Table of contents for issues of Journal of Econometrics

Last update: Wed Nov 8 14:16:51 MST 2023                Valid HTML 3.2!

Volume 43, Number 1--2, January / February, 1990
Volume 43, Number 3, March, 1990
Volume 44, Number 1--2, April / May, 1990
Volume 44, Number 3, June, 1990
Volume 45, Number 1--2, July / August, 1990
Volume 45, Number 3, 1990
Volume 46, Number 1--2, October / November, 1990
Volume 46, Number 3, December, 1990
Volume 47, Number 1, January, 1991
Volume 47, Number 2--3, February 3, 1991
Volume 48, Number 1--2, April / May, 1991
Volume 48, Number 3, June, 1991
Volume 49, Number 1--2, July / August, 1991
Volume 49, Number 3, September, 1991
Volume 50, Number 1--2, October 11, 1991
Volume 50, Number 3, December, 1991
Volume 51, Number 1--2, January / February, 1992
Volume 51, Number 3, March, 1992
Volume 52, Number 1--2, April / May, 1992
Volume 52, Number 3, June, 1992
Volume 53, Number 1--3, July / September, 1992
Volume 54, Number 1--3, October / December, 1992
Volume 55, Number 1--2, January / February, 1993
Volume 56, Number 1--2, March, 1993
Volume 56, Number 3, April, 1993
Volume 57, Number 1--3, May / June, 1993
Volume 58, Number 1--2, July, 1993
Volume 58, Number 3, August, 1993
Volume 59, Number 1--2, September, 1993
Volume 59, Number 3, October, 1993
Volume 60, Number 1--2, January / February, 1994
Volume 61, Number 1, March, 1994
Volume 61, Number 2, April, 1994
Volume 62, Number 1, May, 1994
Volume 62, Number 2, June, 1994
Volume 63, Number 1, July, 1994
Volume 63, Number 2, August, 1994
Volume 64, Number 1--2, September / October, 1994
Volume 65, Number 1, January, 1995
Volume 65, Number 2, February, 1995
Volume 66, Number 1--2, March / April, 1995
Volume 67, Number 1, May, 1995
Volume 67, Number 2, June, 1995
Volume 68, Number 1, July, 1995
Volume 68, Number 2, August, 1995
Volume 69, Number 1, September, 1995
Volume 69, Number 2, October, 1995
Volume 70, Number 1, January, 1996
Volume 70, Number 2, February, 1996
Volume 71, Number 1--2, March / April, 1996
Volume 72, Number 1--2, May / June, 1996
Volume 73, Number 1, July, 1996
Volume 73, Number 2, August, 1996
Volume 74, Number 1, September, 1996
Volume 74, Number 2, October, 1996
Volume 75, Number 1, November, 1996
Volume 75, Number 2, December, 1996
Volume 76, Number 1--2, January / February, 1997
Volume 77, Number 1, March, 1997
Volume 77, Number 2, April, 1997
Volume 78, Number 1, 1997
Volume 78, Number 2, June, 1997
Volume 79, Number 1, July, 1997
Volume 79, Number 2, August, 1997
Volume 80, Number 1, September, 1997
Volume 80, Number 2, October, 1997
Volume 81, Number 1, November, 1997
Volume 81, Number 2, December, 1997
Volume 82, Number 1, 1997
Volume 82, Number 2, February, 1998
Volume 83, Number 1--2, March / April, 1998
Volume 84, Number 1, May, 1998
Volume 84, Number 2, June, 1998
Volume 85, Number 1, July, 1998
Volume 85, Number 2, August, 1998
Volume 86, Number 1, September, 1998
Volume 86, Number 2, October, 1998
Volume 87, Number 1, November, 1998
Volume 87, Number 2, December, 1998
Volume 88, Number 1, January, 1999
Volume 88, Number 2, February, 1999
Volume 89, Number 1--2, November 26, 1998
Volume 90, Number 1, May, 1999
Volume 90, Number 2, June, 1999
Volume 91, Number 1, July, 1999
Volume 91, Number 2, August, 1999
Volume 92, Number 1, September, 1999
Volume 92, Number 2, October, 1999
Volume 93, Number 1, November, 1999
Volume 93, Number 2, December, 1999
Volume 124, Number 1, January, 2005
Volume 154, Number 1, January, 2010
Volume 201, Number 1, November, 2017


Journal of Econometrics
Volume 43, Number 1--2, January / February, 1990

                 Daniel Slottje   Editor's introduction: The state of
                                  empirical work on economic inequality    1--3
         William A. Barnett and   
             Apostolos Serletis   A dispersion-dependency diagnostic test
                                  for aggregation error: With applications
                                  to monetary economics and income
                                  distribution . . . . . . . . . . . . . . 5--34
                  Arthur Lewbel   Income distribution movements and
                                  aggregate money illusion . . . . . . . . 35--42
         Charles A. Diamond and   
            Curtis J. Simon and   
                 John T. Warner   A multinomial probability model of size
                                  income distribution  . . . . . . . . . . 43--61
                John Enberg and   
           Peter Gottschalk and   
                   Douglas Wolf   A random-effects logit model of
                                  work-welfare transitions . . . . . . . . 63--75
              R. L. Basmann and   
                K. J. Hayes and   
              D. J. Slottje and   
                  J. D. Johnson   A general functional form for
                                  approximating the Lorenz curve . . . . . 77--90
                   Camilo Dagum   On the relationship between income
                                  inequality measures and social welfare
                                  functions  . . . . . . . . . . . . . . . 91--102
          Dale W. Jorgenson and   
             Daniel T. Slesnick   Inequality and the standard of living    103--120
         Esfandiar Maasoumi and   
            Sourushe Zandvakili   Generalized entropy measures of mobility
                                  for different sexes and income levels    121--133
             Daniel T. Slesnick   Inflation, relative price variation, and
                                  inequality . . . . . . . . . . . . . . . 135--151
    Bernard M. S. Van Praag and   
                Michael R. Baye   The poverty concept when prices are
                                  income-dependent . . . . . . . . . . . . 153--166
                    John Creedy   Measuring wealth in a simple two-period
                                  model  . . . . . . . . . . . . . . . . . 167--177
                Edward N. Wolff   Methodological issues in the estimation
                                  of the size distribution of household
                                  wealth . . . . . . . . . . . . . . . . . 179--195
            Thomas B. Fomby and   
                 Kathy J. Hayes   An intervention analysis of the war on
                                  poverty: Poverty's persistence and
                                  political-business cycle implications    197--212
                Kathy Hayes and   
              D. J. Slottje and   
         Susan Porter-Hudak and   
                  Gerald Scully   Is the size distribution of income a
                                  random walk? . . . . . . . . . . . . . . 213--226
          James B. McDonald and   
              Richard J. Butler   Regression models for positive random
                                  variables  . . . . . . . . . . . . . . . 227--251
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--251 (January--February 1990)    ??

Journal of Econometrics
Volume 43, Number 3, March, 1990

                      Anonymous   Announcement . . . . . . . . . . . . . . 253--253
                 Ehsan S. Soofi   Effects of collinearity on information
                                  about regression coefficients  . . . . . 255--274
               Julia Campos and   
           Neil R. Ericsson and   
                David F. Hendry   An analogue model of phase-averaging
                                  procedures . . . . . . . . . . . . . . . 275--292
                 Peter C. Reiss   Detecting multiple outliers with an
                                  application to R&D productivity . . . . . 293--315
               Kazumitsu Nawata   Robust estimation based on
                                  grouped-adjusted data in linear
                                  regression models  . . . . . . . . . . . 317--336
               Kazumitsu Nawata   Robust estimation based on
                                  grouped-adjusted data in censored
                                  regression models  . . . . . . . . . . . 337--362
         Walter Krämer and   
                  Helmut Zeisel   Finite sample power of linear regression
                                  autocorrelation tests  . . . . . . . . . 363--372
         Axel Börsch-Supan   On the compatibility of nested logit
                                  models with utility maximization . . . . 373--388
                  Peter Schmidt   Three-stage least squares with different
                                  instruments for different equations  . . 389--394
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 395--395
                      Anonymous   The Classification Society of North
                                  America's 1990 meeting: Logan, Utah,
                                  21--23 June 1990: classification and
                                  clustering: Perspectives and prospects   396--396
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 397--398
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 399--400
                      Anonymous   Pages 253--400 (March 1990)  . . . . . . ??


Journal of Econometrics
Volume 44, Number 1--2, April / May, 1990

               Dennis J. Aigner   Editor's introduction  . . . . . . . . . 1--4
                Cheng Hsiao and   
              Changseob Kim and   
                   Grant Taylor   A statistical perspective on insurance
                                  rate-making  . . . . . . . . . . . . . . 5--24
       Thomas J. Rothenberg and   
                   Paul A. Ruud   Simultaneous equations with covariance
                                  restrictions . . . . . . . . . . . . . . 25--39
          M. Hashem Pesaran and   
               Richard J. Smith   A unified approach to estimation and
                                  orthogonality tests in linear
                                  single-equation econometric models . . . 41--66
             Esfandiar Maasoumi   How to live with misspecification if you
                                  must . . . . . . . . . . . . . . . . . . 67--86
                    Aris Spanos   The simultaneous-equations model
                                  revisited: Statistical adequacy and
                                  identification . . . . . . . . . . . . . 87--105
                Franco Peracchi   Bounded-influence estimators for the
                                  Tobit model  . . . . . . . . . . . . . . 107--126
                Andrew A. Weiss   Least absolute error estimation in the
                                  presence of serial correlation . . . . . 127--158
        Clive W. J. Granger and   
                Harald F. Uhlig   Reasonable extreme-bounds analysis . . . 159--170
               David Brownstone   Bootstrapping improved estimators for
                                  linear regression models . . . . . . . . 171--187
                G. G. Judge and   
             R. Carter Hill and   
                     M. E. Bock   An adaptive empirical Bayes estimator of
                                  the multivariate normal mean under
                                  quadratic loss . . . . . . . . . . . . . 189--213
               S. Hylleberg and   
                R. F. Engle and   
           C. W. J. Granger and   
                      B. S. Yoo   Seasonal integration and cointegration   215--238
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--238 (April--May 1990) . . . . . ??

Journal of Econometrics
Volume 44, Number 3, June, 1990

                      Anonymous   Announcement . . . . . . . . . . . . . . 239--239
          Michael A. Magdalinos   The classical principles of testing
                                  using instrumental variables estimates   241--279
                   Angus Deaton   Price elasticities from survey data:
                                  Extensions and Indonesian results  . . . 281--309
                  Yasuo Amemiya   Two-stage instrumental variables
                                  estimators for the nonlinear
                                  errors-in-variables model  . . . . . . . 311--332
                Kazuhiro Ohtani   On estimating and testing in a linear
                                  regression model with autocorrelated
                                  errors . . . . . . . . . . . . . . . . . 333--346
          Kathleen Segerson and   
                   Dale Squires   On the measurement of economic capacity
                                  utilization for multi-product industries 347--361
             Marcus J. Chambers   Forecasting with demand systems: A
                                  comparative study  . . . . . . . . . . . 363--376
              J. M. Heineke and   
                  H. M. Shefrin   Aggregation and identification in
                                  consumer demand systems  . . . . . . . . 377--390
           Arthur Van Soest and   
                 Peter Kooreman   Coherency of the indirect translog
                                  demand system with binding nonnegativity
                                  constraints  . . . . . . . . . . . . . . 391--400
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Pages 239--401 (June 1990) . . . . . . . ??


Journal of Econometrics
Volume 45, Number 1--2, July / August, 1990

           John Y. Campbell and   
                  Angelo Melino   Editors' introduction  . . . . . . . . . 1--5
               Daniel B. Nelson   ARCH models as diffusion approximations  7--38
              James D. Hamilton   Analysis of time series subject to
                                  changes in regime  . . . . . . . . . . . 39--70
               Bruce N. Lehmann   Residual risk revisited  . . . . . . . . 71--97
                    Jay Shanken   Intertemporal asset pricing: An
                                  Empirical Investigation  . . . . . . . . 99--120
               Eric Ghysels and   
                  Alastair Hall   Are consumption-based intertemporal
                                  capital asset pricing models structural? 121--139
          A. Ronald Gallant and   
          Lars Peter Hansen and   
                 George Tauchen   Using conditional moments of asset
                                  payoffs to infer the volatility of
                                  intertemporal marginal rates of
                                  substitution . . . . . . . . . . . . . . 141--179
               Andrew W. Lo and   
             A. Craig MacKinlay   An econometric analysis of
                                  nonsynchronous trading . . . . . . . . . 181--211
            Robert F. Engle and   
               Victor K. Ng and   
             Michael Rothschild   Asset pricing with a factor-arch
                                  covariance structure: Empirical
                                  estimates for treasury bills . . . . . . 213--237
              Angelo Melino and   
             Stuart M. Turnbull   Pricing foreign currency options with
                                  stochastic volatility  . . . . . . . . . 239--265
            Adrian R. Pagan and   
             G. William Schwert   Alternative models for conditional stock
                                  volatility . . . . . . . . . . . . . . . 267--290
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--290 (July--August 1990) . . . . ??

Journal of Econometrics
Volume 45, Number 3, 1990

                Robert Krol and   
                 Lee E. Ohanian   The impact of stochastic and
                                  deterministic trends on money-output
                                  causality: A multi-country investigation 291--308
              Siu Fai Leung and   
                 Wing Hung Wong   Nonparametric hazard estimation with
                                  time-varying discrete covariates . . . . 309--330
          Jeffrey M. Wooldridge   An encompassing approach to conditional
                                  mean tests with applications to testing
                                  nonnested hypotheses . . . . . . . . . . 331--350
           Dean A. Follmann and   
        Matthew S. Goldberg and   
                     Laurie May   Personal characteristics, unemployment
                                  insurance, and the duration of
                                  unemployment . . . . . . . . . . . . . . 351--366
                Ralph Friedmann   Bounds for exact moments of estimators
                                  in the errors-in-variables model and
                                  simultaneous equations . . . . . . . . . 367--384
         Masahito Kobayashi and   
                Shinichi Sakata   Mallows' $ C_p $ criterion and
                                  unbiasedness of model selection  . . . . 385--395
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 397--397
                      Anonymous   Announcement . . . . . . . . . . . . . . 399--399
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Pages 291--401 (1990)  . . . . . . . . . ??


Journal of Econometrics
Volume 46, Number 1--2, October / November, 1990

                      Anonymous   Editorial board  . . . . . . . . . . . . ii--ii
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 1--1
              Arie Y. Lewin and   
              C. A. Knox Lovell   Editor's introduction  . . . . . . . . . 3--5
        Lawrence M. Seiford and   
               Robert M. Thrall   Recent developments in DEA: The
                                  mathematical programming approach to
                                  frontier analysis  . . . . . . . . . . . 7--38
                  Paul W. Bauer   Recent developments in the econometric
                                  estimation of frontiers  . . . . . . . . 39--56
               Ajay Maindiratta   Largest size-efficient scale and size
                                  efficiencies of decision-making units in
                                  data envelopment analysis  . . . . . . . 57--72
                 A. Charnes and   
               W. W. Cooper and   
                Z. M. Huang and   
                      D. B. Sun   Polyhedral Cone-Ratio DEA Models with an
                                  illustrative application to large
                                  commercial banks . . . . . . . . . . . . 73--91
        Russell G. Thompson and   
        Larry N. Langemeier and   
               Chih-Tah Lee and   
                Euntaik Lee and   
               Robert M. Thrall   The role of multiplier bounds in
                                  efficiency analysis with application to
                                  Kansas farming . . . . . . . . . . . . . 93--108
               Jati K. Sengupta   Transformations in stochastic DEA models 109--123
                  Hal R. Varian   Goodness-of-fit in optimizing models . . 125--140
              William H. Greene   A Gamma-distributed stochastic frontier
                                  model  . . . . . . . . . . . . . . . . . 141--163
            Raymond J. Kopp and   
                   John Mullahy   Moment-based estimation and testing of
                                  stochastic frontier models . . . . . . . 165--183
       Christopher Cornwell and   
              Peter Schmidt and   
               Robin C. Sickles   Production frontiers with
                                  cross-sectional and time-series
                                  variation in efficiency levels . . . . . 185--200
             Subal C. Kumbhakar   Production frontiers, panel data, and
                                  time-varying technical inefficiency  . . 201--211
                Hans Bjurek and   
        Lennart Hjalmarsson and   
                Finn R. Forsund   Deterministic parametric and
                                  nonparametric estimation of efficiency
                                  in service production: A comparison  . . 213--227
            Gary D. Ferrier and   
              C. A. Knox Lovell   Measuring cost efficiency in banking:
                                  Econometric and linear programming
                                  evidence . . . . . . . . . . . . . . . . 229--245
                      Anonymous   Pages 1--245 (October--November 1990)    ??

Journal of Econometrics
Volume 46, Number 3, December, 1990

               Seiji Nabeya and   
                 Katsuto Tanaka   Limiting power of unit-root tests in
                                  time-series regression . . . . . . . . . 247--271
               Eric Ghysels and   
                  Alastair Hall   Testing nonnested Euler conditions with
                                  quadrature-based methods of
                                  approximation  . . . . . . . . . . . . . 273--308
                     Chris Orme   The small-sample performance of the
                                  information-matrix test  . . . . . . . . 309--331
                Theo Nijman and   
                  Marno Verbeek   Estimation of time-dependent parameters
                                  in linear models using cross-sections,
                                  panels, or both  . . . . . . . . . . . . 333--346
           A. Colin Cameron and   
              Pravin K. Trivedi   Regression-based tests for
                                  overdispersion in the Poisson model  . . 347--364
                 William Greene   Multiple roots of the Tobit
                                  log-likelihood . . . . . . . . . . . . . 365--380
                 Denis Lawrence   An adjustment-costs model of export
                                  supply and import demand . . . . . . . . 381--398
         Askar H. Choudhury and   
            Robert D. St. Louis   A note on Park and Heikes' (1983)
                                  modified approximate estimator for the
                                  first-order moving-average process . . . 399--406
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--408
                      Anonymous   Pages 247--408 (December 1990) . . . . . ??


Journal of Econometrics
Volume 47, Number 1, January, 1991

           Grant H. Hillier and   
                Maxwell L. King   Editors' introduction: 40 years of
                                  diagnostic testing . . . . . . . . . . . 1--4
          Jeffrey M. Wooldridge   On the application of robust,
                                  regression-based diagnostics to models
                                  of conditional means and conditional
                                  variances  . . . . . . . . . . . . . . . 5--46
               Grant H. Hillier   On multiple diagnostic procedures for
                                  the linear model . . . . . . . . . . . . 47--66
                 P. M. Robinson   Testing for strong serial correlation
                                  and dynamic conditional
                                  heteroskedasticity in multiple
                                  regression . . . . . . . . . . . . . . . 67--84
       Peter C. B. Phillips and   
                   Mico Loretan   The Durbin--Watson ratio under
                                  infinite-variance errors . . . . . . . . 85--114
          Jean-Marie Dufour and   
                Maxwell L. King   Optimal invariant tests for the
                                  autocorrelation coefficient in linear
                                  regressions with stationary or
                                  nonstationary AR(1) errors . . . . . . . 115--143
            Maxwell L. King and   
                     Ping X. Wu   Small-disturbance asymptotics and the
                                  Durbin--Watson and related tests in the
                                  dynamic regression model . . . . . . . . 145--152
             Andrew Chesher and   
                  Gerard Austin   The finite-sample distributions of
                                  heteroskedasticity robust Wald
                                  statistics . . . . . . . . . . . . . . . 153--173
               Simon Peters and   
               Richard J. Smith   Distributional specification tests
                                  against semiparametric alternatives  . . 175--194
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--194 (January 1991)  . . . . . . ??

