Joint LM test for homoskedasticity in a
one-way error component model . . . . . 401--417
Subal C. Kumbhakar and
Hung-Jen Wang Estimation of technical and allocative
inefficiency: A primal system approach 419--440
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Modified tests for a change in
persistence . . . . . . . . . . . . . . 441--469
Lingjie Ma and
Roger Koenker Quantile regression methods for
recursive structural equation models . . 471--506
Yacine Ai\"t-Sahalia and
Jialin Yu Saddlepoint approximations for
continuous-time Markov processes . . . . 507--551
Aaron Smith and
Prasad A. Naik and
Chih-Ling Tsai Markov-switching model selection using
Kullback--Leibler divergence . . . . . . 553--577
Ralf Brüggemann and
Helmut Lütkepohl and
Pentti Saikkonen Residual autocorrelation testing for
vector error correction models . . . . . 579--604
J. E. Griffin and
M. F. J. Steel Inference with non-Gaussian
Ornstein--Uhlenbeck processes for
stochastic volatility . . . . . . . . . 605--644
Mattias Villani Bayesian point estimation of the
cointegration space . . . . . . . . . . 645--664
Anonymous Author index to volume 134 . . . . . . . 665--666
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Anonymous Pages 317--666 (October 2006) . . . . . ??
Norman R. Swanson and
Graham Elliott and
Eric Ghysels and
Jesus Gonzalo Predictive methodology and application
in economics and finance: Volume in
honor of the accomplishments of Clive W.
J. Granger . . . . . . . . . . . . . . . 1--9
Clive W. J. Granger Opening comments: Predictive methodology
and application in economics and
finance: Presentation for the San Diego
Conference, January, 2004 . . . . . . . 11--13
Clive W. J. Granger and
Mark J. Machina Structural attribution of observed
volatility clustering . . . . . . . . . 15--29
Marco Aiolfi and
Allan Timmermann Persistence in forecasting performance
and conditional combination strategies 31--53
T. W. Anderson Reduced rank regression for blocks of
simultaneous equations . . . . . . . . . 55--76
Elena Andreou and
Eric Ghysels Monitoring disruptions in financial
markets . . . . . . . . . . . . . . . . 77--124
Xiaohong Chen and
Yanqin Fan Estimation and model selection of
semiparametric copula-based multivariate
dynamic models under copula
misspecification . . . . . . . . . . . . 125--154
Todd E. Clark and
Kenneth D. West Using out-of-sample mean squared
prediction errors to test the martingale
difference hypothesis . . . . . . . . . 155--186
Valentina Corradi and
Norman R. Swanson Predictive density and conditional
confidence interval accuracy tests . . . 187--228
Jean-Marie Dufour and
Tarek Jouini Finite-sample simulation-based inference
in VAR models with application to
Granger causality testing . . . . . . . 229--254
Alexei V. Egorov and
Yongmiao Hong and
Haitao Li Validating forecasts of the joint
probability density of bond yields: Can
affine models beat random walk? . . . . 255--284
Graham Elliott and
Ulrich K. Müller Minimizing the impact of the initial
condition on testing for unit roots . . 285--310
Jesús Gonzalo and
Oscar Martínez Large shocks vs. small shocks. (Or does
size matter? May be so.) . . . . . . . . 311--347
Niels Haldrup and
Morten Òrregaard Nielsen A regime switching long memory model for
electricity prices . . . . . . . . . . . 349--376
Bruce E. Hansen Interval forecasts and parameter
uncertainty . . . . . . . . . . . . . . 377--398
David F. Hendry Robustifying forecasts from
equilibrium-correction systems . . . . . 399--426
Cheng Hsiao and
Siyan Wang Modified two-stage least-squares
estimators for the estimation of a
structural vector autoregressive
integrated process . . . . . . . . . . . 427--463
Tae-Hwy Lee and
Yang Yang Bagging binary and quantile predictors
for time series . . . . . . . . . . . . 465--497
Massimiliano Marcellino and
James H. Stock and
Mark W. Watson A comparison of direct and iterated
multistep AR methods for forecasting
macroeconomic time series . . . . . . . 499--526
Halbert White Time-series estimation of the effects of
natural experiments . . . . . . . . . . 527--566
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Anonymous Pages 1--568 (November--December 2006) ??
Marcus J. Chambers and
J. Roderick McCrorie Frequency domain estimation of
temporally aggregated Gaussian
cointegrated systems . . . . . . . . . . 1--29
Léopold Simar and
Paul W. Wilson Estimation and inference in two-stage,
semi-parametric models of production
processes . . . . . . . . . . . . . . . 31--64
Anurag Banerjee A method of estimating the average
derivative . . . . . . . . . . . . . . . 65--88
Dong Wan Shin and
Oesook Lee Asymmetry and nonstationarity for a
seasonal time series model . . . . . . . 89--114
Peter C. B. Phillips and
Tassos Magdalinos Limit theory for moderate deviations
from a unit root . . . . . . . . . . . . 115--130
Timo Kuosmanen and
Thierry Post and
Stefan Scholtes Non-parametric tests of productive
efficiency with errors-in-variables . . 131--162
Zongwu Cai Trending time-varying coefficient time
series models with serially correlated
errors . . . . . . . . . . . . . . . . . 163--188
Arthur Lewbel and
Susanne M. Schennach A simple ordered data estimator for
inverse density weighted expectations 189--211
Anton Korinek and
Johan A. Mistiaen and
Martin Ravallion An econometric method of correcting for
unit nonresponse bias in surveys . . . . 213--235
Paolo Zaffaroni Aggregation and memory of models of
changing volatility . . . . . . . . . . 237--249
Shakeeb Khan and
Elie Tamer Partial rank estimation of duration
models with general forms of censoring 251--280
Byeong U. Park and
Robin C. Sickles and
Léopold Simar Semiparametric efficient estimation of
dynamic panel data models . . . . . . . 281--301
William J. McCausland Time reversibility of stationary regular
finite-state Markov chains . . . . . . . 303--318
Helmut Lütkepohl General-to-specific or
specific-to-general modelling? An
opinion on current econometric
terminology . . . . . . . . . . . . . . 319--324
Anonymous Editorial Board . . . . . . . . . . . . CO2
Anonymous Pages 1--324 (January 2007) . . . . . . ??
Charalambos D. Aliprantis and
William A. Barnett and
Bernard Cornet and
Steven Durlauf Special issue editors' introduction: The
interface between econometrics and
economic theory . . . . . . . . . . . . 325--329
Arnold Zellner Philosophy and objectives of
econometrics . . . . . . . . . . . . . . 331--339
James J. Heckman and
Salvador Navarro Dynamic discrete choice and dynamic
treatment effects . . . . . . . . . . . 341--396
Ramdan Dridi and
Alain Guay and
Eric Renault Indirect inference and calibration of
dynamic stochastic general equilibrium
models . . . . . . . . . . . . . . . . . 397--430
Charalambos D. Aliprantis and
David Harris and
Rabee Tourky Riesz estimators . . . . . . . . . . . . 431--456
William A. Barnett Multilateral aggregation-theoretic
monetary aggregation over heterogeneous
countries . . . . . . . . . . . . . . . 457--482
Esfandiar Maasoumi and
Jeff Racine and
Thanasis Stengos Growth and convergence: A profile of
distribution dynamics and mobility . . . 483--508
C. Gourieroux and
A. Monfort Econometric specification of stochastic
discount factor models . . . . . . . . . 509--530
Zvi Eckstein and
Gerard J. van den Berg Empirical labor search: A survey . . . . 531--564
G. Kapetanios and
A. Pagan and
A. Scott Making a match: Combining theory and
evidence in policy-oriented
macroeconomic modeling . . . . . . . . . 565--594
Herman J. Bierens Econometric analysis of linearized
singular dynamic stochastic general
equilibrium models . . . . . . . . . . . 595--627
William A. Brock and
Steven N. Durlauf and
Kenneth D. West Model uncertainty and policy evaluation:
Some theory and empirics . . . . . . . . 629--664
Christian Ahlin and
Robert M. Townsend Selection into and across credit
contracts: Theory and field research . . 665--698
Valentina Corradi and
Norman R. Swanson Evaluation of dynamic stochastic general
equilibrium models based on
distributional comparison of simulated
and historical data . . . . . . . . . . 699--723
Anonymous Editorial Board . . . . . . . . . . . . CO2
Subal C. Kumbhakar and
Byeong U. Park and
Léopold Simar and
Efthymios G. Tsionas Nonparametric stochastic frontiers: A
local maximum likelihood approach . . . 1--27
Mehmet Caner Boundedly pivotal structural change
tests in continuous updating GMM with
strong, weak identification and
completely unidentified cases . . . . . 28--67
Byeongseon Seo Asymptotic distribution of the
cointegrating vector estimator in error
correction models with conditional
heteroskedasticity . . . . . . . . . . . 68--111
Paolo Giordani and
Robert Kohn and
Dick van Dijk A unified approach to nonlinearity,
structural change, and outliers . . . . 112--133
M. Hashem Pesaran and
Allan Timmermann Selection of estimation window in the
presence of breaks . . . . . . . . . . . 134--161
Peter C. B. Phillips and
Donggyu Sul Bias in dynamic panel estimation with
fixed effects, incidental trends and
cross section dependence . . . . . . . . 162--188
Patrick Gagliardini and
Christian Gouriéroux An efficient nonparametric estimator for
models with nonlinear dependence . . . . 189--229
Heetaik Chung and
Joon Y. Park Nonstationary nonlinear
heteroskedasticity in regression . . . . 230--259
Keming Yu and
Julian Stander Bayesian analysis of a Tobit quantile
regression model . . . . . . . . . . . . 260--276
Anonymous Editorial Board . . . . . . . . . . . . CO2
Anonymous Pages 1--276 (March 2007) . . . . . . . ??
