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Content
April 2007, Volume 137, Issue 2
March 2007, Volume 137, Issue 1
- 1-27 Nonparametric stochastic frontiers: A local maximum likelihood approach
by Kumbhakar, Subal C. & Park, Byeong U. & Simar, Leopold & Tsionas, Efthymios G.
- 28-67 Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
by Caner, Mehmet
- 68-111 Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
by Seo, Byeongseon
- 112-133 A unified approach to nonlinearity, structural change, and outliers
by Giordani, Paolo & Kohn, Robert & van Dijk, Dick
- 134-161 Selection of estimation window in the presence of breaks
by Pesaran, M. Hashem & Timmermann, Allan
- 162-188 Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
by Phillips, Peter C.B. & Sul, Donggyu
- 189-229 An efficient nonparametric estimator for models with nonlinear dependence
by Gagliardini, Patrick & Gourieroux, Christian
- 230-259 Nonstationary nonlinear heteroskedasticity in regression
by Chung, Heetaik & Park, Joon Y.
- 260-276 Bayesian analysis of a Tobit quantile regression model
by Yu, Keming & Stander, Julian
February 2007, Volume 136, Issue 2
- 325-329 Special issue editors' introduction: The interface between econometrics and economic theory
by Aliprantis, Charalambos D. & Barnett, William A. & Cornet, Bernard & Durlauf, Steven
- 331-339 Philosophy and objectives of econometrics
by Zellner, Arnold
- 341-396 Dynamic discrete choice and dynamic treatment effects
by Heckman, James J. & Navarro, Salvador
- 397-430 Indirect inference and calibration of dynamic stochastic general equilibrium models
by Dridi, Ramdan & Guay, Alain & Renault, Eric
- 431-456 Riesz estimators
by Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee
- 457-482 Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries
by Barnett, William A.
- 483-508 Growth and convergence: A profile of distribution dynamics and mobility
by Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis
- 509-530 Econometric specification of stochastic discount factor models
by Gourieroux, C. & Monfort, A.
- 531-564 Empirical labor search: A survey
by Eckstein, Zvi & van den Berg, Gerard J.
- 565-594 Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
by Kapetanios, G. & Pagan, A. & Scott, A.
- 595-627 Econometric analysis of linearized singular dynamic stochastic general equilibrium models
by Bierens, Herman J.
- 629-664 Model uncertainty and policy evaluation: Some theory and empirics
by Brock, William A. & Durlauf, Steven N. & West, Kenneth D.
- 665-698 Selection into and across credit contracts: Theory and field research
by Ahlin, Christian & Townsend, Robert M.
- 699-723 Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
by Corradi, Valentina & Swanson, Norman R.
January 2007, Volume 136, Issue 1
- 1-29 Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
by Chambers, Marcus J. & Roderick McCrorie, J.
- 31-64 Estimation and inference in two-stage, semi-parametric models of production processes
by Simar, Leopold & Wilson, Paul W.
- 65-88 A method of estimating the average derivative
by Banerjee, Anurag
- 89-114 Asymmetry and nonstationarity for a seasonal time series model
by Shin, Dong Wan & Lee, Oesook
- 115-130 Limit theory for moderate deviations from a unit root
by Phillips, Peter C.B. & Magdalinos, Tassos
- 131-162 Non-parametric tests of productive efficiency with errors-in-variables
by Kuosmanen, Timo & Post, Thierry & Scholtes, Stefan
- 163-188 Trending time-varying coefficient time series models with serially correlated errors
by Cai, Zongwu
- 189-211 A simple ordered data estimator for inverse density weighted expectations
by Lewbel, Arthur & Schennach, Susanne M.
- 213-235 An econometric method of correcting for unit nonresponse bias in surveys
by Korinek, Anton & Mistiaen, Johan A. & Ravallion, Martin
- 237-249 Aggregation and memory of models of changing volatility
by Zaffaroni, Paolo
- 251-280 Partial rank estimation of duration models with general forms of censoring
by Khan, Shakeeb & Tamer, Elie
- 281-301 Semiparametric efficient estimation of dynamic panel data models
by Park, Byeong U. & Sickles, Robin C. & Simar, Leopold
- 303-318 Time reversibility of stationary regular finite-state Markov chains
by McCausland, William J.
