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2005, Volume 24, Issue 2
- 151-173 A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
by Jorg Breitung - 175-194 Monotonicity Conditions and Inequality Imputation for Sample-Selection and Non-Response Problems
by Myoung-Jae Lee - 195-217 Likelihood Estimation for Censored Random Vectors
by Wendelin Schnedler - 219-241 More Efficient Tests Robust to Heteroskedasticity of Unknown Form
by Emmanuel Flachaire - 243-245 A Review of: “Stochastic Frontier Analysis”
by Scott Atkinson
2005, Volume 24, Issue 1
- 1-37 Reliable Inference For Gmm Estimators? Finite Sample Properties Of Alternative Test Procedures In Linear Panel Data Models
by Stephen Bond & Frank Windmeijer - 39-58 Adaptive Estimation Of Heteroskedastic Error Component Models
by Badi Baltagi & Georges Bresson & Alain Pirotte - 59-81 Robust Asymptotic Inference In Autoregressive Models With Martingale Difference Errors
by Nikolay Gospodinov - 83-108 The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts
by Artur C. B. da Silva Lopes & Antonio Montanes - 109-111 Book Review: Panel Data Econometrics
by Sourafel Girma
2005, Volume 23, Issue 4
- 293-323 Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
by Hyungsik Roger Moon & Benoit Perron - 325-340 Bootstrap Tests of Nonnested Hypotheses: Some Further Results
by L. G. Godfrey & J. M. C. Santos Silva - 341-370 The Sensitivity of Chi-Squared Goodness-of-Fit Tests to the Partitioning of Data
by Gianna Boero & Jeremy Smith & Kenneth Wallis - 371-402 In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
by Atsushi Inoue & Lutz Kilian
2005, Volume 23, Issue 3
- 175-198 Forecast Evaluation in the Presence of Unobserved Volatility
by George Christodoulakis & Stephen Satchell - 199-214 Estimating Long and Short Run Effects in Static Panel Models
by Peter Egger & Michael Pfaffermayr - 215-228 On the Power of Bootstrapped Specification Tests
by Manuel Dominguez - 229-257 Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
by Douglas Hodgson - 259-292 Unit Root Tests under Time-Varying Variances
by Giuseppe Cavaliere
2004, Volume 23, Issue 2
- 93-123 Empirical Characteristic Function Estimation and Its Applications
by Jun Yu - 125-147 Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model
by William Greene - 149-166 Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
by Richard Harris & Elias Tzavalis - 167-174 A Note on the Role of the Propensity Score for Estimating Average Treatment Effects
by Markus Frolich
2004, Volume 23, Issue 1
- 1-23 On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
by Bent Nielsen - 25-52 Estimator Choice and Fisher's Paradox: A Monte Carlo Study
by Guglielmo Maria Caporale & Nikitas Pittis - 53-70 Automatic Block-Length Selection for the Dependent Bootstrap
by Dimitris Politis & Halbert White - 71-91 A Small-Sample Estimator for the Sample-Selection Model
by Amos Golan & Enrico Moretti & Jeffrey M.Perloff
2003, Volume 22, Issue 4
- 307-335 Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
by Lung-fei Lee - 337-349 A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges
by Jorge Belaire-Franch - 351-377 Testing the Martingale Difference Hypothesis
by Manuel Dominguez & Ignacio Lobato - 379-410 Optimal Predictive Tests
by Alain Guay - 411-435 Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
by Vasco Gabriel
January 2003, Volume 22, Issue 3
- 217-237 Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
by Elena Andreou & Aris Spanos - 239-245 Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1)
by Pierre Perron - 247-252 Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 2)-super-#
by Robin L. Lumsdaine - 253-260 Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 3)
by Ragnar Nymoen - 261-267 The Robustness of Trend Stationarity: An Illustration with the Extended Nelson-Plosser Dataset
by Maozu Lu & Jan M. Podivinsky - 269-287 A Consistent Method for the Selection of Relevant Instruments
by Alastair R. Hall & Fernanda P. M. Peixe - 289-306 Modeling Technology as a Dynamic Error Components Process: The Case of the Inter-country Agricultural Production Function†
