Journal of Econometrics |

Title | Subject | Authors |

Achievements and challenges in econometric methodology. | Economics | Hendry, David F. |

A Comparison of the Amemiya GLS and the Lee- Maddala-Trost GZSLS in a Simultaneous-Equations Tobit Model. | Economics | Amemiya, T. |

A consistent test for conditional symmetry in time series models. | Economics | Bai, Jushan, Ng, Serena |

A General Approach to Intertemporal and Interspatial Productivity Comparisons. | Economics | Denny, 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) | Economics | McDonald, James B., Xu, Yexiao J. |

Alternative Algorithms for the Estimation of Dynamic Factor, Mimic and Varying Coefficient Regression Models. | Economics | Watson, M.W., Engle, R.F. |

American options with stochastic dividends and volatility: a nonparametric investigation. | Economics | Broadie, Mark, Detemple, Jerome, Ghysels, Eric, Torres, Olivier |

An analysis of housing expenditure using semiparametric models and panel data. | Economics | Charlier, Erwin, Melenberg, Bertrand, van Soest, Arthur |

An equality test across nonparametric regressions. | Economics | Lavergne, Pascal |

An R-squared measure of goodness of fit for some common nonlinear regression models. | Economics | Cameron, A. Colin, Windmeijer, Frank A.G. |

A Remark on Serial Correlation in Maximum Likelihood. | Economics | Levine, D. |

A simultaneous estimation and variable selection rule. | Economics | Golan, Amos |

A test for volatility spillover with application to exchange rates. | Economics | Hong, Yongmiao |

Bayesian analysis of contingent claim model error. | Economics | Jacquier, Eric, Jarrow, Robert |

Bayesian econometrics and forecasting. | Economics | Geweke, John |

Bayesian estimation of switching ARMA models. | Economics | Monfort, 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) | Economics | Palm, 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) | Economics | Phillips, Peter C.B. |

Benchmark priors for Bayesian model averaging. | Economics | Ley, Eduardo, Fernandez, Carmen, Steele, Mark F.J. |

Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities. | Economics | Perez-Quiros, Gabriel, Timmermann, Allan |

Causality tests and conditional heteroskedasticity: Monte Carlo evidence. | Economics | Vilasuso, 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) | Economics | Boswijk, H. Peter |

Confidence intervals for autoregressive coefficients near one. | Economics | Elliott, Graham, Stock, James H. |

Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models. | Economics | Andrews, Donald W.K., Lu, Biao |

Contemporaneous asymmetry in GARCH processes. | Economics | El Babsiri, Mohamed, Zakoian, Jean-Michel |

Detecting a Shift in Location. | Economics | Talwar, P.P. |

Econometric specification of the risk neutral valuation model.(for derivative assets) | Economics | Clement, E., Gourieroux, C., Monfort, A. |

Editors' introduction.(Annals of Econometrics: Bayes, Bernoullis, and Basel) | Economics | Dijk, Herman K. van, Bauwens, Luc, Polasek, Wolfgang |

Estimating continuous-time stochastic volatility models of the short-term interest rate. | Economics | Andersen, Torben G., Lund, Jesper |

Evaluation of a three-step method for choosing the number of bootstrap repetitions. | Economics | Andrews, Donald W.K., Buchinsky, Moshe |

Fellow's opinion: econometrics, data, and the World Wide Web. | Economics | Barnett, William A. |

Financial econometrics; Past developments and future challenges. | Economics | Bollerslev, Tim |

FORECASTING AND TESTING IN CO-INTEGRATED SYSTEMS. | Economics | ENGLE, Robert F., YOO, Byung Sam |

Forecasting turning points in countries' output growth rates: a response to Milton Friedman. | Economics | Zellner, Arnold, Min, Chung-ki |

GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY. | Economics | BOLLERSLEV, Tim |

GMM estimation of linear panel data models with time-varying individual effects. | Economics | Ahn, Seung Chan, Lee, Young Hoon, Schmidt, Peter |

GMM inference when the number of moment conditions is large. | Economics | Koenker, Roger, Machado, Jose A. F. |

How informative is the initial condition in the dynamic panel model with fixed effects? | Economics | Hahn, Jinyong |

Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable. | Economics | Abrevaya, Jason |

Nested random effects estimation in unbalanced panel data. | Economics | Antweiler, Werner |

Nonlinear estimation using estimated cointegrating relations. | Economics | de Jong, Robert M. |

Nonparametric cointegration analysis. | Economics | Bierens, Herman J. |

Nonparametric risk management and implied risk aversion. | Economics | Ait-Sahalia, Yacine, Lo, Andrew W. |

Notes on financial econometrics. | Economics | Tauchen, George |

Panel data analysis of household brand choices. | Economics | Chintagunta, Pradeep, Kyriazidou, Ekaterini, Perktold, Josef |

Pierce and Haugh on Characterizations of Causality. | Economics | Evans, L., Wells, Q. |

Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline. | Economics | Baltagi, Badi H., Griffin, James M. |

Post- '87 crash fears in the S&P 500 futures option market. | Economics | Bates, David S. |

Pricing and hedging derivative securities with neural networks and a homogeneity hint. | Economics | Garcia, Rene, Gencay, Ramazan |

Pricing and hedging long-term options. | Economics | Bakshi, Gurdip, Cao, Charles, Chen, Zhiwu |

Production risk and the estimation of ex-ante cost functions. | Economics | Moschini, GianCarlo |

QML and GMM estimators of stochastic volatility models: response to Andersen and Sorensen. (article in this issue, p. 397) | Economics | Ruiz, Esther |

Regime switching in foreign exchange rates: evidence from currency option prices. | Economics | Bollen, 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) | Economics | Steigerwald, Douglas G. |

Robust inference with GMM estimators. | Economics | Ronchetti, Elvezio, Trojani, Fabio |

S-estimation of nonlinear regression models with dependent and heterogeneous observations. | Economics | Sakata, Shinichi, White, Halbert |

Statistical inference for poverty measures with relative poverty lines. | Economics | Zheng, Buhong |

Statistical inference for testing inequality indices with dependent samples. | Economics | Zheng, Buhong, Cushing, Brian J. |

Testing for ARCH in the presence of a possibly misspecified conditional mean.(autoregressive conditional heteroskedasticity) | Economics | Ng, Serena, Lumsdaine, Robin L. |

Testing Rational Expectations by the Use of Overidentifying Restrictions. | Economics | Startz, R. |

Testing the Specification of Multivariate Models in the Presence of Alternative Hypotheses. | Economics | Davidson, R., MacKinnon, J.G. |

Tests for the error component model in the presence of local misspecification. | Economics | Bera, Anil K., Sosa-Escudero, Walter, Yoon, Mann |

The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors. | Economics | Michelis, Leo |

The Industrial and Commercial Demand for Electricity under Time-of-Use Pricing. | Economics | Tishler, A. |

The memory of stochastic volatility models. | Economics | Robinson, P.M. |

The unbalanced nested error component regression model. | Economics | Baltagi, Badi H., Song, Seuck Heun, Jung, Byoung Cheol |

Threshold effects in non-dynamic panels: estimation, testing, and inference. | Economics | Hansen, Bruce E. |

Trending time series and macroeconomic activity: Some present and future challenges. | Economics | Phillips, Peter C.B. |

Two-stage rank estimation of quantile index models. | Economics | Khan, Shakeeb |

Two-step estimation of semiparametric censored regression models. | Economics | Khan, Shakeeb, Powell, James L. |

Weak exogeneity in I(2) VAR systems.(vector autoregressive systems) | Economics | Rahbek, Anders, Paruolo, Paolo |