- 319-324 General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
by Lutkepohl, Helmut
2006, Volume 135, Issue 1-2
- 1-9 Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
by Swanson, Norman R. & Elliott, Graham & Ghysels, Eric & Gonzalo, Jesus
- 11-13 Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004
by Granger, Clive W.J.
- 15-29 Structural attribution of observed volatility clustering
by Granger, Clive W.J. & Machina, Mark J.
- 31-53 Persistence in forecasting performance and conditional combination strategies
by Aiolfi, Marco & Timmermann, Allan
- 55-76 Reduced rank regression for blocks of simultaneous equations
by Anderson, T.W.
- 77-124 Monitoring disruptions in financial markets
by Andreou, Elena & Ghysels, Eric
- 125-154 Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
by Chen, Xiaohong & Fan, Yanqin
- 155-186 Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
by Clark, Todd E. & West, Kenneth D.
- 187-228 Predictive density and conditional confidence interval accuracy tests
by Corradi, Valentina & Swanson, Norman R.
- 229-254 Finite-sample simulation-based inference in VAR models with application to Granger causality testing
by Dufour, Jean-Marie & Jouini, Tarek
- 255-284 Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
by Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao
- 285-310 Minimizing the impact of the initial condition on testing for unit roots
by Elliott, Graham & Muller, Ulrich K.
- 311-347 Large shocks vs. small shocks. (Or does size matter? May be so.)
by Gonzalo, Jesus & Martinez, Oscar
- 349-376 A regime switching long memory model for electricity prices
by Haldrup, Niels & Nielsen, Morten Orregaard
- 377-398 Interval forecasts and parameter uncertainty
by Hansen, Bruce E.
- 399-426 Robustifying forecasts from equilibrium-correction systems
by Hendry, David F.
- 427-463 Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
by Hsiao, Cheng & Wang, Siyan
- 465-497 Bagging binary and quantile predictors for time series
by Lee, Tae-Hwy & Yang, Yang
- 499-526 A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
by Marcellino, Massimiliano & Stock, James H. & Watson, Mark W.
- 527-566 Time-series estimation of the effects of natural experiments
by White, Halbert
October 2006, Volume 134, Issue 2
- 317-340 Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis
by Kumbhakar, Subal C. & Wang, Hung-Jen
- 341-371 Analysis of high dimensional multivariate stochastic volatility models
by Chib, Siddhartha & Nardari, Federico & Shephard, Neil
- 373-399 Estimating restricted structural change models
by Perron, Pierre & Qu, Zhongjun
- 401-417 Joint LM test for homoskedasticity in a one-way error component model
by Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain
- 419-440 Estimation of technical and allocative inefficiency: A primal system approach
by Kumbhakar, Subal C. & Wang, Hung-Jen
- 441-469 Modified tests for a change in persistence
by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
- 471-506 Quantile regression methods for recursive structural equation models
by Ma, Lingjie & Koenker, Roger
- 507-551 Saddlepoint approximations for continuous-time Markov processes
by Ai[dieresis]t-Sahalia, Yacine & Yu, Jialin
- 553-577 Markov-switching model selection using Kullback-Leibler divergence
by Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling
- 579-604 Residual autocorrelation testing for vector error correction models
by Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti
- 605-644 Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
by Griffin, J.E. & Steel, M.F.J.
- 645-664 Bayesian point estimation of the cointegration space
by Villani, Mattias
September 2006, Volume 134, Issue 1
- 1-68 Asymptotic properties of Monte Carlo estimators of diffusion processes
by Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel
- 69-94 Identification and estimation in sequential, asymmetric, English auctions
by Brendstrup, Bjarne & Paarsch, Harry J.
- 95-128 Matrix exponential GARCH
by Kawakatsu, Hiroyuki
- 129-150 Bootstrap testing for the null of no cointegration in a threshold vector error correction model
by Seo, Myunghwan
- 151-185 Generalized spectral tests for the martingale difference hypothesis
by Escanciano, J. Carlos & Velasco, Carlos
- 187-214 Estimation of quantity games in the presence of indivisibilities and heterogeneous firms
by Davis, Peter
- 215-234 An instrumental variable approach for panel unit root tests under cross-sectional dependence
by Shin, Dong Wan & Kang, Seungho
- 235-256 Distributional properties of portfolio weights
by Okhrin, Yarema & Schmid, Wolfgang
- 257-281 Estimation of mis-specified long memory models
by Chen, Willa W. & Deo, Rohit S.