by Rodolfo Cermeño & G. S. Maddala & Michael A. Trueblood
2003, Volume 22, Issue 2
- 115-134 A Comparison of Partially Adaptive and Reweighted Least Squares Estimation
by Brian Boyer & James McDonald & Whitney Newey - 135-154 Regularity of the Generalized Quadratic Production Model: A Counterexample
by William Barnett & Meenakshi Pasupathy - 155-177 Dynamics of Market Power and Concentration Profiles
by Esfandiar Maasoumi & Daniel Slottje - 179-202 Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
by Shiqing Ling & W. K. Li & Michael McAleer - 203-215 Some Recent Developments in Econometric Inference
by Arnold Zellner
February 2003, Volume 22, Issue 1
- 1-1 In Memoriam: G. S. Maddala
by Cheng Hsiao - 1-1 In Memoriam: Zvi Griliches
by Jacques Mairesse - 1-28 Almost Consistent Estimation of Panel Probit Models with "Small" Fixed Effects
by Fran�ois Laisney & Michael Lechner - 29-58 Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix
by Maurice J. G. Bun - 59-77 Provincial Conditional Income Convergence in China, 1953-1997: A Panel Data Approach
by Melvyn Weeks & James Yudong Yao - 79-91 Stochastic Production Frontier and Technical Inefficiency: A Sensitivity Analysis
by Rafik Baccouche & Mokhtar Kouki - 93-111 Efficiency Measure from Dynamic Stochastic Production Frontier: Application to Tunisian Textile, Clothing, and Leather Industries
by Rim Ben Ayed-Mouelhi & Mohamed Goa�ed
2002, Volume 21, Issue 4
- 397-417 Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns
by Jonathan Wright - 419-429 Fast Double Bootstrap Tests Of Nonnested Linear Regression Models
by Russell Davidson & James MacKinnon - 431-447 On The Asymptotics Of Adf Tests For Unit Roots
by Yoosoon Chang & Joon Park - 449-476 Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study
by Ionel Birgean & Lutz Kilian - 477-496 A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models
by Edoardo Otranto & Giampiero Gallo
2002, Volume 21, Issue 3
- 273-307 Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features
by Alain Hecq & Franz Palm & Jean-Pierre Urbain - 309-336 A Monte Carlo Comparison Of Various Asymptotic Approximations To The Distribution Of Instrumental Variables Estimators
by Jinyong Hahn & Atsushi Inoue - 337-352 A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals
by Yanqin Fan & Qi Li - 353-381 Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean
by Serena Ng & Timothy Vogelsang - 383-393 Computing Marginal Effects In The Box-Cox Model
by Jason Abrevaya
2002, Volume 21, Issue 2
- 149-165 Improving The Numerical Technique For Computing The Accumulated Distribution Of A Quadratic Form In Normal Variables
by Zeng-Hua Lu & Maxwell King - 167-187 Simple Lm Tests For The Unbalanced Nested Error Component Regression Model
by Badi Baltagi & Seuck Heun Song & Byoung Cheol Jung - 189-203 Is Adaptive Estimation Useful For Panel Models With Heteroskedasticity In The Individual Specific Error Component? Some Monte Carlo Evidence
by Nilanjana Roy - 205-219 Estimation Of The Vector Moving Average Model By Vector Autoregression
by John Galbraith & Aman Ullah & Victoria Zinde-Walsh - 221-241 Asymptotic Distributions Of Seasonal Unit Root Tests: A Unifying Approach
by Denise Osborn & Paulo Rodrigues - 243-270 Testing For Periodic Stationarity
by Eiji Kurozumi
2002, Volume 21, Issue 1
- 1-47 Smooth Transition Autoregressive Models — A Survey Of Recent Developments
by Dick van Dijk & Timo Terasvirta & Philip Hans Franses - 49-87 Long-Run Structural Modelling
by M. Hashem Pesaran & Yongcheol Shin - 89-119 Distribution Of The Least Squares Estimator In A First-Order Autoregressive Model
by Mukhtar Ali - 121-134 ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION
by Kazuhiro Ohtani & Alan Wan - 135-146 Estimation Of Discrete Choice Models With Minimal Variation Of Alternative-Specific Variables
by Gerd Ronning
2001, Volume 20, Issue 4
- 385-424 Dynamic Factor Models
by Christian Gourieroux & Joann Jasiak - 425-443 Generalized Integer-Valued Autoregression
by Kurt Brannas & Jorgen Hellstrom - 445-460 Estimation Of Econometric Models With Nonparametrically Specified Risk Terms
