Journal of Econometrics - Abstracts

Journal of Econometrics
Achievements and challenges in econometric methodology.EconomicsHendry, David F.
A Comparison of the Amemiya GLS and the Lee- Maddala-Trost GZSLS in a Simultaneous-Equations Tobit Model.EconomicsAmemiya, T.
A consistent test for conditional symmetry in time series models.EconomicsBai, Jushan, Ng, Serena
A General Approach to Intertemporal and Interspatial Productivity Comparisons.EconomicsDenny, M., Fuss, M.
A generalization of the beta distribution with applications. (errata in James B. McDonald and Yexiao J. Xu, Journal of Econometrics, vol. 66, p. 133)EconomicsMcDonald, James B., Xu, Yexiao J.
Alternative Algorithms for the Estimation of Dynamic Factor, Mimic and Varying Coefficient Regression Models.EconomicsWatson, M.W., Engle, R.F.
American options with stochastic dividends and volatility: a nonparametric investigation.EconomicsBroadie, Mark, Detemple, Jerome, Ghysels, Eric, Torres, Olivier
An analysis of housing expenditure using semiparametric models and panel data.EconomicsCharlier, Erwin, Melenberg, Bertrand, van Soest, Arthur
An equality test across nonparametric regressions.EconomicsLavergne, Pascal
An R-squared measure of goodness of fit for some common nonlinear regression models.EconomicsCameron, A. Colin, Windmeijer, Frank A.G.
A Remark on Serial Correlation in Maximum Likelihood.EconomicsLevine, D.
A simultaneous estimation and variable selection rule.EconomicsGolan, Amos
A test for volatility spillover with application to exchange rates.EconomicsHong, Yongmiao
Bayesian analysis of contingent claim model error.EconomicsJacquier, Eric, Jarrow, Robert
Bayesian econometrics and forecasting.EconomicsGeweke, John
Bayesian estimation of switching ARMA models.EconomicsMonfort, A., Billio, M., Robert, C.P.
Bayesian model selection and prediction with empirical applications: comments. (response to article by Peter C.B. Phillips in this issue, p. 289)(Bayesian and Classical Econometric Modeling of Time Series)EconomicsPalm, Franz C.
Bayesian prediction: a response. (response to articles by Franz C. Palm and Jean-Francois Richard in this issue, pp. 333 and 337)(Bayesian and Classical Econometric Modeling of Time Series)EconomicsPhillips, Peter C.B.
Benchmark priors for Bayesian model averaging.EconomicsLey, Eduardo, Fernandez, Carmen, Steele, Mark F.J.
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities.EconomicsPerez-Quiros, Gabriel, Timmermann, Allan
Causality tests and conditional heteroskedasticity: Monte Carlo evidence.EconomicsVilasuso, Jon
Conditional and structural error correction models: reply. (response to article by Neil R. Ericsson in this issue, p. 159)(Bayesian and Classical Econometric Modeling of Time Series)EconomicsBoswijk, H. Peter
Confidence intervals for autoregressive coefficients near one.EconomicsElliott, Graham, Stock, James H.
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models.EconomicsAndrews, Donald W.K., Lu, Biao
Contemporaneous asymmetry in GARCH processes.EconomicsEl Babsiri, Mohamed, Zakoian, Jean-Michel
Detecting a Shift in Location.EconomicsTalwar, P.P.
Econometric specification of the risk neutral valuation model.(for derivative assets)EconomicsClement, E., Gourieroux, C., Monfort, A.
Editors' introduction.(Annals of Econometrics: Bayes, Bernoullis, and Basel)EconomicsDijk, Herman K. van, Bauwens, Luc, Polasek, Wolfgang
Estimating continuous-time stochastic volatility models of the short-term interest rate.EconomicsAndersen, Torben G., Lund, Jesper
Evaluation of a three-step method for choosing the number of bootstrap repetitions.EconomicsAndrews, Donald W.K., Buchinsky, Moshe
Fellow's opinion: econometrics, data, and the World Wide Web.EconomicsBarnett, William A.