Katsumi Shimotsu Gaussian semiparametric estimation of
multivariate fractionally integrated
processes . . . . . . . . . . . . . . . 277--310
Robert M. de Jong and
Christine Amsler and
Peter Schmidt A robust version of the KPSS test based
on indicators . . . . . . . . . . . . . 311--333
Michael Eichler Granger causality and path diagrams for
multivariate time series . . . . . . . . 334--353
Federico M. Bandi and
Peter C. B. Phillips A simple approach to the parametric
estimation of potentially nonstationary
diffusions . . . . . . . . . . . . . . . 354--395
Yong Bao and
Aman Ullah Finite sample properties of maximum
likelihood estimator in spatial models 396--413
Spyros Skouras Decisionmetrics: A decision-based
approach to econometric modelling . . . 414--440
Wolfgang Stummer and
Igor Vajda Optimal statistical decisions about some
alternative financial models . . . . . . 441--471
Andrew P. Blake and
George Kapetanios Testing for ARCH in the presence of
nonlinearity of unknown form in the
conditional mean . . . . . . . . . . . . 472--488
Lung-fei Lee GMM and 2SLS estimation of mixed
regressive, spatial autoregressive
models . . . . . . . . . . . . . . . . . 489--514
John Chao and
Norman R. Swanson Alternative approximations of the bias
and MSE of the IV estimator under weak
identification with an application to
bias correction . . . . . . . . . . . . 515--555
Ngai Hang Chan and
Shi-Jie Deng and
Liang Peng and
Zhendong Xia Interval estimation of value-at-risk
based on GARCH models with heavy-tailed
innovations . . . . . . . . . . . . . . 556--576
Mark Coppejans On efficient estimation of the ordered
response model . . . . . . . . . . . . . 577--614
Eric Jacquier and
Michael Johannes and
Nicholas Polson MCMC maximum likelihood for latent state
models . . . . . . . . . . . . . . . . . 615--640
José T. A. S. Ferreira and
Mark F. J. Steel Model comparison of coordinate-free
multivariate skewed distributions with
an application to stochastic frontiers 641--673
Debopam Bhattacharya Inference on inequality from household
survey data . . . . . . . . . . . . . . 674--707
Marc K. Francke and
Aart F. de Vos Marginal likelihood and unit roots . . . 708--728
Anonymous Editorial Board . . . . . . . . . . . . CO2
Anonymous Pages 277--728 (April 2007) . . . . . . ??
Philip Hans Franses and
Herman K. van Dijk Progress and challenges in econometrics 1--2
Clive W. J. Granger Forecasting-looking back and forward:
Paper to celebrate the 50th anniversary
of the Econometrics Institute at the
Erasmus University, Rotterdam . . . . . 3--13
Arnold Zellner Generalizing the standard product rule
of probability theory and Bayes's
Theorem . . . . . . . . . . . . . . . . 14--23
Donald W. K. Andrews and
James H. Stock Testing with many weak instruments . . . 24--46
Charles R. Nelson and
Richard Startz The zero-information-limit condition and
spurious inference in weakly identified
models . . . . . . . . . . . . . . . . . 47--62
Lennart Hoogerheide and
Frank Kleibergen and
Herman K. van Dijk Natural conjugate priors for the
instrumental variables regression model
applied to the Angrist--Krueger data . . 63--103
Peter C. B. Phillips Unit root log periodogram regression . . 104--124
Torben G. Andersen and
Tim Bollerslev and
Dobrislav Dobrev No-arbitrage semi-martingale
restrictions for continuous-time
volatility models subject to leverage
effects, jumps and i.i.d. noise: Theory
and testable distributional implications 125--180
Martin Martens and
Dick van Dijk Measuring volatility with the realized
range . . . . . . . . . . . . . . . . . 181--207
Jaehwan Kim and
Greg M. Allenby and
Peter E. Rossi Product attributes and models of
multiple discreteness . . . . . . . . . 208--230
Dennis Fok and
Philip Hans Franses and
Richard Paap Seasonality and non-linear price effects
in scanner-data-based market-response
models . . . . . . . . . . . . . . . . . 231--251
John Geweke and
Michael Keane Smoothly mixing regressions . . . . . . 252--290
Todd E. Clark and
Kenneth D. West Approximately normal tests for equal
predictive accuracy in nested models . . 291--311
M. Hashem Pesaran A pair-wise approach to testing for
output and growth convergence . . . . . 312--355
Mohammed Abdellaoui and
Carolina Barrios and
Peter P. Wakker Reconciling introspective utility with
revealed preference: Experimental
arguments based on prospect theory . . . 356--378
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Amos Golan Information and entropy econometrics ---
volume overview and synthesis . . . . . 379--387
Arnold Zellner Some aspects of the history of Bayesian
information processing . . . . . . . . . 388--404
Bertrand Clarke Information optimality and Bayesian
modelling . . . . . . . . . . . . . . . 405--429
Richard J. Smith Efficient information theoretic
inference for conditional moment
restrictions . . . . . . . . . . . . . . 430--460
Bertille Antoine and
Hél\`ene Bonnal and
Eric Renault On the efficient use of the
informational content of estimating
equations: Implied probabilities and
Euclidean empirical likelihood . . . . . 461--487
Alastair R. Hall and
Atsushi Inoue and
Kalidas Jana and
Changmock Shin Information in generalized method of
moments estimation and entropy-based
moment selection . . . . . . . . . . . . 488--512
George G. Judge and
Ron C. Mittelhammer Estimation and inference in the case of
competing sets of estimating equations 513--531
Ximing Wu and
Jeffrey M. Perloff GMM estimation of a maximum entropy
distribution with interval data . . . . 532--546
Jeffrey S. Racine and
Esfandiar Maasoumi A versatile and robust metric entropy
test of time-reversibility, and other
hypotheses . . . . . . . . . . . . . . . 547--567
Ali Dadpay and
Ehsan S. Soofi and
Refik Soyer Information measures for generalized
gamma family . . . . . . . . . . . . . . 568--585
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous A Volume in Honor of Arnold Zellner . . ??
