Last update:
Sat Oct 12 09:42:51 MDT 2024
M. Hashem Pesaran Editorial statement . . . . . . . . . . 1--4
Richard Stone Nobel memorial lecture 1984. The
accounts of society . . . . . . . . . . 5--28
A. Colin Cameron and
Pravin K. Trivedi Econometric models based on count data.
Comparisons and applications of some
estimators and tests . . . . . . . . . . 29--53
Richard Blundell and
Costas Meghir Selection criteria for a
microeconometric model of labour supply 55--80
Michael R. Veall On estimating the effects of peak demand
pricing . . . . . . . . . . . . . . . . 81--93
Hedley Rees and
Anup Shah An empirical analysis of self-employment
in the U.K. . . . . . . . . . . . . . . 95--108
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
G. Ridder An event history approach to the
evaluation of training, recruitment and
employment programmes . . . . . . . . . 109--126
John Geweke Exact inference in the inequality
constrained normal linear regression
model . . . . . . . . . . . . . . . . . 127--141
P. N. Smith and
M. R. Wickens An empirical investigation into the
causes of failure of the monetary model
of the exchange rate . . . . . . . . . . 143--162
S. G. Hall and
S. G. B. Henry and
C. B. Johns Forecasting with an econometric model:
Some recent results using the national
institute model . . . . . . . . . . . . 163--183
Camille Bronsard and
Lise Salvas-Bronsard Commodity and asset demands with and
without quantity constraints in the
labour market . . . . . . . . . . . . . 185--208
Anonymous Calendar of events . . . . . . . . . . . 209--210
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Matthew D. Shapiro Capital utilization and capital
accumulation: Theory and evidence . . . 211--234
Richard E. Quandt and
Harvey S. Rosen Unemployment, disequilibrium and the
short run Phillips curve: An econometric
approach . . . . . . . . . . . . . . . . 235--253
Keith Cuthbertson The behaviour of U.K. export prices of
manufactured goods 1970--1983 . . . . . 255--275
Michael Keen Zero expenditures and the estimation of
Engel curves . . . . . . . . . . . . . . 277--286
Baldev Raj and
Pierre L. Siklos The role of fiscal policy in the St.
Louis model: An evaluation and some new
evidence . . . . . . . . . . . . . . . . 287--294
Anonymous Calendar of events . . . . . . . . . . . 295--296
Anonymous Call for paper: Journal of forecasting:
Special issue on predicting saturation
and logistic growth . . . . . . . . . . 296--296
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Simon Wren-Lewis An econometric model of U.K.
manufacturing employment using survey
data on expected output . . . . . . . . 297--316
Anil K. Bera and
Srinivasan Kannan An adjustment procedure for predicting
systematic risk . . . . . . . . . . . . 317--332
Shinichiro Nakamura A flexible dynamic model of multiproduct
technology for the West German economy 333--344
James McIntosh and
Stephen Satchell and
Anjum Nasim Differential mortality in Rural
Bangladesh . . . . . . . . . . . . . . . 345--353
Keith Cuthbertson and
Mark P. Taylor Monetary anticipation and the demand for
money in the U.K.: Testing rationality
in the shock-absorber hypothesis . . . . 355--365
Anonymous Calender of Events . . . . . . . . . . . 366--367
Anonymous Call for Papers . . . . . . . . . . . . 368--368
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Stephen J. Turnovsky and
Mark E. Wohar Alternative modes of deficit financing
and endogenous monetary and fiscal
policy in the U.S.A. 1923--1982 . . . . 1--25
Scott E. Atkinson and
Thomas D. Crocker A Bayesian approach to assessing the
robustness of hedonic property value
studies . . . . . . . . . . . . . . . . 27--45
S. G. Hall A forward looking model of the exchange
rate . . . . . . . . . . . . . . . . . . 47--60
Allan W. Gregory and
Michael R. Veall Formulating Wald tests of the
restrictions implied by the rational
expectations hypothesis . . . . . . . . 61--68
S. F. Mahmud and
A. L. Robb and
W. M. Scarth On estimating dynamic factor demands . . 69--75
P. K. Trivedi Software reviews . . . . . . . . . . . . 77--77
R. P. Byron Shazam: A review . . . . . . . . . . . . 79--82
Anonymous Calender of events . . . . . . . . . . . 83--84
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Announcement . . . . . . . . . . . . . . i--i
Paul L. Joskow and
Richard Schmalensee The performance of coal-burning electric
generating units in the United States:
1960--1980 . . . . . . . . . . . . . . . 85--109
E. P. Davis A stock-flow consistent
macro-econometric model of the UK
economy --- Part I . . . . . . . . . . . 111--132
William R. Parke Macroeconometric model comparison and
evaluation techniques: A practical
appraisal . . . . . . . . . . . . . . . 133--144
Claude Montmarquette and
Luc Monty An empirical model of a household's
choice of activities . . . . . . . . . . 145--158
Chris M. Alaouze Empirical evidence on the sign of the
slope of the hazard rate from
unemployment from a fixed effects model 159--168
Anonymous Calender of events . . . . . . . . . . . 169--170
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Announcement . . . . . . . . . . . . . . i--i
N. F. R. Crafts Cliometrics, 1971--1986: A survey . . . 171--192
Lauren J. Feinstone Minute by minute: Efficiency, normality,
and randomness in intra-daily asset
prices . . . . . . . . . . . . . . . . . 193--214
Arthur Van Soest and
Peter Kooreman A micro-econometric analysis of vacation
behaviour . . . . . . . . . . . . . . . 215--226
David A. Kodde and
Franz C. Palm A parametric test of the negativity of
the substitution matrix . . . . . . . . 227--235
Richard J. Smith Testing for exogeneity in limited
dependent variable models using a
simplified likelihood ratio statistic 237--245
Richard E. Quandt and
Harvey S. Rosen Unemployment, disequilibrium and the
short-run Phillips curve: Correction and
extension . . . . . . . . . . . . . . . 247--249
C. A. Melfi Limdep: A review . . . . . . . . . . . . 251--255
Anonymous Calender of events . . . . . . . . . . . 257--258
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Announcement . . . . . . . . . . . . . . i--i
E. P. Davis A stock-flow consistent
macro-econometric model of the UK
economy --- Part II . . . . . . . . . . 259--307
Hali J. Edison and
Jan Tore Klovland A quantitative reassessment of the
purchasing power parity hypothesis:
Evidence from Norway and the United
Kingdom . . . . . . . . . . . . . . . . 309--333
F. X. Browne Sluggish quantity adjustment in a
non-clearing market --- a disequilibrium
econometric application to the loan
market . . . . . . . . . . . . . . . . . 335--349
Anonymous Calender of events . . . . . . . . . . . 351--352
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Meghnad Desai and
Guglielmo Weber A Keynesian macro-econometric model of
the UK: 1955--1984 . . . . . . . . . . . 1--33
P. M. Robinson Semiparametric econometrics: A survey 35--51
Rafi Melnick Prices, wages, and import prices in
Israel: 1970--1983 . . . . . . . . . . . 53--67
C. A. Melfi and
A. J. Rogers A test for the existence of allocative
inefficiency in firms . . . . . . . . . 69--80
Giancarlo Gandolfo Announcement . . . . . . . . . . . . . . 81--81
Giancarlo Gandolfo Book Review: \booktitleSources of
international comparative advantage:
Theory and evidence. By E. E. Leamer.
(Cambridge, Massachusetts: MIT Press,
1984. Pp. xxi + 353. \$60.75 cloth;
\$16.95 paper) . . . . . . . . . . . . . 83--85
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Adrian Pagan and
Aman Ullah The econometric analysis of models with
risk terms . . . . . . . . . . . . . . . 87--105
P. A. Geroski In pursuit of monopoly power: Recent
quantitative work in industrial:
Economics . . . . . . . . . . . . . . . 107--123
Markku Rahiala and
Timo Teräsvirta Formation of firms' production decisions
in Finnish manufacturing industries . . 125--137
Roger Koenker Asymptotic theory and econometric
practice . . . . . . . . . . . . . . . . 139--147
Christopher Cornwell and
Peter Rupert Efficient estimation with panel data: An
empirical comparison of instrumental
variables estimators . . . . . . . . . . 149--155
Andrew Hughes Hallett Professor Chow's \booktitleEconometrics:
A review . . . . . . . . . . . . . . . . 157--164
Ignazio Visco Book Review: \booktitleAdvanced
Econometric Methods. By Thomas B. Fomby,
R. Carter Hill AND Stanley R. Johnson.
(Springer Verlag, New York, Berlin,
Heidelberg, Tokyo, 1984. ISBN
0-387-90908-7. \$54.00. pp. xix + 624)} 165--168
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Nicholas M. Kiefer Employment contracts, job search theory,
and labour turnover: Preliminary
empirical: Results . . . . . . . . . . . 169--186
Thomas H. McCurdy and
Ieuan G. Morgan Testing the martingale hypothesis in
deutsche mark futures with models
specifying the form of
heteroscedasticity . . . . . . . . . . . 187--202
Michael D. Hughes A stochastic frontier cost function for
residential child care provision . . . . 203--214
Jean Mercenier and
Khalid Sekkat Money stock targeting and money supply:
An intertemporal optimization approach
(with an application to Canada) . . . . 215--228
Andrew M. Gill Choice of employment status and the
wages of employees and the
self-employed: Some further evidence . . 229--234
Pravin K. Trivedi Software reviews: Statistical software
tools (SST) version 1.1: A review . . . 235--239
Ronald Bewley Autobox: A review . . . . . . . . . . . 240--244
K. J. White Shazam: A response . . . . . . . . . . . 245--247
Francesco Carlucci Book Review: \booktitleEconometric
Methods, third edition, By J. Johnston.
(McGraw-Hill, New York, 1984, pp. vii +
568, ISBN 0-07-032685, \$28.95)} . . . . 249--254
Pierre Malgrange Book Review: \booktitleStructural
Sensitivity in Econometric Models, By E.
Kuh, J. Neese and P. Hollinger. (John
Wiley, New York, 1985, pp. ix + 324,
ISBN 0-471-81930-1, cloth \$49.50)} . . 249--254
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Denise R. Osborn Seasonality and habit persistence in a
life cycle model of consumption . . . . 255--266
Marzio Galeotti Tobin's marginal ` q ' and tests of the
firm's dynamic equilibrium . . . . . . . 267--277
Ray Yeutien Chou Volatility persistence and stock
valuations: Some empirical evidence
using GARCH . . . . . . . . . . . . . . 279--294
James G. Mackinnon and
Ross D. Milbourne Are price equations really money demand
equations on their heads? . . . . . . . 295--305
Frederic S. Mishkin The information in the term structure:
Some further results . . . . . . . . . . 307--314
Giulio Cifarelli Book Review: \booktitleMeasurement error
models, W. A. Fuller, John Wiley and
Sons, New York, 1987. ISBN
0-471-86187-1. \$44.95, pp. xxiii + 440} 315--317
Neil R. Ericsson and
K. N. Berk Softwear reviews: A review of data-fit:
An interactive econometric modelling
package for IBM-compatible PCs: 1.
Introduction and methodological overview 319--332
Timo Teräsvirta A review of PC-give: A statistical
package for econometric modelling . . . 333--340
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Francis X. Diebold and
Marc Nerlove The dynamics of exchange rate
volatility: A multivariate latent factor
ARCH model . . . . . . . . . . . . . . . 1--21
Andrew M. Jones A double-hurdle model of cigarette
consumption . . . . . . . . . . . . . . 23--39
Vanessa Fry and
Panos Pashardes Constructing the true cost of living
index from the Engel curves of the
PIGLOG model . . . . . . . . . . . . . . 41--56
Kwabena Gyimah-Brempong Production of public safety: Are
socioeconomic characteristics of local
communities important factors? . . . . . 57--71
Jean-Louis Brillet Econometric modelling on microcomputers:
A review of major software packages . . 73--92
Kenneth J. White NAG Fortran Workstation Library: A
review . . . . . . . . . . . . . . . . . 93--96
Harald Sonnberger Book Review: \booktitleRegression
diagnostics: Identifying influential
data and sources of collinearity, by D.
A. Belsley, K. Kuh and R. E. Welsch.
(John Wiley and Sons, New York, 1980,
pp. xv + 292, ISBN 0-471-05856-4, cloth
\$39.95)} . . . . . . . . . . . . . . . 97--99
Carlo Milana Book Review: \booktitleApplied demand
analysis, by R. L. Thomas. (Longman,
London: 1987, pp. viii + 104, ISBN
0-582-29723-0. \pounds 5.95 (paper)) . . 100--102
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
N. F. R. Crafts and
S. J. Leybourne and
T. C. Mills The climacteric in Late Victorian
Britain and France: A reappraisal of the
evidence . . . . . . . . . . . . . . . . 103--117
Charles Engel and
Anthony P. Rodrigues Tests of international CAPM with
time-varying covariances . . . . . . . . 119--138
Gary S. Shea Ex-post rational price approximations
and the empirical reliability of the
present-value relation . . . . . . . . . 139--159
Maria Luisa Petit Fiscal and monetary policy
co-ordination: A differential game
approach . . . . . . . . . . . . . . . . 161--179
Claude Montmarquette and
Sophie Mahseredjian Does school matter for educational
achievement? A two-way nested-error
components analysis . . . . . . . . . . 181--193
Francis X. Diebold Structural time series analysis and
modelling package: A review . . . . . . 195--204
Mark W. Watson MTS: A review . . . . . . . . . . . . . 205--206
Andrew Hughes Hallett Book Review: \booktitleAdvances in
econometrics, Fifth World Congress of
the Econometric Society, Volumes I and
II. Edited by T. F. Bewley, Cambridge
University Press, Cambridge and New
York, 1988 (Econometric Society
Monographs 13 and 14), ISBN
0-521-34430-1 and 0-521-34552, \pounds
27.50 per volume (hardcover), pp. viii +
313 and viii + 259 . . . . . . . . . . . 207--209
Giorgia Giovannetti Book Review: \booktitleThe linear
regression model under test, by W. Krämer
and H. Sonnberger. Physica Verlag,
Heidelberg, 1986, ISBN 3-7908-0356-1
cloth, D.M. 98.00, pp. i--ix + 189 . . . 209--211
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
George W. Evans Output and unemployment dynamics in the
United States: 1950--1985 . . . . . . . 213--237
Panikos O. Demetriades The relationship between the level and
variability of inflation: Theory and
evidence . . . . . . . . . . . . . . . . 239--250
James McIntosh and
Fabio Schiantarelli and
William Low A qualitative response analysis of UK
firms' employment and output decisions 251--264
Jeffrey I. Bernstein An examination of the equilibrium
specification and structure of
production for Canadian
telecommunications . . . . . . . . . . . 265--282
U. Kohli Consistent estimation when the left-hand
variable is exogenous over part of the
sample period . . . . . . . . . . . . . 283--293
Dean Corbae and
Sam Ouliaris A random walk through the Gibson paradox 295--303
Richard T. Baillie Forecast master: A review . . . . . . . 305--307
Harald Sonnberger Book Review: \booktitleRobust regression
and outlier detection, P. J. Rousseeuw
and A. M. Leroy. John Wiley and Sons,
New York, 1987. ISBN 0-471-85233-3.
cloth \pounds 34.50, pp. xiv + 329 . . . 309--311
Carlo Milana Book Review: \booktitleThe Cambridge
multisectoral dynamic model of the
British economy, edited by T. Barker and
W. Peterson, Cambridge University Press,
Cambridge, UK, 1987. ISBN 0-521-33004-1,
\pounds 35, pp. xxiv + 507 . . . . . . . 311--313
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Acknowledgement of referees . . . . . . 315--315
David S. Turner and
Kenneth F. Wallis and
John D. Whitley Differences in the properties of
large-scale macroeconometric models: The
role of labour market specifications . . 317--344
R. P. Smith Models of military expenditure . . . . . 345--359
Choon-Geol Moon A Monte Carlo comparison of
semiparametric Tobit estimators . . . . 361--382
E. Greenberg and
W. A. Pollard and
W. T. Alpert Statistical properties of data
stretching . . . . . . . . . . . . . . . 383--391
Richard Goldstein and
Jennifer Anderson and
Arlene Ash and
Ben Craig and
David Harrington and
Marcello Pagano Survival analysis software on MS/PC--DOS
computers . . . . . . . . . . . . . . . 393--414
Peter C. B. Phillips Book Review: \booktitleLectures on
Advanced Econometric Theory, Denis
Sargan (edited by Meghnad Desai). Basil
Blackwell, Oxford, 1988. Price (cloth):
\pounds 25, pp. xi + 176 . . . . . . . . 415--418
Serena Sordi Book Review: \booktitleContributions of
business cycle surveys to empirical
economics (papers presented at the 18th
CIRET Conference, Zurich 1987), edited
by K. H. Oppenländer and G. Poser.