Journal of Econometrics
Volume 47, Number 2--3, February 3, 1991

                      Anonymous   Announcement . . . . . . . . . . . . . . 195--195
               Bong-Soo Lee and   
             Beth Fisher Ingram   Simulation estimation of time-series
                                  models . . . . . . . . . . . . . . . . . 197--205
        Mototsugu Fukushige and   
                Michio Hatanaka   Estimation of a regression model on two
                                  or more sets of differently grouped data 207--226
           Robert A. Pollak and   
               Terence J. Wales   The likelihood dominance criterion: A
                                  new approach to model selection  . . . . 227--242
              Joshua D. Angrist   Grouped-data estimation and testing in
                                  simple labor-supply models . . . . . . . 243--266
               J. S. Cramer and   
                      G. Ridder   Pooling states in the multinomial logit
                                  model  . . . . . . . . . . . . . . . . . 267--272
            Joseph P. Gatto and   
          Harry H. Kelejian and   
               Scott W. Stephan   A note concerning specifications of
                                  interactive random-coefficient
                                  regression models  . . . . . . . . . . . 273--284
             Sa\"\id E. Sa\"\id   Unit-roots test for time-series data
                                  with a linear time trend . . . . . . . . 285--303
                   Janne Rayner   Another look at the identification of
                                  current rational-expectations models . . 305--331
       Victoria Zinde-Walsh and   
              John W. Galbraith   Estimation of a linear regression model
                                  with stationary $ {\rm ARMA}(p, q) $
                                  errors . . . . . . . . . . . . . . . . . 333--357
           Donald W. K. Andrews   Asymptotic optimality of generalized $
                                  C_L $, cross-validation, and generalized
                                  cross-validation in regression with
                                  heteroskedastic errors . . . . . . . . . 359--377
             Elie Appelbaum and   
               Joseph Berechman   Demand conditions, regulation, and the
                                  measurement of productivity  . . . . . . 379--400
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 401--402
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 403--403
                      Anonymous   Pages 195--403 (3 February 1991) . . . . ??


Journal of Econometrics
Volume 48, Number 1--2, April / May, 1991

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Frank A. Cowell   Grouping bounds for inequality measures
                                  under alternative informational
                                  assumptions  . . . . . . . . . . . . . . 1--14
              Peter Kennedy and   
                  Daniel Simons   Fighting the teflon factor: Comparing
                                  classical and Bayesian estimators for
                                  autocorrelated errors  . . . . . . . . . 15--27
          Jeffrey M. Wooldridge   Specification testing and
                                  quasi-maximum-likelihood estimation  . . 29--55
       Timothy F. Bresnahan and   
                 Peter C. Reiss   Empirical models of discrete games . . . 57--81
               Mark F. J. Steel   A Bayesian analysis of simultaneous
                                  equation models by combining recursive
                                  analytical and numerical approaches  . . 83--117
                Franco Peracchi   Bounded-influence estimators for the
                                  SURE model . . . . . . . . . . . . . . . 119--134
                Andrew A. Weiss   Multi-step estimation and forecasting in
                                  dynamic models . . . . . . . . . . . . . 135--149
              Brian J. Eastwood   Asymptotic normality and consistency of
                                  semi-nonparametric regression estimators
                                  using an upwards F test truncation rule  151--181
               Jacek Osiewalski   A note on Bayesian inference in a
                                  regression model with elliptical errors  183--193
         William M. Mikhail and   
                   G. A. Ghazal   On a pooled estimator and its
                                  finite-sample moments  . . . . . . . . . 195--214
             Hiroki Tsurumi and   
                    Hajime Wago   Mean squared errors of forecast for
                                  selecting nonnested linear models and
                                  comparison with other criteria . . . . . 215--240
             Robert F. Phillips   A constrained maximum-likelihood
                                  approach to estimating switching
                                  regressions  . . . . . . . . . . . . . . 241--262
                   H. Jayet and   
                      A. Moreau   Analysis of survival data: Estimation
                                  and specification tests using asymptotic
                                  least squares  . . . . . . . . . . . . . 263--285
                      Anonymous   Pages 1--285 (April--May 1991) . . . . . ??

Journal of Econometrics
Volume 48, Number 3, June, 1991

            Pierre Lasserre and   
               Pierre Ouellette   The measurement of productivity and
                                  scarcity rents: The case of asbestos in
                                  Canada . . . . . . . . . . . . . . . . . 287--312
             Casper G. de Vries   On the relation between GARCH and stable
                                  processes  . . . . . . . . . . . . . . . 313--324
          Sastry G. Pantula and   
                  Alastair Hall   Testing for unit roots in autoregressive
                                  moving average models: An instrumental
                                  variable approach  . . . . . . . . . . . 325--353
           Ahmet Özcam and   
                George G. Judge   Some risk results for a two-stage
                                  pre-test estimator in the case of
                                  possible heteroskedasticity  . . . . . . 355--371
               Denise R. Osborn   The implications of periodically varying
                                  coefficients for seasonal time-series
                                  processes  . . . . . . . . . . . . . . . 373--384
            Badi H. Baltagi and   
                          Qi Li   A transformation that will circumvent
                                  the problem of autocorrelation in an
                                  error-component model  . . . . . . . . . 385--393
              C. L. F. Attfield   Estimation and testing when explanatory
                                  variables are endogenous: An application
                                  to a demand system . . . . . . . . . . . 395--408
                 Terrence Kinal   A note on the existence of moments of
                                  $k$-class estimators when $k$ is
                                  negative . . . . . . . . . . . . . . . . 409--410
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 411--411
                      Anonymous   Pages 287--411 (June 1991) . . . . . . . ??


Journal of Econometrics
Volume 49, Number 1--2, July / August, 1991

                Dale J. Poirier   Editor's introduction  . . . . . . . . . 1--4
         William A. Barnett and   
                John Geweke and   
                  Michael Wolfe   Seminonparametric Bayesian estimation of
                                  the asymptotically ideal production
                                  model  . . . . . . . . . . . . . . . . . 5--50
             Robert A. Connolly   A posterior odds analysis of the weekend
                                  effect . . . . . . . . . . . . . . . . . 51--104
                      Gary Koop   Cointegration tests in present value
                                  relationships: A Bayesian look at the
                                  bivariate properties of stock prices and
                                  dividends  . . . . . . . . . . . . . . . 105--139
           Robert McCulloch and   
                 Peter E. Rossi   A Bayesian approach to testing the
                                  arbitrage pricing theory . . . . . . . . 141--168
               Brent R. Moulton   A Bayesian approach to regression
                                  selection and estimation, with
                                  application to a price index for radio
                                  services . . . . . . . . . . . . . . . . 169--193
             Peter Schotman and   
             Herman K. van Dijk   A Bayesian analysis of the unit root in
                                  real exchange rates  . . . . . . . . . . 195--238
           Mark F. J. Steel and   
   Jean-François Richard   Bayesian multivariate exogeneity
                                  analysis: An application to a UK money
                                  demand equation  . . . . . . . . . . . . 239--274
             Arnold Zellner and   
               Chansik Hong and   
                   Chung-ki Min   Forecasting turning points in
                                  international output growth rates using
                                  Bayesian exponentially weighted
                                  autoregression, time-varying parameter,
                                  and pooling techniques . . . . . . . . . 275--304
                      Anonymous   Editorial board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--304 (July--August 1991) . . . . ??

Journal of Econometrics
Volume 49, Number 3, September, 1991

                   Paul A. Ruud   Extensions of estimation methods using
                                  the EM algorithm . . . . . . . . . . . . 305--341
          Subhash C. Sharma and   
              Carmelo Giaccotto   Power and robustness of jackknife and
                                  likelihood-ratio tests for grouped
                                  heteroscedasticity . . . . . . . . . . . 343--372
                Theo Nijman and   
              Marno Verbeek and   
               Arthur van Soest   The efficiency of rotating-panel designs
                                  in an analysis-of-variance model . . . . 373--399
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Announcement . . . . . . . . . . . . . . 403--403
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 405--405
                      Anonymous   Pages 305--405 (September 1991)  . . . . ??


Journal of Econometrics
Volume 50, Number 1--2, October 11, 1991

             Esfandiar Maasoumi   Editor's introduction  . . . . . . . . . 1--5
                  Jan Tinbergen   On the measurement of welfare  . . . . . 7--13
                    Amartya Sen   Welfare, preference and freedom  . . . . 15--29
               Robert A. Pollak   Welfare comparisons and situation
                                  comparisons  . . . . . . . . . . . . . . 31--48
           Richard Blundell and   
                  Arthur Lewbel   The information content of equivalence
                                  scales . . . . . . . . . . . . . . . . . 49--68
        Bernard M. S. van Praag   Ordinal and cardinal utility: An
                                  integration of the two dimensions of the
                                  welfare concept  . . . . . . . . . . . . 69--89
         Susan Porter-Hudak and   
                    Kathy Hayes   A numerical methods approach to
                                  calculating cost-of-living indices . . . 91--105
             Daniel T. Slesnick   Normative index numbers  . . . . . . . . 107--130
       Joseph G. Hirschberg and   
         Esfandiar Maasoumi and   
              Daniel J. Slottje   Cluster analysis for measuring welfare
                                  and quality of life across countries . . 131--150
          Kenneth G. Manton and   
            Max A. Woodbury and   
                  Eric Stallard   Statistical and measurement issues in
                                  assessing the welfare status of aged
                                  individuals and populations  . . . . . . 151--181
            Jere R. Behrman and   
              Robin Sickles and   
               Paul Taubman and   
                   Abdo Yazbeck   Black-white mortality inequalities . . . 183--203
         Mark R. Rosenzweig and   
              Kenneth I. Wolpin   Inequality at birth: The scope for
                                  policy intervention  . . . . . . . . . . 205--228
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--228 (11 October 1991) . . . . . ??

Journal of Econometrics
Volume 50, Number 3, December, 1991

               Dennis J. Aigner   Editorial  . . . . . . . . . . . . . . . 229--229
                 Arnold Zellner   Tribute to Dennis J.Aigner . . . . . . . 231--231
                      Anonymous   Announcement . . . . . . . . . . . . . . 233--233
                Sanghamitra Das   A semiparametric structural analysis of
                                  the idling of cement kilns . . . . . . . 235--256
              Gordon C. R. Kemp   On Wald tests for globally and locally
                                  quadratic restrictions . . . . . . . . . 257--272
           Jerry A. Hausman and   
           Whitney K. Newey and   
          Hidehiko Ichimura and   
                James L. Powell   Identification and estimation of
                                  polynomial errors-in-variables models    273--295
           Denzil G. Fiebig and   
             Robert Bartels and   
               Dennis J. Aigner   A random coefficient approach to the
                                  estimation of residential end-use load
                                  profiles . . . . . . . . . . . . . . . . 297--327
          A. Ronald Gallant and   
                  Geraldo Souza   On the asymptotic normality of Fourier
                                  flexible form estimates  . . . . . . . . 329--353
              Steven N. Durlauf   Spectral based testing of the martingale
                                  hypothesis . . . . . . . . . . . . . . . 355--376
                Judith A. Giles   Pre-testing for linear restrictions in a
                                  regression model with spherically
                                  symmetric disturbances . . . . . . . . . 377--398
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 399--399
                      Anonymous   Pages 229--399 (December 1991) . . . . . ??


Journal of Econometrics
Volume 51, Number 1--2, January / February, 1992

                      Anonymous   Fellow's opinion section . . . . . . . . 1--1
            Clive W. J. Granger   Fellow's opinion: Evaluating economic
                                  theory . . . . . . . . . . . . . . . . . 3--5
                   Merran Evans   Robustness of size of tests of
                                  autocorrelation and heteroscedasticity
                                  to nonnormality  . . . . . . . . . . . . 7--24
              Glenn T. Sueyoshi   Semiparametric proportional hazards
                                  estimation of competing risks models
                                  with time-varying covariates . . . . . . 25--58
                 Myoung-jae Lee   Median regression for ordered discrete
                                  response . . . . . . . . . . . . . . . . 59--77
                Siddhartha Chib   Bayes inference in the Tobit censored
                                  regression model . . . . . . . . . . . . 79--99
                 Robert Bartels   On the power function of the
                                  Durbin--Watson test  . . . . . . . . . . 101--112
                    In Choi and   
           Peter C. B. Phillips   Asymptotic and finite sample
                                  distribution theory for IV estimators
                                  and tests in partially identified
                                  structural equations . . . . . . . . . . 113--150
       Christopher Cornwell and   
              Peter Schmidt and   
                Donald Wyhowski   Simultaneous equations and panel data    151--181
                Theo Nijman and   
                  Marno Verbeek   The optimal choice of controls and
                                  pre-experimental observations  . . . . . 183--189
               Harry J. Paarsch   Deciding between the common and private
                                  value paradigms in empirical models of
                                  auctions . . . . . . . . . . . . . . . . 191--215
                  Robert Hussey   Nonparametric evidence on asymmetry in
                                  business cycles using aggregate
                                  employment time series . . . . . . . . . 217--231
           Richard Blundell and   
               Stephen Bond and   
           Michael Devereux and   
            Fabio Schiantarelli   Investment and Tobin's $Q$: Evidence
                                  from company panel data  . . . . . . . . 233--257
             Byeong-Ho Gong and   
               Robin C. Sickles   Finite sample evidence on the
                                  performance of stochastic frontiers and
                                  data envelopment analysis using panel
                                  data . . . . . . . . . . . . . . . . . . 259--284
                      Anonymous   Acknowledgement/Erratum: J. S. Cramer
                                  and G. Ridder, `Pooling states in the
                                  multinomial logit model', Journal of
                                  Econometrics, Vol. \bf 47, No. 2/3
                                  (1991) pp. 267-272 . . . . . . . . . . . 285--286
                      Anonymous   CERGE-the center for economic research
                                  and graduate education . . . . . . . . . 287--287
             Herman K. Van Dijk   International conference on econometric
                                  inference using simulation techniques    287--287
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 289--289
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--289 (January--February 1992)    ??

Journal of Econometrics
Volume 51, Number 3, March, 1992

                      Anonymous   Subject and author index: volumes
                                  41--50, 1989--1991 . . . . . . . . . . . 291--382
                      Anonymous   Pages 291--382 (March 1992)  . . . . . . ??


Journal of Econometrics
Volume 52, Number 1--2, April / May, 1992

                      Anonymous   Statistical models for financial
                                  volatility . . . . . . . . . . . . . . . 1--4
             Tim Bollerslev and   
                Ray Y. Chou and   
              Kenneth F. Kroner   ARCH modeling in finance: A review of
                                  the theory and empirical evidence  . . . 5--59
               Daniel B. Nelson   Filtering and forecasting with
                                  misspecified ARCH models I: Getting the
                                  right variance with the wrong model  . . 61--90
         Richard T. Baillie and   
                 Tim Bollerslev   Prediction in dynamic models with
                                  time-dependent conditional variances . . 91--113
          Philippe Bougerol and   
                    Nico Picard   Stationarity of GARCH processes and of
                                  some nonnegative time series . . . . . . 115--127
              Andrew Harvey and   
                Esther Ruiz and   
                Enrique Sentana   Unobserved component time series models
                                  with Arch disturbances . . . . . . . . . 129--157
       Christian Gourieroux and   
                  Alain Monfort   Qualitative threshold ARCH models  . . . 159--199
                   Ray Chou and   
            Robert F. Engle and   
                      Alex Kane   Measuring risk aversion from excess
                                  returns on a stock index . . . . . . . . 201--224
          Thomas H. McCurdy and   
               Thanasis Stengos   A comparison of risk-premium forecasts
                                  implied by parametric versus
                                  nonparametric conditional mean
                                  estimators . . . . . . . . . . . . . . . 225--244
                  Victor Ng and   
            Robert F. Engle and   
             Michael Rothschild   A multi-dynamic-factor model for stock
                                  returns  . . . . . . . . . . . . . . . . 245--266
            Theodore E. Day and   
                 Craig M. Lewis   Stock market volatility and the
                                  information content of stock index
                                  options  . . . . . . . . . . . . . . . . 267--287
            Robert F. Engle and   
              Chowdhury Mustafa   Implied ARCH models from options prices  289--311
                      Anonymous   Editorial board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--311 (April--May 1992) . . . . . ??

Journal of Econometrics
Volume 52, Number 3, June, 1992

            Pietro Balestra and   
           Stephen Goldfeld and   
                     Teun Kloek   Announcement . . . . . . . . . . . . . . 313--313
         Jeffrey H. Dorfman and   
             Arthur M. Havenner   A Bayesian approach to state space
                                  multivariate time series modeling  . . . 315--346
                David N. DeJong   Co-integration and trend-stationarity in
                                  macroeconomic time series: Evidence from
                                  the likelihood function  . . . . . . . . 347--370
            Badi H. Baltagi and   
            Young-Jae Chang and   
                          Qi Li   Monte Carlo evidence on panel data
                                  regressions with AR(1) disturbances and
                                  an arbitrary variance on the initial
                                  observations . . . . . . . . . . . . . . 371--380
               Jeffrey A. Mills   Bayesian prediction tests for structural
                                  stability  . . . . . . . . . . . . . . . 381--388
          Sòren Johansen   Cointegration in partial systems and the
                                  efficiency of single-equation analysis   389--402
            James H. Hauver and   
                        Jet Yee   Morrison's measure of capacity
                                  utilization: A critique  . . . . . . . . 403--406
              Steven B. Caudill   More on grouping coarseness in linear
                                  normal regression models . . . . . . . . 407--417
              Trudy Ann Cameron   The impact of grouping coarseness in
                                  alternative grouped-data regression
                                  models . . . . . . . . . . . . . . . . . 419--421
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 423--424
                      Anonymous   Pages 313--424 (June 1992) . . . . . . . ??


Journal of Econometrics
Volume 53, Number 1--3, July / September, 1992

             Esfandiar Maasoumi   Fellow's opinion: Rules of thumb and
                                  pseudo-science . . . . . . . . . . . . . 1--4
             Douglas A. McManus   How common is identification in
                                  parametric models? . . . . . . . . . . . 5--23
                James R. Tybout   Making noisy data sing: Estimating
                                  production technologies in developing
                                  countries  . . . . . . . . . . . . . . . 25--44
            Badi H. Baltagi and   
                          Qi Li   A monotonic property for iterative GLS
                                  in the two-way random effects model  . . 45--51
              Costas Meghir and   
                Jean-Marc Robin   Frequency of purchase and the estimation
                                  of demand systems  . . . . . . . . . . . 53--85
                Bruce E. Hansen   Efficient estimation and testing of
                                  cointegrating vectors in the presence of
                                  deterministic trends . . . . . . . . . . 87--121
       Donald W. K. Andrews and   
                    Ray C. Fair   Estimation of polynomial distributed
                                  lags and leads with end point
                                  constraints  . . . . . . . . . . . . . . 123--139
          M. Hashem Pesaran and   
                 Hossein Samiei   Estimating limited-dependent rational
                                  expectations models with an application
                                  to exchange rate determination in a
                                  target zone  . . . . . . . . . . . . . . 141--163
                  Fallaw Sowell   Maximum likelihood estimation of
                                  stationary univariate fractionally
                                  integrated time series models  . . . . . 165--188
                 Jiro Hodoshima   Finite-sample properties of
                                  single-equation estimators under
                                  structural change  . . . . . . . . . . . 189--209
      Sòren Johansen and   
              Katarina Juselius   Testing structural hypotheses in a
                                  multivariate cointegration analysis of
                                  the PPP and the UIP for UK . . . . . . . 211--244
          Michael K. Salemi and   
                  Jaeyeong Song   Saddlepath solutions for multivariate
                                  linear rational expectations models  . . 245--269
                  Shigeru Iwata   Highest predictive density estimator in
                                  regression models  . . . . . . . . . . . 271--295
                  Shigeru Iwata   Instrumental variables estimation in
                                  errors-in-variables models when
                                  instruments are correlated with errors   297--322
            David N. DeJong and   
          John C. Nankervis and   
                N. E. Savin and   
            Charles H. Whiteman   The power problems of unit root test in
                                  time series with autoregressive errors   323--343
                Judith A. Giles   Estimation of the error variance after a
                                  preliminary-test of homogeneity in a
                                  regression model with spherically
                                  symmetric disturbances . . . . . . . . . 345--361
               Jerry G. Thursby   A comparison of several exact and
                                  approximate tests for structural shift
                                  under heteroscedasticity . . . . . . . . 363--386
              Gordon C. R. Kemp   The potential for efficiency gains in
                                  estimation from the use of additional
                                  moment restrictions  . . . . . . . . . . 387--399
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 401--403
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 405--405
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--405 (July--September 1992)  . . ??


