Table of contents for issues of Journal of Econometrics

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Volume 75, Number 2, December, 1996
Volume 94, Number 1--2, January, 2000
Volume 95, Number 1, March, 2000
Volume 95, Number 2, April, 2000
Volume 96, Number 1, May, 2000
Volume 96, Number 2, June, 2000
Volume 97, Number 1, July, 2000
Volume 97, Number 2, August, 2000
Volume 98, Number 1, September, 2000
Volume 98, Number 2, October, 2000
Volume 99, Number 1, November, 2000
Volume 99, Number 2, December, 2000
Volume 100, Number 1, January, 2001
Volume 100, Number 2, February, 2001
Volume 101, Number 1, March, 2001
Volume 101, Number 2, April, 2001
Volume 102, Number 1, May, 2001
Volume 102, Number 2, June, 2001
Volume 103, Number 1--2, July, 2001
Volume 104, Number 1, August, 2001
Volume 104, Number 2, September, 2001
Volume 105, Number 1, November, 2001
Volume 105, Number 2, December, 2001
Volume 106, Number 1, January, 2002
Volume 106, Number 2, February, 2002
Volume 107, Number 1--2, March, 2002
Volume 108, Number 1, May, 2002
Volume 108, Number 2, June, 2002
Volume 109, Number 1, July, 2002
Volume 109, Number 2, August, 2002
Volume 110, Number 1, September, 2002
Volume 110, Number 2, October, 2002
Volume 111, Number 1, November, 2002
Volume 111, Number 2, December, 2002
Volume 112, Number 1, January, 2003
Volume 112, Number 2, February, 2003
Volume 113, Number 1, March, 2003
Volume 113, Number 2, April, 2003
Volume 114, Number 1, May, 2003
Volume 114, Number 2, June, 2003
Volume 115, Number 1, July, 2003
Volume 115, Number 2, August, 2003
Volume 116, Number 1--2, September, 2003
Volume 117, Number 1, November, 2003
Volume 117, Number 2, December, 2003
Volume 118, Number 1--2, January, 2004
Volume 119, Number 1, March, 2004
Volume 119, Number 2, April, 2004
Volume 120, Number 1, May, 2004
Volume 120, Number 2, June, 2004
Volume 121, Number 1--2, July, 2004
Volume 122, Number 1, September, 2004
Volume 122, Number 2, October, 2004
Volume 123, Number 1, November, 2004
Volume 123, Number 2, December, 2004
Volume 124, Number 1, January, 2005
Volume 124, Number 2, February, 2005
Volume 125, Number 1--2, March, 2005
Volume 126, Number 1, May, 2005
Volume 126, Number 2, June, 2005
Volume 127, Number 1, July, 2005
Volume 127, Number 2, August, 2005
Volume 128, Number 1, September, 2005
Volume 128, Number 2, October, 2005
Volume 129, Number 1--2, November, 2005
Volume 130, Number 1, January, 2006
Volume 130, Number 2, February, 2006
Volume 131, Number 1--2, March / April, 2006
Volume 132, Number 1, May, 2006
Volume 132, Number 2, June, 2006
Volume 133, Number 1, July, 2006
Volume 133, Number 2, August, 2006
Volume 134, Number 1, September, 2006
Volume 134, Number 2, October, 2006
Volume 135, Number 1--2, November / December, 2006
Volume 136, Number 1, January, 2007
Volume 136, Number 2, February, 2007
Volume 137, Number 1, March, 2007
Volume 137, Number 2, April, 2007
Volume 138, Number 1, May, 2007
Volume 138, Number 2, June, 2007
Volume 139, Number 1, July, 2007
Volume 139, Number 2, August, 2007
Volume 140, Number 1, September, 2007
Volume 140, Number 2, October, 2007
Volume 141, Number 1, November, 2007
Volume 141, Number 2, December, 2007
Volume 142, Number 1, January, 2008
Volume 142, Number 2, February, 2008
Volume 143, Number 1, March, 2008
Volume 143, Number 2, April, 2008
Volume 144, Number 1, May, 2008
Volume 144, Number 2, June, 2008
Volume 145, Number 1--2, July, 2008
Volume 146, Number 1, September, 2008
Volume 146, Number 2, October, 2008
Volume 147, Number 1, November, 2008
Volume 147, Number 2, December, 2008
Volume 148, Number 1, January, 2009
Volume 148, Number 2, February, 2009
Volume 149, Number 1, April, 2009
Volume 149, Number 2, April, 2009
Volume 150, Number 1, May, 2009
Volume 150, Number 2, June, 2009
Volume 151, Number 1, July, 2009
Volume 151, Number 2, August, 2009
Volume 152, Number 1, September, 2009
Volume 152, Number 2, October, 2009
Volume 153, Number 1, November, 2009
Volume 153, Number 2, December, 2009
Volume 168, Number 2, June, 2012
Volume 178, Number 2, February, 2014