by Badi Baltagi & Qi Li - 461-483 Unit Root Tests With Infinite Variance Errors
by Sung Ahn & Stergios Fotopoulos & Lijian He - 485-505 Optimal Iv Estimation Of Systems With Stochastic Regressors And Var Disturbances With Applications To Dynamic Systems
by David Mandy & Carlos Martins-Filho
2001, Volume 20, Issue 3
- 247-318 A Review Of Systems Cointegration Tests
by Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen - 319-335 Recentered And Rescaled Instrumental Variable Estimation Of Tobit And Probit Models With Errors In Variables
by Shigeru Iwata - 337-351 An Alternative To The Bds Test: Integration Across The Correlation Integral
by Evzen Kocenda - 353-367 Density Estimation For Clustered Data
by Robert Breunig - 369-383 The Exact Bias Of The Log-Periodogram Regression Estimator
by Offer Lieberman
2001, Volume 20, Issue 2
- 159-170 Model Building And Data Mining
by J. Denis Sargan - 171-186 The Choice Between Sets Of Regressors
by J. Denis Sargan - 187-200 Seasonal Integration For Daily Data
by Akira Tokihisa & Shigeyuki Hamori - 201-216 Common Features In Time Series With Both Deterministic And Stochastic Seasonality
by Gianluca Cubadda - 217-234 Bayesian Analysis Of A Fractional Cointegration Model
by Gael Martin - 235-245 A Bayesian Interpretation Of Multiple Point Estimates
by Mahmoud El-Gamal
2001, Volume 20, Issue 1
- 1-30 The Power And Size Of Nonparametric Tests For Common Distributional Characteristics
by Gordon Anderson - 31-40 Double Length Artificial Regressions For Testing Spatial Dependence
by Badi Baltagi & Dong Li - 41-60 A Consistent Model Specification Test For A Regression Function Based On Nonparametric Wavelet Estimation
by Thanasis Stengos & Yiguo Sun - 61-84 Estimation And Inference On Long-Run Equilibria: A Simulation Study
by Nunzio Cappuccio & Diego Lubian - 85-104 A Score Test For Seasonal Fractional Integration And Cointegration
by Paramsothy Silvapulle - 105-112 Size Characteristics Of Tests For Sample Selection Bias: A Monte Carlo Comparison And Empirical Example
by Kazumitsu Nawata & Michael McAleer - 113-131 A Modified Average Derivatives Estimator
by Chunrong Ai
2000, Volume 19, Issue 4
- 5-5 Introduction
by Esfandiar Maasoumi & Almas Heshmati - 162-173 Estimation of firm-specific technological bias, technical change and total factor productivity growth: a dual approach
by Subal Kumbhakar & Shinichiro Nakamura & Almas Heshmati - 312-320 Estimation and decomposition of productivity change when production is not efficient: a paneldata approach
by Subal Kumbhakar & M. Denny & M. Fuss - 391-424 Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences
by Erik Biørn - 461-492 Estimation of long-run inefficiency levels: a dynamic frontier approach
by Seung Ahn & Robin Sickles
2000, Volume 19, Issue 3
- 5-5 Introduction
by Esfandiar Maasoumi & Almas Heshmati - 263-286 Nonstationary panel data analysis: an overview of some recent developments
by Peter Phillips & Hyungsik Moon - 287-320 Stochastic dominance amongst swedish income distributions
by Esfandiar Maasoumi & Almas Heshmati - 321-340 GMM Estimation with persistent panel data: an application to production functions
by Richard Blundell & Stephen Bond - 341-366 Estimation of tobit-type models with individual specific effects
by Bo Honore & Ekaterini Kyriazidou & J. L. Powell - 367-389 Flexible panel data models for risky production technologies with an application to salmon aquaculture
by Ragner Tveterås & G. H. Wan
2000, Volume 19, Issue 2
- 145-174 Adaptive testing in arch models
by Oliver Linton & Douglas Steigerwald - 175-206 Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form
by Douglas Hodgson - 207-231 Modified lag augmented vector autoregressions
by Eiji Kurozumi & Taku Yamamoto - 233-240 GNR, MGR, and exact misspeclfication testing
by Kenneth Stewart & Kenneth Stewart - 241-261 Alternative approaches to testing by variable addition
by L. G. Godfrey & M. R. Veal
2000, Volume 19, Issue 1
- 1-48 Recent developments in bootstrapping time series
by Jeremy Berkowitz & Lutz Kilian - 55-68 Bootstrap tests: how many bootstraps?