- 283-315 Semiparametric Bayesian inference in smooth coefficient models
by Koop, Gary & Tobias, Justin L.
August 2006, Volume 133, Issue 2
- 411-419 Resampling methods in econometrics
by Dufour, Jean-Marie & Perron, Benoit
- 421-441 The power of bootstrap and asymptotic tests
by Davidson, Russell & MacKinnon, James G.
- 443-477 Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics
by Dufour, Jean-Marie
- 479-512 MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm
by Jouneau-Sion, Frederic & Torres, Olivier
- 513-529 Exact permutation tests for non-nested non-linear regression models
by Luger, Richard
- 531-555 Bootstrapping GMM estimators for time series
by Inoue, Atsushi & Shintani, Mototsugu
- 557-578 A fast subsampling method for nonlinear dynamic models
by Hong, H. & Scaillet, O.
- 579-599 Nonparametric state price density estimation using constrained least squares and the bootstrap
by Yatchew, Adonis & Hardle, Wolfgang
- 601-638 Unit root testing via the stationary bootstrap
by Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N.
- 639-672 A bootstrap theory for weakly integrated processes
by Park, Joon Y.
- 673-702 Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
by Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim
- 703-739 Bootstrapping cointegrating regressions
by Chang, Yoosoon & Park, Joon Y. & Song, Kevin
- 741-777 Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
by Davidson, James
- 779-806 Bootstrap conditional distribution tests in the presence of dynamic misspecification
by Corradi, Valentina & Swanson, Norman R.
- 807-839 Bootstrap specification tests for linear covariance stationary processes
by Hidalgo, J. & Kreiss, J.-P.
- 841-862 Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness
by Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E.
- 863-886 A consistent bootstrap test for conditional density functions with time-series data
by Li, Fuchun & Tkacz, Greg
July 2006, Volume 133, Issue 1
- 1-29 Estimation of models with grouped and ungrouped data by means of "2SLS"
by Dhrymes, Phoebus J. & Lleras-Muney, Adriana
- 31-49 Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market
by Radchenko, Stanislav & Tsurumi, Hiroki
- 51-70 Bounding parameters in a linear regression model with a mismeasured regressor using additional information
by Hu, Yingyao
- 71-96 Estimation of stochastic frontier production functions with input-oriented technical efficiency
by Kumbhakar, Subal C. & Tsionas, Efthymios G.
- 97-126 Generalized reduced rank tests using the singular value decomposition
by Kleibergen, Frank & Paap, Richard
- 127-152 The thick market effect on local unemployment rate fluctuations
by Gan, Li & Zhang, Qinghua
- 153-190 A flexible prior distribution for Markov switching autoregressions with Student-t errors
by Deschamps, Philippe J.
- 191-205 Testing for stochastic dominance using the weighted McFadden-type statistic
by Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas
- 207-241 Functional coefficient instrumental variables models
by Cai, Zongwu & Das, Mitali & Xiong, Huaiyu & Wu, Xizhi
- 243-271 Simulation-based estimation of peer effects
by Krauth, Brian V.
- 273-305 Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
by Durham, Garland B.
- 307-341 Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data
by Guell, Maia & Hu, Luojia
- 343-371 Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
by Christensen, Bent Jesper & Nielsen, Morten Orregaard
- 373-386 Semiparametric efficient adaptive estimation of asymmetric GARCH models
by Sun, Yiguo & Stengos, Thanasis
- 387-409 GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model
by Doran, Howard E. & Schmidt, Peter
June 2006, Volume 132, Issue 2
- 305-309 Causality and exogeneity in econometrics
by Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre
- 311-336 Granger causality and the sampling of economic processes
by McCrorie, J. Roderick & Chambers, Marcus J.