Andrew Chesher and
Geert Dhaene and
Herman van Dijk Endogeneity, instruments and
identification . . . . . . . . . . . . . 1--3
Victor Chernozhukov and
Guido W. Imbens and
Whitney K. Newey Instrumental variable estimation of
nonseparable models . . . . . . . . . . 4--14
Andrew Chesher Instrumental values . . . . . . . . . . 15--34
Markus Frölich Nonparametric IV estimation of local
average treatment effects with
covariates . . . . . . . . . . . . . . . 35--75
Thierry Magnac and
Eric Maurin Identification and information in
monotone binary models . . . . . . . . . 76--104
Charles F. Manski Minimax-regret treatment choice with
missing outcome data . . . . . . . . . . 105--115
Donald W. K. Andrews and
Marcelo J. Moreira and
James H. Stock Performance of conditional Wald tests in
IV regression with weak instruments . . 116--132
Jean-Marie Dufour and
Mohamed Taamouti Further results on projection-based
inference in IV regressions with weak,
collinear or missing instruments . . . . 133--153
Lennart F. Hoogerheide and
Johan F. Kaashoek and
Herman K. van Dijk On the shape of posterior densities and
credible sets in instrumental variable
regression models with reduced rank: An
application of flexible sampling methods
using neural networks . . . . . . . . . 154--180
Frank Kleibergen Generalizing weak instrument robust IV
statistics towards multiple parameters,
unrestricted covariance matrices and
identification statistics . . . . . . . 181--216
D. S. Poskitt and
C. L. Skeels Approximating the distribution of the
two-stage least squares estimator when
the concentration parameter is small . . 217--236
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Michael McAleer The econometrics of intellectual
property: An overview . . . . . . . . . 237--241
Jerry A. Hausman and
Gregory K. Leonard Estimation of patent licensing value
using a flexible demand specification 242--258
Michael McAleer and
Felix Chan and
Dora Marinova An econometric analysis of asymmetric
volatility: Theory and application to
patents . . . . . . . . . . . . . . . . 259--284
Jeffrey A. Dubin Valuing intangible assets with a nested
logit market share model . . . . . . . . 285--302
Daniel J. Slottje and
Daniel L. Millimet and
Michael J. Buchanan Econometric analysis of copyrights . . . 303--317
Gerald Silverberg and
Bart Verspagen The size distribution of innovations
revisited: An application of extreme
value statistics to citation and value
measures of patent significance . . . . 318--339
David Greasley and
Les Oxley Patenting, intellectual property rights
and sectoral outputs in Industrial
Revolution Britain, 1780--1851 . . . . . 340--354
Robert L. Basmann and
Michael McAleer and
Daniel Slottje Patent activity and technical change . . 355--375
Dennis Fok and
Philip Hans Franses Modeling the diffusion of scientific
publications . . . . . . . . . . . . . . 376--390
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Badi H. Baltagi and
Harry H. Kelejian and
Ingmar R. Prucha Analysis of spatially dependent data . . 1--4
Badi H. Baltagi and
Seuck Heun Song and
Byoung Cheol Jung and
Won Koh Testing for serial correlation, spatial
autocorrelation and random effects using
panel data . . . . . . . . . . . . . . . 5--51
William A. Brock and
Steven N. Durlauf Identification of binary choice models
with social interactions . . . . . . . . 52--75
Timothy G. Conley and
Francesca Molinari Spatial correlation robust inference
with errors in location or distance . . 76--96
Mudit Kapoor and
Harry H. Kelejian and
Ingmar R. Prucha Panel data models with spatially
correlated error components . . . . . . 97--130
Harry H. Kelejian and
Ingmar R. Prucha HAC estimation in a spatial framework 131--154
Lung-fei Lee The method of elimination and
substitution in the GMM estimation of
mixed regressive, spatial autoregressive
models . . . . . . . . . . . . . . . . . 155--189
James P. LeSage and
R. Kelley Pace A matrix exponential spatial
specification . . . . . . . . . . . . . 190--214
Joris Pinkse and
Lihong Shen and
Margaret Slade A central limit theorem for endogenous
locations and complex spatial
interactions . . . . . . . . . . . . . . 215--225
Stephan R. Sain and
Noel Cressie A spatial model for multivariate lattice
data . . . . . . . . . . . . . . . . . . 226--259
Badi H. Baltagi and
Peter Egger and
Michael Pfaffermayr Estimating models of complex FDI: Are
there third-country effects? . . . . . . 260--281
Timothy G. Conley and
Giorgio Topa Estimating dynamic local interactions
models . . . . . . . . . . . . . . . . . 282--303
Wolfgang Keller and
Carol H. Shiue The origin of spatial interaction . . . 304--332
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Lung-fei Lee Identification and estimation of
econometric models with group
interactions, contextual factors and
fixed effects . . . . . . . . . . . . . 333--374
Abdelaati Daouia and
Léopold Simar Nonparametric efficiency analysis: A
multivariate conditional quantile
approach . . . . . . . . . . . . . . . . 375--400
Siddhartha Chib Analysis of treatment response data
without the joint distribution of
potential outcomes . . . . . . . . . . . 401--412
Jirí Reif Asymptotic behaviour of regression
pre-test estimators with minimal Bayes
risk . . . . . . . . . . . . . . . . . . 413--424
Yasuhiro Omori and
Siddhartha Chib and
Neil Shephard and
Jouchi Nakajima Stochastic volatility with leverage:
Fast and efficient likelihood inference 425--449
J. Hualde and
P. M. Robinson Root-$n$-consistent estimation of weak
fractional cointegration . . . . . . . . 450--484
Vijaya G. Duggal and
Cynthia Saltzman and
Lawrence R. Klein Infrastructure and productivity: An
extension to private infrastructure and
it productivity . . . . . . . . . . . . 485--502
Jesus M. Carro Estimating dynamic panel data discrete
choice models with fixed effects . . . . 503--528
Marine Carrasco and
Mikhail Chernov and
Jean-Pierre Florens and
Eric Ghysels Efficient estimation of general dynamic
models with a continuum of moment
conditions . . . . . . . . . . . . . . . 529--573
Jinyong Hahn and
Jerry Hausman and
Guido Kuersteiner Long difference instrumental variables
estimation for dynamic panel models with
fixed effects . . . . . . . . . . . . . 574--617
Andrew C. Harvey and
Thomas M. Trimbur and
Herman K. Van Dijk Trends and cycles in economic time
series: A Bayesian approach . . . . . . 618--649
Yong Bao and
Aman Ullah The second-order bias and mean squared
error of estimators in time-series
models . . . . . . . . . . . . . . . . . 650--669
Christian B. Hansen Generalized least squares inference in
panel and multilevel models with serial
correlation and fixed effects . . . . . 670--694
Karim M. Abadir and
Walter Distaso Testing joint hypotheses when one of the
alternatives is one-sided . . . . . . . 695--718
Michael W. McCracken Asymptotics for out of sample tests of
Granger causality . . . . . . . . . . . 719--752
Bruno Eklund and
Timo Teräsvirta Testing constancy of the error
covariance matrix in vector models . . . 753--780
Siddhartha Chib and
Liana Jacobi Modeling and calculating the effect of
treatment at baseline from panel
outcomes . . . . . . . . . . . . . . . . 781--801
Cheng Hsiao and
Qi Li and
Jeffrey S. Racine A consistent model specification test
with mixed discrete and continuous data 802--826
Christian Belzil and
Jörgen Hansen A structural analysis of the correlated
random coefficient wage regression model 827--848
Shiqing Ling Self-weighted and local quasi-maximum
likelihood estimators for
ARMA-GARCH/IGARCH models . . . . . . . . 849--873
Mick Silver and
Saeed Heravi Why elementary price index number
formulas differ: Evidence on price
dispersion . . . . . . . . . . . . . . . 874--883
Andrew J. Patton and
Allan Timmermann Properties of optimal forecasts under
asymmetric loss and nonlinearity . . . . 884--918
Giuseppe Cavaliere and
A. M. Robert Taylor Testing for unit roots in time series
models with non-stationary volatility 919--947
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 333--948 (October 2007) . . . . . ??
Marcelo Fernandes and
Oliver Linton and
Olivier Scaillet Semiparametric methods in econometrics 1--4
Chunrong Ai and
Xiaohong Chen Estimation of possibly misspecified
semiparametric conditional moment
restriction models with different
conditioning variables . . . . . . . . . 5--43
João Amaro de Matos and
Marcelo Fernandes Testing the Markov property with high
frequency data . . . . . . . . . . . . . 44--64
Richard Blundell and
James L. Powell Censored regression quantiles with
endogenous regressors . . . . . . . . . 65--83
Bjarne Brendstrup and
Harry J. Paarsch Semiparametric identification and
estimation in multi-object, English
auctions . . . . . . . . . . . . . . . . 84--108
Xiaohong Chen and
Han Hong and
Matthew Shum Nonparametric likelihood ratio model
selection tests between parametric
likelihood and moment condition models 109--140
Russell Davidson and
Emmanuel Flachaire Asymptotic and bootstrap inference for
inequality and poverty measures . . . . 141--166
Ronaldo Dias and
Nancy L. Garcia Consistent estimator for basis selection
based on a proxy of the
Kullback--Leibler distance . . . . . . . 167--178
George-Levi Gayle and
Christelle Viauroux Root-$N$ consistent semiparametric
estimators of a dynamic
panel-sample-selection model . . . . . . 179--212
M. Hagmann and
O. Scaillet Local multiplicative bias correction for
asymmetric kernel density estimators . . 213--249
O. Linton and
Yoon-Jae Whang The quantilogram: With an application to
evaluating directional predictability 250--282
Carlos Martins-Filho and
Feng Yao Nonparametric frontier estimation via
local linear regression . . . . . . . . 283--319
Anonymous Referee utilization report . . . . . . . 320--322
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Kim Christensen and
Mark Podolskij Realized range-based estimation of
integrated variance . . . . . . . . . . 323--349
Shinichi Sakata Instrumental variable estimation based
on conditional median restriction . . . 350--382
Kanchan Mukherjee Generalized R-estimators under
conditional heteroscedasticity . . . . . 383--415
Hyungsik Roger Moon and
Beno\^\it Perron and
Peter C. B. Phillips Incidental trends and the power of panel
unit root tests . . . . . . . . . . . . 416--459
Bjarne Brendstrup Non-parametric estimation of sequential
English auctions . . . . . . . . . . . . 460--481
Gerard J. van den Berg On the uniqueness of optimal prices set
by monopolistic sellers . . . . . . . . 482--491
Song Xi Chen and
Hengjian Cui On the second-order properties of
empirical likelihood with moment
restrictions . . . . . . . . . . . . . . 492--516
Michael J. Dueker and
Martin Sola and
Fabio Spagnolo Contemporaneous threshold autoregressive
models: Estimation, testing and
forecasting . . . . . . . . . . . . . . 517--547
Paulo M. M. Rodrigues and
A. M. Robert Taylor Efficient tests of the seasonal unit
root hypothesis . . . . . . . . . . . . 548--573
Morten Òrregaard Nielsen and
Katsumi Shimotsu Determining the cointegrating rank in
nonstationary fractional systems by the
exact local Whittle approach . . . . . . 574--596
Christian B. Hansen Asymptotic properties of a robust
variance matrix estimator for panel data
when T is large . . . . . . . . . . . . 597--620
Alessio Sancetta Online forecast combinations of
distributions: Worst case bounds . . . . 621--651
Miguel A. Delgado and
J. Carlos Escanciano Nonparametric tests for conditional
symmetry in dynamic models . . . . . . . 652--682
Lesley Chiou and
Joan L. Walker Masking identification of discrete
choice models under simulation methods 683--703
Myung Hwan Seo and
Oliver Linton A smoothed least squares estimator for
threshold regression models . . . . . . 704--735
Yongmiao Hong and
Haitao Li and
Feng Zhao Can the random walk model be beaten in
out-of-sample density forecasts?