by Russell Davidson & James MacKinnon - 69-103 Problems related to confidence intervals for impulse responses of autoregressive processes
by Alexander Benkwitz & Michael Neumann & Helmut Lutekpohl - 105-130 Estimation and inference in sur models when the number of equations is large
by Denzil Fiebig & Jae Kim - 135-137 Book review
by James Hamilton - 139-144 Remark on pseudo-generalized least squares
by Jorgen Grofi & Simo Puntanen
1999, Volume 18, Issue 4
- 343-386 Testing autocorrelation in a system perspective testing autocorrelation
by David Edgerton & Ghazi Shukur - 387-415 Probability inequalities in multivariate distributions
by Myoung-jae Lee - 417-439 A bayesian approach to dynamic tobit models
by Steven Wei - 441-448 On regression-based tests for persistence in logarithmic volatility models
by Zacharias Psaradakis & Elias Tzavalis - 449-450 Announcement and call for papers for the ninth international conference on panel data
by Pietro Balestra & Jaya Krishnakumar
1999, Volume 18, Issue 3
- 235-257 Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
by Pentti Saikkonen - 259-269 The effect of aggregation on nonlinearity
by Clive Granger & Tae-Hwy Lee - 271-286 On trends and constants in periodic autoregressions
by Richard Paap & Philip Hans Franses - 287-330 An introduction to hypergeometric functions for economists
by Karim Abadir - 331-336 A note on super exogeneity in linear regression models
by Zacharias Psarasakis - 337-342 Book review
by Kevin Hoover
1999, Volume 18, Issue 2
- 127-140 An efficient algorithm to compute maximum entropy densities
by D. Ormoneit & H. White - 141-167 Partially adaptive estimation of nonlinear models via a normal mixture
by R. F. Phillips - 169-194 The robustness, reliabiligy and power of heteroskedasticity tests
by L. G. Godfrey & C. D. Orme - 195-209 Monte carlo sampling approach to testing nonnested hypothesis: monte carlo results
by N. Coulibaly & B. Wade Brorsen - 211-228 Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
by F. Cribari-Neto & S. G. Zarkos - 229-230 Book reviews
by Charles Goodhart
1999, Volume 18, Issue 1
- 1-73 Using simulation methods for bayesian econometric models: inference, development,and communication
by John Geweke - 75-87 Estimating consumer surplus comments on "using simulation methods for bayesian econometric models: inference development and communication"
by W. E. Griffiths - 89-96 Some comments on model development and posterior existence
by C. Fernandez & M. F. J. Steel - 97-104 Incomplete models and reweighting
by G. Koop & D. J. Poirier - 105-112 Some remarks on the simulation revolution in bayesian econometric inference
by H. K. Van Dijk - 113-118 Using simulation methods for bayesian econometric models: inference, development and communication: some comments
by G. M. Martin & C. S. Forbes - 119-126 Reply
by J. Geweke
1998, Volume 17, Issue 4
- 339-359 Count data models with selectivity
by R. Winkelmann - 361-386 On the power of durbin-watson statistic against fractionally integrated processes
by W. Tsay - 387-413 Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors
by K. Maekawa & J. L. Knight & H. Hisamatsu - 415-429 A distribution-free test for deprivation dominance
by Kuan Xu & L. Osberg - 431-442 Book reviews
by Ragnar Nymoen
1998, Volume 17, Issue 3
- 227-273 Selection of regressors in econometrics: parametric and nonparametric methods selection of regressors in econometrics
by Pascal Lavergne - 275-288 Bootstrap-based evaluation of markov-switching time series models
by Zacharias Psaradakis - 289-299 Simple inference in multinomial and ordered logit
by David Crawford & Robert Pollak & Francis Vella - 301-327 A test of normality using nonparametrlic residuals