(Avebury, Aldershot, England: 1988, ISBN
0-566-05629-1, \pounds 45.00 hardbound),
pp. xxxv + 669 . . . . . . . . . . . . . 418--421
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Michael McAleer Introduction . . . . . . . . . . . . . . S1--S3
Edward E. Leamer Planning, criticism, and revision . . . S5--S27
Adrian Pagan and
Frank Vella Diagnostic tests for models based on
individual data: A survey . . . . . . . S29--S59
Joel L. Horowitz and
George R. Neumann Specification testing in censored
regression models: Parametric and
semiparametric methods . . . . . . . . . S61--S86
John Kennan and
Robert Wilson Strategic bargaining models and
interpretation of strike data . . . . . S87--S130
Dennis J. Aigner and
Khalifa Ghali Self-selection in the residential
electricity time-of-use pricing
experiments . . . . . . . . . . . . . . S131--S144
C. W. J. Granger and
T. H. Lee Investigation of production, sales and
inventory relationships using
multicointegration and non-symmetric
error correction models . . . . . . . . S145--S159
John B. Taylor Monetary policy and the stability of
macroeconomic relationships . . . . . . S161--S178
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Aaron Han and
Jerry A. Hausman Flexible parametric estimation of
duration and competing risk models . . . 1--28
Ian Domowitz and
Craig S. Hakkio Interpreting an error correction model:
Partial adjustment, forward-looking
behaviour, and dynamic international
money demand . . . . . . . . . . . . . . 29--46
Albert Jaeger and
Robert M. Kunst Seasonal adjustment and measuring
persistence in output . . . . . . . . . 47--58
James L. Seale, Jr. Estimating stochastic frontier systems
with unbalanced panel data: The case of
floor tile manufactories in Egypt . . . 59--74
K. P. Kalirajan On measuring economic efficiency . . . . 75--85
Hans Larsen Software reviews. A review of RATS 3.0:
Software for econometric modelling,
forecasting, and simulation . . . . . . 87--91
Anonymous Book Review: \booktitleSensitivity
analysis in linear regression, S.
Chatterjee and A. S. Hadi. John Wiley
and Sons, New York, 1988. ISBN
0-471-82216-7, \$25.95 hardbound, pp.
xiv + 315} . . . . . . . . . . . . . . . 93--96
Anonymous Book Review: \booktitleEmpirical
macroeconomics for interdependent
economies, (two volumes). Edited by R.
C. Bryant, D. W. Henderson, G. Holtham.
Hooper and S. Symansky. (The Brookings
Institution, Washington, DC, 1988. pp.
xvii --- 342 and viii + 347, ISBN
0-8157-1 140-9 and 0-8157-1 139-5
(Supplemental Volume). \pounds 30.50 the
set) . . . . . . . . . . . . . . . . . . 96--98
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Whitney K. Newey Semiparametric efficiency bounds . . . . 99--135
Frederic P. Sterbenz and
Giorgio Calzolari Alternative specifications of the error
process in the stochastic simulation of
econometric models . . . . . . . . . . . 137--150
Rob Alessie and
Raymond Gradus and
Bertrand Melenberg The problem of not observing small
expenditures in a consumer expenditure
survey . . . . . . . . . . . . . . . . . 151--166
Geoffrey P. Meen The measurement of rationing and the
treatment of structural change in the UK
mortgage market . . . . . . . . . . . . 167--187
Amita Majumder and
Satya Ranjan Chakravarty Distribution of personal income:
Development of a new model and its
application to U.S. income data . . . . 189--196
Anonymous Book Review: \booktitleModelling the
Labour Market, edited by M. Beenstock.
(Chapman and Hall, London, 1988, pp. xii
+ 206, ISBN 0-412-28830-3, \pounds
32.50, hardcover) . . . . . . . . . . . 197--199
Anonymous Book Review: \booktitleMacroeconometric
modelling of the Indian economy. Studies
on inflation and growth, K. Krishnamurty
and V. Pandit. Forword by L. R. Klein.
(Hindustan Publishing Corporation,
Dehli, 1985, pp. xii + 159, ISBN, cloth,
\pounds ) . . . . . . . . . . . . . . . 199--202
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
A. Monfort and
R. Rabemananjara From a var model to a structural model,
with an application to the wage-price
spiral . . . . . . . . . . . . . . . . . 203--227
D. A. Kodde and
F. C. Plam and
G. A. Pfann Asymptotic least-squares estimation
efficiency considerations and
applications . . . . . . . . . . . . . . 229--243
Matthew Black and
Robert Moffitt and
John T. Warner The dynamics of job separation: The case
of federal employees . . . . . . . . . . 245--262
Glenn A. Gotz Comment on `The dynamics of job
separation: The case of federal
employees' . . . . . . . . . . . . . . . 263--268
Matthew Black and
Robert Moffitt and
John Warner Reply to comment by Glenn Gotz on ``The
dynamics of job separation: The case of
federal employees'' . . . . . . . . . . 269--272
M. W. Keil and
W. Richardson A comparison among partial adjustment,
rational expectations and error
correction estimates of the Canadian
demand for money . . . . . . . . . . . . 273--291
Pin T. Ng and
Robin C. Sickles `Xplore'-ing the world of nonparametric
analysis . . . . . . . . . . . . . . . . 293--297
Miguel A. Delgado and
Thanasis Stengos N-kernel: A review . . . . . . . . . . . 299--304
Anonymous Book Review: \booktitleThe theory and
practice of econometrics, O. G. Judge,
W. E. Griffith, R. C. Hill, C. H. Lee,
and H. Lütkepohl, second edition, Wiley,
New York, 1985. ISBN 0-471-89530-X,
\pounds 45.65 Hardcover. Pp. xxix + 1019 305--306
Anonymous Book Review: \booktitleIntroduction to
the Theory and Practice of Econometrics,
2nd ed. G. G. Judge, R. C. Hill, W. E.
Griffiths, H. Lutkepohl, and T. Lee.
John Wiley, New York, 1988, ISBN
0-471-62414-4, cloth. \pounds 85.40. pp.
xxxv + 1024 . . . . . . . . . . . . . . 306--308
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Huntley Schaller A re-examination of the $q$ theory of
investment using U.S. firm data . . . . 309--325
Stephen J. Machin and
Mark B. Stewart Unions and the financial performance of
British private sector establishments 327--350
Robert Kunst and
Klaus Neusser Cointegration in a macroeconomic system 351--365
Jayendu Patel Purchasing power parity as a long-run
relation . . . . . . . . . . . . . . . . 367--379
Ray C. Fair and
John B. Taylor Full information estimation and
stochastic simulation of models with
rational expectations . . . . . . . . . 381--392
S. G. Hall and
M. J. Stephenson An algorithm for the solution of
stochastic optimal control problems for
large nonlinear econometric models . . . 393--399
Badi H. Baltagi and
Sophon Khanti-Akom On efficient estimation with panel data:
An empirical comparison of instrumental
variables estimators . . . . . . . . . . 401--406
Anonymous Book Review: \booktitlePraclical methods
of optimization, 2nd ed, R. Fletcher.
John Wiley and ISBN 0-471-86187, \pounds
24.50. pp. xii + 436. Sons, Chichester,
1987 . . . . . . . . . . . . . . . . . . 407--409
Anonymous Book Review: \booktitleComponent and
Correspondence Analysis: Dimension
Reduction by Functional Approximation,
edited by J. L. Van Rijckevorsel and J.
De Leeuw. Wiley, New York, 1988. ISBN
0-471-9847-4, cloth. \pounds 19.95. pp.
xii + 146 . . . . . . . . . . . . . . . 409--410
Anonymous Call for papers. UCLA program on applied
econometrics and the journal of applied
econometrics . . . . . . . . . . . . . . 409--410
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Bernard Salanie Wage and price adjustment in a
multimarket disequilibrium model . . . . 1--15
Marlene A. Smith and
David J. Smyth Multiple and pairwise non-nested tests
of the influence of taxes on money
demand . . . . . . . . . . . . . . . . . 17--30
Gregor W. Smith and
Stanley E. Zin Persistent deficits and the market value
of government debt . . . . . . . . . . . 31--44
Steven L. Green and
Knut Anton Mork Toward efficiency in the crude-oil
market . . . . . . . . . . . . . . . . . 45--66
Michael Sampson The effect of parameter uncertainty on
forecast variances and confidence
intervals for unit root and trend
stationary time-series models . . . . . 67--76
Asraul Hoque An application and test for a random
coefficient model in Bangladesh
agriculture . . . . . . . . . . . . . . 77--90
Erkin Bairam Elasticity of substitution, technical
progress and returns to scale in
branches of Soviet industry: A new CES
production function approach . . . . . . 91--96
Pravin K. Trivedi Statistical software tools (SST) Version
2.0: An update . . . . . . . . . . . . . 97--101
Alfredo Rizzi Book Review: \booktitleLinear
structures, J. R. Magnus, Oxford, Oxford
University Press, 1988. ISBN
0-19-520655-X, cloth, \$49.95, pp. xii +
205} . . . . . . . . . . . . . . . . . . 103--105
P. E. Nüesch Book Review: \booktitleOrder restricted
statistical inference, T. Robertson, F.
T. Wright, R. L. Dykstra Wiley Series in
Probability and Mathematical Statistics,
John Wiley and Sons, Chichester, 1988.
ISBN 0-471-91787-7 cloth, \pounds 37.50,
pp. 488 . . . . . . . . . . . . . . . . 105--107
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Richard T. Baillie and
Robert J. Myers Bivariate GARCH estimation of the
optimal commodity futures Hedge . . . . 109--124
Fabio Canova and
Takatoshi Ito The time-series properties of the risk
premium in the Yen/Dollar exchange
market . . . . . . . . . . . . . . . . . 125--142
Tom K. Y. Lee and
Y. K. Tse Term structure of interest rates in the
Singapore Asian dollar market . . . . . 143--152
G. J. Anderson Expenditure allocation across
nondurables, services, durables and
savings: An empirical study of
separability in the long run . . . . . . 153--168
Sanjiv Jaggia Specification tests based on the
heterogeneous generalized gamma model of
duration: With an application to
Kennan's strike data . . . . . . . . . . 169--180
Rafiq Baccouche and
François Laisney Describing the separability properties
of empirical demand systems . . . . . . 181--206
Steven P. Peterson Software review: A review of Stata 2.1 207--212
Chris Dineen Progressive econometric modelling
(PERM): A review . . . . . . . . . . . . 213--217
Karl Gunnar Persson Book Review: \booktitleDomesday economy:
A new approach to Anglo--Norman history,
J. McDonald and G. D. Snooks. Clarendon
Press, Oxford, 1986. ISBN 0-19-82854-8,
cloth \pounds 27.50, pp. xv + 240 . . . 219--220
Ulrich Kusters Book Review: \booktitleElements of
statistical computing-numerical
computation, R. A. Thisted. Chapman and
Hall, New York and London, 1988. ISBN
0-412-01371-1, cloth \pounds 28.50, pp.
xx + 427 . . . . . . . . . . . . . . . . 220--224
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
J. T. Grogger and
R. T. Carson Models for truncated counts . . . . . . 225--238
M. J. Lord Price formation in commodity markets . . 239--254
R. Nymoen A small linear model of wage- and
price-inflation in the Norwegian economy 255--269
K. Conrad and
M. Schröder Demand for durable and nondurable goods,
environmental policy and consumer
welfare . . . . . . . . . . . . . . . . 271--286
Martien C. A. B. Hols and
Casper G. De Vries The limiting distribution of extremal
exchange rate returns . . . . . . . . . 287--302
F. T. Denton and
B. G. Spencer Resampling a time-series process: A
method of estimating the probabilities
associated with alternative plans for
protecting pensions against inflation 303--314
James Mackinnon Announcement . . . . . . . . . . . . . . 315--315
Michael R. Veall Shazam 6.2: A review . . . . . . . . . . 317--320
Neil R. Ericsson and
Heidi Lyss An update to PC-give: Version 6.01 . . . 321--325
Carlo Milana Book Review: \booktitleFunctional form
and utility. A Review of Consumer Demand
Theory, Arthur S. Goldberger. Westview
Press, Boulder, Colorado, 1987, ISBN
0-8133-7489-8, paper \$24.95, pp. xii +
121} . . . . . . . . . . . . . . . . . . 327--329
Laura Sabani Book Review: \booktitleForecasting
structural time series models and the
Kalman filter, A. C. Harvey. Cambridge
University Press, Cambridge, 1989. ISBN
0-521-32196-4, cloth, \pounds 55.00 Pp.
xvi + 554 . . . . . . . . . . . . . . . 329--331
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Editorial preface . . . . . . . . . . . i--i
P. C. B. Phillips To criticize the critics: An objective
Bayesian analysis of stochastic trends 333--364
Gary Koop and
Mark F. J. Steel A comment on: `To criticize the critics:
An objective Bayesian analysis of
stochastic trends', By Peter C. B.
Phillips . . . . . . . . . . . . . . . . 365--370
Edward E. Leamer Comment on `To criticize the critics' 371--373
In-Moo Kim and
G. S. Maddala Flat priors vs. ignorance priors in the
analysis of the $ {\rm AR}(1) $ model 375--380
Dale J. Poirier A comment on `To criticize the critics:
An objective Bayesian analysis of
stochastic trends' . . . . . . . . . . . 381--386
Peter C. Schotman and
Herman K. Van Dijk On Bayesian routes to unit roots . . . . 387--401
James H. Stock Bayesian approaches to the `unit root'
problem: A comment . . . . . . . . . . . 403--411
David N. Dejong and
Charles H. Whiteman The case for trend-stationarity is
stronger than we thought . . . . . . . . 413--421
Christopher A. Sims Comment by Christopher A. Sims on `To
criticize the critics', by Peter C. B.
Phillips . . . . . . . . . . . . . . . . 423--434
P. C. B. Phillips Bayesian routes and unit roots: De rebus
prioribus semper est disputandum . . . . 435--473
Anonymous UCLA Program in Applied Econometrics
Conference on Nonlinear Dynamics and
Econometrics. April 5--6, 1991 . . . . . 475--477
Anonymous International conference on: Econometric
inference using simulation techniques 478--478
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
M. Hashem Pesaran Announcement . . . . . . . . . . . . . . 1--2
Anonymous Acknowledgement to referees . . . . . . 3--3
R. Bergström and
P.-A. Edin Time aggregation and the distributional
shape of unemployment duration . . . . . 5--30
R. Cotterman and
F. Peracchi Classification and aggregation: An
application to industrial classification
in CPS data . . . . . . . . . . . . . . 31--51
Marcus J. Chambers Estimation of a continuous-time dynamic
demand system . . . . . . . . . . . . . 53--64
G. Koop `Objective' Bayesian unit root tests . . 65--82
S. G. Hall and
S. G. B. Henry and
M. Pemberton Testing a discrete switching
disequilibrium model of the UK labour
market . . . . . . . . . . . . . . . . . 83--91
Michael R. Veall Bootstrapping the process of model
selection: an econometric example . . . 93--99
Tsunemasa Shiba MICRO-EBA: Leamer's extreme bounds
analysis on GAUSS . . . . . . . . . . . 101--103
Gary Koop Review of PCBRAP . . . . . . . . . . . . 105--107
Francesco Carlucci Book Review: \booktitleState-Space
Modeling of Time Series, Masanao Aoki.
Springer Verlag, Berlin, 1987. ISBN
3-540-17257-2, paperback, DM 49.80, pp.
xi + 314 . . . . . . . . . . . . . . . . 109--110
Giancarlo Gandolfo Book Review: \booktitleOptimal control,
expectations and uncertainty, S. Holly
and A. Hughes Hallett. Cambridge
University Press, Cambridge and New
York, 1989. ISBN 0-521-2644-8, cloth,
\pounds 25. Pp. i-ix + 244 . . . . . . . 110--114
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Joel L. Horowitz The role of the list price in housing
markets: Theory and an econometric model 115--129
R. W. Rich and
J. E. Raymond and
J. S. Butler The relationship between forecast
dispersion and forecast uncertainty:
Evidence from a survey data-arch model 131--148
G. Dionne and
C. Vanasse Automobile insurance ratemaking in the
presence of asymmetrical information . . 149--165
Martin Weale Estimation of data measured with error
and subject to linear restrictions . . . 167--174
D. Robertson and
J. Symons Some strange properties of panel data
estimators . . . . . . . . . . . . . . . 175--189
E. Vogelvang Hypotheses testing concerning
relationships between spot prices of
various types of coffee . . . . . . . . 191--201
D. Greasley The stationarity of British economic and
productivity growth 1856--1913 . . . . . 203--209
Anonymous Erratum . . . . . . . . . . . . . . . . 211--213
Richard G. Anderson The GAUSS programming system: A review 215--219
Christopher A. Pissarides Book Review: \booktitleChallenges for
Macroeconomic Modelling, W. Driehuis, M.