Journal of Econometrics
Volume 54, Number 1--3, October / December, 1992

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                  Hahn Shik Lee   Maximum likelihood inference on
                                  cointegration and seasonal cointegration 1--47
             T. W. Anderson and   
                 Naoto Kunitomo   Tests of overidentification and
                                  predeterminedness in simultaneous
                                  equation models  . . . . . . . . . . . . 49--78
            Jeongwen Chiang and   
                   Lung-Fei Lee   Discrete/continuous models of consumer
                                  demand with binding nonnegativity
                                  constraints  . . . . . . . . . . . . . . 79--93
            Badi H. Baltagi and   
            Young-Jae Chang and   
                          Qi Li   Monte Carlo results on several new and
                                  existing tests for the error component
                                  model  . . . . . . . . . . . . . . . . . 95--120
          William Griffiths and   
                   George Judge   Testing and estimating location vectors
                                  when the error covariance matrix is
                                  unknown  . . . . . . . . . . . . . . . . 121--138
                Bruce E. Hansen   Heteroskedastic cointegration  . . . . . 139--158
          Denis Kwiatkowski and   
       Peter C. B. Phillips and   
              Peter Schmidt and   
                 Yongcheol Shin   Testing the null hypothesis of
                                  stationarity against the alternative of
                                  a unit root: How sure are we that
                                  economic time series have a unit root?   159--178
                  John G. Cragg   Quasi-Aitken estimation for
                                  heteroskedasticity of unknown form . . . 179--201
           Russell Davidson and   
             James G. MacKinnon   Regression-based methods for using
                                  control variates in Monte Carlo
                                  experiments  . . . . . . . . . . . . . . 203--222
                  Alastair Hall   Testing for a unit root in time series
                                  using instrumental variable estimators
                                  with pretest data based model selection  223--250
         Douglas G. Steigerwald   Adaptive estimation in time series
                                  regression models  . . . . . . . . . . . 251--275
            Craig F. Ansley and   
                Robert Kohn and   
              Thomas S. Shively   Computing $p$-values for the generalized
                                  Durbin--Watson and other invariant test
                                  statistics . . . . . . . . . . . . . . . 277--300
            James B. Ramsey and   
              Alvaro Montenegro   Identification and estimation of
                                  noninvertible non-Gaussian $ {\rm MA}(q)
                                  $ processes  . . . . . . . . . . . . . . 301--320
           Denzil G. Fiebig and   
            Michael McAleer and   
                 Robert Bartels   Properties of ordinary least squares
                                  estimators in regression models with
                                  nonspherical disturbances  . . . . . . . 321--334
          E. A. Selvanathan and   
              D. S. Prasada Rao   An econometric approach to the
                                  construction of generalized
                                  Theil--Tornqvist indices for
                                  multilateral comparisons . . . . . . . . 335--346
             Shiferaw Gurmu and   
              Pravin K. Trivedi   Overdispersion tests for truncated
                                  Poisson regression models  . . . . . . . 347--370
         Douglas G. Steigerwald   On the finite sample behavior of
                                  adaptive estimators  . . . . . . . . . . 371--400
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Pages 1--401 (October--December 1992)    ??


Journal of Econometrics
Volume 55, Number 1--2, January / February, 1993

                   Eric Ghysels   Editor's introduction: Seasonality and
                                  econometric models . . . . . . . . . . . 1--8
            Christopher A. Sims   Rational expectations modeling with
                                  seasonally adjusted data . . . . . . . . 9--19
          Lars Peter Hansen and   
              Thomas J. Sargent   Seasonality and approximation errors in
                                  rational expectations models . . . . . . 21--55
               Eric Ghysels and   
                  Pierre Perron   The effect of seasonal adjustment
                                  filters on tests for a unit root . . . . 57--98
             Francis X. Diebold   Discussion: The effect of seasonal
                                  adjustment filters on tests for a unit
                                  root . . . . . . . . . . . . . . . . . . 99--103
               Marc Nerlove and   
                 David Ross and   
                Douglas Willson   The importance of seasonality in
                                  inventory models: Evidence from business
                                  survey data  . . . . . . . . . . . . . . 105--128
              Jean-Marie Dufour   The importance of seasonality in
                                  inventory models . . . . . . . . . . . . 129--133
               Spencer D. Krane   Induced seasonality and
                                  production-smoothing models of inventory
                                  behavior . . . . . . . . . . . . . . . . 135--168
                  Alastair Hall   Induced seasonality and
                                  production-smoothing models of inventory
                                  behavior . . . . . . . . . . . . . . . . 169--172
                   Fabio Canova   Forecasting time series with common
                                  seasonal patterns  . . . . . . . . . . . 173--200
                    John Geweke   Forecasting time series with common
                                  seasonal patterns  . . . . . . . . . . . 201--202
           Jacques Raynauld and   
              Jean-Guy Simonato   Seasonal BVAR models: A search along
                                  some time domain priors  . . . . . . . . 203--229
                 Arnold Zellner   Discussion: Seasonal BVAR models . . . . 231--234
            William R. Bell and   
                David W. Wilcox   The effect of sampling error on the time
                                  series behavior of consumption data  . . 235--265
           Allan W. Gregory and   
                  Tony Wirjanto   The effect of sampling error on the time
                                  series behavior of consumption data  . . 267--273
                R. F. Engle and   
           C. W. J. Granger and   
               S. Hylleberg and   
                      H. S. Lee   The Japanese consumption function  . . . 275--298
               Denise R. Osborn   Seasonal cointegration . . . . . . . . . 299--303
         J. Joseph Beaulieu and   
               Jeffrey A. Miron   Seasonal unit roots in aggregate U.S.
                                  data . . . . . . . . . . . . . . . . . . 305--328
                David A. Dickey   Seasonal unit roots in aggregate U.S.
                                  data . . . . . . . . . . . . . . . . . . 329--331
           Estela Bee Dagum and   
          Beno\^\it Quenneville   Dynamic linear models for time series
                                  components . . . . . . . . . . . . . . . 333--351
               David F. Findley   Dynamic linear models for time series
                                  components . . . . . . . . . . . . . . . 353--356
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 357--357
                      Anonymous   Pages 1--357 (January--February 1993)    ??


Journal of Econometrics
Volume 56, Number 1--2, March, 1993

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Cheng Hsiao and   
                      Paul Ruud   Editors' introduction  . . . . . . . . . 1--3
               Agustin Maravall   Stochastic linear trends: Models and
                                  estimators . . . . . . . . . . . . . . . 5--37
              Steven N. Durlauf   Time series properties of aggregate
                                  output fluctuations  . . . . . . . . . . 39--56
              M. H. Pesaran and   
               R. G. Pierse and   
                      K. C. Lee   Persistence, cointegration, and
                                  aggregation: A disaggregated analysis of
                                  output fluctuations in the U.S. economy  57--88
               Chung-ki Min and   
                 Arnold Zellner   Bayesian and non-Bayesian methods for
                                  combining models and forecasts with
                                  applications to forecasting
                                  international growth rates . . . . . . . 89--118
            Robert F. Engle and   
                David F. Hendry   Testing superexogeneity and invariance
                                  in regression models . . . . . . . . . . 119--139
             Quang H. Vuong and   
                    Weiren Wang   Minimum chi-square estimation and tests
                                  for model selection  . . . . . . . . . . 141--168
                Andrew A. Weiss   Some aspects of measurement error in a
                                  censored regression model  . . . . . . . 169--188
                 Lee A. Lillard   Simultaneous equations for hazards:
                                  Marriage duration and fertility timing   189--217
           Jeffrey A. Dubin and   
                 Douglas Rivers   Experimental estimates of the impact of
                                  wage subsidies . . . . . . . . . . . . . 219--242
           Nestor M. Arguea and   
                    Cheng Hsiao   Econometric issues of estimating hedonic
                                  price functions: With an application to
                                  the U.S. market for automobiles  . . . . 243--267
                      Anonymous   Pages 1--267 (March 1993)  . . . . . . . ??

Journal of Econometrics
Volume 56, Number 3, April, 1993

                Tae-Hwy Lee and   
              Halbert White and   
            Clive W. J. Granger   Testing for neglected nonlinearity in
                                  time series models: A comparison of
                                  neural network methods and alternative
                                  tests  . . . . . . . . . . . . . . . . . 269--290
              Hyungtaik Ahn and   
              Charles F. Manski   Distribution theory for the analysis of
                                  binary choice under uncertainty with
                                  nonparametric estimation of expectations 291--321
                  Gary Koop and   
                Dale J. Poirier   Bayesian analysis of logit models using
                                  natural conjugate priors . . . . . . . . 323--340
                 Thomas Laitila   A pseudo-$R^2$ measure for limited and
                                  qualitative dependent variable models    341--355
                  Paul Rilstone   Calculating the (local) semiparametric
                                  efficiency bounds for the generated
                                  regressors problem . . . . . . . . . . . 357--370
             Hiroki Tsurumi and   
                     Peter Mehr   Exogeneity tests in a truncated
                                  structural equation  . . . . . . . . . . 371--396
                    Hang K. Ryu   Maximum entropy estimation of density
                                  and regression functions . . . . . . . . 397--440
                  Shigeru Iwata   A note on multiple roots of the Tobit
                                  log likelihood . . . . . . . . . . . . . 441--445
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 447--447
                      Anonymous   Pages 269--447 (April 1993)  . . . . . . ??


Journal of Econometrics
Volume 57, Number 1--3, May / June, 1993

                 Myoung-jae Lee   Quadratic mode regression  . . . . . . . 1--19
                  R. Mark Gritz   The impact of training on the frequency
                                  and duration of employment . . . . . . . 21--51
                    Brett Inder   Estimating long-run relationships in
                                  economics: A comparison of different
                                  approaches . . . . . . . . . . . . . . . 53--68
           Wim P. M. Vijverberg   Measuring the unidentified parameter of
                                  the extended Roy model of selectivity    69--89
                   Keunkwan Ryu   Structural duration analysis of
                                  management data  . . . . . . . . . . . . 91--115
             Mukhtar M. Ali and   
              Subhash C. Sharma   Robustness to nonnormality of the
                                  Durbin--Watson test for autocorrelation  117--136
              Herman J. Bierens   Higher-order sample autocorrelations and
                                  the unit root hypothesis . . . . . . . . 137--160
           Arthur van Soest and   
               Arie Kapteyn and   
                 Peter Kooreman   Coherency and regularity of demand
                                  systems with equality and inequality
                                  constraints  . . . . . . . . . . . . . . 161--188
       Benjamin M. Friedman and   
             Kenneth N. Kuttner   Another look at the evidence on
                                  money-income causality . . . . . . . . . 189--203
               Jeffrey E. Zabel   A comparison of nonnested tests for
                                  misspecified models using the method of
                                  approximate slopes . . . . . . . . . . . 205--232
              Thomas S. Shively   Testing for autoregressive disturbances
                                  in a time series regression with missing
                                  observations . . . . . . . . . . . . . . 233--255
             Kimio Morimune and   
                Shinichi Sakata   Modified three-stage least squares
                                  estimator which is third-order efficient 257--276
             Yoon-Jae Whang and   
           Donald W. K. Andrews   Tests of specification for parametric
                                  and semiparametric models  . . . . . . . 277--318
             Marcus J. Chambers   A nonnested approach to testing
                                  continuous time models against discrete
                                  alternatives . . . . . . . . . . . . . . 319--343
           Jacek Osiewalski and   
               Mark F. J. Steel   Robust Bayesian inference in elliptical
                                  regression models  . . . . . . . . . . . 345--363
               Robert D. Brooks   Alternative point-optimal tests for
                                  regression coefficient stability . . . . 365--376
          M. Hashem Pesaran and   
                 Bahram Pesaran   A simulation approach to the problem of
                                  computing Cox's statistic for testing
                                  nonnested models . . . . . . . . . . . . 377--392
            Kazuhiro Ohtani and   
                   Judith Giles   Testing linear restrictions on
                                  coefficients in a linear regression
                                  model with proxy variables and
                                  spherically symmetric disturbances . . . 393--406
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--407
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--407 (May--June 1993)  . . . . . ??


Journal of Econometrics
Volume 58, Number 1--2, July, 1993

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
       Wolfgang Härdle and   
              Charles F. Manski   Nonparametric and semiparametric
                                  approaches to discrete response analysis 1--2
              Hyungtaik Ahn and   
                James L. Powell   Semiparametric estimation of censored
                                  selection models with a nonparametric
                                  selection mechanism  . . . . . . . . . . 3--29
       Wolfgang Härdle and   
                 A. B. Tsybakov   How sensitive are average derivatives?   31--48
               Joel L. Horowitz   Semiparametric estimation of a work-trip
                                  mode choice model  . . . . . . . . . . . 49--70
              Hidehiko Ichimura   Semiparametric least squares (SLS) and
                                  weighted SLS estimation of single-index
                                  models . . . . . . . . . . . . . . . . . 71--120
              Charles F. Manski   Dynamic choice in social settings:
                                  Learning from the experiences of others  121--136
                Rosa L. Matzkin   Nonparametric identification and
                                  estimation of polychotomous choice
                                  models . . . . . . . . . . . . . . . . . 137--168
           Whitney K. Newey and   
                James L. Powell   Efficiency bounds for some
                                  semiparametric selection models  . . . . 169--184
                C. A. P. Pinkse   On the computation of semiparametric
                                  estimates in limited dependent variable
                                  models . . . . . . . . . . . . . . . . . 185--205
M. C. Rodríguez-Campos and   
                    R. Cao-Abad   Nonparametric bootstrap confidence
                                  intervals for discrete regression
                                  functions  . . . . . . . . . . . . . . . 207--222
             J. H. Sepanski and   
                  R. J. Carroll   Semiparametric quasilikelihood and
                                  variance function estimation in
                                  measurement error models . . . . . . . . 223--256
              T. Scott Thompson   Some efficiency bounds for
                                  semiparametric discrete choice models    257--274
                      Anonymous   Pages 1--274 (July 1993) . . . . . . . . ??

Journal of Econometrics
Volume 58, Number 3, August, 1993

                Siddhartha Chib   Bayes regression with autoregressive
                                  errors: A Gibbs sampling approach  . . . 275--294
      Paramsothy Silvapulle and   
                Maxwell L. King   Nonnested testing for autocorrelation in
                                  the linear regression model  . . . . . . 295--314
             David M. Mandy and   
           Carlos Martins-Filho   Seemingly unrelated regressions under
                                  additive heteroscedasticity: Theory and
                                  share equation applications  . . . . . . 315--346
     Axel Börsch-Supan and   
      Vassilis A. Hajivassiliou   Smooth unbiased multivariate probability
                                  simulators for maximum likelihood
                                  estimation of limited dependent variable
                                  models . . . . . . . . . . . . . . . . . 347--368
               Luigi Ermini and   
            Clive W. J. Granger   Some generalizations on the algebra of
                                  I(1) processes . . . . . . . . . . . . . 369--384
             K. Victor Chow and   
               Karen C. Denning   A simple multiple variance ratio test    385--401
                Judith A. Giles   Pre-testing for linear restrictions in a
                                  regression model with spherically
                                  symmetric disturbances (Vol. 50, No. 3
                                  (1991) pp. 377-398)  . . . . . . . . . . 403--403
                Robert Krol and   
                 Lee E. Ohanian   The impact of stochastic and
                                  deterministic trends on money-output
                                  causality: A multi-country investigation
                                  (Vol. 45, No. 3 (1990) pp. 291-308)  . . 405--405
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--407
                      Anonymous   Pages 275--407 (August 1993) . . . . . . ??


Journal of Econometrics
Volume 59, Number 1--2, September, 1993

                      Anonymous   Editorial Board  . . . . . . . . . . . . iv--iv
              Carlo Carraro and   
            Franco Peracchi and   
                Guglielmo Weber   Editors' introduction: The econometrics
                                  of panels and pseudo panels  . . . . . . 1--4
       Christian Gourieroux and   
                  Alain Monfort   Simulation-based inference: A survey
                                  with special reference to panel data
                                  models . . . . . . . . . . . . . . . . . 5--33
            Bo E. Honoré   Orthogonality conditions for Tobit
                                  models with fixed effects and lagged
                                  dependent variables  . . . . . . . . . . 35--61
                Cheng Hsiao and   
           Trent W. Appelbe and   
          Christopher R. Dineen   A general framework for panel data
                                  models with an application to Canadian
                                  customer-dialed long distance telephone
                                  service  . . . . . . . . . . . . . . . . 63--86
                Manuel Arellano   On the testing of correlated effects
                                  with panel data  . . . . . . . . . . . . 87--97
                 Robert Moffitt   Identification and estimation of dynamic
                                  models with a time series of repeated
                                  cross-sections . . . . . . . . . . . . . 99--123
              Marno Verbeek and   
                    Theo Nijman   Minimum MSE estimation of a regression
                                  model with fixed effects from a series
                                  of cross-sections  . . . . . . . . . . . 125--136
           Richard Blundell and   
              Costas Meghir and   
                    Pedro Neves   Labour supply and intertemporal
                                  substitution . . . . . . . . . . . . . . 137--160
            Masako Kurosawa and   
                 Stephen Pudney   A method for the analysis of the timing
                                  and magnitude of events in a
                                  continuous-time panel: The effects of
                                  British incomes policy, 1950-1973  . . . 161--185
             Nicola Torelli and   
                 Ugo Trivellato   Modelling inaccuracies in job-search
                                  duration data  . . . . . . . . . . . . . 187--211
                      Anonymous   Pages 1--211 (September 1993)  . . . . . ??

Journal of Econometrics
Volume 59, Number 3, October, 1993

                    Eugen Nowak   The identification of multivariate
                                  linear dynamic errors-in-variables
                                  models . . . . . . . . . . . . . . . . . 213--227
               Hiro Y. Toda and   
           Peter C. B. Phillips   The spurious effect of unit roots on
                                  vector autoregressions: An analytical
                                  study  . . . . . . . . . . . . . . . . . 229--255
          Scott E. Atkinson and   
           Christopher Cornwell   Measuring technical efficiency with
                                  panel data: A dual approach  . . . . . . 257--261
                    In Choi and   
           Peter C. B. Phillips   Testing for a unit root by frequency
                                  domain regression  . . . . . . . . . . . 263--286
                 Kiwhan Kim and   
                  Peter Schmidt   Unit root tests with conditional
                                  heteroskedasticity . . . . . . . . . . . 287--300
           David K. Guilkey and   
                James L. Murphy   Estimation and testing in the random
                                  effects probit model . . . . . . . . . . 301--317
           Phillip A. Braun and   
                 Stefan Mittnik   Misspecifications in vector
                                  autoregressions and their effects on
                                  impulse responses and variance
                                  decompositions . . . . . . . . . . . . . 319--341
                 Roger W. Klein   Specification tests for binary choice
                                  models based on index quantiles  . . . . 343--375
                    Juhani Holm   Maximum entropy Lorenz curves  . . . . . 377--389
           Jacek Osiewalski and   
               Mark F. J. Steel   Bayesian marginal equivalence of
                                  elliptical regression models . . . . . . 391--403
            Badi H. Baltagi and   
            Young-Jae Chang and   
                          Qi Li   Monte Carlo results on several new and
                                  existing tests for the error component
                                  model (Vol. 54, No. 1-3 (1992) pp.
                                  95-120)  . . . . . . . . . . . . . . . . 405--405
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--408
                      Anonymous   Pages 213--408 (October 1993)  . . . . . ??