Financial econometrics; Past developments and future challenges.EconomicsBollerslev, Tim
Forecasting turning points in countries' output growth rates: a response to Milton Friedman.EconomicsZellner, Arnold, Min, Chung-ki
GMM estimation of linear panel data models with time-varying individual effects.EconomicsAhn, Seung Chan, Lee, Young Hoon, Schmidt, Peter
GMM inference when the number of moment conditions is large.EconomicsKoenker, Roger, Machado, Jose A. F.
How informative is the initial condition in the dynamic panel model with fixed effects?EconomicsHahn, Jinyong
Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable.EconomicsAbrevaya, Jason
Nested random effects estimation in unbalanced panel data.EconomicsAntweiler, Werner
Nonlinear estimation using estimated cointegrating relations.Economicsde Jong, Robert M.
Nonparametric cointegration analysis.EconomicsBierens, Herman J.
Nonparametric risk management and implied risk aversion.EconomicsAit-Sahalia, Yacine, Lo, Andrew W.
Notes on financial econometrics.EconomicsTauchen, George
Panel data analysis of household brand choices.EconomicsChintagunta, Pradeep, Kyriazidou, Ekaterini, Perktold, Josef
Pierce and Haugh on Characterizations of Causality.EconomicsEvans, L., Wells, Q.
Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline.EconomicsBaltagi, Badi H., Griffin, James M.
Post- '87 crash fears in the S&P 500 futures option market.EconomicsBates, David S.
Pricing and hedging derivative securities with neural networks and a homogeneity hint.EconomicsGarcia, Rene, Gencay, Ramazan
Pricing and hedging long-term options.EconomicsBakshi, Gurdip, Cao, Charles, Chen, Zhiwu
Production risk and the estimation of ex-ante cost functions.EconomicsMoschini, GianCarlo
QML and GMM estimators of stochastic volatility models: response to Andersen and Sorensen. (article in this issue, p. 397)EconomicsRuiz, Esther
Regime switching in foreign exchange rates: evidence from currency option prices.EconomicsBollen, Nicolas P.B., Gray, Stephen F., Whaley, Robert E.
Reply to B.M. Potscher's comment on 'Adaptive estimation in time series regression models.' (reply to article in this issue, p. 123)EconomicsSteigerwald, Douglas G.
Robust inference with GMM estimators.EconomicsRonchetti, Elvezio, Trojani, Fabio
S-estimation of nonlinear regression models with dependent and heterogeneous observations.EconomicsSakata, Shinichi, White, Halbert
Statistical inference for poverty measures with relative poverty lines.EconomicsZheng, Buhong
Statistical inference for testing inequality indices with dependent samples.EconomicsZheng, Buhong, Cushing, Brian J.
Testing for ARCH in the presence of a possibly misspecified conditional mean.(autoregressive conditional heteroskedasticity)EconomicsNg, Serena, Lumsdaine, Robin L.
Testing Rational Expectations by the Use of Overidentifying Restrictions.EconomicsStartz, R.
Testing the Specification of Multivariate Models in the Presence of Alternative Hypotheses.EconomicsDavidson, R., MacKinnon, J.G.
Tests for the error component model in the presence of local misspecification.EconomicsBera, Anil K., Sosa-Escudero, Walter, Yoon, Mann
The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors.EconomicsMichelis, Leo
The Industrial and Commercial Demand for Electricity under Time-of-Use Pricing.EconomicsTishler, A.
The memory of stochastic volatility models.EconomicsRobinson, P.M.
The unbalanced nested error component regression model.EconomicsBaltagi, Badi H., Song, Seuck Heun, Jung, Byoung Cheol
Threshold effects in non-dynamic panels: estimation, testing, and inference.EconomicsHansen, Bruce E.
Trending time series and macroeconomic activity: Some present and future challenges.EconomicsPhillips, Peter C.B.
Two-stage rank estimation of quantile index models.EconomicsKhan, Shakeeb
Two-step estimation of semiparametric censored regression models.EconomicsKhan, Shakeeb, Powell, James L.
Weak exogeneity in I(2) VAR systems.(vector autoregressive systems)EconomicsRahbek, Anders, Paruolo, Paolo
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