Evidence from intraday foreign exchange
rates . . . . . . . . . . . . . . . . . 736--776
Arthur Lewbel Endogenous selection or treatment model
estimation . . . . . . . . . . . . . . . 777--806
Liangjun Su and
Halbert White A consistent characteristic
function-based test for conditional
independence . . . . . . . . . . . . . . 807--834
Javier Hidalgo and
Paolo Zaffaroni A goodness-of-fit test for $ {\rm
ARCH}(\infty) $ models . . . . . . . . . 835--875
Clive G. Bowsher Modelling security market events in
continuous time: Intensity based,
multivariate point process models . . . 876--912
Meng-Chen Hsieh and
Clifford M. Hurvich and
Philippe Soulier Asymptotics for duration-driven long
range dependent processes . . . . . . . 913--949
Song Xi Chen and
Jiti Gao An adaptive empirical likelihood test
for parametric time series regression
models . . . . . . . . . . . . . . . . . 950--972
Javier Hidalgo and
Paolo Zaffaroni A goodness-of-fit test for $ {\rm
ARCH}(\infty) $ models . . . . . . . . . 973--1013
Anders Frederiksen and
Bo E. Honoré and
Luojia Hu Discrete time duration models with
group-level heterogeneity . . . . . . . 1014--1043
Frank A. Cowell and
Emmanuel Flachaire Income distribution and inequality
measurement: The problem of extreme
values . . . . . . . . . . . . . . . . . 1044--1072
Mark N. Harris and
Xueyan Zhao A zero-inflated ordered probit model,
with an application to modelling tobacco
consumption . . . . . . . . . . . . . . 1073--1099
Songnian Chen and
Yahong Zhou Estimating a generalized correlation
coefficient for a generalized bivariate
probit model . . . . . . . . . . . . . . 1100--1114
Peter C. B. Phillips and
Sainan Jin and
Ling Hu Nonstationary discrete choice: A
corrigendum and addendum . . . . . . . . 1115--1130
Sokbae Lee Endogeneity in quantile regression
models: A control function approach . . 1131--1158
Simen Gaure and
Knut Ròed and
Tao Zhang Time and causality: A Monte Carlo
assessment of the timing-of-events
approach . . . . . . . . . . . . . . . . 1159--1195
Graham Elliott and
Ulrich K. Müller Confidence sets for the date of a single
break in linear time series regressions 1196--1218
Jean-Thomas Bernard and
Nadhem Idoudi and
Lynda Khalaf and
Clément Yélou Finite sample multivariate structural
change tests with application to energy
demand models . . . . . . . . . . . . . 1219--1244
Jialin Yu Closed-form likelihood approximation and
estimation of jump-diffusions with an
application to the realignment risk of
the Chinese Yuan . . . . . . . . . . . . 1245--1280
Jeffrey M. Wooldridge Inverse probability weighted estimation
for general missing data problems . . . 1281--1301
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor A simple, robust and powerful test of
the trend hypothesis . . . . . . . . . . 1302--1330
Ulrich K. Müller A theory of robust long-run variance
estimation . . . . . . . . . . . . . . . 1331--1352
Karim M. Abadir and
Walter Distaso and
Liudas Giraitis Nonstationarity-extended local Whittle
estimation . . . . . . . . . . . . . . . 1353--1384
Jean-François Richard and
Wei Zhang Efficient high-dimensional importance
sampling . . . . . . . . . . . . . . . . 1385--1411
Yi-Ting Chen and
Chung-Ming Kuan Corrigendum to ``The pseudo-true score
encompassing test for non-nested
hypotheses'': [Journal of Econometrics
\bf 106, 271--295] . . . . . . . . . . . 1412--1417
Alastair R. Hall and
Atsushi Inoue Corrigendum to: ``The large sample
behaviour of the generalized method of
moments estimator in misspecified
models'': [Journal of Econometrics \bf
114 (2003) 361--394] . . . . . . . . . . 1418--1418
Arnold Zellner Erratum to ``Generalizing the standard
product rule of probability theory and
Bayes's Theorem'': [J. Econometrics \bf
138 (1) (2007) 14--23] . . . . . . . . . 1419--1419
Anonymous Error in contents listing of Special
issue . . . . . . . . . . . . . . . . . 1420--1420
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 323--1420 (December 2007) . . . . ??
Vadim Marmer Nonlinearity, nonstationarity, and
spurious forecasts . . . . . . . . . . . 1--27
Paul A. Bekker and
Steve Lawford Symmetry-based inference in an
instrumental variable setting . . . . . 28--49
M. Hashem Pesaran and
Takashi Yamagata Testing slope homogeneity in large
panels . . . . . . . . . . . . . . . . . 50--93
Frédérique Bec and
Alain Guay and
Emmanuel Guerre Adaptive consistent unit-root tests
based on autoregressive threshold model 94--133
Patrik Guggenberger and
Richard J. Smith Generalized empirical likelihood tests
in time series models with potential
identification failure . . . . . . . . . 134--161
Natércia Fortuna Local rank tests in a multivariate
nonparametric relationship . . . . . . . 162--182
Donald W. K. Andrews and
Vadim Marmer Exactly distribution-free inference in
instrumental variables regression with
possibly weak instruments . . . . . . . 183--200
Hannes Leeb and
Benedikt M. Pötscher Sparse estimators and the oracle
property, or the return of Hodges'
estimator . . . . . . . . . . . . . . . 201--211
Ai Deng and
Pierre Perron A non-local perspective on the power
properties of the CUSUM and CUSUM of
squares tests for structural change . . 212--240
Oliver B. Linton and
Enno Mammen Nonparametric transformation to white
noise . . . . . . . . . . . . . . . . . 241--264
Ke-Li Xu and
Peter C. B. Phillips Adaptive estimation of autoregressive
models with time-varying variances . . . 265--280
Guohua Feng and
Apostolos Serletis Productivity trends in U.S.
manufacturing: Evidence from the NQ and
AIM cost functions . . . . . . . . . . . 281--311
Christian Francq and
Svetlana Makarova and
Jean-Michel Zakoiän A class of stochastic unit-root bilinear
processes: Mixing properties and
unit-root test . . . . . . . . . . . . . 312--326
Chi-Young Choi and
Ling Hu and
Masao Ogaki Robust estimation for structural
spurious regressions and a Hausman-type
cointegration test . . . . . . . . . . . 327--351
Jiazhu Pan and
Hui Wang and
Howell Tong Estimation and tests for
power-transformed and threshold GARCH
models . . . . . . . . . . . . . . . . . 352--378
Victor Chernozhukov and
Christian Hansen Instrumental variable quantile
regression: A robust inference approach 379--398
Siem Jan Koopman and
André Lucas and
André Monteiro The multi-state latent factor intensity
model for credit rating transitions . . 399--424
Hong Li Estimation and testing of Euler equation
models with time-varying reduced-form
coefficients . . . . . . . . . . . . . . 425--448
Atsushi Inoue Efficient estimation and inference in
linear pseudo-panel data models . . . . 449--466
Christian M. Hafner Temporal aggregation of multivariate
GARCH processes . . . . . . . . . . . . 467--483
William J. McCausland On Bayesian analysis and computation for
functions with monotonicity and
curvature restrictions . . . . . . . . . 484--507
Taisuke Otsu Conditional empirical likelihood
estimation and inference for quantile
regression models . . . . . . . . . . . 508--538
Irina Murtazashvili and
Jeffrey M. Wooldridge Fixed effects instrumental variables
estimation in correlated random
coefficient panel data models . . . . . 539--552
Edward I. George and
Dongchu Sun and
Shawn Ni Bayesian stochastic search for VAR model
restrictions . . . . . . . . . . . . . . 553--580
Walter Distaso Testing for unit root processes in
random coefficient autoregressive models 581--609
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--610 (January 2008) . . . . . . ??