Journal of Econometrics
Volume 60, Number 1--2, January / February, 1994

                  Chang-Jin Kim   Dynamic linear models with
                                  Markov-switching . . . . . . . . . . . . 1--22
  Benedikt M. Pötscher and   
               Ingmar R. Prucha   Generic uniform convergence and
                                  equicontinuity concepts for random
                                  functions: An exploration of the basic
                                  structure  . . . . . . . . . . . . . . . 23--63
           William L. Goffe and   
            Gary D. Ferrier and   
                    John Rogers   Global optimization of statistical
                                  functions with simulated annealing . . . 65--99
            Carl P. Schmertmann   Selectivity bias correction methods in
                                  polychotomous sample selection models    101--132
                  Yaw M. Mensah   A simplification of the Kopp--Diewert
                                  method of decomposing cost efficiency
                                  and some implications  . . . . . . . . . 133--144
           J. T. Gene Hwang and   
                     Aman Ullah   Confidence sets centered at James--Stein
                                  estimators: A surprise concerning the
                                  unknown-variance case  . . . . . . . . . 145--156
                Murray D. Smith   Exact densities for variance estimators
                                  of the structural disturbances in
                                  simultaneous equations models  . . . . . 157--180
                  Neil Shephard   Local scale models: State space
                                  alternative to integrated GARCH
                                  processes  . . . . . . . . . . . . . . . 181--202
                  Jesus Gonzalo   Five alternative methods of estimating
                                  long-run equilibrium relationships . . . 203--233
          James L. Swofford and   
              Gerald A. Whitney   A revealed preference test for weakly
                                  separable utility maximization with
                                  incomplete adjustment  . . . . . . . . . 235--249
          Hashem Dezhbakhsh and   
               Jerry G. Thursby   Testing for autocorrelation in the
                                  presence of lagged dependent variables:
                                  A specification error approach . . . . . 251--272
              Sanjiv Jaggia and   
              Pravin K. Trivedi   Joint and separate score tests for state
                                  dependence and unobserved heterogeneity  273--291
                Brian P. McCall   Specification diagnostics for duration
                                  models: A martingale approach  . . . . . 293--312
                        In Choi   Spurious regressions and residual-based
                                  tests for cointegration when regressors
                                  are cointegrated . . . . . . . . . . . . 313--320
                  Alastair Hall   Testing for a unit root in time series
                                  using instrumental variable estimators
                                  with pretest data based model selection
                                  (vol. 54 (1992) pp. 223-250) . . . . . . 321--321
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 323--324
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 325--325
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--325 (January--February 1994)    ??


Journal of Econometrics
Volume 61, Number 1, March, 1994

                      Anonymous   Editorial Board  . . . . . . . . . . . . iv--iv
            Shoshana Neuman and   
                 Jacques Silber   The econometrics of labor market
                                  segregation and discrimination . . . . . 1--4
           Ronald L. Oaxaca and   
              Michael R. Ransom   On discrimination and the decomposition
                                  of wage differentials  . . . . . . . . . 5--21
        Solomon W. Polachek and   
                   Moon-Kak Kim   Panel estimates of the gender earnings
                                  gap: Individual-specific intercept and
                                  individual-specific slope models . . . . 23--42
          Daniel J. Slottje and   
       Joseph G. Hirschberg and   
             Kathy J. Hayes and   
               Gerald W. Scully   A new method for detecting individual
                                  and group labor market discrimination    43--64
       Joseph G. Hirschberg and   
              Daniel J. Slottje   An empirical Bayes approach to analyzing
                                  earnings functions for various
                                  occupations and industries . . . . . . . 65--79
             Stephen P. Jenkins   Earnings discrimination measurement: A
                                  distributional approach  . . . . . . . . 81--102
          Delores A. Conway and   
               Harry V. Roberts   Analysis of employment discrimination
                                  through homogeneous job groups . . . . . 103--131
             Joseph Deutsch and   
        Yves Flückiger and   
                 Jacques Silber   Measuring occupational segregation:
                                  Summary statistics and the impact of
                                  classification errors and aggregation    133--146
                Shlomo Yitzhaki   Economic distance and overlapping of
                                  distributions  . . . . . . . . . . . . . 147--159
                Dale Boisso and   
                Kathy Hayes and   
          Joseph Hirschberg and   
                 Jacques Silber   Occupational segregation in the
                                  multidimensional case: Decomposition and
                                  tests of significance  . . . . . . . . . 161--171
             Willem Niesing and   
    Bernard M. S. van Praag and   
                 Justus Veenman   The unemployment of ethnic minority
                                  groups in the Netherlands  . . . . . . . 173--196
                      Anonymous   Pages 1--196 (March 1994)  . . . . . . . ??

Journal of Econometrics
Volume 61, Number 2, April, 1994

    Agustín Maravall and   
               Alexandre Mathis   Encompassing univariate models in
                                  multivariate time series: A case study   197--233
                   Dale Squires   Firm behavior under input rationing  . . 235--257
               Tilak Abeysinghe   Deterministic seasonal models and
                                  spurious regressions . . . . . . . . . . 259--272
      Julien van den Broeck and   
                  Gary Koop and   
           Jacek Osiewalski and   
               Mark F. J. Steel   Stochastic frontier models: A Bayesian
                                  perspective  . . . . . . . . . . . . . . 273--303
                   Lung-fei Lee   Semiparametric two-stage estimation of
                                  sample selection models subject to
                                  Tobit-type selection rules . . . . . . . 305--344
           Gordon A. Hughes and   
                    N. E. Savin   Is the minimum chi-square estimator the
                                  winner in logit regression?  . . . . . . 345--366
         Hiroyuki Hisamatsu and   
                 Koichi Maekawa   The distribution of the Durbin--Watson
                                  statistic in integrated and
                                  near-integrated models . . . . . . . . . 367--382
                  John P. Small   The exact powers of some autocorrelation
                                  tests when the disturbances are
                                  heteroscedastic  . . . . . . . . . . . . 383--394
               Joel L. Horowitz   Bootstrap-based critical values for the
                                  information matrix test  . . . . . . . . 395--411
                  Shigeru Iwata   On estimation and testing when
                                  explanatory variables are partly
                                  endogenous . . . . . . . . . . . . . . . 413--428
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 429--430
                      Anonymous   Pages 197--430 (April 1994)  . . . . . . ??


Journal of Econometrics
Volume 62, Number 1, May, 1994

        Linda Anderson-Courtney   \booktitleJournal of Econometrics:
                                  Subject and author index: volumes
                                  51--60, 1992--1994 . . . . . . . . . . . 1--2
                      Anonymous   Subject index  . . . . . . . . . . . . . 3--50
                      Anonymous   Author index . . . . . . . . . . . . . . 51--66
                      Anonymous   Editorial board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--66 (May 1994) . . . . . . . . . ??

Journal of Econometrics
Volume 62, Number 2, June, 1994

            Badi H. Baltagi and   
                Young-Jae Chang   Incomplete panels: A comparative study
                                  of alternative estimators for the
                                  unbalanced one-way error component
                                  regression model . . . . . . . . . . . . 67--89
         Douglas A. McManus and   
          John C. Nankervis and   
                    N. E. Savin   Multiple optima and asymptotic
                                  approximations in the partial adjustment
                                  model  . . . . . . . . . . . . . . . . . 91--128
                 Aman Ullah and   
         Virendra K. Srivastava   Moments of the ratio of quadratic forms
                                  in non-normal variables with econometric
                                  examples . . . . . . . . . . . . . . . . 129--141
                    Chunrong Ai   A semiparametric efficiency bound of a
                                  disequilibrium model without observed
                                  regime . . . . . . . . . . . . . . . . . 143--163
                Guy Laroque and   
         Bernard Salanié   Estimating the canonical disequilibrium
                                  model: Asymptotic theory and finite
                                  sample properties  . . . . . . . . . . . 165--210
          Chien-Fu Jeff Lin and   
           Timo Teräsvirta   Testing the constancy of regression
                                  parameters against continuous structural
                                  change . . . . . . . . . . . . . . . . . 211--228
               Seiji Nabeya and   
                  Pierre Perron   Local asymptotic distribution related to
                                  the AR(1) model with dependent errors    229--264
                Gordon Anderson   Simple tests of distributional form  . . 265--276
             Mich\`ele Ruggiero   Bayesian semiparametric estimation of
                                  proportional hazards models  . . . . . . 277--300
            Yin-Wong Cheung and   
             Francis X. Diebold   On maximum likelihood estimation of the
                                  differencing parameter of
                                  fractionally-integrated noise with
                                  unknown mean . . . . . . . . . . . . . . 301--316
                Sung K. Ahn and   
             Gregory C. Reinsel   Estimation of partially nonstationary
                                  vector autoregressive models with
                                  seasonal behavior  . . . . . . . . . . . 317--350
               Kenneth A. Small   Approximate generalized extreme value
                                  models of discrete choice  . . . . . . . 351--382
             T. W. Anderson and   
                 Naoto Kunitomo   Asymptotic robustness of tests of
                                  overidentification and predeterminedness 383--414
               Eric Ghysels and   
                Hahn S. Lee and   
                     Jaesum Noh   Testing for unit roots in seasonal time
                                  series: Some theoretical extensions and
                                  a Monte Carlo investigation  . . . . . . 415--442
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 443--443
                      Anonymous   Pages 67--444 (June 1994)  . . . . . . . ??


Journal of Econometrics
Volume 63, Number 1, July, 1994

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
              Jan F. Kiviet and   
             Herman K. van Dijk   Structure and dynamics in econometrics   1--5
      Sòren Johansen and   
              Katarina Juselius   Identification of the long-run and the
                                  short-run structure an application to
                                  the ISLM model . . . . . . . . . . . . . 7--36
               H. Peter Boswijk   Testing for an unstable root in
                                  conditional and structural error
                                  correction models  . . . . . . . . . . . 37--60
           Frank Kleibergen and   
             Herman K. van Dijk   Direct cointegration testing in error
                                  correction models  . . . . . . . . . . . 61--103
                 James H. Stock   Deciding between I(1) and I(0) . . . . . 105--131
            Philip Hans Franses   A multivariate approach to modeling
                                  univariate seasonal time series  . . . . 133--151
                  Niels Haldrup   The asymptotics of single-equation
                                  cointegration regressions with I(1) and
                                  I(2) variables . . . . . . . . . . . . . 153--181
    Stéphane Gregoir and   
                    Guy Laroque   Polynomial cointegration estimation and
                                  test . . . . . . . . . . . . . . . . . . 183--214
              Jan F. Kiviet and   
           Garry D. A. Phillips   Bias assessment and reduction in linear
                                  error-correction models  . . . . . . . . 215--243
        Bernadette Govaerts and   
            David F. Hendry and   
   Jean-François Richard   Encompassing in stationary linear
                                  dynamic models . . . . . . . . . . . . . 245--270
         Hafida Boudjellaba and   
          Jean-Marie Dufour and   
                       Roch Roy   Simplified conditions for noncausality
                                  between vectors in multivariate ARMA
                                  models . . . . . . . . . . . . . . . . . 271--287
                    Esther Ruiz   Quasi-maximum likelihood estimation of
                                  stochastic volatility models . . . . . . 289--306
                Marco Lippi and   
              Lucrezia Reichlin   VAR analysis, nonfundamental
                                  representations, Blaschke matrices . . . 307--325
                      Anonymous   Pages 1--325 (July 1994) . . . . . . . . ??

Journal of Econometrics
Volume 63, Number 2, August, 1994

                   Dale Poirier   Jeffreys' prior for logit models . . . . 327--339
                   Lung-Fei Lee   Semiparametric instrumental variable
                                  estimation of simultaneous equation
                                  sample selection models  . . . . . . . . 341--388
             Ruud H. Koning and   
                   Geert Ridder   On the compatibility of nested logit
                                  models with utility maximization: A
                                  comment  . . . . . . . . . . . . . . . . 389--396
              Jan van der Leeuw   The covariance matrix of ARMA errors in
                                  closed form  . . . . . . . . . . . . . . 397--405
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--407
                      Anonymous   Pages 327--408 (August 1994) . . . . . . ??


Journal of Econometrics
Volume 64, Number 1--2, September / October, 1994

                      Anonymous   Announcement . . . . . . . . . . . . . . 1--1
              Ronald Bewley and   
                David Orden and   
               Minxian Yang and   
                Lance A. Fisher   Comparison of Box--Tiao and Johansen
                                  canonical estimators of cointegrating
                                  vectors in $ {\rm VEC}(1) $ models . . . 3--27
                 Jerzy Szroeter   Exact finite-sample relative efficiency
                                  of suboptimally weighted least squares
                                  estimators in models with ordered
                                  heteroscedasticity . . . . . . . . . . . 29--43
             Phoebus J. Dhrymes   Specification tests in simultaneous
                                  equations systems  . . . . . . . . . . . 45--76
          Thomas S. Shively and   
                Robert Kohn and   
                Craig F. Ansley   Testing for linearity in a
                                  semiparametric regression model  . . . . 77--96
                 Luke Froeb and   
                   Robert Koyak   Measuring and comparing smoothness in
                                  time series the production smoothing
                                  hypothesis . . . . . . . . . . . . . . . 97--122
             Robert F. Phillips   Partially adaptive estimation via a
                                  normal mixture . . . . . . . . . . . . . 123--144
             Marcel G. Dagenais   Parameter estimation in regression
                                  models with errors in the variables and
                                  autocorrelated disturbances  . . . . . . 145--163
           George J. Borjas and   
              Glenn T. Sueyoshi   A two-stage estimator for probit models
                                  with structural group effects  . . . . . 165--182
            Siddhartha Chib and   
               Edward Greenberg   Bayes inference in regression models
                                  with ARMA ( p, q ) errors  . . . . . . . 183--206
           Robert McCulloch and   
                 Peter E. Rossi   An exact likelihood analysis of the
                                  multinomial probit model . . . . . . . . 207--240
        Bo E. Honoré and   
                James L. Powell   Pairwise difference estimators of
                                  censored and truncated regression models 241--278
                  Mark A. Thoma   Subsample instability and asymmetries in
                                  money-income causality . . . . . . . . . 279--306
          James D. Hamilton and   
                    Raul Susmel   Autoregressive conditional
                                  heteroskedasticity and changes in regime 307--333
                 Bing Cheng and   
                 P. M. Robinson   Semiparametric estimation from time
                                  series with long-range dependence  . . . 335--353
           Richard Blundell and   
               Richard J. Smith   Coherency and estimation in simultaneous
                                  models with censored or qualitative
                                  dependent variables  . . . . . . . . . . 355--373
                 Jon Danielsson   Stochastic volatility in asset prices
                                  estimation with simulated maximum
                                  likelihood . . . . . . . . . . . . . . . 375--400
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Editorial Board  . . . . . . . . . . . . ifc--ifc
                      Anonymous   Pages 1--401 (September--October 1994)   ??


Journal of Econometrics
Volume 65, Number 1, January, 1995

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Melvyn Fuss and   
                    Ariel Pakes   Editors' introduction  . . . . . . . . . 1--8
            Ernst R. Berndt and   
          Catherine J. Morrison   High-tech capital formation and economic
                                  performance in U.S. manufacturing
                                  industries An exploratory analysis . . . 9--43
               Arie Bregman and   
                Melvyn Fuss and   
                     Haim Regev   The production and cost structure of
                                  Israeli industry Evidence from
                                  individual firm data . . . . . . . . . . 45--81
       Timothy F. Bresnahan and   
                 M. Trajtenberg   General purpose technologies `Engines of
                                  growth'? . . . . . . . . . . . . . . . . 83--108
                Moshe Buchinsky   Quantile regression, Box--Cox
                                  transformation model, and the U.S. wage
                                  structure, 1963--1987  . . . . . . . . . 109--154
             Franklin M. Fisher   The production-theoretic measurement of
                                  input price and quantity indices . . . . 155--174
              Zvi Griliches and   
                     Haim Regev   Firm productivity in Israeli industry
                                  1979--1988 . . . . . . . . . . . . . . . 175--203
              J. A. Hausman and   
                W. K. Newey and   
                   J. L. Powell   Nonlinear errors in variables Estimation
                                  of some Engel curves . . . . . . . . . . 205--233
                  Alberto Holly   A random linear functional approach to
                                  efficiency bounds  . . . . . . . . . . . 235--261
            Bronwyn H. Hall and   
               Jacques Mairesse   Exploring the relationship between R&D
                                  and productivity in French manufacturing
                                  firms  . . . . . . . . . . . . . . . . . 263--293
                Ariel Pakes and   
                   Steven Olley   A limit theorem for a smooth class of
                                  semiparametric estimators  . . . . . . . 295--332
                      Anonymous   Pages 1--332 (January 1995)  . . . . . . ??

Journal of Econometrics
Volume 65, Number 2, February, 1995

               R. G. Pierse and   
                    A. J. Snell   Temporal aggregation and the power of
                                  tests for a unit root  . . . . . . . . . 333--345
              Stephen G. Donald   Two-step estimation of heteroskedastic
                                  sample selection models  . . . . . . . . 347--380
                   Lung-fei Lee   Semiparametric maximum likelihood
                                  estimation of polychotomous and
                                  sequential choice models . . . . . . . . 381--428
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 429--429
                      Anonymous   Pages 333--429 (February 1995) . . . . . ??


Journal of Econometrics
Volume 66, Number 1--2, March / April, 1995

                      Anonymous   Editorial Board  . . . . . . . . . . . . iv--v
                  Minbo Kim and   
                 R. Carter-Hill   Shrinkage estimation in nonlinear
                                  regression The Box--Cox transformation   1--33
      Michael A. Magdalinos and   
         Spyridon D. Symeonides   Alternative size corrections for some
                                  GLS test statistics the case of the
                                  AR(1) model  . . . . . . . . . . . . . . 35--59
             Robert S. Chirinko   Nonconvexities, labor hoarding,
                                  technology shocks, and procyclical
                                  productivity a structural econometric
                                  analysis . . . . . . . . . . . . . . . . 61--98
           V. K. Srivastava and   
                 Koichi Maekawa   Efficiency properties of feasible
                                  generalized least squares estimators in
                                  SURE models under non-normal
                                  disturbances . . . . . . . . . . . . . . 99--121
      Benedikt M. Pötscher   Comment on `Adaptive estimation in time
                                  series regression models' by D. G.
                                  Steigerwald  . . . . . . . . . . . . . . 123--129
         Douglas G. Steigerwald   Reply to B. M. Pötscher's comment on
                                  `Adaptive estimation in time series
                                  regression models' . . . . . . . . . . . 131--132
          James B. McDonald and   
                   Yexiao J. Xu   A generalization of the beta
                                  distribution with applications . . . . . 133--152
             André Lucas   An outlier robust unit root test with an
                                  application to the extended
                                  Nelson-Plosser data  . . . . . . . . . . 153--173
             Bryan W. Brown and   
               Mary Beth Walker   Stochastic specification in random
                                  production models of cost-minimizing
                                  firms  . . . . . . . . . . . . . . . . . 175--205
              C. L. F. Attfield   A Bartlett adjustment to the likelihood
                                  ratio test for a system of equations . . 207--223
               Hiro Y. Toda and   
                  Taku Yamamoto   Statistical inference in vector
                                  autoregressions with possibly integrated
                                  processes  . . . . . . . . . . . . . . . 225--250
                Ravi Bansal and   
          A. Ronald Gallant and   
              Robert Hussey and   
                 George Tauchen   Nonparametric estimation of structural
                                  models for high-frequency currency
                                  market data  . . . . . . . . . . . . . . 251--287
             Jeffrey H. Dorfman   A numerical Bayesian test for
                                  cointegration of AR processes  . . . . . 289--324
             Tony Lancaster and   
                   Guido Imbens   Optimal stock/flow panels  . . . . . . . 325--348
          John W. Galbraith and   
           Victoria Zinde-Walsh   Transforming the error-components model
                                  for estimation with general ARMA
                                  disturbances . . . . . . . . . . . . . . 349--355
           C. W. J. Granger and   
               Pierre L. Siklos   Systematic sampling, temporal
                                  aggregation, seasonal adjustment, and
                                  cointegration theory and evidence  . . . 357--369
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 371--371
                      Anonymous   Pages 1--371 (March--April 1995) . . . . ??