Journal of Econometrics
Volume 75, Number 2, December, 1996

              Paul Rilstone and   
           V. K. Srivastava and   
                     Aman Ullah   The second-order bias and mean squared
                                  error of nonlinear estimators  . . . . . 369--395


Journal of Econometrics
Volume 94, Number 1--2, January, 2000

                      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)  . . . . . . ??


Journal of Econometrics
Volume 95, Number 1, March, 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)  . . . . . . . ??

Journal of Econometrics
Volume 95, Number 2, April, 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)  . . . . . . ??


Journal of Econometrics
Volume 96, Number 1, May, 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)  . . . . . . . . ??

Journal of Econometrics
Volume 96, Number 2, June, 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) . . . . . . . ??


Journal of Econometrics
Volume 97, Number 1, July, 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) . . . . . . . . ??

Journal of Econometrics
Volume 97, Number 2, August, 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) . . . . . . ??


Journal of Econometrics
Volume 98, Number 1, September, 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)  . . . . . ??

Journal of Econometrics
Volume 98, Number 2, October, 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)  . . . . . ??


Journal of Econometrics
Volume 99, Number 1, November, 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) . . . . . . ??

Journal of Econometrics
Volume 99, Number 2, December, 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) . . . . . ??


Journal of Econometrics
Volume 100, Number 1, January, 2001

                       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) . . . . . . . . . . . . . . ??

Journal of Econometrics
Volume 100, Number 2, February, 2001

                   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) . . . . . ??


Journal of Econometrics
Volume 101, Number 1, March, 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)  . . . . . . . ??

Journal of Econometrics
Volume 101, Number 2, April, 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)  . . . . . . ??


Journal of Econometrics
Volume 102, Number 1, May, 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)  . . . . . . . . ??

Journal of Econometrics
Volume 102, Number 2, June, 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) . . . . . . . ??


Journal of Econometrics
Volume 103, Number 1--2, July, 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) . . . . . . . . ??


Journal of Econometrics
Volume 104, Number 1, August, 2001

            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) . . . . . . . ??

Journal of Econometrics
Volume 104, Number 2, September, 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)  . . . . . . . . . . . . . . . . . ??


Journal of Econometrics
Volume 105, Number 1, November, 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

Journal of Econometrics
Volume 105, Number 2, December, 2001

           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) . . . . . ??


Journal of Econometrics
Volume 106, Number 1, January, 2002

           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)  . . . . . . ??

Journal of Econometrics
Volume 106, Number 2, February, 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) ??


Journal of Econometrics
Volume 107, Number 1--2, March, 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


Journal of Econometrics
Volume 108, Number 1, May, 2002

               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)  . . . . . . . . ??

Journal of Econometrics
Volume 108, Number 2, June, 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) . . . . . . . ??


Journal of Econometrics
Volume 109, Number 1, July, 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) . . . ??

Journal of Econometrics
Volume 109, Number 2, August, 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


Journal of Econometrics
Volume 110, Number 1, September, 2002

                        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)  . . . . . ??

Journal of Econometrics
Volume 110, Number 2, October, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc


Journal of Econometrics
Volume 111, Number 1, November, 2002

              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)   ??

Journal of Econometrics
Volume 111, Number 2, December, 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)  . . . . . . . . . . . . . ??


Journal of Econometrics
Volume 112, Number 1, January, 2003

                  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

Journal of Econometrics
Volume 112, Number 2, February, 2003

            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) . . . . . ??