M. G. Fase, and H. Den Hartog (editors).
North-Holland, Amsterdam, 1988. ISBN
0-444-70529-5, cloth, \$94.75. pp. xii +
487} . . . . . . . . . . . . . . . . . . 221--223
Mauro Mellano Book Review: \booktitleEconometric
modelling of agricultural commodity
markets, D. Hallam, Routledge, London
and New York, 1990. ISBN 0-415-00405-5,
cloth, \$35. Pp. iii + 191} . . . . . . 223--224
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Marc Ivaldi Survey evidence on the rationality of
expectations . . . . . . . . . . . . . . 225--241
Theo Nijman and
Marno Verbeek Nonresponse in panel data: The impact on
estimates of a life cycle consumption
function . . . . . . . . . . . . . . . . 243--257
Wen-Ling Lin Alternative estimators for factor GARCH
models --- A Monte Carlo comparison . . 259--279
Baldev Raj International evidence on persistence in
output in the presence of an episodic
change . . . . . . . . . . . . . . . . . 281--293
Stephen R. Blough The relationship between power and level
for generic unit root tests in finite
samples . . . . . . . . . . . . . . . . 295--308
R. P. Byron Polynomial approximations in
cross-sectional models . . . . . . . . . 309--322
Michael P. Kidd A review of the econometrics toolkit
(ET) . . . . . . . . . . . . . . . . . . 323--328
R. R. Neild Book Review: \booktitleMacroeconomic
policy in Britain 1974-1987, A. J. C.
Britton. Cambridge University Press,
1991, pp. 365. Price: \pounds 30. . . . 329--332
William Coleman Book Review: \booktitleConceptual
anomalies in Economics and Statistics.
Lessons from the Social Experiment, L.
G. Neuberg, first edition, Cambridge
University Press, New York, 1989, ISBN
0521-30444X, Hardcover, \$54.40. Pp. xiv
+ 365} . . . . . . . . . . . . . . . . . 333--334
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
M. Hashem Pesaran Announcement . . . . . . . . . . . . . . 335--335
Anonymous Acknowledgement to referees . . . . . . 337--337
Insan Tunali and
Ragui Assaad Market structure and spells of
employment and unemployment: Evidence
from the construction sector in Egypt 339--367
E. Mellander and
A. Vredin and
A. Warne Stochastic trends and economic
fluctuations in a small open economy . . 369--394
G. Koop Aggregate shocks and macroeconomic
fluctuations: A Bayesian approach . . . 395--411
F. Vella Simple tests for sample selection bias
in censored and discrete choice models 413--421
Matthew L. Higgins and
Nabil Ltaifa Microtsp version 7.0: A review . . . . . 423--429
Carlo Milana Book Review: \booktitleDisaggregation in
Econometric Modelling, edited by Terry
Barker and M. Hashem Pesaran. Routledge,
London, 1990, ISBN 0-415-00918-9,
hardbound \pounds 45. pp. xiv + 348 . . 431--432
Teun Kloek Book Review: \booktitleMisspecification
tests in econometrics. L. G. Godfrey,
Cambridge University Press, Cambridge,
1988, pp. xii + 252. ISBN 0-521-26616-5.
\pounds 35 hardcover . . . . . . . . . . 433--434
Giuseppe De Arcangelis Book Review: \booktitleStatistical
analysis and forecasting of economic
structural change. P. Hack (ed.)
Springer-Verlag, Berlin, Heidelberg, New
York, London, Paris, Tokyo, Hong Kong,
1989, pp. xix + 488. ISBN 0-387-51454-6;
hardbound . . . . . . . . . . . . . . . 435--436
Carlo Andrea Bollino Book Review: \booktitleRecent modelling
approaches in applied energy economics,
O. Bjerkholt, O. Olsen and J. Vislie
(eds) Chapman and Hall, London, 1990,
pp. xix + 268, ISBN
0-412-35340-7,\pounds 40 hardbound . . . 436--439
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
M. Hashem Pesaran and
Simon M. Potter Nonlinear dynamics and econometrics: an
introduction . . . . . . . . . . . . . . S1--S7
R. H. Day Complex economic dynamics: Obvious in
history, generic in theory, elusive in
data . . . . . . . . . . . . . . . . . . S9--S23
T. Liu and
C. W. J. Granger and
W. P. Heller Using the correlation exponent to decide
whether an economic series is chaotic S25--S39
W. D. Dechert and
R. Gencay Lyapunov exponents as a nonparametric
diagnostic for stability analysis . . . S41--S60
B. E. Hansen The likelihood ratio test under
nonstandard conditions: Testing the
Markov switching model of GNP . . . . . S61--S82
R. J. Town Merger waves and the structure of merger
and acquisition time-series . . . . . . S83--S100
S. M. Burgess Nonlinear dynamics in a structural model
of employment . . . . . . . . . . . . . S101--S118
T. Terasvirta and
H. M. Anderson Characterizing nonlinearities in
business cycles using smooth transition
autoregressive models . . . . . . . . . S119--S136
B. Lebaron Forecast improvements using a volatility
index . . . . . . . . . . . . . . . . . S137--S149
B. Mizrach Multivariate nearest-neighbour forecasts
of EMS exchange rates . . . . . . . . . S151--S163
C. Q. Cao and
R. S. Tsay Nonlinear time-series analysis of stock
volatilities . . . . . . . . . . . . . . S165--S185
P. Rothman The comparative power of the TR test
against simple threshold models . . . . S187--S195
Anonymous Tinbergen Institute and
\booktitleJournal of Applied
Econometrics Conference on: Econometric
Inference using Simulation Techniques.
Erasmus University Rotterdam, The
Netherlands 5--6 June, 1992 . . . . . . S197--S199
Anonymous For a special issue on calibration
techniques and econometrics . . . . . . S201--S201
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
C. A. E. Goodhart and
S. G. Hall and
S. G. B. Henry and
B. Pesaran News effects in a high-frequency model
of the sterling-dollar exchange rate . . 1--13
P. R. Locke and
C. L. Sayers Intra-day futures price volatility:
Information effects and variance
persistence . . . . . . . . . . . . . . 15--30
R. Rabemananjara and
J. M. Zakoian Threshold ARCH models and asymmetries in
volatility . . . . . . . . . . . . . . . 31--49
C.-G Moon and
J. G. Stotsky Testing the differences between the
determinants of Moody's and Standard and
Poor's ratings: an application of smooth
simulated maximum likelihood estimation 51--69
G. D. Hanse The cyclical and secular behaviour of
the labour input: Comparing efficiency
units and hours worked . . . . . . . . . 71--80
T. Kinal and
K. Lahiri On the estimation of
simultaneous-equations error-components
models with an application to a model of
developing country foreign trade . . . . 81--92
P. K. Trivedi An analysis of publication lags in
econometrics . . . . . . . . . . . . . . 93--100
A. Harrison Gaim 1.1: A review . . . . . . . . . . . 101--107
Teun Kloek Book Review: \booktitleStatistique et
mod\`eles econométriques, (statistics and
econometric models), in 2 volumes, C.
Gourieroux and A. Monfort, Economica,
Paris, 1989, ISBN 2-7178-1667-4 and
2-7178-1668-2, paperback, FF 200 each,
pp. 565 and 587 . . . . . . . . . . . . 109--111
Giuseppe De Arcangelis Book Review: \booktitleStructural
Equations with Latent Variables, Kenneth
A. Bollen. John Wiley and Sons, Inc.,
New York, Chichester, Brisbane, Toronto,
Singapore, 1989, ISBN 0-471-01171-1,
\pounds 39.90 hardbound, pp. xiv + 514 111--113
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
D. N. Dejong Bayesian inference in limited dependent
variable models. An application to
measuring strike duration . . . . . . . 115--128
P. Wolfson Compositional change, aggregation, and
dynamic factor demand. Estimates on a
panel of manufacturing firms . . . . . . 129--148
M. Landesmann and
A. Snell Structural shifts in the manufacturing
export performance of OECD economies . . 149--162
P. Kugler and
K. Neusser International real interest rate
equalization. A multivariate time-series
approach . . . . . . . . . . . . . . . . 163--174
S. Nakamura An adjustment cost model of long-term
employment in Japan . . . . . . . . . . 175--194
P. J. Deschamps Joint tests for regularity and
autocorrelation in allocation systems 195--211
J. Hallman Review of S-Plus . . . . . . . . . . . . 213--219
A. P. Kilduff Pc-naive 6.01: A review . . . . . . . . 221--225
Giuseppe Arbia Book Review: \booktitleContinuous time
econometric modelling, A. R. Bergstrom,
Advanced Texts In Econometrics, Oxford
University Press, Oxford, 1990, ISBN
0-19-828367-9, Paperback \$17.50; ISBN
0-19-829340-7, hardback \pounds 40.00;
pp. x + 326} . . . . . . . . . . . . . . 227--229
Leonard Gill Book Review: \booktitleA course in
econometrics, by A. S. Goldberger,
Harvard University Press, 1991, ISBN
0-674-17544-1, XYP19.95 hardbound. pp.
405 . . . . . . . . . . . . . . . . . . 229--230
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
A. C. Harvey and
A. Jaeger Detrending, stylized facts and the
business cycle . . . . . . . . . . . . . 231--247
S. Pudney Income and wealth inequality and the
life cycle. A non-parametric analysis
for China . . . . . . . . . . . . . . . 249--276
A. A. Okunade Production cost structure of us hospital
pharmacies: Time-series, cross-sectional
bed size evidence . . . . . . . . . . . 277--294
R. J. Rossana The long-run implications of the
production smoothing model of
inventories: An empirical test . . . . . 295--306
J. Rust Gauss and MATLAB: A comparison . . . . . 307--324
Richard T. Baillie Book Review: \booktitleIntroduction to
multiple time series analysis, H.
LÜTKEPOHL. Springer-Verlag. Berlin And
New York, 1991. ISBN 0-387-53194-7,
cloth \pounds 31, pp. 1 + 545 . . . . . 325--326
Andrew Hughes Hallett Book Review: \booktitleControl Theory
and Dynamic Games in Economic Policy
Analysis, M. L. Petit, Cambridge
University Press, Cambridge and New
York, 1990, \pounds 30.00, ISBN 0521 385
237, pp. xiv + 338 . . . . . . . . . . . 326--327
William Greene Book Review: \booktitleComputational
economics and econometrics, (papers
presented at the annual meeting of the
Society For Economic Dynamics and
Control, Minneapolis, Minnesota, USA,
June, 1990), Edited By H. Amman, D.
Belsley, and L. Pau. Kluwer Academic
Publishers, Boston, USA, 1992, ISBN
0-7923-1287-2, hardback, pp. viii + 171 328--330
Robert Moffitt Book Review: \booktitleModelling and
empirical evaluation of labour supply
behavior, Isolde Woittiez.
Springer-Verlag, 1991, ISBN
3-540-54054-7, pp. 232 . . . . . . . . . 330--331
Anonymous First announcement . . . . . . . . . . . 333--333
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Acknowledgement to referees . . . . . . 335--335
M Hashem Pesaran Announcement . . . . . . . . . . . . . . 337--337
Anonymous Announcement. \booktitleJournal of
Applied Econometrics FTP archive site 339--340
W. Narendranathan and
M. B. Stewart How does the benefit effect vary as
unemployment spells lengthen? . . . . . 361--381
B. M. S. Van Praag and
E. M. Vermeulen A count-amount model with endogenous
recording of observations . . . . . . . 383--395
M. Wedel and
W. S. Desarbo and
J. R. Bult and
V. Ramaswamy A latent class Poisson regression model
for heterogeneous count data . . . . . . 397--411
C. R. McKenzie Microfit 3.0: A review . . . . . . . . . 413--419
S. G. B. Henry Book Reviews: \booktitleSeasonal
adjustment as a practical problem, F. A.
G. Den Butter and M. M. G. Fase.
North-Holland, 1991, ISBN 90-267-1264-3,
US \$94.50/DFL 165, pp. 226.
\booktitle{Modelling Seasonality},
Edited by S. Hylleberg. Oxford
University Press, 1992, ISBN
0-19-877317, \$45, pp. 476 . . . . . . . 421--423
Martyn Andrews Book Review: \booktitleApplied
econometric techniques, K. Cuthbertson,
S. G. Hall, and M. P. Taylor. Philip
Allan, Hemel Hempstead, 1992, ISBN
0-86003-084-9, \pounds 45 hardback . . . 423--424
Arie Kapteyn International conference on: The
micro-econometrics of dynamic decision
making . . . . . . . . . . . . . . . . . 425--425
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Bryan W. Brown and
Alain Monfort and
Herman K. Van Dijk Introduction . . . . . . . . . . . . . . S1--S3
R. W. Andrews and
J. O. Berger and
M. H. Smith Bayesian estimation of manufacturing
effects in a fuel economy model . . . . S5--S18
J. Geweke Bayesian treatment of the independent
student- t linear model . . . . . . . . S19--S40
F. Kleibergen and
H. K. van Dijk Non-stationarity in GARCH models: A
Bayesian analysis . . . . . . . . . . . S41--S61
A. A. Smith, Jr. Estimating nonlinear time-series models
using simulated vector autoregressions S63--S84
C. Gourieroux and
A. Monfort and
E. Renault Indirect inference . . . . . . . . . . . S85--S118
G. Laroque and
B. Salanié Simulation-based estimation of models
with lagged latent variables . . . . . . S119--S133
N. Shephard Fitting nonlinear time-series models
with applications to stochastic variance
models . . . . . . . . . . . . . . . . . S135--S152
J. Danielsson and
J.-F. Richard Accelerated Gaussian importance sampler
with application to dynamic latent
variable models . . . . . . . . . . . . S153--S173
Anonymous Announcement. A special issue on
calibration techniques techniques and
econometric . . . . . . . . . . . . . . S175--S175
Anonymous Call for papers . . . . . . . . . . . . S177--S177
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
N. M. Arguea and
C. Hsiao and
G. A. Taylor Estimating consumer preferences using
market data --- an application to us
automobile demand . . . . . . . . . . . 1--18
M. Bonomo and
R. Garcia Can a well-fitted equilibrium
asset-pricing model produce mean
reversion? . . . . . . . . . . . . . . . 19--29
F. De Jong A univariate analysis of EMS exchange
rates using a target zone model . . . . 31--45
R. S. Chirinko and
S. M. Fazzari Economic fluctuations, market power, and
returns to scale: Evidence from
firm-level data . . . . . . . . . . . . 47--69
A. M. Yuengert Immigrant earnings, relative to what?
The importance of earnings function
specification and comparison points . . 71--90
H. J. Paarsch Limdep, version 6.0: A review . . . . . 91--98
Michael P. Clements Book Review: \booktitleNew directions in
econometric practice, W. W. Charemza and
D. F. Deadman, Edward Elgar Publishing.
Aldershot, 1992. ISBN 1-85278-461-x,
hardcover, \pounds 45.00, pp. 370 . . . 99--101
Martin Browning Book Review: \booktitleUnderstanding
consumption, Angus Deaton, Oxford
University Press, Oxford, 1992, ISBN
0-19-828759-3, \pounds 17.95, hard
cover, pp. 240 . . . . . . . . . . . . . 101--103
Anonymous Call for papers . . . . . . . . . . . . 105--105
Anonymous Guidelines for users . . . . . . . . . . 106--107
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
V. A. Hajivassiliou A simulation estimation analysis of the
external debt crises of developing
countries . . . . . . . . . . . . . . . 109--131
E. Eggink and
J. P. Hop and
B. M. S. Van Praag A symmetric approach to the labour
market with the household as the unit of
observation . . . . . . . . . . . . . . 133--161
H. Tanizaki and
R. S. Mariano Prediction, filtering and smoothing in
non-linear and non-normal cases using
Monte Carlo integration . . . . . . . . 163--179
Nathan S. Balke and
Thomas B. Fomby Large shocks, small shocks, and economic
fluctuations: Outliers in macroeconomic
time series . . . . . . . . . . . . . . 181--200
Janet Hunt-McCool and
B. F. Kiker and
Ying Chu Ng Estimates of the demand for medical care
under different functional forms . . . . 201--218
G. Austin SC version 1.107: A review . . . . . . . 219--223
Jerzy Szroeter Book Review: \booktitleLearning and
practicing econometrics, William E.