Journal of Econometrics
Volume 67, Number 1, May, 1995

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
         Hugo A. Keuzenkamp and   
                  Jan R. Magnus   Editors' introduction: The significance
                                  of testing in econometrics . . . . . . . 1--3
         Hugo A. Keuzenkamp and   
                  Jan R. Magnus   On tests and significance in
                                  econometrics . . . . . . . . . . . . . . 5--24
                Philip Mirowski   Three ways to think about testing in
                                  econometrics . . . . . . . . . . . . . . 25--46
               Nancy Cartwright   Probabilities and experiments  . . . . . 47--59
          M. Hashem Pesaran and   
                      Ron Smith   The role of theory in econometrics . . . 61--79
                Jinbang Kim and   
             Neil De Marchi and   
                 Mary S. Morgan   Empirical model particularities and
                                  belief in the natural rate hypothesis    81--102
         Hugo A. Keuzenkamp and   
                Anton P. Barten   Rejection without falsification on the
                                  history of testing the homogeneity
                                  condition in the theory of consumer
                                  demand . . . . . . . . . . . . . . . . . 103--127
                 Marcel Boumans   Frisch on testing of business cycle
                                  theories . . . . . . . . . . . . . . . . 129--147
                Michael McAleer   The significance of testing empirical
                                  non-nested models  . . . . . . . . . . . 149--171
        Clive W. J. Granger and   
            Maxwell L. King and   
                  Halbert White   Comments on testing economic theories
                                  and the use of model selection criteria  173--187
                    Aris Spanos   On theory testing in econometrics:
                                  Modeling with nonexperimental data . . . 189--226
       Wolfgang Härdle and   
                    Alan Kirman   Nonclassical demand: A model-free
                                  examination of price--quantity relations
                                  in the Marseille fish market . . . . . . 227--257
                      Anonymous   Pages 1--257 (May 1995)  . . . . . . . . ??

Journal of Econometrics
Volume 67, Number 2, June, 1995

              W. E. Diewert and   
                    T. J. Wales   Flexible functional forms and tests of
                                  homogeneous separability . . . . . . . . 259--302
           Daniel B. Nelson and   
                 Dean P. Foster   Filtering and forecasting with
                                  misspecified ARCH models II: Making the
                                  right forecast with the wrong model  . . 303--335
                  Hyungtaik Ahn   Nonparametric two-stage estimation of
                                  conditional choice probabilities in a
                                  binary choice model under uncertainty    337--378
                  Arthur Lewbel   Consistent nonparametric hypothesis
                                  tests with an application to Slutsky
                                  symmetry . . . . . . . . . . . . . . . . 379--401
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 403--403
                      Anonymous   Pages 259--403 (June 1995) . . . . . . . ??


Journal of Econometrics
Volume 68, Number 1, July, 1995

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--iii
                Badi H. Baltagi   Editor's introduction Panel data . . . . 1--4
               Seung C. Ahn and   
                  Peter Schmidt   Efficient estimation of models for
                                  dynamic panel data . . . . . . . . . . . 5--27
            Manuel Arellano and   
                  Olympia Bover   Another look at the instrumental
                                  variable estimation of error-components
                                  models . . . . . . . . . . . . . . . . . 29--51
                  Jan F. Kiviet   On bias, inconsistency, and efficiency
                                  of various estimators in dynamic panel
                                  data models  . . . . . . . . . . . . . . 53--78
          M. Hashem Pesaran and   
                      Ron Smith   Estimating long-run relationships from
                                  dynamic heterogeneous panels . . . . . . 79--113
          Jeffrey M. Wooldridge   Selection corrections for panel data
                                  models under conditional mean
                                  independence assumptions . . . . . . . . 115--132
            Badi H. Baltagi and   
                          Qi Li   Testing AR(1) against MA(1) disturbances
                                  in an error component model  . . . . . . 133--151
            Franco Peracchi and   
                    Finis Welch   How representative are matched
                                  cross-sections? Evidence from the
                                  Current Population Survey  . . . . . . . 153--179
               Brent R. Moulton   Interarea indexes of the cost of shelter
                                  using hedonic quality adjustment
                                  techniques . . . . . . . . . . . . . . . 181--204
             Anthony Davies and   
                   Kajal Lahiri   A new framework for analyzing survey
                                  forecasts using three-dimensional panel
                                  data . . . . . . . . . . . . . . . . . . 205--227
              G. S. Maddala and   
                 M. Nimalendran   An unobserved component panel data model
                                  to study the effect of earnings
                                  surprises on stock prices, trading
                                  volumes, and spreads . . . . . . . . . . 229--242
            Ernst R. Berndt and   
              Zvi Griliches and   
              Neal J. Rappaport   Econometric estimates of price indexes
                                  for personal computers in the 1990's . . 243--268
                      Anonymous   Pages 1--268 (July 1995) . . . . . . . . ??

Journal of Econometrics
Volume 68, Number 2, August, 1995

      Christopher L. Skeels and   
                Larry W. Taylor   On a simultaneous equations pre-test
                                  estimator  . . . . . . . . . . . . . . . 269--286
                    H. D. Vinod   Double bootstrap for shrinkage
                                  estimators . . . . . . . . . . . . . . . 287--302
                Moshe Buchinsky   Estimating the asymptotic covariance
                                  matrix for quantile regression models a
                                  Monte Carlo study  . . . . . . . . . . . 303--338
            Siddhartha Chib and   
               Edward Greenberg   Hierarchical analysis of SUR models with
                                  extensions to correlated serial errors
                                  and time-varying parameter models  . . . 339--360
            Heinz Neudecker and   
           Wolfgang Polasek and   
                  Shuangzhe Liu   The heteroskedastic linear regression
                                  model and the Hadamard product a note    361--366
                Michael Stutzer   A Bayesian approach to diagnosis of
                                  asset pricing models . . . . . . . . . . 367--397
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 399--399
                      Anonymous   Pages 269--399 (August 1995) . . . . . . ??


Journal of Econometrics
Volume 69, Number 1, September, 1995

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Luc Bauwens and   
                 Michel Lubrano   Editors' introduction Bayesian and
                                  classical econometric modeling of time
                                  series . . . . . . . . . . . . . . . . . 1--4
                Svend Hylleberg   Tests for seasonal unit roots general to
                                  specific or specific to general? . . . . 5--25
                  Henk Hoek and   
         André Lucas and   
             Herman K. van Dijk   Classical and Bayesian aspects of robust
                                  unit root inference  . . . . . . . . . . 27--59
                  Gary Koop and   
           Jacek Osiewalski and   
               Mark F. J. Steel   Bayesian long-run prediction in time
                                  series models  . . . . . . . . . . . . . 61--80
                 Michel Lubrano   Testing for unit roots in a Bayesian
                                  framework  . . . . . . . . . . . . . . . 81--109
          Sòren Johansen   Identifying restrictions of linear
                                  equations with applications to
                                  simultaneous equations and cointegration 111--132
               H. Peter Boswijk   Efficient inference on cointegration
                                  parameters in structural error
                                  correction models  . . . . . . . . . . . 133--158
               Neil R. Ericsson   Conditional and structural error
                                  correction models  . . . . . . . . . . . 159--171
               H. Peter Boswijk   Conditional and structural error
                                  correction models reply  . . . . . . . . 173--175
             Jean-Pierre Urbain   Partial versus full system modelling of
                                  cointegrated systems an empirical
                                  illustration . . . . . . . . . . . . . . 177--210
              Katarina Juselius   Do purchasing power parity and uncovered
                                  interest rate parity hold in the long
                                  run? An example of likelihood inference
                                  in a multivariate time-series model  . . 211--240
              Jan F. Kiviet and   
       Garry D. A. Phillips and   
                Bernhard Schipp   The bias of OLS, GLS, and ZEF estimators
                                  in dynamic seemingly unrelated
                                  regression models  . . . . . . . . . . . 241--266
               Grayham E. Mizon   A simple message for autocorrelation
                                  correctors: Don't  . . . . . . . . . . . 267--288
           Peter C. B. Phillips   Bayesian model selection and prediction
                                  with empirical applications  . . . . . . 289--331
                  Franz C. Palm   Bayesian model selection and prediction
                                  with empirical applications comments . . 333--335
   Jean-François Richard   Bayesian model selection and prediction
                                  with empirical applications discussion   337--349
           Peter C. B. Phillips   Bayesian prediction a response . . . . . 351--365

Journal of Econometrics
Volume 69, Number 2, October, 1995

            Kenneth D. West and   
                   Dongchul Cho   The predictive ability of several models
                                  of exchange rate volatility  . . . . . . 367--391
                Edward W. Frees   Assessing cross-sectional correlation in
                                  panel data . . . . . . . . . . . . . . . 393--414
             Rolf Färe and   
               Shawna Grosskopf   Nonparametric tests of regularity,
                                  Farrell efficiency, and goodness-of-fit  415--425
          James B. McDonald and   
                   Yexiao J. Xu   A generalization of the beta
                                  distribution with applications . . . . . 427--428
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 429--429
                      Anonymous   Pages 367--429 (October 1995)  . . . . . ??


Journal of Econometrics
Volume 70, Number 1, January, 1996

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
          Jean-Marie Dufour and   
                   Eric Ghysels   Editors' introduction recent
                                  developments in the econometrics of
                                  structural change  . . . . . . . . . . . 1--8
       Donald W. K. Andrews and   
                  Inpyo Lee and   
               Werner Ploberger   Optimal changepoint tests for normal
                                  linear regression  . . . . . . . . . . . 9--38
          Jean-Marie Dufour and   
                  Jan F. Kiviet   Exact tests for structural change in
                                  first-order dynamic models . . . . . . . 39--68
               Eric Ghysels and   
                  Pierre Perron   The effect of linear filters on dynamic
                                  time series with structural change . . . 69--97
           Allan W. Gregory and   
                Bruce E. Hansen   Residual-based tests for cointegration
                                  in models with regime shifts . . . . . . 99--126
              James D. Hamilton   Specification testing in
                                  Markov-switching time-series models  . . 127--157
             Javier Hidalgo and   
              Peter M. Robinson   Testing for structural change in a
                                  long-memory environment  . . . . . . . . 159--174
           Werner Ploberger and   
             Walter Krämer   A trend-resistant test for structural
                                  change based on OLS residuals  . . . . . 175--185
               Julia Campos and   
           Neil R. Ericsson and   
                David F. Hendry   Cointegration tests in the presence of
                                  structural breaks  . . . . . . . . . . . 187--220
         Francis X. Diebold and   
                     Celia Chen   Testing structural stability with
                                  endogenous breakpoint A size comparison
                                  of analytic and bootstrap procedures . . 221--241
                Peter Hackl and   
             Anders H. Westlund   Demand for international
                                  telecommunication time-varying price
                                  elasticity . . . . . . . . . . . . . . . 243--260
      Helmut Lütkepohl and   
                Helmut Herwartz   Specification of varying coefficient
                                  time series models via generalized
                                  flexible least squares . . . . . . . . . 261--290
          Stephen D. Oliner and   
         Glenn D. Rudebusch and   
                  Daniel Sichel   The Lucas critique revisited assessing
                                  the stability of empirical Euler
                                  equations for investment . . . . . . . . 291--316
                      Anonymous   Pages 1--316 (January 1996)  . . . . . . ??

Journal of Econometrics
Volume 70, Number 2, February, 1996

                  Pierre Perron   The adequacy of asymptotic
                                  approximations in the near-integrated
                                  autoregressive model with dependent
                                  errors . . . . . . . . . . . . . . . . . 317--350
                  Leon L. Wegge   Local identifiability of the factor
                                  analysis and measurement error model
                                  parameter  . . . . . . . . . . . . . . . 351--382
           Sören Blomquist   Estimation methods for male labor supply
                                  functions How to take account of
                                  nonlinear taxes  . . . . . . . . . . . . 383--405
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--407
                      Anonymous   Pages 317--407 (February 1996) . . . . . ??


Journal of Econometrics
Volume 71, Number 1--2, March / April, 1996

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--iii
               Daniel B. Nelson   Asymptotic filtering theory for
                                  multivariate ARCH models . . . . . . . . 1--47
                   Steven Stern   Semiparametric estimates of the supply
                                  and demand effects of disability on
                                  labor force participation  . . . . . . . 49--70
                Theo Nijman and   
                Enrique Sentana   Marginalization and contemporaneous
                                  aggregation in multivariate GARCH
                                  processes  . . . . . . . . . . . . . . . 71--87
                 Alfred A. Haug   Tests for cointegration a Monte Carlo
                                  comparison . . . . . . . . . . . . . . . 89--115
          M. Hashem Pesaran and   
                 Yongcheol Shin   Cointegration and speed of convergence
                                  to equilibrium . . . . . . . . . . . . . 117--143
             Tony Lancaster and   
                   Guido Imbens   Case-control studies with contaminated
                                  controls . . . . . . . . . . . . . . . . 145--160
          Andrew B. Bernard and   
              Steven N. Durlauf   Interpreting tests of the convergence
                                  hypothesis . . . . . . . . . . . . . . . 161--173
             Mukhtar M. Ali and   
              Subhash C. Sharma   Robustness to nonnormality of regression
                                  $F$-tests  . . . . . . . . . . . . . . . 175--205
               Chor-Yiu Sin and   
                  Halbert White   Information criteria for selecting
                                  possibly misspecified parametric models  207--225
              Jaeyoun Hwang and   
                  Peter Schmidt   Alternative methods of detrending and
                                  the power of unit root tests . . . . . . 227--248
          Margie A. Tieslau and   
              Peter Schmidt and   
             Richard T. Baillie   A minimum distance estimator for
                                  long-memory processes  . . . . . . . . . 249--264
              Roger Koenker and   
                   Beum J. Park   An interior point algorithm for
                                  nonlinear quantile regression  . . . . . 265--283
                  Kaddour Hadri   A note on Sargan densities . . . . . . . 285--290
             Gilbert E. Metcalf   Specification testing in panel data with
                                  instrumental variables . . . . . . . . . 291--307
               Seung C. Ahn and   
                     Stuart Low   A reformulation of the Hausman test for
                                  regression models with pooled
                                  cross-section-time-series data . . . . . 309--319
           Allan W. Gregory and   
             James M. Nason and   
                  David G. Watt   Testing for structural breaks in
                                  cointegrated relationships . . . . . . . 321--341
           Ingmar R. Prucha and   
                M. Ishaq Nadiri   Endogenous capital utilization and
                                  productivity measurement in dynamic
                                  factor demand models Theory and an
                                  application to the U.S. electrical
                                  machinery industry . . . . . . . . . . . 343--379
                 Bernd Wilfling   Lorenz ordering of generalized beta-II
                                  income distributions . . . . . . . . . . 381--388
                      Qi Li and   
               Thanasis Stengos   Semiparametric estimation of partially
                                  linear panel data models . . . . . . . . 389--397
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 399--402
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 403--403
                      Anonymous   Pages 1--403 (March--April 1996) . . . . ??


Journal of Econometrics
Volume 72, Number 1--2, May / June, 1996

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--iii
              Robert M. de Jong   The Bierens test under data dependence   1--32
            Yin-Wong Cheung and   
                   Lilian K. Ng   A causality-in-variance test and its
                                  application to financial market prices   33--48
               Thomas M. Stoker   Smoothing bias in the measurement of
                                  marginal effects . . . . . . . . . . . . 49--84
     Vassilis Hajivassiliou and   
            Daniel McFadden and   
                      Paul Ruud   Simulation of multivariate normal
                                  rectangle probabilities and their
                                  derivatives theoretical and
                                  computational results  . . . . . . . . . 85--134
                      Gary Koop   Parameter uncertainty and impulse
                                  response analysis  . . . . . . . . . . . 135--149
       Zacharias Psaradakis and   
                    Martin Sola   On the power of tests for
                                  superexogeneity and structural
                                  invariance . . . . . . . . . . . . . . . 151--175
             Subal C. Kumbhakar   A farm-level study of labor use and
                                  efficiency wages in Indian agriculture   177--195
              Siu Fai Leung and   
                      Shihti Yu   On the choice between sample selection
                                  and two-part models  . . . . . . . . . . 197--229
              Rulon D. Pope and   
                Richard E. Just   Empirical implementation of ex ante cost
                                  functions  . . . . . . . . . . . . . . . 231--249
                Hang K. Ryu and   
              Daniel J. Slottje   Two flexible functional form approaches
                                  for approximating the Lorenz curve . . . 251--274
              Leslie G. Godfrey   Some results on the Glejser and Koenker
                                  tests for heteroskedasticity . . . . . . 275--299
                  Niels Haldrup   Mirror image distributions and the
                                  Dickey--Fuller regression with a
                                  maintained trend . . . . . . . . . . . . 301--312
                  Paolo Paruolo   On the determination of integration
                                  indices in I(2) systems  . . . . . . . . 313--356
             David Waterman and   
                Andrew A. Weiss   The effects of vertical integration
                                  between cable television systems and pay
                                  cable networks . . . . . . . . . . . . . 357--395
                      Anonymous   Announcement . . . . . . . . . . . . . . 397--397
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 399--399
                      Anonymous   Pages 1--399 (May--June 1996)  . . . . . ??


Journal of Econometrics
Volume 73, Number 1, July, 1996

                      Anonymous   Editorial Board  . . . . . . . . . . . . iv--v
         Richard T. Baillie and   
                Maxwell L. King   Editors' introduction: Fractional
                                  differencing and long memory processes   1--3
             Richard T. Baillie   Long memory processes and fractional
                                  integration in econometrics  . . . . . . 5--59
        Clive W. J. Granger and   
                  Zhuanxin Ding   Varieties of long memory models  . . . . 61--77
          Piotr S. Kokoszka and   
                 Murad S. Taqqu   Infinite variance stable moving averages
                                  with long memory . . . . . . . . . . . . 79--99
                   F. Comte and   
                     E. Renault   Long memory continuous time models . . . 101--149
             Tim Bollerslev and   
             Hans Ole Mikkelsen   Modeling and pricing long memory in
                                  stock market volatility  . . . . . . . . 151--184
              Zhuanxin Ding and   
            Clive W. J. Granger   Modeling volatility persistence of
                                  speculative returns: A new approach  . . 185--215
                    Yuzo Hosoya   The quasi-likelihood approach to
                                  statistical inference on multiple
                                  time-series with long-range dependence   217--236
                Ching-Fan Chung   Estimating a generalized long memory
                                  process  . . . . . . . . . . . . . . . . 237--259
         Jonathan R. M. Hosking   Asymptotic distributions of the sample
                                  mean, autocovariances, and
                                  autocorrelations of long-memory time
                                  series . . . . . . . . . . . . . . . . . 261--284
                 Dongin Lee and   
                  Peter Schmidt   On the power of the KPSS test of
                                  stationarity against
                                  fractionally-integrated alternatives . . 285--302
                  I. Lobato and   
                 P. M. Robinson   Averaged periodogram estimation of long
                                  memory . . . . . . . . . . . . . . . . . 303--324
                      Anonymous   Pages 1--324 (July 1996) . . . . . . . . ??