Journal of Econometrics
Volume 113, Number 1, March, 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

Journal of Econometrics
Volume 113, Number 2, April, 2003

      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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages EX1--EX2, 201-400 (April 2003) . . ??


Journal of Econometrics
Volume 114, Number 1, May, 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)  . . . . . . . . ??

Journal of Econometrics
Volume 114, Number 2, June, 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
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                      Anonymous   Pages EX1--EX2, 197--396 (June 2003) . . ??


Journal of Econometrics
Volume 115, Number 1, July, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages EX1--EX2, 1--198 (July 2003) . . . ??

Journal of Econometrics
Volume 115, Number 2, August, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 199--392 (August 2003) . . . . . . ??


Journal of Econometrics
Volume 116, Number 1--2, September, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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Journal of Econometrics
Volume 117, Number 1, November, 2003

                   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
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                      Anonymous   Pages EX1--EX6, 1--206 (November 2003)   ??

Journal of Econometrics
Volume 117, Number 2, December, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 207--406 (December 2003) . . . . . ??


Journal of Econometrics
Volume 118, Number 1--2, January, 2004

  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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Journal of Econometrics
Volume 119, Number 1, March, 2004

             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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages EX1--EX2, 1--222 (March 2004)  . . ??

Journal of Econometrics
Volume 119, Number 2, April, 2004

           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
                      Anonymous   Author index to volume 119 . . . . . . . 435--435
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Journal of Econometrics
Volume 120, Number 1, May, 2004

         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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages EX1--EX2, 1--206 (May 2004)  . . . ??

Journal of Econometrics
Volume 120, Number 2, June, 2004

        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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages EX1--EX2, 207--362 (June 2004) . . ??


Journal of Econometrics
Volume 121, Number 1--2, July, 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
                      Anonymous   IFC: Inside Front Cover Editorial Board  ifc--ifc


Journal of Econometrics
Volume 122, Number 1, September, 2004

                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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--212 (September 2004)  . . . . . ??

Journal of Econometrics
Volume 122, Number 2, October, 2004

            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
                      Anonymous   Author index to volume 122 . . . . . . . 405--405
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 213--406 (October 2004)  . . . . . ??


Journal of Econometrics
Volume 123, Number 1, November, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages EX1--EX2, 1--194 (November 2004)   ??

Journal of Econometrics
Volume 123, Number 2, December, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc


Journal of Econometrics
Volume 124, Number 1, January, 2005

              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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--204 (January 2005)  . . . . . . ??

Journal of Econometrics
Volume 124, Number 2, February, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
                                  Board  . . . . . . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages EX1--EX2, 205--396 (February 2005) ??


Journal of Econometrics
Volume 125, Number 1--2, March, 2005

                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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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Journal of Econometrics
Volume 126, Number 1, May, 2005

       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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 1--232 (May 2005)  . . . . . . . . ??

Journal of Econometrics
Volume 126, Number 2, June, 2005

         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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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Journal of Econometrics
Volume 127, Number 1, July, 2005

                 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 1--130 (July 2005) . . . . . . . . ??

Journal of Econometrics
Volume 127, Number 2, August, 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
                      Anonymous   Author index to volume 127 . . . . . . . 253--253
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 131--254 (August 2005) . . . . . . ??


Journal of Econometrics
Volume 128, Number 1, September, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 1--194 (September 2005)  . . . . . ??

Journal of Econometrics
Volume 128, Number 2, October, 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
                      Anonymous   Author index to volume 128 . . . . . . . 325--325
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 195--326 (October 2005)  . . . . . ??


Journal of Econometrics
Volume 129, Number 1--2, November, 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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Modelling structural breaks  . . . . . . ??


Journal of Econometrics
Volume 130, Number 1, January, 2006

          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
                      Anonymous   IFC --- Inside Front Cover --- Editorial
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                      Anonymous   Pages 1--208 (January 2006)  . . . . . . ??

Journal of Econometrics
Volume 130, Number 2, February, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 209--386 (February 2006) . . . . . ??


Journal of Econometrics
Volume 131, Number 1--2, March / April, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 1--612 (March--April 2006) . . . . ??