Griffiths, R. Carter Hill and George G.
Judge. John Wiley, New York, 1993, ISBN
0-471-59951-4, pp. 866. price \pounds
19.95 . . . . . . . . . . . . . . . . . 225--226
Anonymous Forthcoming papers . . . . . . . . . . . 227--227
Anonymous Announcement and call for papers . . . . 228--228
Anonymous Guidelines for users . . . . . . . . . . 229--230
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
J. Davidson and
G. Madonia and
P. Westaway Modelling the UK gilt-edged market . . . 231--253
Peter Kooreman Estimation of econometric models of some
discrete games . . . . . . . . . . . . . 255--268
C. J. Morrison The cyclical nature of markups in
Canadian manufacturing: A production
theory approach . . . . . . . . . . . . 269--282
D. J. Aigner and
J. Newman and
A. Tishler The response of small and medium-size
business customers to Time-of-Use (TOU)
electricity rates in Israel . . . . . . 283--304
P. Ilmakunnas and
H. Törmä Energy crises and change of technology 305--320
B. P. McCall Testing the proportional hazards
assumption in the presence of unmeasured
heterogeneity . . . . . . . . . . . . . 321--334
N. Davies and
A. R. Tremayne Review of statgraphics . . . . . . . . . 335--341
Tilak Abeysinghe Book Review: \booktitleEconometrics:
Alchemy or science? essays in
econometric methodology, David F.
Hendry. Oxford, UK and Cambridge, USA:
Blackwell, 1993, pp. 518, ISBN
1-55786-264-8, \pounds 50-00 (hardbound) 343--344
Anonymous Forthcoming papers . . . . . . . . . . . 345--345
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M Hashem Pesaran Announcement . . . . . . . . . . . . . . 347--347
Anonymous Forthcoming papers . . . . . . . . . . . 348--348
Anonymous Acknowledgement to referees . . . . . . 349--349
D. Mark Kennet A structural model of aircraft engine
maintenance . . . . . . . . . . . . . . 351--368
G. Koop and
D. J. Poirier Rank-ordered logit models: An empirical
analysis of Ontario voter preferences 369--388
P. Storer Unemployment dynamics and labour market
tightness: An empirical evaluation of
matching function models . . . . . . . . 389--419
G. J. Den Van Berg and
M. Lindeboom and
G. Ridder Attrition in longitudinal panel data and
the empirical analysis of dynamic labour
market behaviour . . . . . . . . . . . . 421--435
J. Hartog and
G. Ridder and
M. Visser Allocation of individuals to job levels
under rationing . . . . . . . . . . . . 437--451
J. Borland and
S. Ouliaris The determinants of Australian trade
union membership . . . . . . . . . . . . 453--468
C. Ferrall Software review: a review of Stata 3.1 469--477
Colin McKenzie Book Review: \booktitleModelling
nonlinear economic relationships, C. W.
J. Granger and T. Teräsvirta. Oxford
University Press: 1993, ISBN
0-19-877320x, \pounds 14.95 paperback,
pp. x + 187 . . . . . . . . . . . . . . 479--480
Mark W. Watson Call for papers . . . . . . . . . . . . 481--481
Anonymous Announcements . . . . . . . . . . . . . 483--483
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Adrian Pagan Introduction calibration and econometric
research: An overview . . . . . . . . . S1--S10
Patrick Féve and
François Langot The RBC models through statistical
inference: An application with French
data . . . . . . . . . . . . . . . . . . S11--S35
James M. Nason and
Timothy Cogley Testing the implications of long-run
neutrality for monetary business cycle
models . . . . . . . . . . . . . . . . . S37--S70
Stephen J. Fisher Asset trading, transaction costs and the
equity premium . . . . . . . . . . . . . S71--S94
Carlo A. Favero and
M. Hashem Pesaran and
Sunil Sharma A duration model of irreversible oil
investment: Theory and empirical
evidence . . . . . . . . . . . . . . . . S95--S112
Paul Söderlind Cyclical properties of a real business
cycle model . . . . . . . . . . . . . . S113--S122
Fabio Canova Statistical inference in calibrated
models . . . . . . . . . . . . . . . . . S123--S144
Tom Engsted and
Niels Haldrup The linear quadratic adjustment cost
model and the demand for labour . . . . S145--S159
Mark W. Watson Call for papers . . . . . . . . . . . . S161--S161
Anonymous Conference programme . . . . . . . . . . S163--S163
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Pim Adang and
Bertrand Melenberg Nonnegativity constraints and
intratemporal uncertainty in a
multi-good life-cycle model . . . . . . 1--15
Allan Timmermann Cointegration tests of present value
models with a time-varying discount
factor . . . . . . . . . . . . . . . . . 17--31
Subal C. Kumbhakar and
Lennart Hjalmarsson Labour-use efficiency in Swedish social
insurance offices . . . . . . . . . . . 33--47
Byung-Joo Lee Separability test for the electricity
supply industry . . . . . . . . . . . . 49--60
J. C. Glass and
D. G. McKillop and
N. Hyndman Efficiency in the provision of
university teaching and research: An
empirical analysis of UK universities 61--72
Steven B. Caudill and
Jon M. Ford and
David L. Kaserman Certificate-of-need regulation and the
diffusion of innovations: A random
coefficient model . . . . . . . . . . . 73--78
Alvaro Escribano PCgive professional 8: A review . . . . 79--86
Peter C. B. Phillips Nonstationary time series and
cointegration . . . . . . . . . . . . . 87--94
Anonymous Announcement and call for papers . . . . 96--96
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Andrew B. Bernard and
Steven N. Durlauf Convergence in international output . . 97--108
Simon M. Potter A nonlinear approach to US GNP . . . . . 109--125
Michael P. Clements and
David F. Hendry Forecasting in cointegrated systems . . 127--146
Serena Ng Testing for homogeneity in demand
systems when the regressors are
nonstationary . . . . . . . . . . . . . 147--163
Jeremy Smith and
Michael McAleer Alternative procedures for converting
qualitative response data to
quantitative expectations: An
application to Australian manufacturing 165--185
Myoung-Jae Lee Semi-parametric estimation of
simultaneous equations with limited
dependent variables: A case study of
female labour supply . . . . . . . . . . 187--200
James B. McDonald and
Anand Mantrala The distribution of personal income:
Revisited . . . . . . . . . . . . . . . 201--204
Serena Ng Review of Coint 2.0 . . . . . . . . . . 205--210
Terry Barker Book Review: \booktitleMacroeconomic
modelling of the long run, Colin
Hargreaves (ed.) Edward Elgar,
Aldershot, 1992, ISBN 1-85278-657-4, pp.
xv + 394. Price \pounds 49.95 (hb) . . . 211--212
Jan R. Magnus and
Mary S. Morgan An experiment in applied econometrics
--- Call for participants . . . . . . . 213--216
Anonymous Guidelines for users: \booktitleJournal
of Applied Econometrics Data Archive . . 217--218
Anonymous Forthcoming papers . . . . . . . . . . . 219--219
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Kevin Rask The structure of technology in Brazilian
sugarcane production, 1975-87: An
application of a modified symmetric
generalized McFadden cost function . . . 221--232
Baldev Raj Institutional hypothesis of the long-run
income velocity of money and parameter
stability of the equilibrium
relationship . . . . . . . . . . . . . . 233--253
Wai Mun Fong and
Sam Ouliaris Spectral tests of the martingale
hypothesis for exchange rates . . . . . 255--271
Shi-Miin Liu and
B. Wade Brorsen Maximum likelihood estimation of a
GARCH-stable model . . . . . . . . . . . 273--285
Nicole M. Fortin Heterogeneity biases, distributional
effects, and aggregate consumption: An
empirical analysis using stratified
microdata . . . . . . . . . . . . . . . 287--311
Jon A. Breslaw and
J. Barry Smith A simple and efficient method for
estimating the magnitude and precision
of welfare changes . . . . . . . . . . . 313--327
John Hutton and
James Hutton The Maple computer algebra system: A
review . . . . . . . . . . . . . . . . . 329--337
Richard J. Smith Book Review: \booktitleEstimation and
inference in econometrics, R. Davidson
and J. G. Mackinnon. Oxford University,
New York, 1993, pp. 871, ISBN
0-19-506011-3. Price \pounds 25.00
hardbound . . . . . . . . . . . . . . . 339--341
Anonymous \booktitleJournal of Applied
Econometrics Data Archive: updated
information for users . . . . . . . . . 342--342
Anonymous Forthcoming papers . . . . . . . . . . . 343--343
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M. Hashem Pesaran Announcement . . . . . . . . . . . . . . 345--345
Chung-Ming Kuan and
Tung Liu Forecasting exchange rates using
feedforward and recurrent neural
networks . . . . . . . . . . . . . . . . 347--364
Steven N. Durlauf and
Paul A. Johnson Multiple regimes and cross-country
growth behaviour . . . . . . . . . . . . 365--384
Christopher L. Gilbert Modelling market fundamentals: A model
of the aluminium market . . . . . . . . 385--410
Glenn T. Sueyoshi A class of binary response models for
grouped duration data . . . . . . . . . 411--431
Christian E. Weber Cyclical output, cyclical unemployment,
and Okun's coefficient: A new approach 433--445
Wen-Ling Lin Japan's financial deregulation and
linkage of the Gensaki and Euroyen
deposit markets . . . . . . . . . . . . 447--467
R. J. Black Review of SIMPC 3.81 . . . . . . . . . . 469--476
James Davidson Book Review: \booktitleEstimation,
inference and specification analysis, by
H. White. Econometric Society Monographs
No. 22, Cambridge University Press,
1994, pp. x + 380. ISBN 0-521-25280-6;
Price \pounds 30 (hardback) . . . . . . 477--479
Anonymous Acknowledge to referees . . . . . . . . 481--482
Anonymous Forthcoming papers . . . . . . . . . . . 483--483
Anonymous \booktitleJournal of Applied
Econometrics Data Archive: Updated
information for users . . . . . . . . . 484--484
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Arie Kapteyn and
Nicholas Kieffer and
John Rust The microeconometrics of dynamic
decision making . . . . . . . . . . . . S1--S7
Angus Deaton and
Guy Laroque Estimating a nonlinear rational
expectations commodity price model with
unobservable state variables . . . . . . S9--S40
Mario J. Miranda and
Gary D. Schnitkey An empirical model of asset replacement
in dairy production . . . . . . . . . . S41--S55
Bill Provencher An investigation of the harvest decision
of timber firms in the south-east United
States . . . . . . . . . . . . . . . . . S57--S74
John Rust and
Geoffrey Rothwell Optimal response to a shift in
regulatory regime: The case of the US
nuclear power industry . . . . . . . . . S75--S118
Audra J. Bowlus and
Nicholas M. Kiefer and
George R. Neumann Estimation of equilibrium wage
distributions with heterogeneity . . . . S119--S131
Pierre Koning and
Geert Ridder and
Gerard J. Van Den Berg Structural and frictional unemployment
in an equilibrium search model with
heterogeneous agents . . . . . . . . . . S133--S151
Thierry Magnac and
Jean-Marc Robin and
Michael Visser Analysing incomplete individual
employment histories using indirect
inference . . . . . . . . . . . . . . . S153--S169
Christophe Aubin and
Denis Foug\`ere and
Emmanuel Husson and
Marc Ivaldi Real-time pricing of electricity for
residential customers: Econometric
analysis of an experiment . . . . . . . S171--S191
Anonymous National Bureau of Economic Research
National Science Foundation
\booktitleJournal of Applied
Econometrics: Conference on forecasting S193--S193
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Peter C. B. Phillips and
James W. McFarland and
Patrick C. McMahon Robust tests of forward exchange market
efficiency with empirical evidence from
the 1920s . . . . . . . . . . . . . . . 1--22
Richard T. Baillie and
Ching-Fan Chung and
Margie A. Tieslau Analysing inflation by the fractionally
integrated ARFIMA--GARCH model . . . . . 23--40
Chang-Jin Kim and
Myung-Jig Kim Transient fads and the crash of '87 . . 41--58
Bertrand Melenberg and
Arthur Van Soest Parametric and semi-parametric modelling
of vacation expenditures . . . . . . . . 59--76
T. J. Coelli Measurement of total factor productivity
growth and biases in technological
change in Western Australian agriculture 77--91
Robert A. Amano and
Tony S. Wirjanto Money stock targeting and money supply:
A closer examination of the data . . . . 93--104
Mark E. Wohar PcGive professional (version 8) and
reviews (MicroTSP for Windows version
1.1a): a comparative review . . . . . . 105--115
Anonymous Announcements and calls for papers . . . 117--117
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Thomas F. Cooley and
Masao Ogaki A time series analysis of real wages,
consumption and asset returns . . . . . 119--134
Anthony Garratt and
Stephen G. Hall Measuring underlying economic activity 135--151
Gail Blattenberger Money demand revisited: An operational
subjective approach . . . . . . . . . . 153--168
Solomon W. Polachek and
Bong Joon Yoon Panel estimates of a two-tiered earnings
frontier . . . . . . . . . . . . . . . . 169--178
Dek Terrell Incorporating monotonicity and concavity
conditions in flexible functional forms 179--194
Bruce E. Hansen Erratum: The likelihood ratio test under
nonstandard conditions: Testing the
Markov switching model of GNP . . . . . 195--198
Dirk Eddelbüttel Software review: Object-oriented
econometrics: Matrix programming in C++
using GCC and \tt newmat . . . . . . . . 199--209
Les Oxley Book Review: \booktitleCointegration
analysis in econometric modelling, R. I.
D. Harris, Harvester, Wheatsheaf,
London, 1995, ISBN 0-13-35582-4, pp. ix
+ 176, \pounds 15.95 . . . . . . . . . . 211--215
Anonymous Forthcoming Papers . . . . . . . . . . . 217--217
Anonymous \booktitleJournal of Applied
Econometrics Data Archive . . . . . . . 218--218
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Simon van Norden Regime switching as a test for exchange
rate bubbles . . . . . . . . . . . . . . 219--251
C. W. Li and
W. K. Li On a double-threshold autoregressive
heteroscedastic time series model . . . 253--274
Partha Deb and
Pravin K. Trivedi and
Panayotis Varangis The excess co-movement of commodity
prices reconsidered . . . . . . . . . . 275--291
Fabrizia Mealli and
Stephen Pudney Occupational pensions and job mobility
in Britain: Estimation of a
random-effects competing risks model . . 293--320
Michael Gerfin Parametric and semi-parametric
estimation of the binary response model
of labour market participation . . . . . 321--339
Anonymous Forthcoming Papers . . . . . . . . . . . 341--341
Anonymous \booktitleJournal of Applied
Econometrics Data Archive . . . . . . . 342--342
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Tor Jakob Klette and
Zvi Griliches The inconsistency of common scale
estimators when output prices are
unobserved and endogenous . . . . . . . 343--361
Paul Söderlind and
Anders Vredin Applied cointegration analysis in the
mirror of macroeconomic theory . . . . . 363--381
Tommaso Proietti Persistence of shocks on seasonal
processes . . . . . . . . . . . . . . . 383--398
Gabriele Fiorentini and
Giorgio Calzolari and
Lorenzo Panattoni Analytic derivatives and the computation
of GARCH estimates . . . . . . . . . . . 399--417
John W. Galbraith Credit rationing and threshold effects
in the relation between money and output 419--429
Ray C. Fair Computing median unbiased estimates in
macroeconometric models . . . . . . . . 431--435
Julian Silk Systems estimation: A comparison of SAS,
SHAZAM and TSP . . . . . . . . . . . . . 437--450
Anonymous Forthcoming Papers . . . . . . . . . . . 451--451
Anonymous \booktitleJournal of Applied
Econometrics Data Archive . . . . . . . 452--452
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Francis X. Diebold and
Mark W. Watson Introduction: Econometric forecasting 453--454
Clive W. J. Granger Can we improve the perceived quality of
economic forecasts? . . . . . . . . . . 455--473
Michael P. Clements and
David F. Hendry Intercept corrections and structural
change . . . . . . . . . . . . . . . . . 475--494
Dennis L. Hoffman and
Robert H. Rasche Assessing forecast performance in a
cointegrated system . . . . . . . . . . 495--517
Jin-Lung Lin and
Ruey S. Tsay Co-integration constraint and
forecasting: An empirical examination 519--538
Andrew A. Weiss Estimating time series models using the
relevant cost function . . . . . . . . . 539--560
Peter F. Christoffersen and
Francis X. Diebold Further results on forecasting and model
selection under asymmetric loss . . . . 561--571
James D. Hamilton and
Gang Lin Stock market volatility and the business
cycle . . . . . . . . . . . . . . . . . 573--593
Anonymous Forthcoming Papers . . . . . . . . . . . 595--596
Anonymous \booktitleJournal of Applied
Econometrics Data Archive . . . . . . . 597--597
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Anonymous Announcement . . . . . . . . . . . . . . 599--599
James G. MacKinnon Numerical distribution functions for
unit root and cointegration tests . . . 601--618
Leslie E. Papke and
Jeffrey M. Wooldridge Econometric methods for fractional
response variables with an application
to 401(k) plan participation rates . . . 619--632
Paul M. Anglin and
Ramazan Gençay Semiparametric estimation of a hedonic
price function . . . . . . . . . . . . . 633--648
Marc Ivaldi and
Norbert Ladoux and
Hervé Ossard and
Michel Simioni Comparing Fourier and translog
specifications of multiproduct
technology: Evidence from an incomplete
panel of French farmers . . . . . . . . 649--667
John Creedy and
Jenny Lye and
Vance L. Martin A non-linear model of the real US/UK
exchange rate . . . . . . . . . . . . . 669--686
Richard G. Pierse GAUSSX: Version 3.4 . . . . . . . . . . 687--693
Denzil G. Fiebig Book Review: \booktitleBook review:
Bayesian analysis in statistics and
econometrics: Essays in honor of Arnold
Zellner. Edited by Donald A. Berry,
Kathryn M. Challoner and John Geweke.
