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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) ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . . . ??
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) . . . . ??
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) . . . . . . . . . ??
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) ??
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) . . . . . ??
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) . . . . . . ??
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) . . . . ??
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) . . . . . ??
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) . . . . . . . ??
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) . . . . ??
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) . . . . ??
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) . . . . . ??
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) . . . . . ??
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) ??
Anonymous Subject and author index: volumes
41--50, 1989--1991 . . . . . . . . . . . 291--382
Anonymous Pages 291--382 (March 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) . . . . . ??
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) . . . . . . . ??
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) . . ??
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) ??
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) ??
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) . . . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . ??
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) ??
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) . . . . . . . ??
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) . . . . . . ??
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) . . . . . . . . . ??
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) . . . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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) ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . ??
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) . . . . . . . . ??
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) . . . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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
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) . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . ??
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) . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) ??
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) . . . . . . . ??
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) . . . . . . ??
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) . . . . . . . . . . ??
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) . . . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . . . . . . ??
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) . . . . . ??
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) . . . . ??
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) . . . . . . . . ??
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) . . . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . ??
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) . . . . . . . . ??
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) . . . . . . . ??
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) . . . . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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) . . . . . ??
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) . . . . . . ??
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) . . . . . ??
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
Jianjun Xu and
Xianming Tan and
Runchu Zhang A note on Phillips (1991): ``A
constrained maximum likelihood approach
to estimating switching regressions'' 35--41
Sune Karlsson Corrigendum to ``Bayesian reduced rank
regression in econometrics'' [J.
Econometrics 75 (1996) 121--146] . . . . 170--171