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June 1992, Volume 52, Issue 3
1992, Volume 52, Issue 1-2
- 5-59 ARCH modeling in finance : A review of the theory and empirical evidence
by Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F.
- 61-90 Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model
by Nelson, Daniel B.
- 91-113 Prediction in dynamic models with time-dependent conditional variances
by Baillie, Richard T. & Bollerslev, Tim
- 115-127 Stationarity of Garch processes and of some nonnegative time series
by Bougerol, Philippe & Picard, Nico
- 129-157 Unobserved component time series models with Arch disturbances
by Harvey, Andrew & Ruiz, Esther & Sentana, Enrique
- 159-199 Qualitative threshold ARCH models
by Gourieroux, Christian & Monfort, Alain
- 225-244 A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
by McCurdy, Thomas H. & Stengos, Thanasis
- 245-266 A multi-dynamic-factor model for stock returns
by Ng, Victor & Engle, Robert F. & Rothschild, Michael
- 289-311 Implied ARCH models from options prices
by Engle, Robert F. & Mustafa, Chowdhury
1992, Volume 51, Issue 1-2
- 3-5 Fellow's opinion: Evaluating economic theory
by Granger, Clive W. J.
- 7-24 Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality
by Evans, Merran
- 25-58 Semiparametric proportional hazards estimation of competing risks models with time-varying covariates
by Sueyoshi, Glenn T.
- 59-77 Median regression for ordered discrete response
by Lee, Myoung-jae
- 79-99 Bayes inference in the Tobit censored regression model
by Chib, Siddhartha
- 101-112 On the power function of the Durbin-Watson test
by Bartels, Robert
- 113-150 Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
by Choi, In & Phillips, Peter C. B.
- 151-181 Simultaneous equations and panel data
by Cornwell, Christopher & Schmidt, Peter & Wyhowski, Donald
- 183-189 The optimal choice of controls and pre-experimental observations
by Nijman, Theo & Verbeek, Marno
- 191-215 Deciding between the common and private value paradigms in empirical models of auctions
by Paarsch, Harry J.
- 217-231 Nonparametric evidence on asymmetry in business cycles using aggregate employment time series
by Hussey, Robert
- 233-257 Investment and Tobin's Q: Evidence from company panel data
by Blundell, Richard & Bond, Stephen & Devereux, Michael & Schiantarelli, Fabio
- 259-284 Finite sample evidence on the performance of stochastic frontiers and data envelopment analysis using panel data
by Gong, Byeong-Ho & Sickles, Robin C.
- 287-287 International conference on econometric inference using simulation techniques
by Van Dijk, Herman K.
December 1991, Volume 50, Issue 3
- 229-229 Editorial
by Aigner, Dennis J.
- 231-231 Tribute to Dennis J.Aigner
by Zellner, Arnold
- 235-256 A semiparametric structural analysis of the idling of cement kilns
by Das, Sanghamitra
- 257-272 On Wald tests for globally and locally quadratic restrictions
by Kemp, Gordon C. R.
- 273-295 Identification and estimation of polynomial errors-in-variables models
by Hausman, Jerry A. & Newey, Whitney K. & Ichimura, Hidehiko & Powell, James L.
- 297-327 A random coefficient approach to the estimation of residential end-use load profiles
by Fiebig, Denzil G. & Bartels, Robert & Aigner, Dennis J.
- 329-353 On the asymptotic normality of Fourier flexible form estimates
by Gallant, A. Ronald & Souza, Geraldo
- 355-376 Spectral based testing of the martingale hypothesis
by Durlauf, Steven N.
- 377-398 Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
by Giles, Judith A.
October 1991, Volume 50, Issue 1-2
- 1-5 Editor's introduction
by Maasoumi, Esfandiar
- 7-13 On the measurement of welfare
by Tinbergen, Jan
- 15-29 Welfare, preference and freedom
by Sen, Amartya
- 31-48 Welfare comparisons and situation comparisons
by Pollak, Robert A.
- 69-89 Ordinal and cardinal utility : An integration of the two dimensions of the welfare concept
by van Praag, Bernard M. S.
- 91-105 A numerical methods approach to calculating cost-of-living indices
by Porter-Hudak, Susan & Hayes, Kathy
- 131-150 Cluster analysis for measuring welfare and quality of life across countries
by Hirschberg, Joseph G. & Maasoumi, Esfandiar & Slottje, Daniel J.