John Wiley, New York, 1996, ISBN
0-471-11856-7, hardbound, \pounds 90,
pp.xxii + 577 . . . . . . . . . . . . . 695--697
Anonymous Masthead . . . . . . . . . . . . . . . . fmi--fmi
Insan Tunali and
Jonathan B. Pritchett Cox regression with alternative concepts
of waiting time: the New Orleans yellow
fever epidemic of 1853 . . . . . . . . . 1--25
Morten O. Ravn Permanent and transitory shocks, and the
UK business cycle . . . . . . . . . . . 27--48
Fabio Fornari and
Antonio Mele Sign- and volatility-switching ARCH
models: theory and applications to
international stock markets . . . . . . 49--65
Edward Greenberg and
Robert P. Parks A predictive approach to model selection
and multicollinearity . . . . . . . . . 67--75
Francisco Cribari-Neto Econometric programming environments:
GAUSS, Ox and S-Plus . . . . . . . . . . 77--89
Guido W. Imbens Book Review: \booktitleThe Foundations
of Econometric Analysis, David F. Hendry
and Mary S. Morgan, Cambridge University
Press, Cambridge, ISBN 0-521-38043-X,
558pp, \pounds 40 hb. . . . . . . . . . 91--94
K. Rao Kadiyala and
Sune Karlsson Numerical methods for estimation and
inference in Bayesian VAR-models . . . . 99--132
Jeffrey A. Mills and
Sourushe Zandvakili Statistical inference via bootstrapping
for measures of inequality . . . . . . . 133--150
Stephen G. Hall and
Zacharias Psaradakis and
Martin Sola Cointegration and changes in regime: the
Japanese consumption function . . . . . 151--168
Jeff Racine Feasible cross--validatory model
selection for general stationary
processes . . . . . . . . . . . . . . . 169--179
B. D. Mccullough A review of RATS v4.2: benchmarking
numerical accuracy . . . . . . . . . . . 181--190
Michael Mcaleer Book review . . . . . . . . . . . . . . 191--193
Pravin K. Trivedi Econometric models of event counts . . . 199--201
A. Colin Cameron and
Per Johansson Count data regression using series
expansions: with applications . . . . . 203--223
Shiferaw Gurmu Semi-parametric estimation of Hurdle
regression models with an application to
Medicaid3 utilization . . . . . . . . . 225--242
Bruno Crépon and
Emmanuel Duguet Estimating the innovation function from
patent numbers: GMM on count panel data 243--263
Michele Cincera Patents, R&D, and technological
spillovers at the firm level: some
evidence from econometric count models
for panel data . . . . . . . . . . . . . 265--280
F. A. G. Windmeijer and
J. M. C. Santos Silva Endogeneity in count data models: an
application to demand for health care 281--294
Peter Geil and
Andreas Million and
Ralph Rotte and
Klaus F. Zimmermann Economic incentives and hospitalization
in Germany . . . . . . . . . . . . . . . 295--311
Partha Deb and
Pravin K. Trivedi Demand for medical care by the elderly:
a finite mixture approach . . . . . . . 313--336
John Mullahy Heterogeneity, excess zeros, and the
structure of count data models . . . . . 337--350
Kevin Lee and
M. Hashem Pesaran and
Ron Smith Growth and convergence in a
multi-country empirical stochastic Solow
model . . . . . . . . . . . . . . . . . 357--392
Marco Bianchi Testing for convergence: evidence from
non-parametric multimodality tests . . . 393--409
Stephen Gordon Stochastic trends, deterministic trends,
and business cycle turning points . . . 411--434
Sarah E. Culver and
David H. Papell Is there a unit root in the inflation
rate? Evidence from sequential break and
panel data models . . . . . . . . . . . 435--444
Julian Silk TSP 4.4: a review . . . . . . . . . . . 445--453
Jakob B. Madsen Book review: \booktitleQuantitative
Financial Economics: Stocks, Bonds and
Foreign Exchange. Keith Cuthbertson.
John Wiley, New York, 1996. ISBN
0-471-95359-8 (cased), 0-471-95360-1
pp470. Price: US\$95 (cased), US\$60
(paperback) . . . . . . . . . . . . . . 455--457
Jan R. Magnus and
Mary S. Morgan Design of the experiment . . . . . . . . 459--465
Jan R. Magnus and
Mary S. Morgan Organization of the experiment . . . . . 467--476
Heather M. Anderson and
Farshid Vahid On the correspondence between individual
and aggregate food consumption
functions: evidence from the USA and The
Netherlands . . . . . . . . . . . . . . 477--507
Hans Van Driel and
Venuta Nadall and
Kees Zeelenberg The demand for food in the United States
and The Netherlands: a systems approach
with the CBS model . . . . . . . . . . . 509--532
Edward E. Leamer Revisiting Tobin's 1950 study of food
expenditure . . . . . . . . . . . . . . 533--561
Peter M. Bearse and
Hamparsum Bozdogan and
Alan M. Schlottmann Empirical econometric modelling of food
consumption using a new informational
complexity approach . . . . . . . . . . 563--592
Haiyan Song and
Xiaming Liu and
Peter Romilly A comparative study of modelling the
demand for food in the United States and
The Netherlands . . . . . . . . . . . . 593--613
Denis De Crombrugghe and
Franz C. Palm and
Jean-Pierre Urbain Statistical demand functions for food in
the USA and the Netherlands . . . . . . 615--645
James Tobin Comments by Professor James Tobin . . . 647--650
Jan R. Magnus and
Mary S. Morgan The data: a brief description . . . . . 651--661
Arie Kapteyn and
Sara van de Geer and
Huib Van de Stadt and
Tom Wansbeek Interdependent preferences: an
econometric analysis . . . . . . . . . . 665--686
Adrian R. Fleissig The dynamic Laurent flexible form and
the demand for money . . . . . . . . . . 687--699
E. Philip Davis and
Gabriel Fagan Are financial spreads useful indicators
of future inflation and output growth in
EU countries? . . . . . . . . . . . . . 701--714
Weike Hai and
Nelson C. Mark and
Yangru Wu Understanding spot and forward exchange
rate regressions . . . . . . . . . . . . 715--734
Francisco Cribari-Neto and
Mark J. Jensen MATLAB as an econometric programming
environment . . . . . . . . . . . . . . 735--744
Colin McKenzie Book Reviews: \booktitleUndergraduate
econometrics, R. C. Hill, W. E.
Griffiths, and G. G. Judge, John Wiley,
New York, 1997, A\$57.95, ISBN
0-471-13993-9, pp. xiv + 366.
\booktitle{Instructor's resource guide
to accompany undergraduate
econometrics}, W. E. Griffiths, R. C.
Hill, and L. C. Marsh, John Wiley, New
York, 1997, ISBN 0-471-19189-2, pp. 510
+ floppy disk} . . . . . . . . . . . . . 745--749
Moshe Buchinsky The dynamics of changes in the female
wage distribution in the USA: a quantile
regression approach . . . . . . . . . . 1--30
Kees G. Koedijk and
Philip A. Stork and
Casper G. De Vries An EMS target zone model in discrete
time . . . . . . . . . . . . . . . . . . 31--48
Y. K. Tse The conditional heteroscedasticity of
the yen-dollar exchange rate . . . . . . 49--55
Andreas Beyer Modelling money demand in Germany . . . 57--76
C. R. McKenzie Microfit 4.0 . . . . . . . . . . . . . . 77--89
Kenneth Leong Book Review: \booktitlePeriodicity and
Stochastic Trends in Economic Time
Series, Philip Hans Franses, Oxford
University Press, Oxford, 1996, \pounds
35.00 (hardback), ISBN 0-19-877453-2
(hardback), pp. xii + 230 . . . . . . . 91--95
Arnold Zellner and
Hang Ryu Alternative functional forms for
production, cost and returns to scale
functions . . . . . . . . . . . . . . . 101--127
Eric Ghysels and
Robert E. McCulloch and
Ruey S. Tsay Bayesian inference for periodic
regime-switching models . . . . . . . . 129--143
Miguel A. Delgado and
Juan Mora Testing non-nested semiparametric
models: an application to Engel curves
specification . . . . . . . . . . . . . 145--162
Francis Vella and
Marno Verbeek Whose wages do unions raise? A dynamic
model of unionism and wage rate
determination for young men . . . . . . 163--183
J. S. Butler and
T. Aldrich Finegan and
John J. Siegfried Does more calculus improve student
learning in intermediate micro- and
macroeconomic theory? . . . . . . . . . 185--202
Peter S. Sephton Easyreg: version 1.12 . . . . . . . . . 203--207
Jakob B. Madsen Book review: \booktitleBasic
Econometrics, Damodar N. Gujarati,
McGraw-Hill, New York, 1995, ISBN
0-07-025214-9 (paperback), pp. 838.
Price US\$74.95}, \pounds 23.50
(paperback)} . . . . . . . . . . . . . . 209--212
Tobias Rydén and
Timo Teräsvirta and
Stefan Åsbrink Stylized facts of daily return series
and the hidden Markov model . . . . . . 217--244
Martin Martens and
Paul Kofman and
Ton C. F. Vorst A threshold error-correction model for
intraday futures and index returns . . . 245--263
Michel Normandin and
Pascal St-Amour Substitution, risk aversion, taste
shocks and equity premia . . . . . . . . 265--281
Marco Bianchi and
Gylfi Zoega Unemployment persistence: does the size
of the shock matter? . . . . . . . . . . 283--304
Kenneth Kasa Identifying the source of dynamics in
disaggregated import data . . . . . . . 305--320
David Tufte CATS in RATS: cointegration analysis of
time series: version 1.01 . . . . . . . 321--330
Ronald J. Mahieu and
Peter C. Schotman An empirical application of stochastic
volatility models . . . . . . . . . . . 333--360
Jonathan R. W. Temple Robustness tests of the augmented Solow
model . . . . . . . . . . . . . . . . . 361--375
Robin C. Sickles and
Mary L. Streitwieser An analysis of technology, productivity,
and regulatory distortion in the
interstate natural gas transmission
industry: 1977--1985 . . . . . . . . . . 377--395
Mark M. Trede The age profile of mobility measures: an
application to earnings in West Germany 397--409
Jaime Marquez Review of PcGive Professional 9.0 For
Windows . . . . . . . . . . . . . . . . 411--420
Darrell Turkington Book review: \booktitleHandbook of
Matrices, Helmut Lütkepohl, Wiley, New
York, 1996, ISBN 0-471-96688-6
(hardback), pp. xvi + 304. Price
A\$195.95 (hardback), A\$89.95
(paperback) . . . . . . . . . . . . . . 421--423
Joel Horowitz and
Myoung-Jae Lee and
Bertrand Melenberg and
Arthur van Soest Introduction: application of
semiparametric methods for micro-data 431--433
Richard Blundell and
Alan Duncan and
Krishna Pendakur Semiparametric estimation and consumer
demand . . . . . . . . . . . . . . . . . 435--461
Sonia Bhalotra and
Cliff Attfield Intrahousehold resource allocation in
rural Pakistan: a semiparametric
analysis . . . . . . . . . . . . . . . . 463--480
Marcia M. A. Schafgans Ethnic wage differences in Malaysia:
parametric and semiparametric estimation
of the Chinese--Malay wage gap . . . . . 481--504
Andrew Chesher Individual demands from household
aggregates: time and age variation in
the composition of diet . . . . . . . . 505--524
Michael C. Burda and
Wolfgang Härdle and
Marlene Müller and
Axel Werwatz Semiparametric analysis of German
East-West migration intentions: facts
and theory . . . . . . . . . . . . . . . 525--541
Craig A. Olson A comparison of parametric and
semiparametric estimates of the effect
of spousal health insurance coverage on
weekly hours worked by wives . . . . . . 543--565
Rob Euwals and
Bertrand Melenberg and
Arthur van Soest Testing the predictive value of
subjective labour supply data . . . . . 567--585
David De La Croix and
Jean-Pierre Urbain Intertemporal substitution in import
demand and habit formation . . . . . . . 589--612
Stephen J. Perez Causal ordering and `The bank lending
channel' . . . . . . . . . . . . . . . . 613--626
David Johnson and
Robert McClelland A general dependence test and
applications . . . . . . . . . . . . . . 627--644
Badi H. Baltagi and
James M. Griffin and
Sharada R. Vadali Excess capacity: a permanent
characteristic of US airlines? . . . . . 645--657
Prasad V. Bidarkota and
J. Huston McCulloch Optimal univariate inflation forecasting
with symmetric stable shocks . . . . . . 659--670
Steven S. Vickner and
Stephen P. Davies Comment: on the estimation of
simultaneous-equations error-components
models with an application to a model of
developing country foreign trade . . . . 671--671
Gilles Teyssi\`ere XploRe 4.0, an interactive statistical
computing environment . . . . . . . . . 673--679
Colin McKenzie Book Review: \booktitleTime Series and
Dynamic Models, Christian Gourieroux and
Alain Monfort, Cambridge University
Press, Cambridge, 1997, ISBN
0-521-41146-7 (hardbound), ISBN
0-521-42308-2 (paperback), pp. xv + 668.