Anonymous Aigner Award . . . . . . . . . . . . . . i--i
Anonymous New Fellows . . . . . . . . . . . . . . ii--ii
Anonymous Fellows list . . . . . . . . . . . . . . III--VIII
Guido Imbens and
Thomas Lemieux Special issue editors' introduction: The
regression discontinuity design ---
Theory and applications . . . . . . . . 611--614
Guido W. Imbens and
Thomas Lemieux Regression discontinuity designs: A
guide to practice . . . . . . . . . . . 615--635
Thomas D. Cook ``Waiting for Life to Arrive'': A
history of the regression-discontinuity
design in Psychology, Statistics and
Economics . . . . . . . . . . . . . . . 636--654
David S. Lee and
David Card Regression discontinuity inference with
specification error . . . . . . . . . . 655--674
David S. Lee Randomized experiments from non-random
selection in U.S. House elections . . . 675--697
Justin McCrary Manipulation of the running variable in
the regression discontinuity design: A
density test . . . . . . . . . . . . . . 698--714
Erich Battistin and
Enrico Rettore Ineligibles and eligible
non-participants as a double comparison
group in regression-discontinuity
designs . . . . . . . . . . . . . . . . 715--730
Wilbert van der Klaauw Breaking the link between poverty and
low student achievement: An evaluation
of Title I . . . . . . . . . . . . . . . 731--756
Susan Chen and
Wilbert van der Klaauw The work disincentive effects of the
disability insurance program in the
1990s . . . . . . . . . . . . . . . . . 757--784
Rafael Lalive How do extended benefits affect
unemployment duration? A regression
discontinuity approach . . . . . . . . . 785--806
Thomas Lemieux and
Kevin Milligan Incentive effects of social assistance:
A regression discontinuity approach . . 807--828
Jordan D. Matsudaira Mandatory summer school and student
achievement . . . . . . . . . . . . . . 829--850
Anonymous Editorial Board . . . . . . . . . . . . CO2
Miguel A. Delgado Specification testing . . . . . . . . . 1--4
John Haywood and
Estate Khmaladze On distribution-free goodness-of-fit
testing of exponentiality . . . . . . . 5--18
Jushan Bai and
Zhihong Chen Testing multivariate distributions in
GARCH models . . . . . . . . . . . . . . 19--36
Miguel A. Delgado and
Winfried Stute Distribution-free specification tests of
conditional models . . . . . . . . . . . 37--55
Holger Dette and
Mark Podolskij Testing the parametric form of the
volatility in continuous time diffusion
models --- a stochastic process approach 56--73
J. Carlos Escanciano Joint and marginal specification tests
for conditional mean and variance models 74--87
John H. J. Einmahl and
Ingrid Van Keilegom Specification tests in nonparametric
regression . . . . . . . . . . . . . . . 88--102
Pascal Lavergne and
Valentin Patilea Breaking the curse of dimensionality in
nonparametric testing . . . . . . . . . 103--122
Jiti Gao and
Ir\`ene Gijbels and
Sébastien Van Bellegem Nonparametric simultaneous testing for
structural breaks . . . . . . . . . . . 123--142
J. Hidalgo Specification testing for regression
models with dependent data . . . . . . . 143--165
Ricardo Cao and
Wenceslao González-Manteiga Goodness-of-fit tests for conditional
models under censoring and truncation 166--190
Juan Mora and
Ana I. Moro-Egido On specification testing of ordered
discrete choice models . . . . . . . . . 191--205
P. M. Robinson Diagnostic testing for cointegration . . 206--225
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Gongmeng Chen and
Yoon K. Choi and
Yong Zhou Detections of changes in return by a
wavelet smoother with conditional
heteroscedastic volatility . . . . . . . 227--262
Chang-Jin Kim and
Jeremy Piger and
Richard Startz Estimation of Markov regime-switching
regression models with endogenous
switching . . . . . . . . . . . . . . . 263--273
Sonia Bhalotra and
Arthur van Soest Birth-spacing, fertility and neonatal
mortality in India: Dynamics, frailty,
and fecundity . . . . . . . . . . . . . 274--290
Anastasios Panagiotelis and
Michael Smith Bayesian identification, selection and
estimation of semiparametric functions
in high-dimensional additive models . . 291--316
Carlos Martins-Filho and
Feng Yao A smooth nonparametric conditional
quantile frontier estimator . . . . . . 317--333
Murat K. Munkin and
Pravin K. Trivedi Bayesian analysis of the ordered probit
model with endogenous selection . . . . 334--348
Federico M. Bandi and
Beno\^\it Perron Long-run risk-return trade-offs . . . . 349--374
Eric Jondeau and
Hervé Le Bihan Examining bias in estimators of linear
rational expectations models under
misspecification . . . . . . . . . . . . 375--395
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Erratum to ``A simple, robust and
powerful test of the trend hypothesis''
[Journal of Econometrics \bf 141(2)
(2007) 1302--1330] . . . . . . . . . . . 396--397
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 227--398 (April 2008) . . . . . . ??
Yacine Ai\"t-Sahalia and
Per A. Mykland An analysis of Hansen-Scheinkman moment
estimators for discretely and randomly
sampled diffusions . . . . . . . . . . . 1--26
Yingyao Hu Identification and estimation of
nonlinear models with misclassification
error using instrumental variables: A
general solution . . . . . . . . . . . . 27--61
Florian Heiss and
Viktor Winschel Likelihood approximation by numerical
integration on sparse grids . . . . . . 62--80
Francesca Molinari Partial identification of probability
distributions with misclassified data 81--117
Sung Jae Jun Weak identification robust tests in an
instrumental quantile model . . . . . . 118--138
Mariano Matilla-García and
Manuel Ruiz Marín A non-parametric independence test using
permutation entropy . . . . . . . . . . 139--155
Michael Chernew and
Gautam Gowrisankaran and
Dennis P. Scanlon Learning and the value of information:
Evidence from health plan report cards 156--174
Raffaella Giacomini and
Andreas Gottschling and
Christian Haefke and
Halbert White Mixtures of $t$-distributions for
finance and forecasting . . . . . . . . 175--192
Liangjun Su and
Aman Ullah Local polynomial estimation of
nonparametric simultaneous equations
models . . . . . . . . . . . . . . . . . 193--218
Kyung So Im and
Peter Schmidt More efficient estimation under
non-normality when higher moments do not
depend on the regressors, using residual
augmented least squares . . . . . . . . 219--233
Tim Bollerslev and
Tzuo Hann Law and
George Tauchen Risk, jumps, and diversification . . . . 234--256
Daniel J. Henderson and
Raymond J. Carroll and
Qi Li Nonparametric estimation and testing of
fixed effects panel data models . . . . 257--275
Timothy G. Conley and
Christian B. Hansen and
Robert E. McCulloch and
Peter E. Rossi A semi-parametric Bayesian approach to
the instrumental variable problem . . . 276--305
Nicholas Oulton Chain indices of the cost-of-living and
the path-dependence problem: An
empirical solution . . . . . . . . . . . 306--324
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--324 (May 2008) . . . . . . . . ??
Kajal Lahiri and
Xuguang Sheng Evolution of forecast disagreement in a
Bayesian learning model . . . . . . . . 325--340
Anup Malani Patient enrollment in medical trials:
Selection bias in a randomized
experiment . . . . . . . . . . . . . . . 341--351
George J. Jiang and
Roel C. A. Oomen Testing for jumps when asset prices are
observed with noise --- a ``swap
variance'' approach . . . . . . . . . . 352--370
Jerry Hausman and
Guido Kuersteiner Difference in difference meets
generalized least squares: Higher order
properties of hypotheses tests . . . . . 371--391
Dennis Kristensen Estimation of partial differential
equations with applications in finance 392--408
Myungsup Kim and
Peter Schmidt Valid tests of whether technical
inefficiency depends on firm
characteristics . . . . . . . . . . . . 409--427
Adrian Pizzinga and
Cristiano Fernandes and
Sergio Contreras Restricted Kalman filtering revisited 428--429
Debopam Bhattacharya Inference in panel data models under
attrition caused by unobservables . . . 430--446
Hugo Kruiniger Maximum likelihood estimation and
inference methods for the covariance
stationary panel $ {\rm AR}(1) $/unit
root model . . . . . . . . . . . . . . . 447--464
Siddhartha Chib and
Liana Jacobi Analysis of treatment response data from
eligibility designs . . . . . . . . . . 465--478
Daniel S. Hamermesh and
Stephen G. Donald The effect of college curriculum on
earnings: An affinity identifier for
non-ignorable non-response bias . . . . 479--491
Sokbae Lee and
Myung Hwan Seo Semiparametric estimation of a binary
response model with a change-point due
to a covariate threshold . . . . . . . . 492--499
Valentina Corradi and
Emma M. Iglesias Bootstrap refinements for QML estimators
of the GARCH(1,1) parameters . . . . . . 500--510
Mehmet Caner Nearly-singular design in GMM and
generalized empirical likelihood
estimators . . . . . . . . . . . . . . . 511--523
Marcus J. Chambers Corrigendum to: ``Testing for unit roots
with flow data and varying sampling
frequency'' [J. Econom. \bf 119(1)
(2004) 1--18] . . . . . . . . . . . . . 524--525
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 325--528 (June 2008) . . . . . . . ??