- 151-181 Statistical and measurement issues in assessing the welfare status of aged individuals and populations
by Manton, Kenneth G. & Woodbury, Max A. & Stallard, Eric
- 183-203 Black-white mortality inequalities
by Behrman, Jere R. & Sickles, Robin & Taubman, Paul & Yazbeck, Abdo
- 205-228 Inequality at birth : The scope for policy intervention
by Rosenzweig, Mark R. & Wolpin, Kenneth I.
September 1991, Volume 49, Issue 3
1991, Volume 49, Issue 1-2
- 1-4 Editor's introduction
by Poirier, Dale J.
- 5-50 Seminonparametric Bayesian estimation of the asymptotically ideal production model
by Barnett, William A. & Geweke, John & Wolfe, Michael
- 51-104 A posterior odds analysis of the weekend effect
by Connolly, Robert A.
- 105-139 Cointegration tests in present value relationships : A Bayesian look at the bivariate properties of stock prices and dividends
by Koop, Gary
- 141-168 A bayesian approach to testing the arbitrage pricing theory
by McCulloch, Robert & Rossi, Peter E.
- 195-238 A Bayesian analysis of the unit root in real exchange rates
by Schotman, Peter & van Dijk, Herman K.
- 239-274 Bayesian multivariate exogeneity analysis : An application to a UK money demand equation
by Steel, Mark F. J. & Richard, Jean-Francois
- 275-304 Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques
by Zellner, Arnold & Hong, Chansik & Min, Chung-ki
June 1991, Volume 48, Issue 3
- 287-312 The measurement of productivity and scarcity rents : The case of asbestos in Canada
by Lasserre, Pierre & Ouellette, Pierre
- 313-324 On the relation between GARCH and stable processes
by de Vries, Casper G.
- 325-353 Testing for unit roots in autoregressive moving average models : An instrumental variable approach
by Pantula, Sastry G. & Hall, Alastair
- 355-371 Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity
by Ozcam, Ahmet & Judge, George G.
- 373-384 The implications of periodically varying coefficients for seasonal time-series processes
by Osborn, Denise R.
- 385-393 A transformation that will circumvent the problem of autocorrelation in an error-component model
by Baltagi, Badi H. & Li, Qi
- 395-408 Estimation and testing when explanatory variables are endogenous : An application to a demand system
by Attfield, C. L. F.
- 409-410 A note on the existence of moments of k-class estimators when k is negative
by Kinal, Terrence
1991, Volume 48, Issue 1-2
- 1-14 Grouping bounds for inequality measures under alternative informational assumptions
by Cowell, Frank A.
- 15-27 Fighting the teflon factor : Comparing classical and Bayesian estimators for autocorrelated errors
by Kennedy, Peter & Simons, Daniel
- 29-55 Specification testing and quasi-maximum- likelihood estimation
by Wooldridge, Jeffrey M.
- 57-81 Empirical models of discrete games
by Bresnahan, Timothy F. & Reiss, Peter C.
- 83-117 A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches
by Steel, Mark F. J.
- 119-134 Bounded-influence estimators for the SURE model
by Peracchi, Franco
- 135-149 Multi-step estimation and forecasting in dynamic models
by Weiss, Andrew A.
- 151-181 Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards F test truncation rule
by Eastwood, Brian J.
- 183-193 A note on Bayesian inference in a regression model with elliptical errors
by Osiewalski, Jacek
- 195-214 On a pooled estimator and its finite-sample moments
by Mikhail, William M. & Ghazal, G. A.
- 215-240 Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria
by Tsurumi, Hiroki & Wago, Hajime
- 241-262 A constrained maximum-likelihood approach to estimating switching regressions
by Phillips, Robert F.
- 263-285 Analysis of survival data : Estimation and specification tests using asymptotic least squares
by Jayet, H. & Moreau, A.
February 1991, Volume 47, Issue 2-3
- 197-205 Simulation estimation of time-series models
by Lee, Bong-Soo & Ingram, Beth Fisher
- 207-226 Estimation of a regression model on two or more sets of differently grouped data
by Fukushige, Mototsugu & Hatanaka, Michio
- 227-242 The likelihood dominance criterion : A new approach to model selection
by Pollak, Robert A. & Wales, Terence J.