by Yoon-Jae Whang - 329-334 Book reviews
by H.Peter Boswijk - 335-338 Book reviews
by Jon Faust
1998, Volume 17, Issue 2
- 109-143 Bayesian analysis of stochastic volatility models with flexible tails
by Mark Steel - 145-166 Estimating partially linear panel data models with one-way error components
by Qi Li & Aman Ullha - 167-183 Estimating mixtures of normal distributions via empirical characteristic function
by Kien Tran - 185-214 Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
by Andre Lucas - 215-220 Book reviews
by Charles Nelson - 221-225 Book reviews
by Norman Swanson
1998, Volume 17, Issue 1
- 1-29 Confidence intervals for impulse responses under departures from normality
by Lutz Kilian - 31-55 Testing for serial correlation in the presence of dynamic heteroscedasticity
by Paramsothy Silvapulle & Merran Evans - 57-84 A residual-based test of the null of cointegration in panel data
by Suzanne McCoskey & Chihwa Kao - 85-104 A tobit model with garch errors
by Giorgio Calzolari & Gabriele Fiorentini - 105-108 Book review
by Julia Campos
1997, Volume 16, Issue 4
- 361-391 Specification tests in ordered logit and probit models
by Andrew Weiss - 393-409 Uniformly adaptive estimation for models with arma errors
by Dougas Steigerwald - 411-420 Root-n-consistent semiparametric estimation of partially linear models based on k-nn method
by Zhenjuan Liu & Xuewen Lu & Zhenjuan Liu & Xuewen Lu - 421-439 Testing for unit roots in time series with nearly deterministic seasonal variation
by Zacharias Psaradakis - 441-457 The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
by Hailong Qian & Peter Schmidt
1997, Volume 16, Issue 3
- 251-279 Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
by James Davidson & Robert de Jong - 281-314 The selection of zero-non-zero patterned cointegrating vectors in error-correction modelling
by H. Penm Jammie & H. W. Penm Jack & R. D. Terrell - 305-320 A hierarchy of lorenz curves based on the generalized tukey's lambda distribution
by Jose-Mari Sarabia - 321-352 Exact testing in multivariate regression
by Kenneth Stewart - 353-360 Multiple hypothesis test for parameter constancy based on recursive residuals
by Chia-Shang James Chu
1997, Volume 16, Issue 2
- 131-156 Locally optimal one-sided tests for multiparameter hypotheses
by Maxwell King & Ping Wu - 157-178 Wald,LM and LR test statistics of linear hypothese in a strutural equation model
by Kosuke Oya & Kosuke Oya - 179-203 Revisiting the flexibility and regularity properties of the asymptotically ideal production model
by Mark Jensen - 205-227 Weak convergence and distributional assumptions for a general class of nonliner arch models
by Fabio Fornari & Antonio Mele - 229-247 Estimation and specification testing in female labor participation models: parametric and semiparametric methods
by Ana Fernandez & Juan Rodriquez-Poo
1997, Volume 16, Issue 1
- 1-19 A test of the normality assumption in ordered probit model
by P. Glewwe - 21-38 Lagrance-multiplier tersts for weak exogeneity: a synthesis
by H. Peter Boswijk & Jean-Pierre Urbain - 39-53 On the corrections to information matrix tests
by Francisco Cribari-Neto - 55-68 A note on adaptation in garch models
by Gloria Gonzalez-Rivera - 69-92 Monte carlo evidence on the robustness of conditional moment tests in tobit and probit models
by Christopher Skeels & Franics Vella - 93-107 Generalized mixed estimator for nonlinear models: a maximum likelihood approach
by Pene Kalulumia & Denis Bolduc - 109-118 An R2criterion based on optimal predictors
by Larry Taylor - 119-130 The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function
by Kazuhiro Ohtani & David Giles & Judith Giles