- 337-362 Short run and long run causality in time series: inference
by Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric
- 363-378 Testing for short- and long-run causality: A frequency-domain approach
by Breitung, Jorg & Candelon, Bertrand
- 379-407 Non-causality in bivariate binary time series
by Mosconi, Rocco & Seri, Raffaello
- 409-444 The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
by Bun, Maurice J.G. & Kiviet, Jan F.
- 445-459 Identification and estimation of statistical functionals using incomplete data
by Horowitz, Joel L. & Manski, Charles F.
- 461-489 Nonresponse in dynamic panel data models
by Nicoletti, Cheti
- 491-525 Instrumental quantile regression inference for structural and treatment effect models
by Chernozhukov, Victor & Hansen, Christian
- 527-543 Exogeneity in structural equation models
by de Luna, Xavier & Johansson, Per
May 2006, Volume 132, Issue 1
- 1-5 Common features
by Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid
- 7-42 A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
by Engle, Robert F. & Marcucci, Juri
- 43-57 Common factors in conditional distributions for bivariate time series
by Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J.
- 59-79 Synchronization of cycles
by Harding, Don & Pagan, Adrian
- 81-115 Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
by Johansen, Soren
- 117-141 Common cyclical features analysis in VAR models with cointegration
by Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre
- 143-168 Common trends and cycles in I(2) VAR systems
by Paruolo, Paolo
- 169-194 Are more data always better for factor analysis?
by Boivin, Jean & Ng, Serena
- 195-229 The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
by Corradi, Valentina & Swanson, Norman R.
- 231-255 The common and specific components of dynamic volatility
by Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver
- 257-279 VARs, common factors and the empirical validation of equilibrium business cycle models
by Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca
- 281-303 The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
by Issler, Joao Victor & Vahid, Farshid
2006, Volume 131, Issue 1-2
- 1-2 The econometrics of macroeconomics, finance, and the interface
by Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F.
- 3-27 A multiple indicators model for volatility using intra-daily data
by Engle, Robert F. & Gallo, Giampiero M.
- 29-58 Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
by Deo, Rohit & Hurvich, Clifford & Lu, Yi
- 59-95 Predicting volatility: getting the most out of return data sampled at different frequencies
by Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen
- 97-121 Consistent ranking of volatility models
by Hansen, Peter Reinhard & Lunde, Asger
- 123-150 Volatility puzzles: a simple framework for gauging return-volatility regressions
by Bollerslev, Tim & Zhou, Hao
- 151-177 Breaks and persistency: macroeconomic causes of stock market volatility
by Beltratti, A. & Morana, C.
- 179-215 Volatility comovement: a multifrequency approach
by Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B.
- 217-252 Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes
by Barndorff-Nielsen, Ole E. & Shephard, Neil
- 253-284 Option valuation with conditional skewness
by Christoffersen, Peter & Heston, Steve & Jacobs, Kris
- 285-308 Term structure of risk under alternative econometric specifications
by Guidolin, Massimo & Timmermann, Allan
- 309-338 The macroeconomy and the yield curve: a dynamic latent factor approach
by Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S.
- 339-358 Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
by Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna
- 359-403 What does the yield curve tell us about GDP growth?
by Ang, Andrew & Piazzesi, Monika & Wei, Min
- 405-444 A joint econometric model of macroeconomic and term-structure dynamics
by Hordahl, Peter & Tristani, Oreste & Vestin, David
- 445-473 Regime switching for dynamic correlations
by Pelletier, Denis
- 475-505 Multivariate Jacobi process with application to smooth transitions
by Gourieroux, Christian & Jasiak, Joann
- 507-537 Evaluating latent and observed factors in macroeconomics and finance
by Bai, Jushan & Ng, Serena
- 539-578 An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
by Bhardwaj, Geetesh & Swanson, Norman R.
- 579-609 A time series model for an exchange rate in a target zone with applications
by Lundbergh, Stefan & Terasvirta, Timo
February 2006, Volume 130, Issue 2
- 209-233 Local Whittle estimation of fractional integration and some of its variants
by Shimotsu, Katsumi & Phillips, Peter C.B.
- 235-252 A semi-parametric estimator for censored selection models with endogeneity
by Lee, Myoung-jae & Vella, Francis
- 253-272 Identification and estimation with contaminated data: When do covariate data sharpen inference?
by Mullin, Charles H.