Price \pounds 65.00 (hardbound), \pounds
22.95 (paperback) . . . . . . . . . . . 681--684
Michael K. Salemi Estimating the natural rate of
unemployment and testing the natural
rate hypothesis . . . . . . . . . . . . 1--25
Regina Celia Cati and
Marcio G. P. Garcia and
Pierre Perron Unit roots in the presence of abrupt
governmental interventions with an
application to Brazilian data . . . . . 27--56
J. D. Angrist and
G. W. Imbens and
A. B. Krueger Jackknife instrumental variables
estimation . . . . . . . . . . . . . . . 57--67
Sören Blomquist and
Matz Dahlberg Small sample properties of LIML and
jackknife IV estimators: experiments
with weak instruments . . . . . . . . . 69--88
B. D. McCullough Book review: \booktitleMathematical
Statistics for Economics and Business,
Ron C. Mittelhammer, Springer-Verlag,
New York, 1996, xviii + 723 pp. \$57.95,
hardback only; solutions manual free to
instructors who adopt the text.} . . . . 89--93
Toshiaki Watanabe A non-linear filtering approach to
stochastic volatility models with an
application to daily stock returns . . . 101--121
Michael P. Clements and
Jeremy Smith A Monte Carlo study of the forecasting
performance of empirical SETAR models 123--141
Stephen G. Hall and
Zacharias Psaradakis and
Martin Sola Detecting periodically collapsing
bubbles: a Markov-switching unit root
test . . . . . . . . . . . . . . . . . . 143--154
Tom Engsted and
Niels Haldrup Estimating the LQAC model with $ {\rm
I}(2) $ variables . . . . . . . . . . . 155--170
Basma Bekdache The time-varying behaviour of real
interest rates: a re-evaluation of the
recent evidence . . . . . . . . . . . . 171--190
B. D. McCullough Econometric software reliability:
EViews, LIMDEP, SHAZAM and TSP . . . . . 191--202
Richard Blundell and
Jean Marc Robin Estimation in large and disaggregated
demand systems: an estimator for
conditionally linear systems . . . . . . 209--232
Gregory S. Amacher and
Daniel Hellerstein The error structure of time series
cross-section hedonic models with
sporadic event timing and serial
correlation . . . . . . . . . . . . . . 233--252
Richard V. Burkhauser and
Amy Crews Cutts and
Mary C. Daly and
Stephen P. Jenkins Testing the significance of income
distribution changes over the 1980s
business cycle: a cross-national
comparison . . . . . . . . . . . . . . . 253--272
Gianluca Cubadda Common cycles in seasonal non-stationary
time series . . . . . . . . . . . . . . 273--291
In Choi Testing the random walk hypothesis for
real exchange rates . . . . . . . . . . 293--308
Jonathan H. Wright Testing for a unit root in the
volatility of asset returns . . . . . . 309--318
Francisco Cribari-Neto and
Spyros G. Zarkos R: yet another econometric programming
environment . . . . . . . . . . . . . . 319--329
Charles Romeo and
Barry Sopher Learning and decision costs in
one-person games . . . . . . . . . . . . 335--357
Joakim Skalin and
Timo Teräsvirta Another look at Swedish business cycles,
1861--1988 . . . . . . . . . . . . . . . 359--378
Woon Gyu Choi Estimating the discount rate policy
reaction function of the monetary
authority . . . . . . . . . . . . . . . 379--401
Rolf Aaberge and
Ugo Colombino and
Steinar Stròm Labour supply in Italy: an empirical
analysis of joint household decisions,
with taxes and quantity constraints . . 403--422
Badi H. Baltagi Applied econometrics rankings:
1989--1995 . . . . . . . . . . . . . . . 423--441
James G. MacKinnon The Linux operating system: Debian
GNU/Linux . . . . . . . . . . . . . . . 443--452
Kai Li Exchange rate target zone models: a
Bayesian evaluation . . . . . . . . . . 461--490
Lutz Kilian Exchange rates and monetary
fundamentals: what do we learn from
long-horizon regressions? . . . . . . . 491--510
Helmut Lütkepohl and
Timo Teräsvirta and
Jürgen Wolters Investigating stability and linearity of
a German M1 money demand function . . . 511--525
Zhenjuan Liu and
Thanasis Stengos Non-linearities in cross-country growth
regressions: a semiparametric approach 527--538
Dick Van Dijk and
Philip Hans Franses and
André Lucas Testing for ARCH in the presence of
additive outliers . . . . . . . . . . . 539--562
James G. MacKinnon and
Alfred A. Haug and
Leo Michelis Numerical distribution functions of
likelihood ratio tests for cointegration 563--577
Vania Sena Stochastic frontier estimation: a review
of the software options . . . . . . . . 579--586
Charles J. Romeo Conducting inference in semiparametric
duration models under inequality
restrictions on the shape of the hazard
implied by job search theory . . . . . . 587--605
Thomas Aronsson and
Sören Blomquist and
Hans Sacklén Identifying interdependent behaviour in
an empirical model of labour supply . . 607--626
Douglas J. Hodgson Adaptive estimation of cointegrated
models: simulation evidence and an
application to the forward exchange
market . . . . . . . . . . . . . . . . . 627--650
Samita Sareen Posterior odds comparison of a symmetric
low-price, sealed-bid auction within the
common-value and the
independent-private-values paradigms . . 651--676
Gary Koop Bayesian analysis, computation and
communication software . . . . . . . . . 677--689
William C. Horrace and
Peter Schmidt Multiple comparisons with the best, with
economic applications . . . . . . . . . 1--26
Nadir Öcal and
Denise R. Osborn Business cycle non-linearities in UK
consumption and production . . . . . . . 27--43
Kevin B. Grier and
Mark J. Perry The effects of real and nominal
uncertainty on inflation and output
growth: some GARCH-M evidence . . . . . 45--58
Bart Hobijn and
Philip Hans Franses Asymptotically perfect and relative
convergence of productivity . . . . . . 59--81
Gael M. Martin US deficit sustainability: a new
approach based on multiple endogenous
breaks . . . . . . . . . . . . . . . . . 83--105
David M. Lilien Econometric software reliability and
nonlinear estimation in EViews: comment 107--110
B. D. McCullough Reply . . . . . . . . . . . . . . . . . 111--111
Geoffrey F. Loudon and
Wing H. Watt and
Pradeep K. Yadav An empirical analysis of alternative
parametric ARCH models . . . . . . . . . 117--136
Roman Liesenfeld and
Robert C. Jung Stochastic volatility models:
conditional normality versus
heavy-tailed distributions . . . . . . . 137--160
Kul B. Luintel Real exchange rate behaviour: evidence
from black markets . . . . . . . . . . . 161--185
A. Yatchew Scale economies in electricity
distribution: a semiparametric analysis 187--210
H. D. Vinod Review of GAUSS for Windows, including
its numerical accuracy . . . . . . . . . 211--220
Kellie Curry Raper and
H. Alan Love and
C. Richard Shumway Determining market power exertion
between buyers and sellers . . . . . . . 225--252
José A. F. Machado and
José Mata Box--Cox quantile regression and the
distribution of firm sizes . . . . . . . 253--274
C. Andrea Bollino and
Federico Perali and
Nicola Rossi Linear household technologies . . . . . 275--287
Wiji Arulampalam and
Alison L. Booth Union status of young men in Britain: a
decade of change . . . . . . . . . . . . 289--310
David N. DeJong and
Beth F. Ingram and
Charles H. Whiteman Keynesian impulses versus Solow
residuals: identifying sources of
business cycle fluctuations . . . . . . 311--329
J. Racine The Cygwin tools: a GNU toolkit for
Windows . . . . . . . . . . . . . . . . 331--341
A. R. Cardoso Wage differentials across firms: an
application of multilevel modelling . . 343--354
David Demery and
Nigel W. Duck Incomplete information and the time
series behaviour of consumption . . . . 355--366
Stephen Pudney and
Michael Shields Gender, race, pay and promotion in the
British nursing profession: estimation
of a generalized ordered probit model 367--399
Matz Dahlberg and
Eva Johansson An examination of the dynamic behaviour
of local governments using GMM
bootstrapping methods . . . . . . . . . 401--416
Robert Gagné and
Carmine Nappi The cost and technological structure of
aluminium smelters worldwide . . . . . . 417--432
P. S. Sephton Financial analysis package for GAUSS . . 433--438
Ariel Pakes Zvi Griliches 1930--1999 . . . . . . . . 443--444
Daniel McFadden and
Kenneth Train Mixed MNL models for discrete response 447--470
David Harvey and
Paul Newbold Tests for multiple forecast encompassing 471--482
Francisco J. Ruge-Murcia Uncovering financial markets' beliefs
about inflation targets . . . . . . . . 483--512
Markku Lanne Near unit roots, cointegration, and the
term structure of interest rates . . . . 513--529
Dirk Eddelbüttel Econometrics with Octave . . . . . . . . 531--542
M. Hashem Pesaran Editorial clarification . . . . . . . . 543--543
John Geweke and
John Rust and
Herman K. Van Dijk Introduction: inference and decision
making . . . . . . . . . . . . . . . . . 545--546
Aico Van Vuuren and
Gerard J. Van Den Berg and
Geert Ridder Measuring the equilibrium effects of
unemployment benefits dispersion . . . . 547--574
Yannis Bilias Sequential testing of duration data: the
case of the Pennsylvania `reemployment
bonus' experiment . . . . . . . . . . . 575--594
Todd R. Stinebrickner Serially correlated variables in
dynamic, discrete choice models . . . . 595--624
Gary Chamberlain Econometric applications of maxmin
expected utility . . . . . . . . . . . . 625--644
Frank Schorfheide Loss function-based evaluation of DSGE
models . . . . . . . . . . . . . . . . . 645--670
Charles S. Bos and
Ronald J. Mahieu and
Herman K. Van Dijk Daily exchange rate behaviour and
hedging of currency risk . . . . . . . . 671--696
Mardi Dungey and
Vance L. Martin and
Adrian R. Pagan A multivariate latent factor
decomposition of international bond
yield spreads . . . . . . . . . . . . . 697--715
Richard Paap and
Philip Hans Franses A dynamic multinomial probit model for
brand choice with different long-run and
short-run effects of marketing-mix
variables . . . . . . . . . . . . . . . 717--744
Michele Campolieti Bayesian semiparametric estimation of
discrete duration models: an application
of the Dirichlet process prior . . . . . 1--22
Maria Fraga O. Martins Parametric and semiparametric estimation
of sample selection models: an empirical
application to the female labour force
in Portugal . . . . . . . . . . . . . . 23--39
H. Youn Kim and
Junsoo Lee Quasi-fixed inputs and long-run
equilibrium in production: a
cointegration analysis . . . . . . . . . 41--57
Douglas Fisher and
Adrian R. Fleissig and
Apostolos Serletis An empirical comparison of flexible
demand system functional forms . . . . . 59--80
Ruud H. Koning A comparison of different \LaTeX
programs . . . . . . . . . . . . . . . . 81--92
M Hashem Pesaran The Richard Stone Prize in Applied
Econometrics . . . . . . . . . . . . . . 93--93
Anonymous Journal of Applied Econometrics Annual
Lecture Series . . . . . . . . . . . . . 94--94
L. A. Gil-Alaña and
P. M. Robinson Testing of seasonal fractional
integration in UK and Japanese
consumption and income . . . . . . . . . 95--114
Stacie Beck Autoregressive conditional
heteroscedasticity in commodity spot
prices . . . . . . . . . . . . . . . . . 115--132
Wai Mun Fong and
Kim Hock See Modelling the conditional volatility of
commodity index futures as a regime
switching process . . . . . . . . . . . 133--163
Donald S. Kenkel and
Joseph V. Terza The effect of physician advice on
alcohol consumption: count regression
with an endogenous treatment effect . . 165--184
Christopher A. Swann Software for parallel computing: the LAM
implementation of MPI . . . . . . . . . 185--194
Anonymous Journal of Applied Econometrics Annual
Lecture Series . . . . . . . . . . . . . 195--195
Anonymous Forthcoming papers . . . . . . . . . . . 196--196
David F. Hendry and
M. Hashem Pesaran A special issue in memory of John Denis
Sargan: studies in empirical
macroeconometrics . . . . . . . . . . . 197--202
Gavin Cameron and
John Muellbauer Earnings, unemployment, and housing in
Britain . . . . . . . . . . . . . . . . 203--220
Anindya Banerjee and
Lynne Cockerell and
Bill Russell An I(2) analysis of inflation and the
markup . . . . . . . . . . . . . . . . . 221--240
Neil R. Ericsson and
John S. Irons and
Ralph W. Tryon Output and inflation in the long run . . 241--253
David F. Hendry Modelling UK inflation, 1875--1991 . . . 255--275
Timo Teräsvirta and
Ann-Charlotte Eliasson Non-linear error correction and the UK
demand for broad money, 1878--1993 . . . 277--288
M. Hashem Pesaran and
Yongcheol Shin and
Richard J. Smith Bounds testing approaches to the
analysis of level relationships . . . . 289--326
A. R. Bergstrom Stability and wage acceleration in
macroeconomic models of cyclical growth 327--340
Katarina Juselius European integration and monetary
transmission mechanisms: the case of
Italy . . . . . . . . . . . . . . . . . 341--358
Massimiliano Marcellino and
Grayham E. Mizon Small-system modelling of real wages,
inflation, unemployment and output per
capita in Italy 1970--1994 . . . . . . . 359--370
Michael R. Wickens and
Roberto Motto Estimating shocks and impulse response
functions . . . . . . . . . . . . . . . 371--387
Peter C. B. Phillips Descriptive econometrics for
non-stationary time series with
empirical illustrations . . . . . . . . 389--413
Jukka Nyblom and
Andrew Harvey Testing against smooth stochastic trends 415--429
D. Marinucci and
P. M. Robinson Finite sample improvements in
statistical inference with I(1)
processes . . . . . . . . . . . . . . . 431--444
Joseph G. Hirschberg and
Esfandiar Maasoumi and
Daniel J. Slottje Clusters of attributes and well-being in
the USA . . . . . . . . . . . . . . . . 445--460
Filippo Altissimo and
Giovanni L. Violante The non-linear dynamics of output and
unemployment in the U.S. . . . . . . . . 461--486
Tor Jacobson and
Per Jansson and
Anders Vredin and
Anders Warne Monetary policy analysis and inflation
targeting in a small open economy: a VAR
approach* . . . . . . . . . . . . . . . 487--520
Kai-Li Wang and
Christopher Fawson and
Christopher B. Barrett and
James B. McDonald A flexible parametric GARCH model with
an application to exchange rates . . . . 521--536
Philip A. Shively Trend-stationary GNP: evidence from a
new exact pointwise most powerful
invariant unit root test . . . . . . . . 537--551
Mico Mrkaic Scilab as an econometric programming
system . . . . . . . . . . . . . . . . . 553--559
M. Hashem Pesaran Journal of Applied Econometrics
Conference Sponsorship Grants . . . . . 561--561
Anonymous Forthcoming papers . . . . . . . . . . . 562--562
Carmen Fernández and
Eduardo Ley and
Mark F. J. Steel Model uncertainty in cross-country
growth regressions . . . . . . . . . . . 563--576
J. M. C. Santos Silva A score test for non-nested hypotheses
with applications to discrete data
models . . . . . . . . . . . . . . . . . 577--597