Robin C. Sickles and
Jennifer Williams Special issue editors' introduction: The
use of econometrics in informing public
policy makers . . . . . . . . . . . . . 1--3
Kajal Lahiri and
Jae Song and
Bernard Wixon A model of Social Security Disability
Insurance using matched
SIPP/Administrative data . . . . . . . . 4--20
Wilbert van der Klaauw and
Kenneth I. Wolpin Social security and the retirement and
savings behavior of low-income
households . . . . . . . . . . . . . . . 21--42
Matthew Dey and
Christopher Flinn Household search and health insurance
coverage . . . . . . . . . . . . . . . . 43--63
Habiba Djebbari and
Jeffrey Smith Heterogeneous impacts in PROGRESA . . . 64--80
Denise Doiron and
Tue Gòrgens State dependence in youth labor market
experiences, and the evaluation of
policy interventions . . . . . . . . . . 81--97
Cheng Hsiao and
Yan Shen and
Boqing Wang and
Greg Weeks Evaluating the effectiveness of
Washington state repeated job search
services on the employment rate of
prime-age female welfare recipients . . 98--108
Martin Browning and
Thomas F. Crossley The long-run cost of job loss as
measured by consumption changes . . . . 109--120
Leslie E. Papke and
Jeffrey M. Wooldridge Panel data methods for fractional
response variables with an application
to test pass rates . . . . . . . . . . . 121--133
Daniel L. Millimet and
Trevor Collier Efficiency in public schools: Does
competition matter? . . . . . . . . . . 134--157
Robin C. Sickles and
Jenny Williams Turning from crime: A dynamic
perspective . . . . . . . . . . . . . . 158--173
W. Erwin Diewert and
Kevin J. Fox On the estimation of returns to scale,
technical progress and monopolistic
markups . . . . . . . . . . . . . . . . 174--193
Badi H. Baltagi and
Peter Egger and
Michael Pfaffermayr Estimating regional trade agreement
effects on FDI in an interdependent
world . . . . . . . . . . . . . . . . . 194--208
David C. Wheelock and
Paul W. Wilson Non-parametric, unconditional quantile
estimation for efficiency analysis with
an application to Federal Reserve check
processing operations . . . . . . . . . 209--225
Seung-Hyun Hong and
Frank A. Wolak Relative prices and electronic
substitution: Changes in household-level
demand for postal delivery services from
1986 to 2004 . . . . . . . . . . . . . . 226--242
Sungjin Cho and
John Rust Is econometrics useful for private
policy making? A case study of
replacement policy at an auto rental
company . . . . . . . . . . . . . . . . 243--257
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Bram van Dijk and
Richard Paap Explaining individual response using
aggregated data . . . . . . . . . . . . 1--9
Enrique Sentana and
Giorgio Calzolari and
Gabriele Fiorentini Indirect estimation of large
conditionally heteroskedastic factor
models, with an application to the Dow
30 stocks . . . . . . . . . . . . . . . 10--25
Emanuel Moench Forecasting the yield curve in a
data-rich environment: A no-arbitrage
factor-augmented VAR approach . . . . . 26--43
Ai-ru (Meg) Cheng and
A. Ronald Gallant and
Chuanshu Ji and
Beom S. Lee A Gaussian approximation scheme for
computation of option prices in
stochastic volatility models . . . . . . 44--58
Mohitosh Kejriwal and
Pierre Perron The limit distribution of the estimates
in cointegrated regression models with
multiple structural changes . . . . . . 59--73
David McAdams Partial identification and testable
restrictions in multi-unit auctions . . 74--85
Kostas Florios and
Spyros Skouras Exact computation of max weighted score
estimators . . . . . . . . . . . . . . . 86--91
Hiroyuki Kasahara and
Katsumi Shimotsu Pseudo-likelihood estimation and
bootstrap inference for structural
discrete Markov decision models . . . . 92--106
Adam M. Rosen Confidence sets for partially identified
parameters that satisfy a finite number
of moment inequalities . . . . . . . . . 107--117
Jihai Yu and
Robert de Jong and
Lung-fei Lee Quasi-maximum likelihood estimators for
spatial dynamic panel data with fixed
effects when both n and T are large . . 118--134
Takashi Yamagata A joint serial correlation test for
linear panel data models . . . . . . . . 135--145
Nikolay Gospodinov Asymptotic and bootstrap tests for
linearity in a TAR-GARCH(1,1) model with
a unit root . . . . . . . . . . . . . . 146--161
Russell Davidson and
Emmanuel Flachaire The wild bootstrap, tamed at last . . . 162--169
Zhongjun Qu Testing for structural change in
regression quantiles . . . . . . . . . . 170--184
Byeong U. Park and
Léopold Simar and
Valentin Zelenyuk Local likelihood estimation of truncated
regression and its partial derivatives:
Theory and application . . . . . . . . . 185--198
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--198 (September 2008) . . . . . ??
Timothy Cogley and
Steven N. Durlauf and
James M. Nason Introduction: \booktitleJournal of
Econometrics special issue honoring the
research contributions of Charles R.
Nelson . . . . . . . . . . . . . . . . . 199--201
Charles R. Nelson The Beveridge--Nelson decomposition in
retrospect and prospect . . . . . . . . 202--206
Kum Hwa Oh and
Eric Zivot and
Drew Creal The relationship between the
Beveridge--Nelson decomposition and
other permanent-transitory
decompositions that are popular in
economics . . . . . . . . . . . . . . . 207--219
James Morley and
Jeremy Piger Trend/cycle decomposition of
regime-switching processes . . . . . . . 220--226
Chang-Jin Kim Markov-switching and the
Beveridge--Nelson decomposition: Has US
output persistence changed since 1984? 227--240
Donald W. K. Andrews and
Marcelo J. Moreira and
James H. Stock Efficient two-sided nonsimilar invariant
tests in IV regression with weak
instruments . . . . . . . . . . . . . . 241--254
Christopher A. Sims and
Daniel F. Waggoner and
Tao Zha Methods for inference in large
multiple-equation Markov-switching
models . . . . . . . . . . . . . . . . . 255--274
Heejoon Han and
Joon Y. Park Time series properties of ARCH processes
with persistent covariates . . . . . . . 275--292
Jon Faust and
Jonathan H. Wright Efficient forecast tests for conditional
policy forecasts . . . . . . . . . . . . 293--303
Jushan Bai and
Serena Ng Forecasting economic time series using
targeted predictors . . . . . . . . . . 304--317
Christine De Mol and
Domenico Giannone and
Lucrezia Reichlin Forecasting using a large number of
predictors: Is Bayesian shrinkage a
valid alternative to principal
components? . . . . . . . . . . . . . . 318--328
Jonathan H. Wright Bayesian Model Averaging and exchange
rate forecasts . . . . . . . . . . . . . 329--341
Bruce E. Hansen Least-squares forecast averaging . . . . 342--350
Francis X. Diebold and
Canlin Li and
Vivian Z. Yue Global yield curve dynamics and
interactions: a dynamic Nelson--Siegel
approach . . . . . . . . . . . . . . . . 351--363
Elena Andreou and
Eric Ghysels Quality control for structural credit
risk models . . . . . . . . . . . . . . 364--375
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Jiti Gao and
Michael McAleer and
David E. Allen Econometric modelling in finance and
risk management: An overview . . . . . . 1--4
P. M. Robinson Correlation testing in time series,
spatial and cross-sectional data . . . . 5--16
Yacine A\"\it-Sahalia and
Loriano Mancini Out of sample forecasts of quadratic
variation . . . . . . . . . . . . . . . 17--33
Federico M. Bandi and
Jeffrey R. Russell and
Chen Yang Realized volatility forecasting and
option pricing . . . . . . . . . . . . . 34--46
Ilze Kalnina and
Oliver Linton Estimating quadratic variation
consistently in the presence of
endogenous and diurnal measurement error 47--59
Richard T. Baillie and
George Kapetanios Nonlinear models for strongly dependent
processes with financial applications 60--71
Isabel Casas and
Jiti Gao Econometric estimation in long-range
dependent volatility models: Theory and
practice . . . . . . . . . . . . . . . . 72--83
Giuseppe Cavaliere and
A. M. Robert Taylor Testing for a change in persistence in
the presence of non-stationary
volatility . . . . . . . . . . . . . . . 84--98
Offer Lieberman and
Peter C. B. Phillips A complete asymptotic series for the
autocovariance function of a long memory
process . . . . . . . . . . . . . . . . 99--103
Michael McAleer and
Marcelo C. Medeiros A multiple regime smooth transition
Heterogeneous Autoregressive model for
long memory and asymmetries . . . . . . 104--119
Zongwu Cai and
Xian Wang Nonparametric estimation of conditional
VaR and expected shortfall . . . . . . . 120--130
Jiti Gao and
Isabel Casas Specification testing in discretized
diffusion models: Theory and practice 131--140
Dennis W. Jansen and
Qi Li and
Zijun Wang and
Jian Yang Fiscal policy and asset markets: A