- 243-266 Grouped-data estimation and testing in simple labor-supply models
by Angrist, Joshua D.
- 267-272 Pooling states in the multinomial logit model
by Cramer, J. S. & Ridder, G.
- 273-284 A note concerning specifications of interactive random-coefficient regression models
by Gatto, Joseph P. & Kelejian, Harry H. & Stephan, Scott W.
- 285-303 Unit-roots test for time-series data with a linear time trend
by Said, Said E.
- 305-331 Another look at the identification of current rational-expectations models
by Rayner, Janne
- 333-357 Estimation of a linear regression model with stationary ARMA(p, q) errors
by Zinde-Walsh, Victoria & Galbraith, John W.
- 359-377 Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors
by Andrews, Donald W. K.
- 379-400 Demand conditions, regulation, and the measurement of productivity
by Appelbaum, Elie & Berechman, Joseph
January 1991, Volume 47, Issue 1
- 1-4 Editors' introduction: 40 years of diagnostic testing
by Hillier, Grant H. & King, Maxwell L.
- 5-46 On the application of robust, regression- based diagnostics to models of conditional means and conditional variances
by Wooldridge, Jeffrey M.
- 47-66 On multiple diagnostic procedures for the linear model
by Hillier, Grant H.
- 67-84 Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
by Robinson, P. M.
- 85-114 The Durbin-Watson ratio under infinite-variance errors
by Phillips, Peter C. B. & Loretan, Mico
- 115-143 Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
by Dufour, Jean-Marie & King, Maxwell L.
- 145-152 Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model
by King, Maxwell L. & Wu, Ping X.
- 153-173 The finite-sample distributions of heteroskedasticity robust Wald statistics
by Chesher, Andrew & Austin, Gerard
- 175-194 Distributional specification tests against semiparametric alternatives
by Peters, Simon & Smith, Richard J.
December 1990, Volume 46, Issue 3
- 247-271 Limiting power of unit-root tests in time-series regression
by Nabeya, Seiji & Tanaka, Katsuto
- 273-308 Testing nonnested Euler conditions with quadrature-based methods of approximation
by Ghysels, Eric & Hall, Alastair
- 309-331 The small-sample performance of the information-matrix test
by Orme, Chris
- 333-346 Estimation of time-dependent parameters in linear models using cross-sections, panels, or both
by Nijman, Theo & Verbeek, Marno
- 347-364 Regression-based tests for overdispersion in the Poisson model
by Cameron, A. Colin & Trivedi, Pravin K.
- 365-380 Multiple roots of the Tobit log-likelihood
by Greene, William
- 381-398 An adjustment-costs model of export supply and import demand
by Lawrence, Denis
- 399-406 A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process
by Choudhury, Askar H. & St. Louis, Robert D.
1990, Volume 46, Issue 1-2
- 3-5 Editor's introduction
by Lewin, Arie Y. & Knox Lovell, C. A.
- 7-38 Recent developments in DEA : The mathematical programming approach to frontier analysis
by Seiford, Lawrence M. & Thrall, Robert M.
- 39-56 Recent developments in the econometric estimation of frontiers
by Bauer, Paul W.
- 57-72 Largest size-efficient scale and size efficiencies of decision-making units in data envelopment analysis
by Maindiratta, Ajay
- 73-91 Polyhedral Cone-Ratio DEA Models with an illustrative application to large commercial banks
by Charnes, A. & Cooper, W. W. & Huang, Z. M. & Sun, D. B.
- 93-108 The role of multiplier bounds in efficiency analysis with application to Kansas farming
by Thompson, Russell G. & Langemeier, Larry N. & Lee, Chih-Tah & Lee, Euntaik & Thrall, Robert M.
- 109-123 Transformations in stochastic DEA models
by Sengupta, Jati K.
- 125-140 Goodness-of-fit in optimizing models
by Varian, Hal R.
- 141-163 A Gamma-distributed stochastic frontier model
by Greene, William H.