Journal of Econometrics
Volume 73, Number 2, August, 1996

      Michael A. Magdalinos and   
         Spyridon D. Symeonides   A reinterpretation of the tests of
                                  overidentifying restrictions . . . . . . 325--353
              Carlo Grillenzoni   Testing for causality in real time . . . 355--376
                Jane M. Fry and   
              Tim R. L. Fry and   
               Keith R. McLaren   The stochastic specification of demand
                                  share equations: Restricting budget
                                  shares to the unit simplex . . . . . . . 377--385
       Christopher R. Bollinger   Bounding mean regressions when a binary
                                  regressor is mismeasured . . . . . . . . 387--399
                Tae-Hwy Lee and   
                     Yiuman Tse   Cointegration tests with conditional
                                  heteroskedasticity . . . . . . . . . . . 401--410
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 411--411
                      Anonymous   Pages 325--411 (August 1996) . . . . . . ??


Journal of Econometrics
Volume 74, Number 1, September, 1996

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
              Simon Burgess and   
           Alvaro Escribano and   
                   Gerard Pfann   Editor's introduction: Asymmetries and
                                  nonlinearities in dynamic economic
                                  models . . . . . . . . . . . . . . . . . 1--2
         Richard T. Baillie and   
             Tim Bollerslev and   
             Hans Ole Mikkelsen   Fractionally integrated generalized
                                  autoregressive conditional
                                  heteroskedasticity . . . . . . . . . . . 3--30
             Feike C. Drost and   
               Bas J. M. Werker   Closing the GARCH gap: Continuous time
                                  GARCH modeling . . . . . . . . . . . . . 31--57
     Òyvind Eitrheim and   
           Timo Teräsvirta   Testing the adequacy of smooth
                                  transition autoregressive models . . . . 59--75
           Victor M. Fenton and   
              A. Ronald Gallant   Qualitative and asymptotic performance
                                  of SNP density estimators  . . . . . . . 77--118
                  Gary Koop and   
          M. Hashem Pesaran and   
                Simon M. Potter   Impulse response analysis in nonlinear
                                  multivariate models  . . . . . . . . . . 119--147
            Gerard A. Pfann and   
          Peter C. Schotman and   
                 Rolf Tschernig   Nonlinear interest rate dynamics and
                                  implications for the term structure  . . 149--176
             George Tauchen and   
               Harold Zhang and   
                       Ming Liu   Volume, volatility, and leverage: A
                                  dynamic analysis . . . . . . . . . . . . 177--208
                      Anonymous   Pages 1--208 (September 1996)  . . . . . ??

Journal of Econometrics
Volume 74, Number 2, October, 1996

              Chi-ming Wong and   
                    Robert Kohn   A Bayesian approach to additive
                                  semiparametric regression  . . . . . . . 209--235
               Glen Barnett and   
                Robert Kohn and   
                 Simon Sheather   Bayesian estimation of an autoregressive
                                  model using Markov chain Monte Carlo . . 237--254
             Michael R. Wickens   Interpreting cointegrating vectors and
                                  common stochastic trends . . . . . . . . 255--271
            Kazuhiro Ohtani and   
                   Hideo Kozumi   The exact general formulae for the
                                  moments and the MSE dominance of the
                                  Stein-rule and positive-part Stein-rule
                                  estimators . . . . . . . . . . . . . . . 273--287
            Guido W. Imbens and   
                 Tony Lancaster   Efficient estimation and stratified
                                  sampling . . . . . . . . . . . . . . . . 289--318
                 David Card and   
                 Thomas Lemieux   Wage dispersion, returns to skill, and
                                  black-white wage differentials . . . . . 319--361
               Luigi Ermini and   
                  Dongkoo Chang   Testing the joint hypothesis of
                                  rationality and neutrality under
                                  seasonal cointegration: The case of
                                  Korea  . . . . . . . . . . . . . . . . . 363--386
          Jeffrey M. Wooldridge   Estimating systems of equations with
                                  different instruments for different
                                  equations  . . . . . . . . . . . . . . . 387--405
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 407--407
                      Anonymous   Pages 209--407 (October 1996)  . . . . . ??


Journal of Econometrics
Volume 75, Number 1, November, 1996

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Luc Bauwens and   
           Wolfgang Polasek and   
             Herman K. van Dijk   Editor's introduction  . . . . . . . . . 1--5
             Stephen M. Stigler   The Bernoullis of Basel  . . . . . . . . 7--13
                   Glenn Shafer   The significance of Jacob Bernoulli's
                                  Ars Conjectandi for the philosophy of
                                  probability today  . . . . . . . . . . . 15--32
              Gianluigi Pelloni   De Finetti, Friedman, and the
                                  methodology of positive economics  . . . 33--50
                 Arnold Zellner   Models, prior information, and Bayesian
                                  analysis . . . . . . . . . . . . . . . . 51--68
               Chuanhai Liu and   
                Donald B. Rubin   Markov-Normal analysis of iterative
                                  simulations before their convergence . . 69--78
                Siddhartha Chib   Calculating posterior distributions and
                                  modal estimates in Markov mixture models 79--97
           Joseph B. Kadane and   
             Ngai Hang Chan and   
                Lara J. Wolfson   Priors for unit root models  . . . . . . 99--111
          Karen D. S. Young and   
             Lawrence I. Pettit   On priors and Bayes factors  . . . . . . 113--119
                    John Geweke   Bayesian reduced rank regression in
                                  econometrics . . . . . . . . . . . . . . 121--146
                Hiroko Kato and   
               Sadao Naniwa and   
                 Makio Ishiguro   A Bayesian multivariate nonstationary
                                  time series model for estimating mutual
                                  relationships among variables  . . . . . 147--161
                Dale J. Poirier   A Bayesian analysis of nested logit
                                  models . . . . . . . . . . . . . . . . . 163--181
                 Peter Schotman   A Bayesian approach to the empirical
                                  valuation of bond options  . . . . . . . 183--215
                      Mike West   Inference in successive sampling
                                  discovery models . . . . . . . . . . . . 217--238
                      Anonymous   Pages 1--238 (November 1996) . . . . . . ??

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

                  Shigeru Iwata   Bounding posterior means by model
                                  criticism  . . . . . . . . . . . . . . . 239--261
                  John Xu Zheng   A consistent test of functional form via
                                  nonparametric estimation techniques  . . 263--289
            James L. Powell and   
               Thomas M. Stoker   Optimal bandwidth choice for
                                  density-weighted averages  . . . . . . . 291--316
              Michael Smith and   
                    Robert Kohn   Nonparametric regression using Bayesian
                                  variable selection . . . . . . . . . . . 317--343
            Badi H. Baltagi and   
             Javier Hidalgo and   
                          Qi Li   A nonparametric test for poolability
                                  using panel data . . . . . . . . . . . . 345--367
              Paul Rilstone and   
           V. K. Srivastava and   
                     Aman Ullah   The second-order bias and mean squared
                                  error of nonlinear estimators  . . . . . 369--395
               Dennis J. Aigner   Editorial statement  . . . . . . . . . . 397--398
                      Anonymous   \booktitleJournal of Econometrics
                                  Fellows ---- 1996  . . . . . . . . . . . 399--400
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Pages 239--401 (December 1996) . . . . . ??


Journal of Econometrics
Volume 76, Number 1--2, January / February, 1997

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                Chunrong Ai and   
                Daniel McFadden   Estimation of some partially specified
                                  nonlinear models . . . . . . . . . . . . 1--37
          Thomas S. Shively and   
                    Robert Kohn   A Bayesian approach to model selection
                                  in stochastic coefficient regression
                                  models and structural time series models 39--52
                Roger Klein and   
                 Robert Sherman   Estimating new product demand from
                                  biased survey data . . . . . . . . . . . 53--76
                  Gary Koop and   
           Jacek Osiewalski and   
               Mark F. J. Steel   Bayesian efficiency analysis through
                                  individual effects: Hospital cost
                                  frontiers  . . . . . . . . . . . . . . . 77--105
        Bo E. Honoré and   
       Ekaterini Kyriazidou and   
               Christopher Udry   Estimation of Type 3 Tobit models using
                                  symmetric trimming and pairwise
                                  comparisons  . . . . . . . . . . . . . . 107--128
               Ki-Hong Choi and   
                Choon-Geol Moon   Generalized extreme value model and
                                  additively separable generator function  129--140
         Walter Krämer and   
                  Sonja Michels   Autocorrelation- and
                                  heteroskedasticity-consistent $t$-values
                                  with trending data . . . . . . . . . . . 141--147
                  Gary Koop and   
                Eduardo Ley and   
           Jacek Osiewalski and   
               Mark F. J. Steel   Bayesian analysis of long memory and
                                  persistence using ARFIMA models  . . . . 149--169
                Kenneth D. West   Another heteroskedasticity- and
                                  autocorrelation-consistent covariance
                                  matrix estimator . . . . . . . . . . . . 171--191
         Marcel G. Dagenais and   
             Denyse L. Dagenais   Higher moment estimators for linear
                                  regression models with errors in the
                                  variables  . . . . . . . . . . . . . . . 193--221
              John G. Cragg and   
              Stephen G. Donald   Inferring the rank of a matrix . . . . . 223--250
            Pedro J. F. de Lima   On the robustness of nonlinearity tests
                                  to moment condition failure  . . . . . . 251--280
           Wim P. M. Vijverberg   Monte Carlo evaluation of multivariate
                                  normal probabilities . . . . . . . . . . 281--307
               Seung C. Ahn and   
                  Peter Schmidt   Efficient estimation of dynamic panel
                                  data models: Alternative assumptions and
                                  simplified estimation  . . . . . . . . . 309--321
               Heng Z. Chen and   
                   Alan Randall   Semi-nonparametric estimation of binary
                                  response models with an application to
                                  natural resource valuation . . . . . . . 323--340
                  Haim Levy and   
                 Gideon Schwarz   Correlation and the time interval over
                                  which the variables are measured . . . . 341--350
             Subal C. Kumbhakar   Modeling allocative inefficiency in a
                                  translog cost function and cost share
                                  equations: An exact relationship . . . . 351--356
         Francis X. Diebold and   
                Russell L. Lamb   Why are estimates of agricultural supply
                                  response so variable?  . . . . . . . . . 357--373
                Tomas Philipson   The evaluation of new health care
                                  technology: The labor economics of
                                  statistics . . . . . . . . . . . . . . . 375--395
         Torben G. Andersen and   
        Bent E. Sòrensen   GMM and QML asymptotic standard
                                  deviations in stochastic volatility
                                  models: Comments on Ruiz (1994)  . . . . 397--403
                    Esther Ruiz   QML and GMM estimators of stochastic
                                  volatility models: Response to Andersen
                                  and Sòrensen  . . . . . . . . . . . . . . 405--405
                      Anonymous   Acknowledgement  . . . . . . . . . . . . 407--408
                      Anonymous   Pages 1--408 (January--February 1997)    ??


Journal of Econometrics
Volume 77, Number 1, March, 1997

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
                  Alok Bhargava   Editor's introduction: Analysis of data
                                  on health  . . . . . . . . . . . . . . . 1--4
                Partha Dasgupta   Nutritional status, the capacity for
                                  work, and poverty traps  . . . . . . . . 5--37
             Mark McClellan and   
             Joseph P. Newhouse   The marginal cost-effectiveness of
                                  medical technology: A panel
                                  instrumental-variables approach  . . . . 39--64
                 C. Y. Wang and   
                Suojin Wang and   
                  R. J. Carroll   Estimation in choice-based sampling with
                                  measurement error and bootstrap analysis 65--86
              Nanak Kakwani and   
              Adam Wagstaff and   
             Eddy van Doorslaer   Socioeconomic inequalities in health:
                                  Measurement, computation, and
                                  statistical inference  . . . . . . . . . 87--103
             David E. Bloom and   
                  Ajay S. Mahal   Does the AIDS epidemic threaten economic
                                  growth?  . . . . . . . . . . . . . . . . 105--124
                Benu Bidani and   
               Martin Ravallion   Decomposing social indicators using
                                  distributional data  . . . . . . . . . . 125--139
                T. Paul Schultz   Assessing the productive benefits of
                                  nutrition and health: An integrated
                                  human capital approach . . . . . . . . . 141--158
              Duncan Thomas and   
                   John Strauss   Health and wages: Evidence on men and
                                  women in urban Brazil  . . . . . . . . . 159--185
            Jere R. Behrman and   
           Andrew D. Foster and   
             Mark R. Rosenzweig   The dynamics of agricultural production
                                  and the calorie-income relationship:
                                  Evidence from Pakistan . . . . . . . . . 187--207
               Lung-fei Lee and   
         Mark R. Rosenzweig and   
                   Mark M. Pitt   The effects of improved nutrition,
                                  sanitation, and water quality on child
                                  health in high-mortality populations . . 209--235
               Paul Gertler and   
                   Roland Sturm   Private health insurance and public
                                  expenditures in Jamaica  . . . . . . . . 237--257
        Jonathan J. Morduch and   
                   Hal S. Stern   Using mixture models to detect sex bias
                                  in health outcomes in Bangladesh . . . . 259--276
                  Alok Bhargava   Nutritional status and the allocation of
                                  time in Rwandese households  . . . . . . 277--295
                      Anonymous   Pages 1--295 (March 1997)  . . . . . . . ??

Journal of Econometrics
Volume 77, Number 2, April, 1997

             William A. Barnett   Fellow's opinion: Econometrics, data,
                                  and the world wide web . . . . . . . . . 297--302
            Badi H. Baltagi and   
               James M. Griffin   Pooled estimators vs. their
                                  heterogeneous counterparts in the
                                  context of dynamic demand for gasoline   303--327
           A. Colin Cameron and   
         Frank A. G. Windmeijer   An $R$-squared measure of goodness of
                                  fit for some common nonlinear regression
                                  models . . . . . . . . . . . . . . . . . 329--342
         Torben G. Andersen and   
                    Jesper Lund   Estimating continuous-time stochastic
                                  volatility models of the short-term
                                  interest rate  . . . . . . . . . . . . . 343--377
              Herman J. Bierens   Nonparametric cointegration analysis . . 379--404
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 405--406
                      Anonymous   Pages 297--406 (April 1997)  . . . . . . ??


Journal of Econometrics
Volume 78, Number 1, 1997

        Linda Anderson-Courtney   \booktitleJournal of Econometrics:
                                  Subject and author index: Volumes
                                  61--75, 1994--1996 . . . . . . . . . . . 1--130
                      Anonymous   Announcement: Fellows of the Journal of
                                  Econometrics . . . . . . . . . . . . . . 131--133
                      Anonymous   \booktitleJournal of Econometrics Annals
                                  1979--1996 . . . . . . . . . . . . . . . 135--138
                Dale J. Poirier   Comparing and choosing between two
                                  models with a third model in the
                                  background . . . . . . . . . . . . . . . 139--151
         Anil K. Srivastava and   
                        Shalabh   Improved estimation of the slope
                                  parameter in a linear ultrastructural
                                  model when measurement errors are not
                                  necessarily normal . . . . . . . . . . . 153--157
               Charles J. Romeo   Measuring information loss due to
                                  inconsistencies in duration data from
                                  longitudinal surveys . . . . . . . . . . 159--177
                   Lung-Fei Lee   Simulation estimation of dynamic
                                  switching regression and dynamic
                                  disequilibrium models-some Monte Carlo
                                  results  . . . . . . . . . . . . . . . . 179--204
                     Ralf Runde   The asymptotic null distribution of the
                                  Box--Pierce $Q$-statistic for random
                                  variables with infinite variance: An
                                  application to German stock returns  . . 205--216
                  Gary Koop and   
                Dale J. Poirier   Learning about the across-regime
                                  correlation in switching regression
                                  models . . . . . . . . . . . . . . . . . 217--227
               George G. Szpiro   Noise in unspecified, non-linear time
                                  series . . . . . . . . . . . . . . . . . 229--255
                   Lung-Fei Lee   A smooth likelihood simulator for
                                  dynamic disequilibrium models  . . . . . 257--294
            J. Krishnakumar and   
                   E. Ronchetti   Robust estimators for simultaneous
                                  equations models . . . . . . . . . . . . 295--314
      Helmut Lütkepohl and   
                 Maike M. Burda   Modified Wald tests under nonregular
                                  conditions . . . . . . . . . . . . . . . 315--332
               Harry J. Paarsch   Deriving an estimate of the optimal
                                  reserve price: An application to British
                                  Columbian timber sales . . . . . . . . . 333--357
        Philip Hans Franses and   
                  Henk Hoek and   
                   Richard Paap   Bayesian analysis of seasonal unit roots
                                  and seasonal mean shifts . . . . . . . . 359--380
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 381--381
                      Anonymous   Editorial Board  . . . . . . . . . . . . i, iv
                      Anonymous   Pages 1--381 (1997)  . . . . . . . . . . ??

Journal of Econometrics
Volume 78, Number 2, June, 1997

                Dale J. Poirier   Comparing and choosing between two
                                  models with a third model in the
                                  background . . . . . . . . . . . . . . . 139--151
         Anil K. Srivastava and   
                        Shalabh   Improved estimation of the slope
                                  parameter in a linear ultrastructural
                                  model when measurement errors are not
                                  necessarily normal . . . . . . . . . . . 153--157
               Charles J. Romeo   Measuring information loss due to
                                  inconsistencies in duration data from
                                  longitudinal surveys . . . . . . . . . . 159--177
                   Lung-Fei Lee   Simulation estimation of dynamic
                                  switching regression and dynamic
                                  disequilibrium models --- some Monte
                                  Carlo results  . . . . . . . . . . . . . 179--184, 186--204
                     Ralf Runde   The asymptotic null distribution of the
                                  Box--Pierce $Q$-statistic for random
                                  variables with infinite variance an
                                  application to German stock returns  . . 205--216
                  Gary Koop and   
                Dale J. Poirier   Learning about the across-regime
                                  correlation in switching regression
                                  models . . . . . . . . . . . . . . . . . 217--227
               George G. Szpiro   Noise in unspecified, non-linear time
                                  series . . . . . . . . . . . . . . . . . 229--255
                   Lung-Fei Lee   A smooth likelihood simulator for
                                  dynamic disequilibrium models  . . . . . 257--294
            J. Krishnakumar and   
                   E. Ronchetti   Robust estimators for simultaneous
                                  equations models . . . . . . . . . . . . 295--314
      Helmut Lütkepohl and   
                 Maike M. Burda   Modified Wald tests under nonregular
                                  conditions . . . . . . . . . . . . . . . 315--332
               Harry J. Paarsch   Deriving an estimate of the optimal
                                  reserve price: An application to British
                                  Columbian timber sales . . . . . . . . . 333--357
        Philip Hans Franses and   
                  Henk Hoek and   
                   Richard Paap   Bayesian analysis of seasonal unit roots
                                  and seasonal mean shifts . . . . . . . . 359--380
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 381--381
                      Anonymous   Pages 139--381 (June 1997) . . . . . . . ??


Journal of Econometrics
Volume 79, Number 1, July, 1997

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--iii
                   Jinyong Hahn   Efficient estimation of panel data
                                  models with sequential moment
                                  restrictions . . . . . . . . . . . . . . 1--21
                 Amos Golan and   
               George Judge and   
                Jeffrey Perloff   Estimation and inference with censored
                                  and ordered multinomial response data    23--51
                  Serena Ng and   
                  Pierre Perron   Estimation and inference in nearly
                                  unbalanced nearly cointegrated systems   53--81
            Howard E. Doran and   
             Alicia N. Rambaldi   Applying linear time-varying constraints
                                  to econometric models: With an
                                  application to demand systems  . . . . . 83--95
                 Jin-Chuan Duan   Augmented GARCH ( p, q ) process and its
                                  diffusion limit  . . . . . . . . . . . . 97--127
                 Jeffrey S. Pai   Bayesian analysis of compound loss
                                  distributions  . . . . . . . . . . . . . 129--146
               Whitney K. Newey   Convergence rates and asymptotic
                                  normality for series estimators  . . . . 147--168
    Carmen Fernández and   
           Jacek Osiewalski and   
               Mark F. J. Steel   On the use of panel data in stochastic
                                  frontier models with improper priors . . 169--193
                      Anonymous   Pages 1--193 (July 1997) . . . . . . . . ??