Journal of Econometrics
Volume 132, Number 1, May, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2

Journal of Econometrics
Volume 132, Number 2, June, 2006

                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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 305--546 (June 2006) . . . . . . . ??


Journal of Econometrics
Volume 133, Number 1, July, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 1--410 (July 2006) . . . . . . . . ??

Journal of Econometrics
Volume 133, Number 2, August, 2006

          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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 411--888 (August 2006) . . . . . . ??


Journal of Econometrics
Volume 134, Number 1, September, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 1--316 (September 2006)  . . . . . ??

Journal of Econometrics
Volume 134, Number 2, October, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 317--666 (October 2006)  . . . . . ??


Journal of Econometrics
Volume 135, Number 1--2, November / December, 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
                      Anonymous   Editorial Board  . . . . . . . . . . . . CO2
                      Anonymous   Pages 1--568 (November--December 2006)   ??


Journal of Econometrics
Volume 136, Number 1, January, 2007

         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)  . . . . . . ??

Journal of Econometrics
Volume 136, Number 2, February, 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


Journal of Econometrics
Volume 137, Number 1, March, 2007

         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)  . . . . . . . ??

Journal of Econometrics
Volume 137, Number 2, April, 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)  . . . . . . ??


Journal of Econometrics
Volume 138, Number 1, May, 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

Journal of Econometrics
Volume 138, Number 2, June, 2007

                     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  . . ??


Journal of Econometrics
Volume 139, Number 1, July, 2007

             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

Journal of Econometrics
Volume 139, Number 2, August, 2007

                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


Journal of Econometrics
Volume 140, Number 1, September, 2007

            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

Journal of Econometrics
Volume 140, Number 2, October, 2007

                   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)  . . . . . ??


Journal of Econometrics
Volume 141, Number 1, November, 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

Journal of Econometrics
Volume 141, Number 2, December, 2007

            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)  . . . . ??


Journal of Econometrics
Volume 142, Number 1, January, 2008

                   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)  . . . . . . ??

Journal of Econometrics
Volume 142, Number 2, February, 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


Journal of Econometrics
Volume 143, Number 1, March, 2008

              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

Journal of Econometrics
Volume 143, Number 2, April, 2008

              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)  . . . . . . ??


Journal of Econometrics
Volume 144, Number 1, May, 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)  . . . . . . . . ??

Journal of Econometrics
Volume 144, Number 2, June, 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) . . . . . . . ??


Journal of Econometrics
Volume 145, Number 1--2, July, 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


Journal of Econometrics
Volume 146, Number 1, September, 2008

              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)  . . . . . ??

Journal of Econometrics
Volume 146, Number 2, October, 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


Journal of Econometrics
Volume 147, Number 1, November, 2008

                   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

Journal of Econometrics
Volume 147, Number 2, December, 2008

                 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


Journal of Econometrics
Volume 148, Number 1, January, 2009

                      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)  . . . . . . ??

Journal of Econometrics
Volume 148, Number 2, February, 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) . . . . . ??


Journal of Econometrics
Volume 149, Number 1, April, 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)  . . . . . . . ??

Journal of Econometrics
Volume 149, Number 2, 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)  . . . . . . ??


Journal of Econometrics
Volume 150, Number 1, May, 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)  . . . . . . . . ??

Journal of Econometrics
Volume 150, Number 2, June, 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


Journal of Econometrics
Volume 151, Number 1, July, 2009

                       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)  . . . . . . . . ??

Journal of Econometrics
Volume 151, Number 2, August, 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


Journal of Econometrics
Volume 152, Number 1, September, 2009

              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

Journal of Econometrics
Volume 152, Number 2, October, 2009

           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


Journal of Econometrics
Volume 153, Number 1, November, 2009

                 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) . . . . . . ??

Journal of Econometrics
Volume 153, Number 2, December, 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) . . . . . ??


Journal of Econometrics
Volume 168, Number 2, June, 2012

            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


Journal of Econometrics
Volume 178, Number 2, February, 2014

                 Hugo Kruiniger   Corrigendum to ``Maximum likelihood
                                  estimation and inference methods for the
                                  covariance stationary panel $ {\rm
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