- 165-183 Moment-based estimation and testing of stochastic frontier models
by Kopp, Raymond J. & Mullahy, John
- 185-200 Production frontiers with cross-sectional and time-series variation in efficiency levels
by Cornwell, Christopher & Schmidt, Peter & Sickles, Robin C.
- 201-211 Production frontiers, panel data, and time-varying technical inefficiency
by Kumbhakar, Subal C.
- 213-227 Deterministic parametric and nonparametric estimation of efficiency in service production : A comparison
by Bjurek, Hans & Hjalmarsson, Lennart & Forsund, Finn R.
- 229-245 Measuring cost efficiency in banking : Econometric and linear programming evidence
by Ferrier, Gary D. & Lovell, C. A. Knox
1990, Volume 45, Issue 3
- 291-308 The impact of stochastic and deterministic trends on money-output causality : A multi-country investigation
by Krol, Robert & Ohanian, Lee E.
- 309-330 Nonparametric hazard estimation with time-varying discrete covariates
by Leung, Siu Fai & Wong, Wing Hung
- 331-350 An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
by Wooldridge, Jeffrey M.
- 351-366 Personal characteristics, unemployment insurance, and the duration of unemployment
by Follmann, Dean A. & Goldberg, Matthew S. & May, Laurie
- 367-384 Bounds for exact moments of estimators in the errors-in-variables model and simultaneous equations
by Friedmann, Ralph
- 385-395 Mallows' Cp criterion and unbiasedness of model selection
by Kobayashi, Masahito & Sakata, Shinichi
1990, Volume 45, Issue 1-2
- 1-5 Editors' introduction
by Campbell, John Y. & Melino, Angelo
- 7-38 ARCH models as diffusion approximations
by Nelson, Daniel B.
- 39-70 Analysis of time series subject to changes in regime
by Hamilton, James D.
- 71-97 Residual risk revisited
by Lehmann, Bruce N.
- 99-120 Intertemporal asset pricing : An Empirical Investigation
by Shanken, Jay
- 121-139 Are consumption-based intertemporal capital asset pricing models structural?
by Ghysels, Eric & Hall, Alastair
- 141-179 Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
by Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George
- 181-211 An econometric analysis of nonsynchronous trading
by Lo, Andrew W. & Craig MacKinlay, A.
- 213-237 Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
by Engle, Robert F. & Ng, Victor K. & Rothschild, Michael
- 239-265 Pricing foreign currency options with stochastic volatility
by Melino, Angelo & Turnbull, Stuart M.
- 267-290 Alternative models for conditional stock volatility
by Pagan, Adrian R. & Schwert, G. William
June 1990, Volume 44, Issue 3
- 241-279 The classical principles of testing using instrumental variables estimates
by Magdalinos, Michael A.
- 281-309 Price elasticities from survey data : Extensions and Indonesian results
by Deaton, Angus
- 311-332 Two-stage instrumental variables estimators for the nonlinear errors-in-variables model
by Amemiya, Yasuo
- 333-346 On estimating and testing in a linear regression model with autocorrelated errors
by Ohtani, Kazuhiro
- 347-361 On the measurement of economic capacity utilization for multi-product industries
by Segerson, Kathleen & Squires, Dale
- 363-376 Forecasting with demand systems : A comparative study
by Chambers, Marcus J.
- 377-390 Aggregation and identification in consumer demand systems
by Heineke, J. M. & Shefrin, H. M.
- 391-400 Coherency of the indirect translog demand system with binding nonnegativity constraints
by Van Soest, Arthur & Kooreman, Peter
1990, Volume 44, Issue 1-2
- 1-4 Editor's introduction
by Aigner, Dennis J.
- 5-24 A statistical perspective on insurance rate-making
by Hsiao, Cheng & Kim, Changseob & Taylor, Grant
- 25-39 Simultaneous equations with covariance restrictions
by Rothenberg, Thomas J. & Ruud, Paul A.
- 41-66 A unified approach to estimation and orthogonality tests in linear single-equation econometric models
by Pesaran, M. Hashem & Smith, Richard J.
- 67-86 How to live with misspecification if you must
by Maasoumi, Esfandiar
- 87-105 The simultaneous-equations model revisited : Statistical adequacy and identification
by Spanos, Aris
- 107-126 Bounded-influence estimators for the tobit model
by Peracchi, Franco
- 127-158 Least absolute error estimation in the presence of serial correlation
by Weiss, Andrew A.