Journal of Econometrics
Volume 79, Number 2, August, 1997

Christian Gouriéroux and   
                 Thierry Magnac   Duration, transition and count data
                                  models Introduction  . . . . . . . . . . 195--199
    Bent Jesper Christensen and   
             Nicholas M. Kiefer   Inference in non-linear panel models
                                  with partially missing observations The
                                  case of the equilibrium search model . . 201--219
         Gerard J. van den Berg   Association measures for durations in
                                  bivariate hazard rate models . . . . . . 221--245
              C. Gourieroux and   
                      M. Visser   A count data model with unobserved
                                  heterogeneity  . . . . . . . . . . . . . 247--268
                   Eric Ghysels   On seasonality and business cycle
                                  durations: A nonparametric investigation 269--290
                 Tony Lancaster   Bayes WESML Posterior inference from
                                  choice-based samples . . . . . . . . . . 291--303
                Hans G. Bloemen   Job search theory, labour supply and
                                  unemployment duration  . . . . . . . . . 305--325
              Costas Meghir and   
              Edward Whitehouse   Labour market transitions and retirement
                                  of men in the UK . . . . . . . . . . . . 327--354
               Bruno Crepon and   
                Emmanuel Duguet   Research and development, competition
                                  and innovation pseudo-maximum likelihood
                                  and simulated maximum likelihood methods
                                  applied to count data models with
                                  heterogeneity  . . . . . . . . . . . . . 355--378
             Georges Dionne and   
        Robert Gagné and   
     François Gagnon and   
                Charles Vanasse   Debt, moral hazard and airline safety An
                                  empirical evidence . . . . . . . . . . . 379--402
                      Anonymous   Pages 195--402 (August 1997) . . . . . . ??


Journal of Econometrics
Volume 80, Number 1, September, 1997

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--iii
                  Songnian Chen   Semiparametric estimation of the Type-3
                                  Tobit model  . . . . . . . . . . . . . . 1--34
        Clive W. J. Granger and   
              Norman R. Swanson   An introduction to stochastic unit-root
                                  processes  . . . . . . . . . . . . . . . 35--62
               Quanling Wei and   
                        Gang Yu   Analyzing properties of $K$-cones in the
                                  generalized data envelopment analysis
                                  model  . . . . . . . . . . . . . . . . . 63--84
            Yuichi Kitamura and   
           Peter C. B. Phillips   Fully modified IV, GIVE and GMM
                                  estimation with possibly non-stationary
                                  regressors and instruments . . . . . . . 85--123
             John F. Geweke and   
           Michael P. Keane and   
                David E. Runkle   Statistical inference in the multinomial
                                  multiperiod probit model . . . . . . . . 125--165
           H. Peter Boswijk and   
        Philip Hans Franses and   
                  Niels Haldrup   Multiple unit roots in periodic
                                  autoregression . . . . . . . . . . . . . 167--193
                      Anonymous   Pages 1--193 (September 1997)  . . . . . ??

Journal of Econometrics
Volume 80, Number 2, October, 1997

                      Anonymous   Editors introduction . . . . . . . . . . 195--197
              Farshid Vahid and   
                Robert F. Engle   Codependent cycles . . . . . . . . . . . 199--221
      Helmut Lütkepohl and   
                Holger Claessen   Analysis of cointegrated VARMA processes 223--239
     L. A. Gil-Alaña and   
                 P. M. Robinson   Testing of unit root and other
                                  nonstationary hypotheses in
                                  macroeconomic time series  . . . . . . . 241--268
       Thomas J. Rothenberg and   
                 James H. Stock   Inference in a nearly integrated
                                  autoregressive model with nonnormal
                                  innovations  . . . . . . . . . . . . . . 269--286
                   Horst Entorf   Random walks with drifts: Nonsense
                                  regression and spurious fixed-effect
                                  estimation . . . . . . . . . . . . . . . 287--296
                  Hongyi Li and   
                  G. S. Maddala   Bootstrapping cointegrating regressions  297--318
                  D. V. Hinkley   Discussion of paper by H. Li and G. S.
                                  Maddala  . . . . . . . . . . . . . . . . 319--323
              Jan F. Kiviet and   
              Jean-Marie Dufour   Exact tests in single equation
                                  autoregressive distributed lag models    325--353
                  Pierre Perron   Further evidence on breaking trend
                                  functions in macroeconomic variables . . 355--385
             A. C. Atkinson and   
              S. J. Koopman and   
                    N. Shephard   Detecting shocks: Outliers and breaks in
                                  time series  . . . . . . . . . . . . . . 387--422
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 423--423
                      Anonymous   Pages 195--423 (October 1997)  . . . . . ??


Journal of Econometrics
Volume 81, Number 1, November, 1997

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
          Helmut Lütkepohl   Nonparametric dynamic modelling  . . . . 1--5
         Jörg Breitung and   
    Christian Gouriéroux   Rank tests for unit roots  . . . . . . . 7--27
              Herman J. Bierens   Testing the unit root with drift
                                  hypothesis against nonlinear trend
                                  stationarity, with an application to the
                                  US price level and interest rate . . . . 29--64
        Clive W. J. Granger and   
                Tomoo Inoue and   
                   Norman Morin   Nonlinear stochastic trends  . . . . . . 65--92
           Pentti Saikkonen and   
                Ritva Luukkonen   Testing cointegration in infinite order
                                  vector autoregressive processes  . . . . 93--126
      Helmut Lütkepohl and   
               Pentti Saikkonen   Impulse response analysis in infinite
                                  order cointegrated vector autoregressive
                                  processes  . . . . . . . . . . . . . . . 127--157
          A. Ronald Gallant and   
                David Hsieh and   
                 George Tauchen   Estimation of stochastic volatility
                                  models with diagnostics  . . . . . . . . 159--192
             Feike C. Drost and   
           Chris A. J. Klaassen   Efficient estimation in semiparametric
                                  GARCH models . . . . . . . . . . . . . . 193--221
             W. Härdle and   
                    A. Tsybakov   Local polynomial estimators of the
                                  volatility function in nonparametric
                                  autoregression . . . . . . . . . . . . . 223--242
            Peter Bossaerts and   
                 Pierre Hillion   Local parametric analysis of hedging in
                                  discrete time  . . . . . . . . . . . . . 243--272
        Philip Hans Franses and   
                 Gerrit Draisma   Recognizing changing seasonal patterns
                                  using artificial neural networks . . . . 273--280
                      Anonymous   Pages 1--280 (November 1997) . . . . . . ??

Journal of Econometrics
Volume 81, Number 2, December, 1997

              D. N. Politis and   
           Joseph P. Romano and   
                   Michael Wolf   Subsampling for heteroskedastic time
                                  series . . . . . . . . . . . . . . . . . 281--317
                    Brian Erard   Self-selection with measurement errors A
                                  microeconometric analysis of the
                                  decision to seek tax assistance and its
                                  implications for tax compliance  . . . . 319--356
                Pedro L. Gozalo   Nonparametric bootstrap analysis with
                                  applications to demographic effects in
                                  demand functions . . . . . . . . . . . . 357--393
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 395--395
                      Anonymous   Pages 281--395 (December 1997) . . . . . ??


Journal of Econometrics
Volume 82, Number 1, 1997

                      Anonymous   Editorial Board  . . . . . . . . . . . . iii--iii
                   Lung-Fei Lee   Simulated maximum likelihood estimation
                                  of dynamic discrete choice statistical
                                  models some Monte Carlo results  . . . . 1--35
             M. Dolores Collado   Estimating dynamic models from time
                                  series of independent cross-sections . . 37--62
            Naorayex K. Dastoor   Testing for conditional
                                  heteroskedasticity with misspecified
                                  alternative hypotheses . . . . . . . . . 63--80
            Shahidur Rahman and   
                Maxwell L. King   Marginal-likelihood score-based tests of
                                  regression disturbances in the presence
                                  of nuisance parameters . . . . . . . . . 81--106
                Masao Ogaki and   
                   Joon Y. Park   A cointegration approach to estimating
                                  preference parameters  . . . . . . . . . 107--134
               Bruno Crepon and   
            Francis Kramarz and   
                  Alain Trognon   Parameters of interest, nuisance
                                  parameters and orthogonality conditions
                                  An application to autoregressive error
                                  component models . . . . . . . . . . . . 135--156
         William A. Barnett and   
          A. Ronald Gallant and   
           Melvin J. Hinich and   
       Jochen A. Jungeilges and   
           Daniel T. Kaplan and   
                 Mark J. Jensen   A single-blind controlled competition
                                  among tests for nonlinearity and chaos   157--192
                      Anonymous   Announcements  . . . . . . . . . . . . . 193--195
                      Anonymous   Pages 1--195 (1997)  . . . . . . . . . . ??

Journal of Econometrics
Volume 82, Number 2, February, 1998

              Leslie G. Godfrey   Hausman tests for autocorrelation in the
                                  presence of lagged dependent variables
                                  some further results . . . . . . . . . . 197--207
               Eric Ghysels and   
                 Alain Guay and   
                  Alastair Hall   Predictive tests for structural change
                                  with unknown breakpoint  . . . . . . . . 209--233
             Bernd Fitzenberger   The moving blocks bootstrap and robust
                                  inference for linear least squares and
                                  quantile regressions . . . . . . . . . . 235--287
             Carmela E. Quintos   Stability tests in error correction
                                  models . . . . . . . . . . . . . . . . . 289--315
        Hans J. Blommestein and   
               Nick A. M. Koper   The influence of sample size on the
                                  degree of redundancy in spatial lag
                                  operators  . . . . . . . . . . . . . . . 317--333
          Philippe J. Deschamps   Full maximum likelihood estimation of
                                  dynamic demand models  . . . . . . . . . 335--359
              Franz C. Palm and   
                Gerard A. Pfann   Sources of asymmetry in production
                                  factor dynamics  . . . . . . . . . . . . 361--392
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 393--393
                      Anonymous   Pages 197--393 (February 1998) . . . . . ??


Journal of Econometrics
Volume 83, Number 1--2, March / April, 1998

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
              Lawrence R. Klein   Editor's introduction studies in
                                  econometrics in honor of Carl F. Christ  1--7
            Christopher A. Sims   Econometric implications of the
                                  government budget constraint . . . . . . 9--19
           Peter C. B. Phillips   Impulse response and forecast error
                                  variance asymptotics in nonstationary
                                  VARs . . . . . . . . . . . . . . . . . . 21--56
           Thomas F. Cooley and   
                     Mark Dwyer   Business cycle analysis without much
                                  theory A look at structural VARs . . . . 57--88
            Patrick K. Asea and   
                 Brock Blomberg   Lending cycles . . . . . . . . . . . . . 89--128
               Marc Nerlove and   
                 Ilaria Fornari   Quasi-rational expectations, an
                                  alternative to fully rational
                                  expectations: An application to US beef
                                  cattle supply  . . . . . . . . . . . . . 129--161
             Phoebus J. Dhrymes   Identification and Kullback information
                                  in the GLSEM . . . . . . . . . . . . . . 163--184
                 Arnold Zellner   The finite sample properties of
                                  simultaneous equations' estimates and
                                  estimators Bayesian and non-Bayesian
                                  approaches . . . . . . . . . . . . . . . 185--212
             Alice Nakamura and   
                 Masao Nakamura   Model specification and endogeneity  . . 213--237
            Michael D. McCarthy   Finite sample moments results for the
                                  quasi-FIML estimator of the reduced
                                  form: The linear case  . . . . . . . . . 239--262
           Hisashi Tanizaki and   
             Roberto S. Mariano   Nonlinear and non-Gaussian state-space
                                  modeling with Monte Carlo simulations    263--290
            Patrick K. Asea and   
                   Mthuli Ncube   Heterogeneous information arrival and
                                  option pricing . . . . . . . . . . . . . 291--323
              F. Jay Breidt and   
                 Nuno Crato and   
                  Pedro de Lima   The detection and estimation of long
                                  memory in stochastic volatility  . . . . 325--348
               Jean A. Crockett   Rational expectations, inflation and the
                                  nominal interest rate  . . . . . . . . . 349--363
                      Anonymous   Pages 1--363 (March--April 1998) . . . . ??


Journal of Econometrics
Volume 84, Number 1, May, 1998

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
        Heather M. Anderson and   
                  Farshid Vahid   Testing multiple equation systems for
                                  common nonlinear components  . . . . . . 1--36
           Joel L. Horowitz and   
              Charles F. Manski   Censoring of outcomes and regressors due
                                  to survey nonresponse: Identification
                                  and estimation using weights and
                                  imputations  . . . . . . . . . . . . . . 37--58
                  L. G. Godfrey   Tests of non-nested regression models
                                  some results on small sample behaviour
                                  and the bootstrap  . . . . . . . . . . . 59--74
                Chung-Ming Kuan   Tests for changes in models with a
                                  polynomial trend . . . . . . . . . . . . 75--91
          Yacine A\"\it-Sahalia   Dynamic equilibrium and volatility in
                                  financial asset markets  . . . . . . . . 93--127
                Joseph V. Terza   Estimating count data models with
                                  endogenous switching: Sample selection
                                  and endogenous treatment effects . . . . 129--154
           Donald W. K. Andrews   Hypothesis testing with a restricted
                                  parameter space  . . . . . . . . . . . . 155--199
                      Anonymous   Announcement: Fellows of the journal of
                                  econometrics . . . . . . . . . . . . . . 201--203
                      Anonymous   Pages 1--203 (May 1998)  . . . . . . . . ??

Journal of Econometrics
Volume 84, Number 2, June, 1998

                   Joris Pinkse   A consistent nonparametric test for
                                  serial independence  . . . . . . . . . . 205--231
                Francesc Marmol   Spurious regression theory with
                                  nonstationary fractionally integrated
                                  processes  . . . . . . . . . . . . . . . 233--250
                   L. Magee and   
                 A. L. Robb and   
                 J. B. Burbidge   On the use of sampling weights when
                                  estimating regression models with survey
                                  data . . . . . . . . . . . . . . . . . . 251--271
                 B. U. Park and   
              R. C. Sickles and   
                       L. Simar   Stochastic panel frontiers: A
                                  semiparametric approach  . . . . . . . . 273--301
              Niels Haldrup and   
                    Mark Salmon   Representations of ${\rm I}(2)$
                                  cointegrated systems using the
                                  Smith--McMillan form . . . . . . . . . . 303--325
             Gauthier Lanot and   
                     Ian Walker   The union/non-union wage differential:
                                  An application of semi-parametric
                                  methods  . . . . . . . . . . . . . . . . 327--349
       Christopher Cavanagh and   
              Robert P. Sherman   Rank estimators for monotonic index
                                  models . . . . . . . . . . . . . . . . . 351--381
                     Liqun Wang   Estimation of censored linear
                                  errors-in-variables models . . . . . . . 383--400
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Pages 205--401 (June 1998) . . . . . . . ??


Journal of Econometrics
Volume 85, Number 1, July, 1998

                      Anonymous   Editorial Board  . . . . . . . . . . . . ii--ii
             Marcus J. Chambers   The estimation of systems of joint
                                  differential-difference equations  . . . 1--31
          Scott E. Atkinson and   
               Robert Halvorsen   Parametric tests for static and dynamic
                                  equilibrium  . . . . . . . . . . . . . . 33--50
          Darrell A. Turkington   Efficient estimation in the linear
                                  simultaneous equations model with vector
                                  autoregressive disturbances  . . . . . . 51--74
             Laurence Broze and   
    Christian Gouriéroux   Pseudo-maximum likelihood method,
                                  adjusted pseudo-maximum likelihood
                                  method and covariance estimators . . . . 75--98
          Andrew J. Filardo and   
              Stephen F. Gordon   Business cycle durations . . . . . . . . 99--123
               Joris Pinkse and   
              Margaret E. Slade   Contracting in space: An application of
                                  spatial statistics to discrete-choice
                                  models . . . . . . . . . . . . . . . . . 125--154
             Carmela E. Quintos   Analysis of cointegration vectors using
                                  the GMM approach . . . . . . . . . . . . 155--188
         Robert G. Chambers and   
             Rolf Färe and   
            Edward Jaenicke and   
               Erik Lichtenberg   Using dominance in forming bounds on DEA
                                  models: The case of experimental
                                  agricultural data  . . . . . . . . . . . 189--203
                      Anonymous   Pages 1--203 (July 1998) . . . . . . . . ??

Journal of Econometrics
Volume 85, Number 2, August, 1998

         James G. MacKinnon and   
               Anthony A. Smith   Approximate bias correction in
                                  econometrics . . . . . . . . . . . . . . 205--230
             Douglas J. Hodgson   Adaptive estimation of cointegrating
                                  regressions with ARMA errors . . . . . . 231--267
           Richard J. Smith and   
            A. M. Robert Taylor   Additional critical values and
                                  asymptotic representations for seasonal
                                  unit root tests  . . . . . . . . . . . . 269--288
                      Li Yikang   Low-pass filtered least squares
                                  estimators of cointegrating vectors  . . 289--316
                   Minxian Yang   System estimators of cointegrating
                                  matrix in absence of normalising
                                  information  . . . . . . . . . . . . . . 317--337
                 Byeongseon Seo   Statistical inference on cointegration
                                  rank in error correction models with
                                  stationary covariates  . . . . . . . . . 339--385
                         Li Kai   Bayesian inference in a simultaneous
                                  equation model with limited dependent
                                  variables  . . . . . . . . . . . . . . . 387--400
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 401--401
                      Anonymous   Pages 205--401 (August 1998) . . . . . . ??


Journal of Econometrics
Volume 86, Number 1, September, 1998

          Lars Peter Hansen and   
José Alexandre Scheinkman and   
                    Nizar Touzi   Spectral methods for identifying scalar
                                  diffusions . . . . . . . . . . . . . . . 1--32
            Siddhartha Chib and   
           Edward Greenberg and   
              Rainer Winkelmann   Posterior simulation and Bayes factors
                                  in panel count data models . . . . . . . 33--54
             Hiroshi Yamada and   
                   Hiro Y. Toda   Inference in possibly integrated vector
                                  autoregressive models: some finite
                                  sample evidence  . . . . . . . . . . . . 55--95
              Antonis Demos and   
                Enrique Sentana   Testing for GARCH effects: a one-sided
                                  approach . . . . . . . . . . . . . . . . 97--127
       Jesús Gonzalo and   
                    Tae-Hwy Lee   Pitfalls in testing for long run
                                  relationships  . . . . . . . . . . . . . 129--154
                   Mehmet Caner   Tests for cointegration with infinite
                                  variance errors  . . . . . . . . . . . . 155--175
           Malwane M. A. Ananda   Bayesian and non-Bayesian solutions to
                                  analysis of covariance models under
                                  heteroscedasticity . . . . . . . . . . . 177--192
                      Anonymous   Pages 1--192 (September 1998)  . . . . . ??