Jayasri Dutta and
J. A. Sefton and
M. R. Weale Income distribution and income dynamics
in the United Kingdom . . . . . . . . . 599--617
Christian Belzil Unemployment insurance and subsequent
job duration: job matching versus
unobserved heterogeneity . . . . . . . . 619--636
Stanislav Kolenikov Software review: Review of Stata 7 . . . 637--646
Anthony Garratt Book Review: \booktitleApplied
macroeconometrics, Carlo A. Favero,
Oxford University Press, Oxford, 2001,
ISBN 0-19-877583-0 (hardback), pp. xi +
282, \pounds 40.00 . . . . . . . . . . . 647--652
M. Hashem Pesaran Journal of Applied Econometrics
distinguished authors . . . . . . . . . 653--654
Anonymous Forthcoming papers . . . . . . . . . . . 655--655
Francis X. Diebold and
Lutz Kilian Measuring predictability: theory and
macroeconomic applications . . . . . . . 657--669
Alex Maynard and
Peter C. B. Phillips Rethinking an old empirical puzzle:
econometric evidence on the forward
discount anomaly . . . . . . . . . . . . 671--708
Christopher J. O'Donnell and
Alicia N. Rambaldi and
Howard E. Doran Estimating economic relationships
subject to firm- and time-varying
equality and inequality constraints . . 709--726
G. Coenen and
J.-L. Vega The demand for M3 in the euro area . . . 727--748
Melvyn Weeks Book Review: \booktitleMeasurement error
and latent variables in econometrics,
Tom Wansbeek and Erik Meijer, advanced
textbooks in economics: editors C. Bliss
and M. D. Intriligator, North-Holland,
Amsterdam . . . . . . . . . . . . . . . 749--753
Arnstein Aassve and
Simon Burgess and
Andrew Chesher and
Carol Propper Transitions from home to marriage of
young Americans . . . . . . . . . . . . 1--23
Guy Laroque and
Bernard Salanié Labour market institutions and
employment in France . . . . . . . . . . 25--48
Demetrios Vakratsas and
Frank M. Bass A segment-level hazard approach to
studying household purchase timing
decisions . . . . . . . . . . . . . . . 49--59
Maximo Camacho and
Gabriel Perez-Quiros This is what the leading indicators lead 61--80
Ian J. Irvine and
William A. Sims A simple and efficient method for
estimating the magnitude and precision
of welfare changes: comment . . . . . . 81--83
Richard A. March A review of SORITEC for Windows . . . . 85--90
I. A. Moosa and
J. L. Baxter Modelling the trend and seasonals within
an AIDS model of the demand for
alcoholic beverages in the United
Kingdom . . . . . . . . . . . . . . . . 95--106
Lutz Kilian and
Tao Zha Quantifying the uncertainty about the
half-life of deviations from PPP . . . . 107--125
Efthymios G. Tsionas Stochastic frontier models with random
coefficients . . . . . . . . . . . . . . 127--147
Christopher Otrok and
B. Ravikumar and
Charles H. Whiteman Evaluating asset-pricing models using
the Hansen--Jagannathan bound: a Monte
Carlo investigation . . . . . . . . . . 149--174
Jeff Racine and
Rob Hyndman Using R to teach econometrics . . . . . 175--189
Melvyn Weeks Book Reviews: \booktitleIntroductory
Econometrics: A Modern Approach, Jeffrey
M. Wooldridge, South-Western College
Publishing, 2000, 1-538-85013-2, 824,
Price (hb) \$98.75} . . . . . . . . . . 191--193
Fabrice Collard and
Patrick F\`eve and
François Langot and
Corinne Perraudin A structural model of US aggregate job
flows . . . . . . . . . . . . . . . . . 197--223
Andreas Blume and
Douglas V. DeJong and
George R. Neumann and
N. E. Savin Learning and communication in
sender-receiver games: an econometric
investigation . . . . . . . . . . . . . 225--247
Hans G. Bloemen The relation between wealth and labour
market transitions: an empirical study
for the Netherlands . . . . . . . . . . 249--268
Michael S. Haigh and
Matthew T. Holt Crack spread hedging: accounting for
time-varying volatility spillovers in
the energy futures markets . . . . . . . 269--289
D. S. G. Pollock A review of TSW: the Windows version of
the TRAMO--SEATS program . . . . . . . . 291--299
Timothy G. Conley and
Giorgio Topa Socio-economic distance and spatial
patterns in unemployment . . . . . . . . 303--327
Jyotsna Jalan and
Martin Ravallion Geographic poverty traps? A micro model
of consumption growth in rural China . . 329--346
Philip Hans Franses and
Richard Paap Censored latent effects autoregression,
with an application to US unemployment 347--366
James E. Prieger A flexible parametric selection model
for non-normal data with application to
health care usage . . . . . . . . . . . 367--392
Joseph V. Terza Alcohol abuse and employment: a second
look . . . . . . . . . . . . . . . . . . 393--404
Giovanni Baiocchi and
Walter Distaso Visual econometrics: teaching and
practising econometrics using ViSta . . 405--414
B. D. McCullough Book Review: \booktitleProbability
theory and statistical inference:
econometric modelling with observational
data, Aris Spanos, Cambridge University
Press, 1999, pp. 815 + xxviii, price
(pb) \$49.95, (hb) \$105.00 . . . . . . 415--418
Philip Hans Franses and
Michael McAleer Financial volatility: an introduction 419--424
Robert Engle New frontiers for ARCH models . . . . . 425--446
Clive W. J. Granger Some comments on risk . . . . . . . . . 447--456
Ole E. Barndorff-Nielsen and
Neil Shephard Estimating quadratic variation using
realized variance . . . . . . . . . . . 457--477
Nour Meddahi A theoretical comparison between
integrated and realized volatility . . . 479--508
Felix Chan and
Michael McAleer Maximum likelihood estimation of STAR
and STAR--GARCH models: theory and Monte
Carlo evidence . . . . . . . . . . . . . 509--534
Lars Forsberg and
Tim Bollerslev Bridging the gap between the
distribution of realized (ECU)
volatility and ARCH modelling (of the
Euro): the GARCH--NIG model . . . . . . 535--548
Roy van der Weide GO--GARCH: a multivariate generalized
orthogonal GARCH model . . . . . . . . . 549--564
Yi-Ting Chen and
Chung-Ming Kuan Time irreversibility and EGARCH effects
in US stock index returns . . . . . . . 565--578
Elena Andreou and
Eric Ghysels Detecting multiple breaks in financial
market volatility dynamics . . . . . . . 579--600
Philip Hans Franses and
Marco Van Der Leij and
Richard Paap Modelling and forecasting level shifts
in absolute returns . . . . . . . . . . 601--616
Douglas J. Hodgson and
Oliver Linton and
Keith Vorkink Testing the capital asset pricing model
efficiently under elliptical symmetry: a
semiparametric approach . . . . . . . . 617--639
Sudip Chattopadhyay Divergence in alternative Hicksian
welfare measures: the case of revealed
preference for public amenities . . . . 641--666
Siem Jan Koopman and
Eugenie Hol Uspensky The stochastic volatility in mean model:
empirical evidence from international
stock markets . . . . . . . . . . . . . 667--689
Jorge Belaire-Franch and
Dulce Contreras How to compute the BDS test: a software
comparison . . . . . . . . . . . . . . . 691--699
Wiebke Kuklys Book Review: \booktitleStated choice
methods: analysis and application,
Jordan J. Louviere, David A. Hensher and
Joffre D. Swait, Cambridge University
Press, ISBN: 0-521-78830-7 . . . . . . . 701--704
Jushan Bai and
Pierre Perron Computation and analysis of multiple
structural change models . . . . . . . . 1--22
Adrian R. Pagan and
Kirill A. Sossounov A simple framework for analysing bull
and bear markets . . . . . . . . . . . . 23--46
P. A. Geroski and
S. Lazarova and
G. Urga and
C. F. Walters Are differences in firm size transitory
or permanent? . . . . . . . . . . . . . 47--59
Stefan Hochguertel Precautionary motives and portfolio
decisions . . . . . . . . . . . . . . . 61--77
Christopher H. Wheeler Evidence on agglomeration economies,
diseconomies, and growth . . . . . . . . 79--104
Giovanni Baiocchi and
Walter Distaso GRETL: Econometric software for the GNU
generation . . . . . . . . . . . . . . . 105--110
Hashem Pesaran Introducing a replication section . . . 111--111
Philipp Schmidt-Dengler A structural model of aggregate US job
flows: another look . . . . . . . . . . 113--118
David M. Drukker and
Weihua Guan ``Replicating the results in `On
efficient estimation with panel data: an
empirical comparison of instrumental
variables estimators'\,'': by Baltagi,
B. H. and Khanti-Akom, S. (1990),
Journal of Applied Econometrics, Vol \bf
5, pages 401--406 . . . . . . . . . . . 119--119
Arthur Lewbel A rational rank four demand system . . . 127--135
Juan J. Dolado and
Jesús Gonzalo and
Laura Mayoral Long-range dependence in Spanish
political opinion poll series . . . . . 137--155
Andrew M. Jones and
José M. Labeaga Individual heterogeneity and censoring
in panel data estimates of tobacco
expenditure . . . . . . . . . . . . . . 157--177
Sandra Campo and
Isabelle Perrigne and
Quang Vuong Asymmetry in first-price auctions with
affiliated private values . . . . . . . 179--207
Philippe J. Deschamps Time-varying intercepts and equilibrium
analysis: an extension of the dynamic
almost ideal demand model . . . . . . . 209--236
Curt Wells Retesting Fair's (1978) model on
infidelity . . . . . . . . . . . . . . . 237--239
C. R. McKenzie and
Sumiko Takaoka 2002: A LIMDEP odyssey . . . . . . . . . 241--247
Anonymous Erratum: \booktitleJournal of Applied
Econometrics Vol \bf 18 No 1 2003, pages
47--59. Are differences in firm size
transitory or permanent? P. A. Geroski,
S. Lazarova, G. Urga and C. F. Walters 249--249
Ron Shachar Party loyalty as habit formation . . . . 251--269
Zacharias Psaradakis and
Martin Sola On detrending and cyclical asymmetry . . 271--289
Alexandra L. Minicozzi Estimation of sons' intergenerational
earnings mobility in the presence of
censoring . . . . . . . . . . . . . . . 291--314
Justin L. Tobias and
Mingliang Li A finite-sample hierarchical analysis of
wage variation across public high
schools: evidence from the NLSY and high
school and beyond . . . . . . . . . . . 315--336
Marcel Kerkhofs and
Peter Kooreman Identification and estimation of a class
of household production models . . . . . 337--369
Giovanni Baiocchi Managing econometric projects using Perl 371--378
M. Weeks Book Review: \booktitleDiscrete choice
methods with simulation, Kenneth E.
Train, Cambridge University Press, 2003,
ISBN: 0-521-81696-3, pp. 334 . . . . . . 379--383
Regina T. Riphahn and
Achim Wambach and
Andreas Million Incentive effects in the demand for
health care: a bivariate panel count
data estimation . . . . . . . . . . . . 387--405
Matthew T. Holt and
Andrew M. McKenzie Quasi-rational and ex ante price
expectations in commodity supply models:
an empirical analysis of the US broiler
market . . . . . . . . . . . . . . . . . 407--426
Roberto S. Mariano and
Yasutomo Murasawa A new coincident index of business
cycles based on monthly and quarterly
series . . . . . . . . . . . . . . . . . 427--443
Michael P. Clements and
Nick Taylor Evaluating interval forecasts of
high-frequency financial data . . . . . 445--456
Ken Nyholm Inferring the private information
content of trades: a regime-switching
approach . . . . . . . . . . . . . . . . 457--470
Barry Falk and
Chun-Hsuan Wang Testing long-run PPP with
infinite-variance returns . . . . . . . 471--484
H. D. Vinod Review of mathStatica (v.1): an add-on
to Mathematica . . . . . . . . . . . . . 485--491
Steven N. Durlauf and
Robert A. Moffitt Special issue on empirical analysis of
social interactions . . . . . . . . . . 499--499
Dennis Epple and
Richard Romano and
Holger Sieg Peer effects, financial aid and
selection of students into colleges and
universities: an empirical analysis . . 501--525
Eric A. Hanushek and
John F. Kain and
Jacob M. Markman and
Steven G. Rivkin Does peer ability affect student
achievement? . . . . . . . . . . . . . . 527--544
Marianne E. Page and
Gary Solon Correlations between sisters and
neighbouring girls in their subsequent
income as adults . . . . . . . . . . . . 545--562
Yannis M. Ioannides and
Jeffrey E. Zabel Neighbourhood effects and housing demand 563--584
Daniel I. Rees and
Jeffrey S. Zax and
Joshua Herries Interdependence in worker productivity 585--604
Timothy G. Conley and
Giorgio Topa Identification of local interaction
models with imperfect location data . . 605--618
M. Hashem Pesaran Journal of applied econometrics scholars
programme . . . . . . . . . . . . . . . 619--619
Gordon Anderson Poverty in America 1970--1990: who did
gain ground? An application of
stochastic dominance criteria employing
simultaneous inequality tests in a
partial panel . . . . . . . . . . . . . 621--640
Pierre Giot and
Sébastien Laurent Value-at-risk for long and short trading
positions . . . . . . . . . . . . . . . 641--663
Pedro H. Albuquerque A practical log-linear aggregation
method with examples: heterogeneous
income growth in the USA . . . . . . . . 665--678
Christian Belzil and
Jörgen Hansen Structural estimates of the
intergenerational education correlation 679--696
Denis Foug\`ere and
Thierry Kamionka Bayesian inference for the mover-stayer
model in continuous time with an
application to labour market transition
data . . . . . . . . . . . . . . . . . . 697--723
Chris Brooks and
Simon P. Burke and
Gita Persand Multivariate GARCH models: software
choice and estimation issues . . . . . . 725--734
Christopher F. Baum and
Mustafa Caglayan and
Neslihan Ozkan Nonlinear effects of exchange rate
volatility on the volume of bilateral
exports . . . . . . . . . . . . . . . . 1--23
M. Ryan Haley and
Harry J. Paarsch The stochastic implications of rent
maximization: an application to stumpage
rates for timber in British Columbia . . 25--48
Kostas G. Mavromaras and
Chris D. Orme Temporary layoffs and split population
models . . . . . . . . . . . . . . . . . 49--67
Zacharias Psaradakis and
Martin Sola and
Fabio Spagnolo On Markov error-correction models, with
an application to stock prices and
dividends . . . . . . . . . . . . . . . 69--88
Allan W. Gregory and
Alfred A. Haug and
Nicoletta Lomuto Mixed signals among tests for
cointegration . . . . . . . . . . . . . 89--98
Gunnar Isacsson Estimating the economic return to
educational levels using data on twins 99--119
Christophe Planas and
Alessandro Rossi Can inflation data improve the real-time
reliability of output gap estimates? . . 121--133
Dario Cziráky LISREL 8.54: A program for structural
equation modelling with latent variables 135--141
L. Vanessa Smith and
Stephen Leybourne and
Tae-Hwan Kim and
Paul Newbold More powerful panel data unit root tests
with an application to mean reversion in
real exchange rates . . . . . . . . . . 147--170
Winford H. Masanjala and
Chris Papageorgiou The Solow model with CES technology:
nonlinearities and parameter
heterogeneity . . . . . . . . . . . . . 171--201
Mingliang Li and
Dale J. Poirier and
Justin L. Tobias Do dropouts suffer from dropping out?