- 159-170 Reasonable extreme-bounds analysis
by Granger, Clive W. J. & Uhlig, Harald F.
- 171-187 Bootstrapping improved estimators for linear regression models
by Brownstone, David
- 189-213 An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss
by Judge, G. G. & Hill, R. Carter & Bock, M. E.
- 215-238 Seasonal integration and cointegration
by Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S.
March 1990, Volume 43, Issue 3
- 255-274 Effects of collinearity on information about regression coefficients
by Soofi, Ehsan S.
- 275-292 An analogue model of phase-averaging procedures
by Campos, Julia & Ericsson, Neil R. & Hendry, David F.
- 293-315 Detecting multiple outliers with an application to R&D productivity
by Reiss, Peter C.
- 317-336 Robust estimation based on grouped-adjusted data in linear regression models
by Nawata, Kazumitsu
- 337-362 Robust estimation based on grouped-adjusted data in censored regression models
by Nawata, Kazumitsu
- 363-372 Finite sample power of linear regression autocorrelation tests
by Kramer, Walter & Zeisel, Helmut
- 373-388 On the compatibility of nested logit models with utility maximization
by Borsch-Supan, Axel
- 389-394 Three-stage least squares with different instruments for different equations
by Schmidt, Peter
1990, Volume 43, Issue 1-2
- 1-3 Editor's introduction : The state of empirical work on economic inequality
by Slottje, Daniel
- 5-34 A dispersion-dependency diagnostic test for aggregation error : With applications to monetary economics and income distribution
by Barnett, William A. & Serletis, Apostolos
- 35-42 Income distribution movements and aggregate money illusion
by Lewbel, Arthur
- 43-61 A multinomial probability model of size income distribution
by Diamond, Charles A. & Simon, Curtis J. & Warner, John T.
- 63-75 A random-effects logit model of work-welfare transitions
by Enberg, John & Gottschalk, Peter & Wolf, Douglas
- 77-90 A general functional form for approximating the Lorenz curve
by Basmann, R. L. & Hayes, K. J. & Slottje, D. J. & Johnson, J. D.
- 91-102 On the relationship between income inequality measures and social welfare functions
by Dagum, Camilo
- 103-120 Inequality and the standard of living
by Jorgenson, Dale W. & Slesnick, Daniel T.
- 121-133 Generalized entropy measures of mobility for different sexes and income levels
by Maasoumi, Esfandiar & Zandvakili, Sourushe
- 135-151 Inflation, relative price variation, and inequality
by Slesnick, Daniel T.
- 153-166 The poverty concept when prices are income-dependent
by Van Praag, Bernard M. S. & Baye, Michael R.
- 167-177 Measuring wealth in a simple two-period model
by Creedy, John
- 179-195 Methodological issues in the estimation of the size distribution of household wealth
by Wolff, Edward N.
- 197-212 An intervention analysis of the war on poverty : Poverty's persistence and political-business cycle implications
by Fomby, Thomas B. & Hayes, Kathy J.
- 213-226 Is the size distribution of income a random walk?
by Hayes, Kathy & Slottje, D. J. & Porter-Hudak, Susan & Scully, Gerald
- 227-251 Regression models for positive random variables
by McDonald, James B. & Butler, Richard J.
November 1989, Volume 42, Issue 3
October 1989, Volume 42, Issue 2
- 157-179 The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
by Magnus, Jan R. & Pesaran, Bahram
- 181-199 A method for approximate representation of vector-valued time series and its relation to two alternatives
by Aoki, Masanao & Havenner, Arthur
- 201-218 Risk and reactor safety systems adoption
by Dubin, Jeffrey A. & Rothwell, Geoffrey S.
- 219-245 The reserve-labor hypothesis, short-run pricing theories, and the employment-output relationship
by Garber, Steven
- 247-265 On the efficient estimation of simultaneous equations with covariance restrictions
by Arellano, Manuel
- 267-273 An efficient GLS estimator of triangular models with covariance restrictions
by Arellano, Manuel
- 275-283 A note on the estimation of nonsymmetric dynamic factor demand models
by Madan, Dilip B. & Prucha, Ingmar R.
September 1989, Volume 42, Issue 1
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