- 273-306 On the selection of forecasting models
by Inoue, Atsushi & Kilian, Lutz
- 307-335 Estimation of copula-based semiparametric time series models
by Chen, Xiaohong & Fan, Yanqin
- 337-364 Forecasting the term structure of government bond yields
by Diebold, Francis X. & Li, Canlin
- 365-384 A semiparametric GARCH model for foreign exchange volatility
by Yang, Lijian
January 2006, Volume 130, Issue 1
- 1-23 A family of autoregressive conditional duration models
by Fernandes, Marcelo & Grammig, Joachim
- 25-43 Superlative index numbers: not all of them are super
by Hill, Robert J.
- 45-100 Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
by Gregoir, Stephane
- 101-122 A new approximate point optimal test of a composite null hypothesis
by Sriananthakumar, Sivagowry & King, Maxwell L.
- 123-142 Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
by Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc
- 143-164 Introduction to m-m processes
by Granger, Clive W.J. & Hyung, Namwon
- 165-207 Residual log-periodogram inference for long-run relationships
by Hassler, U. & Marmol, F. & Velasco, C.
2005, Volume 129, Issue 1-2
- 1-34 Modelling structural breaks, long memory and stock market volatility: an overview
by Banerjee, Anindya & Urga, Giovanni
- 35-40 The past and future of empirical finance: some personal comments
by Granger, Clive W.J.
- 41-64 Selection of the break in the Perron-type tests
by Montanes, Antonio & Olloqui, Irene & Calvo, Elena
- 65-119 Structural breaks with deterministic and stochastic trends
by Perron, Pierre & Zhu, Xiaokang
- 121-138 Neglecting parameter changes in GARCH models
by Hillebrand, Eric
- 139-182 Robust GMM tests for structural breaks
by Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni
- 183-217 Small sample properties of forecasts from autoregressive models under structural breaks
by Pesaran, M. Hashem & Timmermann, Allan
- 219-261 A parametric bootstrap test for cycles
by Dalla, Violetta & Hidalgo, Javier
- 263-298 Cointegration in fractional systems with deterministic trends
by Robinson, P.M. & Iacone, F.
- 299-327 Renewal regime switching and stable limit laws
by Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas
- 329-372 Testing for structural change in regression with long memory processes
by Lazarova, Stepana
October 2005, Volume 128, Issue 2
- 195-213 Size and power of tests of stationarity in highly autocorrelated time series
by Muller, Ulrich K.
- 215-251 Sign tests for long-memory time series
by Delgado, Miguel A. & Velasco, Carlos
- 253-282 Generating schemes for long memory processes: regimes, aggregation and linearity
by Davidson, James & Sibbertsen, Philipp
- 283-300 The distance between rival nonstationary fractional processes
by Robinson, P.M.
- 301-323 Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects
by Rabe-Hesketh, Sophia & Skrondal, Anders & Pickles, Andrew
September 2005, Volume 128, Issue 1
- 1-29 Combining estimators to improve structural model estimation and inference under quadratic loss
by Mittelhammer, Ron C. & Judge, George G.
- 31-68 Impact factors
by Omtzigt, Pieter & Paruolo, Paolo
- 69-97 Robust efficient method of moments
by Ortelli, Claudio & Trojani, Fabio
- 99-136 VAR forecasting under misspecification
by Schorfheide, Frank
- 137-164 Quasi-maximum likelihood estimation for conditional quantiles
by Komunjer, Ivana
- 165-193 Bootstrap inference in systems of single equation error correction models
by Herwartz, Helmut & Neumann, Michael H.
August 2005, Volume 127, Issue 2
- 131-164 Panel data analysis of U.S. coal productivity
by Stoker, Thomas M. & Berndt, Ernst R. & Denny Ellerman, A. & Schennach, Susanne M.
- 165-178 On leverage in a stochastic volatility model
by Yu, Jun
- 179-199 A nonparametric test for changing trends
by Juhl, Ted & Xiao, Zhijie
- 201-224 Subsampling inference in threshold autoregressive models
by Gonzalo, Jesus & Wolf, Michael
- 225-252 Unified approach to testing functional hypotheses in semiparametric contexts
by Hall, Peter & Yatchew, Adonis
July 2005, Volume 127, Issue 1
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