semiparametric analysis . . . . . . . . 141--150
Wolfgang Polonik and
Qiwei Yao Testing for multivariate volatility
functions using minimum volume sets and
inverse regression . . . . . . . . . . . 151--162
David Allen and
Felix Chan and
Michael McAleer and
Shelton Peiris Finite sample properties of the QMLE for
the Log-ACD model: Application to
Australian stocks . . . . . . . . . . . 163--185
Jianqing Fan and
Yingying Fan and
Jinchi Lv High dimensional covariance matrix
estimation using a factor model . . . . 186--197
C. Gourieroux and
J. Jasiak Dynamic quantile models . . . . . . . . 198--205
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Daniel Slottje Estimating demand systems and measuring
consumer preferences . . . . . . . . . . 207--209
William A. Barnett and
Apostolos Serletis Consumer preferences and demand systems 210--224
R. L. Basmann Chamberlin's strategy of multiple
working hypotheses and a relative
frequency theory of market demand . . . 225--231
Martin Burda and
Matthew Harding and
Jerry Hausman A Bayesian mixed logit-probit model for
multinomial choice . . . . . . . . . . . 232--246
Jiawei Chen and
Susanna Esteban and
Matthew Shum Demand and supply estimation biases due
to omission of durability . . . . . . . 247--257
Laurens Cherchye and
Bram De Rock and
Jeroen Sabbe and
Frederic Vermeulen Nonparametric tests of collectively
rational consumption behavior: An
integer programming procedure . . . . . 258--265
Rolf Färe and
Shawna Grosskopf and
Kathy J. Hayes and
Dimitris Margaritis Estimating demand with distance
functions: Parameterization in the
primal and dual . . . . . . . . . . . . 266--274
Adrian R. Fleissig and
Gerald A. Whitney A nonparametric test of weak
separability and consumer preferences 275--281
Joseph A. Herriges and
Daniel J. Phaneuf and
Justin L. Tobias Estimating demand systems when outcomes
are correlated counts . . . . . . . . . 282--298
J. G. Hirschberg and
J. N. Lye and
D. J. Slottje Inferential methods for elasticity
estimates . . . . . . . . . . . . . . . 299--315
Stefan Hoderlein and
Sonya Mihaleva Increasing the price variation in a
repeated cross section . . . . . . . . . 316--325
Dale W. Jorgenson and
Daniel T. Slesnick Consumption and labor supply . . . . . . 326--335
Jeffrey T. LaFrance The structure of US food demand . . . . 336--349
Arthur Lewbel and
Krishna Pendakur Estimation of collective household
models with Engel curves . . . . . . . . 350--358
Michael McAleer and
Marcelo C. Medeiros and
Daniel Slottje A neural network demand system with
heteroskedastic errors . . . . . . . . . 359--371
Marcelo C. Medeiros and
Michael McAleer and
Daniel Slottje and
Vicente Ramos and
Javier Rey-Maquieira An alternative approach to estimating
demand: Neural network regression with
conditional volatility for high
frequency air passenger arrivals . . . . 372--383
Daniel L. Millimet and
Rusty Tchernis Estimating high-dimensional demand
systems in the presence of many binding
non-negativity constraints . . . . . . . 384--395
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Announcement . . . . . . . . . . . . . . v--x
Dukpa Kim and
Pierre Perron Unit root tests allowing for a break in
the trend function at an unknown time
under both the null and alternative
hypotheses . . . . . . . . . . . . . . . 1--13
Ted Juhl and
Zhijie Xiao Tests for changing mean with monotonic
power . . . . . . . . . . . . . . . . . 14--24
Gianluca Cubadda and
Alain Hecq and
Franz C. Palm Studying co-movements in large
multivariate data prior to multivariate
modelling . . . . . . . . . . . . . . . 25--35
Wei Siang Wang and
Peter Schmidt On the distribution of estimated
technical efficiency in stochastic
frontier models . . . . . . . . . . . . 36--45
Chang-Jin Kim Markov-switching models with endogenous
explanatory variables II: A two-step MLE
procedure . . . . . . . . . . . . . . . 46--55
Áureo de Paula Inference in a synchronization game with
social interactions . . . . . . . . . . 56--71
Franc J. G. M. Klaassen and
Jan R. Magnus The efficiency of top agents: An
analysis through service strategy in
tennis . . . . . . . . . . . . . . . . . 72--85
Dongming Zhu and
Victoria Zinde-Walsh Properties and estimation of asymmetric
exponential power distribution . . . . . 86--99
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--100 (January 2009) . . . . . . ??
Zongwu Cai and
Qi Li and
Joon Y. Park Functional-coefficient models for
nonstationary time series data . . . . . 101--113
Tong Li Simulation based selection of competing
structural econometric models . . . . . 114--123
Steve Lawford and
Michalis P. Stamatogiannis The finite-sample effects of VAR
dimensions on OLS bias, OLS variance,
and minimum MSE estimators . . . . . . . 124--130
Viktor Todorov Estimation of continuous-time stochastic
volatility models with jumps using
high-frequency data . . . . . . . . . . 131--148
Vasilis Sarafidis and
Takashi Yamagata and
Donald Robertson A test of cross section dependence for a
linear dynamic panel model with
regressors . . . . . . . . . . . . . . . 149--161
Jessica A. Wachter and
Missaka Warusawitharana Predictable returns and asset
allocation: Should a skeptical investor
time the market? . . . . . . . . . . . . 162--178
Takeshi Amemiya Thirty-five years of journal of
econometrics . . . . . . . . . . . . . . 179--185
Qi Li and
Esfandiar Maasoumi and
Jeffrey S. Racine A nonparametric test for equality of
distributions with mixed categorical and
continuous data . . . . . . . . . . . . 186--200
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 101--200 (February 2009) . . . . . ??
Cheng Hsiao Announcement of the establishment of the
Amemiya lecture series . . . . . . . . . 1--1
Siem Jan Koopman and
Neil Shephard and
Drew Creal Testing the assumptions behind
importance sampling . . . . . . . . . . 2--11
Stéphane Bonhomme and
Jean-Marc Robin Consistent noisy independent component
analysis . . . . . . . . . . . . . . . . 12--25
Dukpa Kim and
Pierre Perron Assessing the relative power of
structural break tests using a framework
based on the approximate Bahadur slope 26--51
Marcelo J. Moreira and
Jack R. Porter and
Gustavo A. Suarez Bootstrap validity for the score test
when instruments may be weak . . . . . . 52--64
Cheng Yong Tang and
Song Xi Chen Parameter estimation and bias correction
for diffusion processes . . . . . . . . 65--81
Jushan Bai and
Chihwa Kao and
Serena Ng Panel cointegration with global
stochastic trends . . . . . . . . . . . 82--99
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--100 (April 2009) . . . . . . . ??
Moulinath Banerjee and
Debasri Mukherjee and
Santosh Mishra Semiparametric binary regression models
under shape constraints with an
application to Indian schooling data . . 101--117
Eiji Kurozumi and
Kazuhiko Hayakawa Asymptotic properties of the efficient
estimators for cointegrating regression
models with serially dependent errors 118--135
Renna Jiang and
Puneet Manchanda and
Peter E. Rossi Bayesian analysis of random coefficient
logit models using aggregate data . . . 136--148
Frank Kleibergen Tests of risk premia in linear factor
models . . . . . . . . . . . . . . . . . 149--173
Alexander Aue and
Lajos Horváth and
Matthew L. Reimherr Delay times of sequential procedures for
multiple time series regression models 174--190
Pedro Carneiro and
Sokbae Lee Estimating distributions of potential
outcomes using local instrumental
variables with an application to changes
in college enrollment and wage
inequality . . . . . . . . . . . . . . . 191--208
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 101--208 (April 2009) . . . . . . ??
Wolfgang Härdle and
Zdenek Hlávka Dynamics of state price densities . . . 1--15
Christian Schluter and
Kees Jan van Garderen Edgeworth expansions and normalizing
transforms for inequality measures . . . 16--29
Russell Davidson Reliable inference for the Gini index 30--40
Yann Bramoullé and
Habiba Djebbari and
Bernard Fortin Identification of peer effects through
social networks . . . . . . . . . . . . 41--55
Karim M. Abadir and
Walter Distaso and
Liudas Giraitis Two estimators of the long-run variance:
Beyond short memory . . . . . . . . . . 56--70
Iván Fernández-Val Fixed effects estimation of structural
parameters and marginal effects in panel
probit models . . . . . . . . . . . . . 71--85
Nazgul Jenish and
Ingmar R. Prucha Central limit theorems and uniform laws
of large numbers for arrays of random
fields . . . . . . . . . . . . . . . . . 86--98
Agostino Consolo and
Carlo A. Favero and
Alessia Paccagnini On the statistical identification of
DSGE models . . . . . . . . . . . . . . 99--115
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--116 (May 2009) . . . . . . . . ??