Journal of Econometrics
Volume 86, Number 2, October, 1998

           Ekaterini Kyriazidou   Testing for serial correlation in
                                  multivariate regression models . . . . . 193--220
                Siddhartha Chib   Estimation and comparison of multiple
                                  change-point models  . . . . . . . . . . 221--241
              Robert M. de Jong   Uniform laws of large numbers and
                                  stochastic Lipschitz-continuity  . . . . 243--268
          Hidehiko Ichimura and   
              T. Scott Thompson   Maximum likelihood estimation of a
                                  binary choice model with random
                                  coefficients of unknown distribution . . 269--295
                Zhijie Xiao and   
           Peter C. B. Phillips   Higher-order approximations for
                                  frequency domain time series regression  297--336
                 Biing-Shen Kuo   Test for partial parameter instability
                                  in regressions with I(1) processes . . . 337--368
       Zacharias Psaradakis and   
                    Martin Sola   Finite-sample properties of the maximum
                                  likelihood estimator in autoregressive
                                  models with Markov switching . . . . . . 369--386
                    H. D. Vinod   FELLOW'S CORNER Foundations of
                                  statistical inference based on numerical
                                  roots of robust pivot functions  . . . . 387--396
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 397--397
                      Anonymous   Pages 193--398 (October 1998)  . . . . . ??


Journal of Econometrics
Volume 87, Number 1, November, 1998

            Walter J. Mayer and   
               Robert E. Dorsey   Maximum score estimation of
                                  disequilibrium models and the role of
                                  anticipatory price-setting . . . . . . . 1--24
             Jon A. Breslaw and   
                 James McIntosh   Simulated latent variable estimation of
                                  models with ordered categorical data . . 25--47
                 J. C. Chao and   
              P. C. B. Phillips   Posterior distributions in limited
                                  information analysis of the simultaneous
                                  equations model using the Jeffreys prior 49--86
                 James Davidson   Structural relations, cointegration and
                                  identification: some simple results and
                                  their application  . . . . . . . . . . . 87--113
           Richard Blundell and   
                   Stephen Bond   Initial conditions and moment
                                  restrictions in dynamic panel data
                                  models . . . . . . . . . . . . . . . . . 115--143
                      Q. Li and   
                    Suojin Wang   A simple consistent bootstrap test for a
                                  parametric regression function . . . . . 145--165
              Andrew Harvey and   
               Mariane Streibel   Testing for a slowly changing level with
                                  special reference to stochastic
                                  volatility . . . . . . . . . . . . . . . 167--189
       Stephen J. Leybourne and   
           Terence C. Mills and   
                   Paul Newbold   Spurious rejections by Dickey--Fuller
                                  tests in the presence of a break under
                                  the null . . . . . . . . . . . . . . . . 191--203
                      Anonymous   Pages 1--206 (November 1998) . . . . . . ??

Journal of Econometrics
Volume 87, Number 2, December, 1998

                      Q. Li and   
                       C. Hsiao   Testing serial correlation in
                                  semiparametric panel data models . . . . 207--237
              J. A. Hausman and   
             Jason Abrevaya and   
             F. M. Scott-Morton   Misclassification of the dependent
                                  variable in a discrete-response setting  239--269
              Gleb Sandmann and   
               Siem Jan Koopman   Estimation of stochastic volatility
                                  models via Monte Carlo maximum
                                  likelihood . . . . . . . . . . . . . . . 271--301
             Georges Dionne and   
        Robert Gagné and   
                Charles Vanasse   Inferring technological parameters from
                                  incomplete panel data  . . . . . . . . . 303--327
            Irene Bertschek and   
                Michael Lechner   Convenient estimators for the panel
                                  probit model . . . . . . . . . . . . . . 329--371
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 373--373
                      Anonymous   Pages 207--374 (December 1998) . . . . . ??


Journal of Econometrics
Volume 88, Number 1, January, 1999

               Krishna Pendakur   Semiparametric estimates and tests of
                                  base-independent equivalence scales  . . 1--40
                    In Choi and   
                 Byung Chul Ahn   Testing the null of stationarity for
                                  multiple time series . . . . . . . . . . 41--77
                D. M. Mandy and   
           Carlos Martins-Filho   Relative efficiency with equivalence
                                  classes of asymptotic covariances  . . . 79--98
                    Yum K. Kwan   Asymptotic Bayesian analysis based on a
                                  limited information estimator  . . . . . 99--121
             Shiferaw Gurmu and   
              Paul Rilstone and   
                   Steven Stern   Semiparametric estimation of count
                                  regression models 1  . . . . . . . . . . 123--150
                     Andy Snell   Testing for $r$ versus $ r - 1$
                                  cointegrating vectors  . . . . . . . . . 151--191
                Kazuhiro Ohtani   Inadmissibility of the Stein-rule
                                  estimator under the balanced loss
                                  function . . . . . . . . . . . . . . . . 193--201
                      Anonymous   Pages 1--202 (January 1999)  . . . . . . ??

Journal of Econometrics
Volume 88, Number 2, February, 1999

             Arnold Zellner and   
                   Chung-ki Min   Forecasting turning points in countries'
                                  output growth rates: A response to
                                  Milton Friedman  . . . . . . . . . . . . 203--206
                       F. Comte   Discrete and continuous time
                                  cointegration  . . . . . . . . . . . . . 207--226
               Kenneth S. Corts   Conduct parameters and the measurement
                                  of market power  . . . . . . . . . . . . 227--250
                  Gary Koop and   
                Simon M. Potter   Bayes factors and nonlinearity: Evidence
                                  from economic time series 1 dagger . . . 251--281
           Timothy J. Vogelsang   Sources of nonmonotonic power when
                                  testing for a shift in mean of a dynamic
                                  time series  . . . . . . . . . . . . . . 283--299
      Sòren Johansen and   
               Ernst Schaumburg   Likelihood analysis of seasonal
                                  cointegration  . . . . . . . . . . . . . 301--339
 Víctor Gómez and   
    Agustín Maravall and   
             Daniel Peña   Missing observations in ARIMA models:
                                  Skipping approach versus additive
                                  outlier approach . . . . . . . . . . . . 341--363
           Efthymios G. Tsionas   Monte Carlo inference in econometric
                                  models with symmetric stable
                                  disturbances . . . . . . . . . . . . . . 365--401
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 403--404
                      Anonymous   Pages 203--404 (February 1999) . . . . . ??


Journal of Econometrics
Volume 89, Number 1--2, November 26, 1998

               Tom Wansbeek and   
                   Michel Wedel   Marketing and econometrics: Editors'
                                  introduction . . . . . . . . . . . . . . 1--14
                Cheng Hsiao and   
                   Bao-Hong Sun   Modeling survey response bias --- with
                                  an analysis of the demand for an
                                  advanced electronic device . . . . . . . 15--39
  Füsun F. Gönül   Estimating price expectations in the OTC
                                  medicine market: An application of
                                  dynamic stochastic discrete choice
                                  models to scanner panel data . . . . . . 41--56
            Greg M. Allenby and   
                 Peter E. Rossi   Marketing models of consumer
                                  heterogeneity  . . . . . . . . . . . . . 57--78
           Wayne S. DeSarbo and   
              Youngchan Kim and   
                    Duncan Fong   A Bayesian multidimensional scaling
                                  procedure for the spatial analysis of
                                  revealed choice data . . . . . . . . . . 79--108
           David Brownstone and   
                  Kenneth Train   Forecasting new product penetration with
                                  flexible substitution patterns . . . . . 109--129
        Katherine M. Harris and   
               Michael P. Keane   A model of health plan choice::
                                  Inferring preferences and perceptions
                                  from a combination of revealed
                                  preference and attitudinal data  . . . . 131--157
           Tülin Erdem and   
               Russell S. Winer   Econometric modeling of competition: A
                                  multi-category choice-based mapping
                                  approach . . . . . . . . . . . . . . . . 159--175
           Tülin Erdem and   
           Michael P. Keane and   
                    Baohong Sun   Missing price and coupon availability
                                  data in scanner panels: Correcting for
                                  the self-selection bias in choice model
                                  parameters . . . . . . . . . . . . . . . 177--196
              David Hensher and   
            Jordan Louviere and   
                   Joffre Swait   Combining sources of preference data . . 197--221
            Jeongwen Chiang and   
            Siddhartha Chib and   
        Chakravarthi Narasimhan   Markov chain Monte Carlo and models of
                                  consideration set and parameter
                                  heterogeneity  . . . . . . . . . . . . . 223--248
           Eijte W. Foekens and   
       Peter S. H. Leeflang and   
                Dick R. Wittink   Varying parameter models to accommodate
                                  dynamic promotion effects  . . . . . . . 249--268
          Marnik G. Dekimpe and   
      Dominique M. Hanssens and   
           Jorge M. Silva-Risso   Long-run effects of price promotions in
                                  scanner markets  . . . . . . . . . . . . 269--291
        Philip Hans Franses and   
                 Teun Kloek and   
             André Lucas   Outlier robust analysis of long-run
                                  marketing effects for weekly scanning
                                  data . . . . . . . . . . . . . . . . . . 293--315
            Ulf Böckenholt   Mixed INAR(1) Poisson regression models:
                                  Analyzing heterogeneity and serial
                                  dependencies in longitudinal count data  317--338
            Vrinda Kadiyali and   
           Naufel Vilcassim and   
            Pradeep Chintagunta   Product line extensions and competitive
                                  market interactions: An empirical
                                  analysis . . . . . . . . . . . . . . . . 339--363
               Daniel Baier and   
                  Wolfgang Gaul   Optimal product positioning based on
                                  paired comparison data . . . . . . . . . 365--392
         Richard P. Bagozzi and   
                  Youjae Yi and   
                 Kent D. Nassen   Representation of measurement error in
                                  marketing variables: Review of
                                  approaches and extension to three-facet
                                  designs  . . . . . . . . . . . . . . . . 393--421
           Wayne S. DeSarbo and   
                  Jungwhan Choi   A latent structure double hurdle
                                  regression model for exploring
                                  heterogeneity in consumer search
                                  patterns . . . . . . . . . . . . . . . . 423--455
                      Anonymous   Author index to volume 89  . . . . . . . 457--458
                      Anonymous   Pages 1--458 (26 November 1998)  . . . . ??


Journal of Econometrics
Volume 90, Number 1, May, 1999

                     Chihwa Kao   Spurious regression and residual-based
                                  tests for cointegration in panel data    1--44
      Marshall B. Reinsdorf and   
                Alan H. Dorfman   The Sato-Vartia index and the
                                  monotonicity axiom . . . . . . . . . . . 45--61
             Menelaos Karanasos   The second moment and the autocovariance
                                  function of the squared errors of the
                                  GARCH model  . . . . . . . . . . . . . . 63--76
          Jeffrey M. Wooldridge   Distribution-free estimation of some
                                  nonlinear panel data models  . . . . . . 77--97
             Camilla Kazimi and   
               David Brownstone   Bootstrap confidence bands for shrinkage
                                  estimators . . . . . . . . . . . . . . . 99--127
              Ignacio N. Lobato   A semiparametric two-step estimator in a
                                  multivariate long memory model . . . . . 129--153
                      Anonymous   Pages 1--154 (May 1999)  . . . . . . . . ??

Journal of Econometrics
Volume 90, Number 2, June, 1999

         Tue Gòrgens and   
               Joel L. Horowitz   Semiparametric estimation of a censored
                                  regression model with an unknown
                                  transformation of the dependent variable 155--191
          Chien-Fu Jeff Lin and   
           Timo Teräsvirta   Testing parameter constancy in linear
                                  models against stochastic stationary
                                  parameters . . . . . . . . . . . . . . . 193--213
                  Atsushi Inoue   Tests of cointegrating rank with a
                                  trend-break  . . . . . . . . . . . . . . 215--237
              Francis Vella and   
                  Marno Verbeek   Two-step estimation of panel data models
                                  with censored endogenous variables and
                                  selection bias . . . . . . . . . . . . . 239--263
              Anders Rahbek and   
    Hans Christian Kongsted and   
         Clara Jòrgensen   Trend stationarity in the I (2)
                                  cointegration model  . . . . . . . . . . 265--289
                        Tao Zha   Block recursion and structural vector
                                  autoregressions  . . . . . . . . . . . . 291--316
             Nader Ebrahimi and   
         Esfandiar Maasoumi and   
                 Ehsan S. Soofi   Ordering univariate distributions by
                                  entropy and variance . . . . . . . . . . 317--336
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 337--343
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 345--345
                      Anonymous   Pages 155--346 (June 1999) . . . . . . . ??


Journal of Econometrics
Volume 91, Number 1, July, 1999

             Yoon-Jae Whang and   
                  Oliver Linton   The asymptotic distribution of
                                  nonparametric estimates of the Lyapunov
                                  exponent for stochastic time series  . . 1--42
              J.-M. Sarabia and   
           Enrique Castillo and   
              Daniel J. Slottje   An ordered family of Lorenz curves . . . 43--60
         Torben G. Andersen and   
            Hyung-Jin Chung and   
        Bent E. Sòrensen   Efficient method of moments estimation
                                  of a stochastic volatility model: A
                                  Monte Carlo study  . . . . . . . . . . . 61--87
             Trevor Breusch and   
               Hailong Qian and   
              Peter Schmidt and   
                Donald Wyhowski   Redundancy of moment conditions  . . . . 89--111
                 Byeongseon Seo   Distribution theory for unit root tests
                                  with conditional heteroskedasticity 1    113--144
               Hailong Qian and   
                  Peter Schmidt   Improved instrumental variables and
                                  generalized method of moments estimators 145--169
                  Songnian Chen   Distribution-free estimation of the
                                  random coefficient dummy endogenous
                                  variable model . . . . . . . . . . . . . 171--199
                      Anonymous   Pages 1--200 (July 1999) . . . . . . . . ??

Journal of Econometrics
Volume 91, Number 2, August, 1999

       Richard D. F. Harris and   
                 Elias Tzavalis   Inference for unit roots in dynamic
                                  panels where the time dimension is fixed 201--226
               John C. Chao and   
           Peter C. B. Phillips   Model selection in partially
                                  nonstationary vector autoregressive
                                  processes with reduced rank structure    227--271
            Tomas Philipson and   
                    Anup Malani   Measurement errors: A principal
                                  investigator-agent approach  . . . . . . 273--298
                     Jushan Bai   Likelihood ratio tests for multiple
                                  structural changes . . . . . . . . . . . 299--323
                 Carlos Velasco   Non-stationary log-periodogram
                                  regression . . . . . . . . . . . . . . . 325--371
              Xiaohong Chen and   
                     Yanqin Fan   Consistent hypothesis testing in
                                  semiparametric and nonparametric models
                                  for econometric time series  . . . . . . 373--401
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 403--403
                      Anonymous   Pages 201--404 (August 1999) . . . . . . ??


Journal of Econometrics
Volume 92, Number 1, September, 1999

                   T. G. Conley   GMM estimation with cross sectional
                                  dependence . . . . . . . . . . . . . . . 1--45
           Vijaya G. Duggal and   
           Cynthia Saltzman and   
              Lawrence R. Klein   Infrastructure and productivity: a
                                  nonlinear approach . . . . . . . . . . . 47--74
             Tim Bollerslev and   
             Hans Ole Mikkelsen   Long-term equity anticipation securities
                                  and stock market volatility dynamics . . 75--99
                          Qi Li   Consistent model specification tests for
                                  time series econometric models . . . . . 101--147
          A. Ronald Gallant and   
                 George Tauchen   The relative efficiency of method of
                                  moments estimators 1 . . . . . . . . . . 149--172
                 Changli He and   
           Timo Teräsvirta   Properties of moments of a family of
                                  GARCH processes  . . . . . . . . . . . . 173--192
                      Anonymous   Pages 1--192 (September 1999)  . . . . . ??

Journal of Econometrics
Volume 92, Number 2, October, 1999

               Geert Ridder and   
                   Insan Tunali   Stratified partial likelihood estimation 193--232
                 Thomas A. Mroz   Discrete factor approximations in
                                  simultaneous equation models: Estimating
                                  the impact of a dummy endogenous
                                  variable on a continuous outcome . . . . 233--274
      Christopher L. Skeels and   
                  Francis Vella   A Monte Carlo investigation of the
                                  sampling behavior of conditional moment
                                  tests in Tobit and Probit models . . . . 275--294
         Anurag N. Banerjee and   
                  Jan R. Magnus   The sensitivity of OLS when the variance
                                  matrix is (partially) unknown  . . . . . 295--323
    Agustín Maravall and   
              Christophe Planas   Estimation error and the specification
                                  of unobserved component models . . . . . 325--353
                   Lung-fei Lee   Estimation of dynamic and ARCH Tobit
                                  models . . . . . . . . . . . . . . . . . 355--390
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 391--391
                      Anonymous   Pages 193--392 (October 1999)  . . . . . ??


Journal of Econometrics
Volume 93, Number 1, November, 1999

               Sau-Him Paul Lau   I (0) In, integration and cointegration
                                  out:: Time series properties of
                                  endogenous growth models . . . . . . . . 1--24
          John W. Galbraith and   
           Victoria Zinde-Walsh   On the distributions of Augmented
                                  Dickey--Fuller statistics in processes
                                  with moving average components . . . . . 25--47
         José M. Labeaga   A double-hurdle rational addiction model
                                  with heterogeneity: Estimating the
                                  demand for tobacco . . . . . . . . . . . 49--72
      Sòren Johansen and   
            Anders Rygh Swensen   Testing exact rational expectations in
                                  cointegrated vector autoregressive
                                  models . . . . . . . . . . . . . . . . . 73--91
Gloria González-Rivera and   
                 Feike C. Drost   Efficiency comparisons of
                                  maximum-likelihood-based estimators in
                                  GARCH models . . . . . . . . . . . . . . 93--111
                 David C. Smith   Finite sample properties of tests of the
                                  Epstein-Zin asset pricing model  . . . . 113--148
            Vance L. Martin and   
               Nigel P. Wilkins   Indirect estimation of ARFIMA and
                                  VARFIMA models . . . . . . . . . . . . . 149--175
                Kyung So Im and   
               Seung C. Ahn and   
              Peter Schmidt and   
          Jeffrey M. Wooldridge   Efficient estimation of panel data
                                  models with strictly exogenous
                                  explanatory variables  . . . . . . . . . 177--201
                      Anonymous   Pages 1--202 (November 1999) . . . . . . ??

Journal of Econometrics
Volume 93, Number 2, December, 1999

                 Jason Abrevaya   Leapfrog estimation of a fixed-effects
                                  model with unknown transformation of the
                                  dependent variable . . . . . . . . . . . 203--228
                  M. Billio and   
                 A. Monfort and   
                   C. P. Robert   Bayesian estimation of switching ARMA
                                  models . . . . . . . . . . . . . . . . . 229--255
         Robin L. Lumsdaine and   
                      Serena Ng   Testing for ARCH in the presence of a
                                  possibly misspecified conditional mean   257--279
              Paolo Paruolo and   
                  Anders Rahbek   Weak exogeneity in I(2) VAR systems  . . 281--308
                   Jinyong Hahn   How informative is the initial condition
                                  in the dynamic panel model with fixed
                                  effects? . . . . . . . . . . . . . . . . 309--326
              Roger Koenker and   
      José A. F. Machado   GMM inference when the number of moment
                                  conditions is large  . . . . . . . . . . 327--344
                Bruce E. Hansen   Threshold effects in non-dynamic panels:
                                  Estimation, testing, and inference . . . 345--368
                   Leo Michelis   The distributions of the J and Cox
                                  non-nested tests in regression models
                                  with weakly correlated regressors  . . . 369--401
                      Anonymous   Index  . . . . . . . . . . . . . . . . . 403--403
                      Anonymous   Pages 203--404 (December 1999) . . . . . ??


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

              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


Journal of Econometrics
Volume 154, Number 1, January, 2010

                 Jianjun Xu and   
               Xianming Tan and   
                   Runchu Zhang   A note on Phillips (1991): ``A
                                  constrained maximum likelihood approach
                                  to estimating switching regressions''    35--41


Journal of Econometrics
Volume 201, Number 1, November, 2017

                  Sune Karlsson   Corrigendum to ``Bayesian reduced rank
                                  regression in econometrics'' [J.
                                  Econometrics 75 (1996) 121--146] . . . . 170--171