Chung-Ming Kuan and
Yongmiao Hong Guest editors' introduction . . . . . . 117--118
Valentina Corradi and
Walter Distaso and
Norman R. Swanson Predictive density estimators for daily
volatility based on the use of realized
measures . . . . . . . . . . . . . . . . 119--138
Peter C. B. Phillips and
Jun Yu A two-stage realized volatility approach
to estimation of diffusion processes
with discrete data . . . . . . . . . . . 139--150
Tim Bollerslev and
Uta Kretschmer and
Christian Pigorsch and
George Tauchen A discrete-time model for daily S and
P500 returns and realized variations:
Jumps and leverage effects . . . . . . . 151--166
C. Gourieroux and
J. Jasiak and
R. Sufana The Wishart Autoregressive process of
multivariate stochastic volatility . . . 167--181
Manabu Asai and
Michael McAleer The structure of dynamic correlations in
multivariate stochastic volatility
models . . . . . . . . . . . . . . . . . 182--192
Jean-Marie Dufour and
Pascale Valéry Exact and asymptotic tests for possibly
non-regular hypotheses on stochastic
volatility models . . . . . . . . . . . 193--206
Tae-Hwy Lee and
Xiangdong Long Copula-based multivariate GARCH model
with uncorrelated dependent errors . . . 207--218
Sung Y. Park and
Anil K. Bera Maximum entropy autoregressive
conditional heteroskedasticity model . . 219--230
Yoosoon Chang and
J. Isaac Miller and
Joon Y. Park Extracting a common stochastic trend:
Theory with some applications . . . . . 231--247
Zhijie Xiao Quantile cointegrating regression . . . 248--260
Chung-Ming Kuan and
Jin-Huei Yeh and
Yu-Chin Hsu Assessing value at risk with CARE, the
Conditional Autoregressive Expectile
models . . . . . . . . . . . . . . . . . 261--270
Yongmiao Hong and
Yanhui Liu and
Shouyang Wang Granger causality in risk and detection
of extreme risk spillover between
financial markets . . . . . . . . . . . 271--287
Jin-Chuan Duan and
Andras Fulop Estimating the structural credit risk
model when equity prices are
contaminated by trading noises . . . . . 288--296
Massimo Guidolin and
Allan Timmermann Forecasts of US short-term interest
rates: A flexible forecast combination
approach . . . . . . . . . . . . . . . . 297--311
Sainan Jin Discrete choice modeling with
nonstationary panels applied to exchange
rate regime choice . . . . . . . . . . . 312--321
Bruce N. Lehmann The role of beliefs in inference for
rational expectations models . . . . . . 322--331
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Ryo Okui The optimal choice of moments in dynamic
panel data models . . . . . . . . . . . 1--16
Paul J. Devereux and
Gautam Tripathi Optimally combining censored and
uncensored datasets . . . . . . . . . . 17--32
Azeem M. Shaikh and
Marianne Simonsen and
Edward J. Vytlacil and
Nese Yildiz A specification test for the propensity
score using its distribution conditional
on participation . . . . . . . . . . . . 33--46
Artem Prokhorov and
Peter Schmidt GMM redundancy results for general
missing data problems . . . . . . . . . 47--55
Pierre Perron and
Tomoyoshi Yabu Estimating deterministic trends with an
integrated or stationary noise component 56--69
Jörg Stoye Minimax regret treatment choice with
finite samples . . . . . . . . . . . . . 70--81
Sung Jae Jun Local structural quantile effects in a
model with a nonseparable control
variable . . . . . . . . . . . . . . . . 82--97
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--98 (July 2009) . . . . . . . . ??
Miguel A. Delgado Editor's introduction . . . . . . . . . 99--100
Rainer Dahlhaus Local inference for locally stationary
time series based on the empirical
spectral measure . . . . . . . . . . . . 101--112
Javier Hidalgo Goodness of fit for lattice processes 113--128
Yuzo Hosoya and
Takahiro Terasaka Inference on transformed stationary time
series . . . . . . . . . . . . . . . . . 129--139
J. Carlos Escanciano and
Ignacio N. Lobato An automatic Portmanteau test for serial
correlation . . . . . . . . . . . . . . 140--149
Peter C. B. Phillips Long memory and long run variation . . . 150--158
Gilles Faÿ and
Eric Moulines and
François Roueff and
Murad S. Taqqu Estimators of long-memory: Fourier
versus wavelets . . . . . . . . . . . . 159--177
Marco Avarucci and
Carlos Velasco A Wald test for the cointegration rank
in nonstationary fractional systems . . 178--189
Paolo Zaffaroni Whittle estimation of EGARCH and other
exponential volatility models . . . . . 190--200
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Miguel A. Delgado Editor's introduction . . . . . . . . . 1--2
Sung Jae Jun and
Joris Pinkse Semiparametric tests of conditional
moment restrictions under weak or
partial identification . . . . . . . . . 3--18
Donald W. K. Andrews and
Patrik Guggenberger Incorrect asymptotic size of subsampling
procedures based on post-consistent
model selection estimators . . . . . . . 19--27
Stephen G. Donald and
Guido W. Imbens and
Whitney K. Newey Choosing instrumental variables in
conditional moment restriction models 28--36
Andrew Chesher Excess heterogeneity, endogeneity and
index restrictions . . . . . . . . . . . 37--45
Xiaohong Chen and
Demian Pouzo Efficient estimation of semiparametric
conditional moment models with possibly
nonsmooth residuals . . . . . . . . . . 46--60
Echu Liu and
Cheng Hsiao and
Tomoya Matsumoto and
Shinyi Chou Maternal full-time employment and
overweight children: Parametric,
semi-parametric, and non-parametric
assessment . . . . . . . . . . . . . . . 61--69
Oliver Linton and
Alessio Sancetta Consistent estimation of a general
nonparametric regression function in
time series . . . . . . . . . . . . . . 70--78
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Luiz Renato Lima and
Marcelo Moreira and
Jack Porter and
Zhijie Xiao Nonparametric and robust methods in
econometrics . . . . . . . . . . . . . . 79--80
Zhijie Xiao Functional-coefficient cointegration
models . . . . . . . . . . . . . . . . . 81--92
Victor Chernozhukov and
Christian Hansen and
Michael Jansson Finite sample inference for quantile
regression models . . . . . . . . . . . 93--103
Shakeeb Khan and
Elie Tamer Inference on endogenously censored
regression models using conditional
moment inequalities . . . . . . . . . . 104--119
Roger Koenker and
Jungmo Yoon Parametric links for binary choice
models: A Fisherian-Bayesian colloquy 120--130
Marcelo J. Moreira Tests with correct size when instruments
can be arbitrarily weak . . . . . . . . 131--140
Joel L. Horowitz and
Sokbae Lee Testing a parametric quantile-regression
model with an endogenous explanatory
variable against a nonparametric
alternative . . . . . . . . . . . . . . 141--152
João Victor Issler and
Luiz Renato Lima A panel data approach to economic
forecasting: The bias-corrected average
forecast . . . . . . . . . . . . . . . . 153--164
Antonio F. Galvao Unit root quantile autoregression
testing using covariates . . . . . . . . 165--178
Giuliano De Rossi and
Andrew Harvey Quantiles, expectiles and splines . . . 179--185
Alfred Galichon and
Marc Henry A test of non-identifying restrictions
and confidence regions for partially
identified parameters . . . . . . . . . 186--196
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
David Card and
Dean R. Hyslop The dynamic effects of an earnings
subsidy for long-term welfare
recipients: Evidence from the self
sufficiency project applicant experiment 1--20
Xibin Zhang and
Robert D. Brooks and
Maxwell L. King A Bayesian approach to bandwidth
selection for multivariate kernel
regression with an application to
state-price density estimation . . . . . 21--32
Berthold R. Haag and
Stefan Hoderlein and
Krishna Pendakur Testing and imposing Slutsky symmetry in
nonparametric demand systems . . . . . . 33--50
Christoph Rothe Semiparametric estimation of binary
response models with endogenous
regressors . . . . . . . . . . . . . . . 51--64
Ke-Li Xu Empirical likelihood-based inference for
nonparametric recurrent diffusions . . . 65--82
Zhibiao Zhao and
Wei Biao Wu Nonparametric inference of discretely
sampled stable Lévy processes . . . . . . 83--92
Artem Prokhorov and
Peter Schmidt Likelihood-based estimation in a panel
setting: Robustness, redundancy and
validity of copulas . . . . . . . . . . 93--104
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 1--104 (November 2009) . . . . . . ??
Javier Mencía and
Enrique Sentana Multivariate location-scale mixtures of
normals and mean-variance-skewness
portfolio allocation . . . . . . . . . . 105--121
Alessandro Palandri Sequential conditional correlations:
Inference and evaluation . . . . . . . . 122--132
Kazuhiko Hayakawa On the effect of mean-nonstationarity in
dynamic panel data models . . . . . . . 133--135
Hyungsik Roger Moon and
Frank Schorfheide Estimation with overidentifying
inequality moment conditions . . . . . . 136--154
Mattias Villani and
Robert Kohn and
Paolo Giordani Regression density estimation using
smooth adaptive Gaussian mixtures . . . 155--173
Matthias Schmid and
Hans Schneeweiss The effect of microaggregation by
individual ranking on the estimation of
moments . . . . . . . . . . . . . . . . 174--182
Guillaume R. Fréchette Learning in a multilateral bargaining
experiment . . . . . . . . . . . . . . . 183--195
Olaf Posch Structural estimation of jump-diffusion
processes in macroeconomics . . . . . . 196--210
Anonymous Editorial Board . . . . . . . . . . . . ifc--ifc
Anonymous Pages 105--210 (December 2009) . . . . . ??
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Corrigendum to ``Modified tests for a
change in persistence'' [J. Econom. \bf
134 (2006) 441--469] . . . . . . . . . . 407--407
Hugo Kruiniger Corrigendum to ``Maximum likelihood
estimation and inference methods for the
covariance stationary panel $ {\rm
AR}(1) $ /unit root model'' [J. Econom.
144 (2008) 447--464] . . . . . . . . . . 824--824