Estimation and prediction of outcome
gains in generalized selection models 203--225
Peter Egger and
Michael Pfaffermayr Distance, trade and FDI: a
Hausman--Taylor SUR approach . . . . . . 227--246
Gonzalo Camba-Mendez and
Ana Lamo Short-term monitoring of fiscal policy
discipline . . . . . . . . . . . . . . . 247--265
Samson B. Adebayo Bayesian geoadditive modelling of
breastfeeding initiation in Nigeria . . 267--281
Ruud H. Koning FinMetrics: analysis of financial data
in S-PLUS . . . . . . . . . . . . . . . 283--290
Shin-Yi Chou and
Jin-Tan Liu and
Cliff J. Huang Health insurance and savings over the
life cycle --- a semiparametric smooth
coefficient estimation . . . . . . . . . 295--322
Myoung-Jae Lee Selection correction and sensitivity
analysis for ordered treatment effect on
count response . . . . . . . . . . . . . 323--337
Arabinda Basistha and
Richard Startz Why were changes in the federal funds
rate smaller in the 1990s? . . . . . . . 339--354
Patrick J. Coe and
James M. Nason Long-run monetary neutrality and
long-horizon regressions . . . . . . . . 355--373
Markus Frölich and
Almas Heshmati and
Michael Lechner A microeconometric evaluation of
rehabilitation of long-term sickness in
Sweden . . . . . . . . . . . . . . . . . 375--396
Sanghamitra Das and
Ramprasad Sengupta Projection pursuit regression and
disaggregate productivity effects: the
case of the Indian blast furnaces . . . 397--418
Buhong Zheng Poverty comparisons with dependent
samples . . . . . . . . . . . . . . . . 419--428
Andrés Romeu ExpEnd: GAUSS code for panel count-data
models . . . . . . . . . . . . . . . . . 429--434
Stephen Pudney Keeping off the grass? An econometric
model of cannabis consumption in Britain 435--453
Rainer Winkelmann Health care reform and the number of
doctor visits --- an econometric
analysis . . . . . . . . . . . . . . . . 455--472
Paul Contoyannis and
Andrew M. Jones and
Nigel Rice The dynamics of health in the British
Household Panel Survey . . . . . . . . . 473--503
Paul W. Wilson and
Kathleen Carey Nonparametric analysis of returns to
scale in the US hospital industry . . . 505--524
Bernd Hayo Review of PcGive 10 . . . . . . . . . . 525--531
Qi Li and
Jeff Racine Predictor relevance and extramarital
affairs . . . . . . . . . . . . . . . . 533--535
Gordon Anderson Making inferences about the
polarization, welfare and poverty of
nations: a study of 101 countries
1970--1995 . . . . . . . . . . . . . . . 537--550
Kevin B. Grier and
Ólan T. Henry and
Nilss Olekalns and
Kalvinder Shields The asymmetric effects of uncertainty on
inflation and output growth . . . . . . 551--565
Byung M. Jeon and
Robin C. Sickles The role of environmental factors in
growth accounting . . . . . . . . . . . 567--591
Lorenzo Cappellari and
Stephen P. Jenkins Modelling low income transitions . . . . 593--610
Rob Luginbuhl and
Siem Jan Koopman Convergence in European GDP series: a
multivariate common converging
trend-cycle decomposition . . . . . . . 611--636
Albert K. Tsui and
Kin-Yip Ho Conditional heteroscedasticity of
exchange rates: further results based on
the fractionally integrated approach . . 637--642
Bent Jesper Christensen and
Nabanita Datta Gupta and
John Rust Special issue on the econometrics of
social insurance . . . . . . . . . . . . 647--648
Hugo Benítez-Silva and
Moshe Buchinsky and
Hiu Man Chan and
Sofia Cheidvasser and
John Rust How large is the bias in self-reported
disability? . . . . . . . . . . . . . . 649--670
Richard V. Burkhauser and
J. S. Butler and
Gulcin Gumus Dynamic programming model estimates of
Social Security Disability Insurance
application timing . . . . . . . . . . . 671--685
Mark Y. An and
Bent Jesper Christensen and
Nabanita Datta Gupta Multivariate mixed proportional hazard
modelling of the joint retirement of
married couples . . . . . . . . . . . . 687--704
Eric French and
John Bailey Jones On the distribution and dynamics of
health care costs . . . . . . . . . . . 705--721
Alan L. Gustman and
Thomas L. Steinmeier Social security, pensions and retirement
behaviour within the family . . . . . . 723--737
Arjan Heyma A structural dynamic analysis of
retirement behaviour in the Netherlands 739--759
Michael D. Hurd and
James P. Smith and
Julie M. Zissimopoulos The effects of subjective survival on
retirement and Social Security claiming 761--775
Mauro Mastrogiacomo and
Rob Alessie and
Maarten Lindeboom Retirement behaviour of Dutch elderly
households . . . . . . . . . . . . . . . 777--793
Anders Karlstrom and
Marten Palme and
Ingemar Svensson A dynamic programming approach to model
the retirement behaviour of blue-collar
workers in Sweden . . . . . . . . . . . 795--807
Peter Skogman Thoursie Reporting sick: are sporting events
contagious? . . . . . . . . . . . . . . 809--823
Gary Koop and
Justin L. Tobias Learning about heterogeneity in returns
to schooling . . . . . . . . . . . . . . 827--849
Ling Hu and
Peter C. B. Phillips Dynamics of the federal funds target
rate: a nonstationary discrete choice
approach . . . . . . . . . . . . . . . . 851--867
Yixiao Sun and
Peter C. B. Phillips Understanding the Fisher equation . . . 869--886
Jill J. McCluskey and
Kwamena K. Quagrainie Measurement of industry conduct with a
latent structure . . . . . . . . . . . . 887--897
Ralf Becker and
Walter Enders and
Stan Hurn A general test for time dependence in
parameters . . . . . . . . . . . . . . . 899--906
Bart Cockx and
Muriel Dejemeppe Duration dependence in the exit rate out
of unemployment in Belgium. Is it true
or spurious? . . . . . . . . . . . . . . 1--23
Neus Herranz and
Ricardo Mora and
Javier Ruiz-Castillo An algorithm to reduce the occupational
space in gender segregation studies . . 25--37
Jeffrey M. Wooldridge Simple solutions to the initial
conditions problem in dynamic, nonlinear
panel data models with unobserved
heterogeneity . . . . . . . . . . . . . 39--54
Esfandiar Maasoumi and
Daniel L. Millimet Robust inference concerning recent
trends in US environmental quality . . . 55--77
Robert Sollis Evidence on purchasing power parity from
univariate models: the case of smooth
transition trend-stationarity . . . . . 79--98
Achim Zeileis and
Friedrich Leisch and
Christian Kleiber and
Kurt Hornik Monitoring structural change in dynamic
econometric models . . . . . . . . . . . 99--121
Til Schuermann A review of recent books on credit risk 123--130
Sébastien Laurent and
Jean-Pierre Urbain Bridging the gap between Ox and Gauss
using OxGauss . . . . . . . . . . . . . 131--139
Dick van Dijk and
Herman K. van Dijk and
Philip Hans Franses On the dynamics of business cycle
analysis: Editors' introduction . . . . 147--150
Don Harding and
Adrian Pagan A suggested framework for classifying
the modes of cycle research . . . . . . 151--159
Frank Smets and
Raf Wouters Comparing shocks and frictions in US and
euro area business cycles: a Bayesian
DSGE Approach . . . . . . . . . . . . . 161--183
Gert Peersman What caused the early millennium
slowdown? Evidence based on vector
autoregressions . . . . . . . . . . . . 185--207
Jan P. A. M. Jacobs and
Kenneth F. Wallis Comparing SVARs and SEMs: two models of
the UK economy . . . . . . . . . . . . . 209--228
Fabio Canova The transmission of US shocks to Latin
America . . . . . . . . . . . . . . . . 229--251
Penelope A. Smith and
Peter M. Summers How well do Markov switching models
describe actual business cycles? The
case of synchronization . . . . . . . . 253--274
Vasco M. Carvalho and
Andrew C. Harvey Convergence in the trends and cycles of
Euro-zone income . . . . . . . . . . . . 275--289
Chang-Jin Kim and
James Morley and
Jeremy Piger Nonlinearity and the permanent effects
of recessions . . . . . . . . . . . . . 291--309
Siem Jan Koopman and
André Lucas Business and default cycles for credit
risk . . . . . . . . . . . . . . . . . . 311--323
David E. Rapach and
Mark E. Wohar Valuation ratios and long-horizon stock
price predictability . . . . . . . . . . 327--344
Lucio Sarno and
Giorgio Valente Modelling and forecasting stock returns:
exploiting the futures market, regime
shifts and international spillovers . . 345--376
G. C. Lim and
G. M. Martin and
V. L. Martin Parametric pricing of higher order
moments in S&P500 options . . . . . . . . 377--404
Aaron Smith Partially overlapping time series: a new
model for volatility dynamics in
commodity futures . . . . . . . . . . . 405--422
Fabio Spagnolo and
Zacharias Psaradakis and
Martin Sola Testing the unbiased forward exchange
rate hypothesis using a Markov switching
model and instrumental variables . . . . 423--437
Joshua C. C. Chan Replication of the results in `learning
about heterogeneity in returns to
schooling' . . . . . . . . . . . . . . . 439--443
José A. F. Machado and
José Mata Counterfactual decomposition of changes
in wage distributions using quantile
regression . . . . . . . . . . . . . . . 445--465
Joachim Grammig and
Reinhard Hujer and
Michael Scheidler Discrete choice modelling in airline
network management . . . . . . . . . . . 467--486
Krishna Pendakur Semiparametric estimation of lifetime
equivalence scales . . . . . . . . . . . 487--507
Xiaodong Gong and
Arthur van Soest and
Ping Zhang The effects of the gender of children on
expenditure patterns in rural China: a
semiparametric analysis . . . . . . . . 509--527
Sanghamitra Das and
Charles F. Manski and
Mark D. Manuszak Walk or wait? An empirical analysis of
street crossing decisions . . . . . . . 529--548
Myoung-jae Lee and
Sang-jun Lee Analysis of job-training effects on
Korean women . . . . . . . . . . . . . . 549--562
Christopher R. Bollinger and
Martin H. David I didn't tell, and I won't tell: dynamic
response error in the SIPP . . . . . . . 563--569
Gilles Teyssi\`ere Structural time series modelling with
STAMP 6.02 . . . . . . . . . . . . . . . 571--577
Cheng Hsiao and
Yan Shen and
Hiroshi Fujiki Aggregate vs. disaggregate data analysis
--- a paradox in the estimation of a
money demand function of Japan under the
low interest rate policy . . . . . . . . 579--601
Carlo A. Favero and
Massimiliano Marcellino and
Francesca Neglia Principal components at work: the
empirical analysis of monetary policy
with large data sets . . . . . . . . . . 603--620
Dong Heon Kim and
Denise R. Osborn and
Marianne Sensier Nonlinearity in the Fed's monetary
policy rule . . . . . . . . . . . . . . 621--639
Mahmoud A. El-Gamal and
Hulusi Inanoglu Inefficiency and heterogeneity in
Turkish banking: 1990--2000 . . . . . . 641--664
Zacharias Psaradakis and
Morten O. Ravn and
Martin Sola Markov switching causality and the
money-output relationship . . . . . . . 665--683
Achim Zeileis and
Christian Kleiber Validating multiple structural change
models --- a case study . . . . . . . . 685--690
Ana-Maria Fuertes and
Marwan Izzeldin and
Anthony Murphy A guided tour of TSMod 4.03 . . . . . . 691--698
Juan M. Rodríguez-Póo and
Stefan Sperlich and
Ana I. Fernández Semiparametric three-step estimation
methods for simultaneous equation
systems . . . . . . . . . . . . . . . . 699--721
Gary Koop and
Dale J. Poirier and
Justin Tobias Semiparametric Bayesian inference in
multiple equation models . . . . . . . . 723--747
Emanuele Bacchiocchi and
Luca Fanelli Testing the purchasing power parity
through $ {\rm I}(2) $ cointegration
techniques . . . . . . . . . . . . . . . 749--770
Libertad González Nonparametric bounds on the returns to
language skills . . . . . . . . . . . . 771--795
H. Peter Boswijk and
Jurgen A. Doornik Distribution approximations for
cointegration tests with stationary
exogenous regressors . . . . . . . . . . 797--810
Dennis Fok and
Dick van Dijk and
Philip Hans Franses A multi-level panel STAR model for US
manufacturing sectors . . . . . . . . . 811--827
Troy Davig Periodically expanding discounted debt:
a threat to fiscal policy
sustainability? . . . . . . . . . . . . 829--840
Shin-Ichi Nishiyama The cross-Euler equation approach to
intertemporal substitution in import
demand . . . . . . . . . . . . . . . . . 841--872
Peter R. Hansen and
Asger Lunde A forecast comparison of volatility
models: does anything beat a GARCH(1,1)? 873--889
Jesús Fernández-Villaverde and
Juan F. Rubio-Ramírez Estimating dynamic equilibrium
economies: linear versus nonlinear
likelihood . . . . . . . . . . . . . . . 891--910
Fernando Fernández-Rodríguez and
Simón Sosvilla-Rivero and
Julián Andrada-Félix Testing chaotic dynamics via Lyapunov
exponents . . . . . . . . . . . . . . . 911--930
John V. Pepper \booktitleThe Bias Against Guns: why
almost everything you've heard about gun
control is wrong. John Lott, Jr.,
Regnery Publishing, Inc. 2003, pp. 349 931--942
Anonymous Announcement . . . . . . . . . . . . . . 943--944
Anonymous Acknowledgement to referees . . . . . . 947--949
Massimo Guidolin and
Allan Timmermann An econometric model of nonlinear
dynamics in the joint distribution of
stock and bond returns . . . . . . . . . 1--22
Mingliang Li High school completion and future youth
unemployment: new evidence from High
School and Beyond . . . . . . . . . . . 23--53
Richard Dennis The policy preferences of the US Federal
Reserve . . . . . . . . . . . . . . . . 55--77
Luc Bauwens and
Sébastien Laurent and
Jeroen V. K. Rombouts Multivariate GARCH models: a survey . . 79--109
Theofanis P. Mamuneas and
Andreas Savvides and
Thanasis Stengos Economic development and the return to
human capital: a smooth coefficient
semiparametric approach . . . . . . . . 111--132
Jeff Racine Software review: gnuplot 4.0: a portable
interactive plotting utility . . . . . . 133--141
Andrew J. Patton Estimation of multivariate models for
time series of possibly different
lengths . . . . . . . . . . . . . . . . 147--173
David N. DeJong and
Roman Liesenfeld and
Jean-François Richard Timing structural change: a conditional
probabilistic approach . . . . . . . . . 175--190
Richard Kleijn and
Herman K. van Dijk Bayes model averaging of cyclical
decompositions in economic time series 191--212
Jörgen Hellström A bivariate count data model for
household tourism demand . . . . . . . . 213--226
Erik Meijer and
Jan Rouwendal Measuring welfare effects in models with
random coefficients . . . . . . . . . . 227--244
J. Ignacio García-Pérez Job separation in a non-stationary
search model: a structural estimation to
evaluate alternative unemployment
insurance systems . . . . . . . . . . . 245--272
Anonymous Journal of Applied Econometrics
distinguished authors . . . . . . . . . 273--274
Sylvia Frühwirth-Schnatter and
Sylvia Kaufmann How do changes in monetary policy affect
bank lending? An analysis of Austrian
bank data . . . . . . . . . . . . . . . 275--305
Carol Alexander and
Emese Lazar Normal mixture GARCH(1,1): applications
to exchange rate modelling . . . . . . . 307--336
Jonathan L. Willis Magazine prices revisited . . . . . . . 337--344
Francesco Audrino and
Fabio Trojani Estimating and predicting multivariate
volatility thresholds in global stock
markets . . . . . . . . . . . . . . . . 345--369
T. Stengos and
E. Zacharias Intertemporal pricing and price
discrimination: a semiparametric hedonic
analysis of the personal computer market 371--386
Gregory Kordas Smoothed binary regression quantiles . . 387--407
Aaron D. Smallwood and
Stefan C. Norrbin Generalized long memory processes,
failure of cointegration tests and
exchange rate dynamics . . . . . . . . . 409--417
Fabio Busetti Tests of seasonal integration and
cointegration in multivariate unobserved
component models . . . . . . . . . . . . 419--438
Hans Dewachter and
Marco Lyrio and
Konstantijn Maes A joint model for the term structure of
interest rates and the macroeconomy . . 439--462
Ana Beatriz C. Galvão Structural break threshold VARs for
predicting US recessions using the
spread . . . . . . . . . . . . . . . . . 463--487
Jason Abrevaya Estimating the effect of smoking on
birth outcomes using a matched panel
data approach . . . . . . . . . . . . . 489--519
Anthony Garratt and
Donald Robertson and
Stephen Wright Permanent vs transitory components and
economic fundamentals . . . . . . . . . 521--542
Badi H. Baltagi Estimating an economic model of crime
using panel data from North Carolina . . 543--547
Bas Donkers and
Richard Paap and
Jedid-Jah Jonker and
Philip Hans Franses Deriving target selection rules from
endogenously selected samples . . . . . 549--562
Todd E. Clark Disaggregate evidence on the persistence
of consumer price inflation . . . . . . 563--587
Mototsugu Shintani A nonparametric measure of convergence
towards purchasing power parity . . . . 589--604
Maria Grazia Pittau and
Roberto Zelli Empirical evidence of income dynamics
across EU regions . . . . . . . . . . . 605--628
Thanasis Stengos and
Yiguo Sun and
Dianqin Wang Estimates of semiparametric equivalence
scales . . . . . . . . . . . . . . . . . 629--639
Z. L. Yang and
Y. K. Tse Modelling firm-size distribution using
Box--Cox heteroscedastic regression . . 641--653
Ivan Paya and
David A. Peel Temporal aggregation of an ESTAR
process: some implications for
purchasing power parity adjustment . . . 655--668
Efthymios G. Tsionas Inference in dynamic stochastic frontier
models . . . . . . . . . . . . . . . . . 669--676
B. D. McCullough A review of TESTU01 . . . . . . . . . . 677--682
Ralf Brüggemann and
Helmut Lütkepohl A small monetary system for the euro
area based on German data . . . . . . . 683--702
Gultekin Isiklar and
Kajal Lahiri and
Prakash Loungani How quickly do forecasters incorporate
news? Evidence from cross-country
surveys . . . . . . . . . . . . . . . . 703--725
Jian Yang and
Cheng Hsiao and
Qi Li and
Zijun Wang The emerging market crisis and stock
market linkages: further evidence . . . 727--744
Olivier Armantier and
Erwann SbaÏ Estimation and comparison of [French]
Treasury auction formats when bidders
are asymmetric . . . . . . . . . . . . . 745--779
Ralf A. Wilke Semi-parametric estimation of
consumption-based equivalence scales:
the case of Germany . . . . . . . . . . 781--802
John K. Dagsvik and
Steinar StrÒm Sectoral labour supply, choice
restrictions and functional form . . . . 803--826
Russell Davidson and
James G. MacKinnon The case against JIVE . . . . . . . . . 827--833
Daniel A. Ackerberg and
Paul J. Devereux Comment on `The case against JIVE' . . . 835--838
Sören Blomquist and
Matz Dahlberg The case against JIVE: a comment . . . . 839--841
Russell Davidson and
James G. MacKinnon Reply to Ackerberg and Devereux and
Blomquist and Dahlberg on `The case
against JIVE' . . . . . . . . . . . . . 843--844
Daniel H. Hill Wealth dynamics: reducing noise in panel
data . . . . . . . . . . . . . . . . . . 845--860
David A. Hensher How do respondents process stated choice
experiments? Attribute consideration
under varying information load . . . . . 861--878
Carmine Ornaghi Assessing the effects of measurement
errors on the estimation of production
functions . . . . . . . . . . . . . . . 879--891
Mingliang Li and
Justin L. Tobias Calculus attainment and grades received
in intermediate economic theory . . . . 893--896
Jan C. van Ours Cannabis, cocaine and jobs . . . . . . . 897--917
Marianne Simonsen and
Lars Skipper The costs of motherhood: an analysis
using matching estimators . . . . . . . 919--934
David M. Blau and
Donna B. Gilleskie Health insurance and retirement of
married couples . . . . . . . . . . . . 935--953
Jesús M. Carro and
Pedro Mira A dynamic model of contraceptive choice
of Spanish couples . . . . . . . . . . . 955--980
Kosei Fukuda Age-period-cohort decomposition of
aggregate data: an application to US and
Japanese household saving rates . . . . 981--998
Pushkar Maitra and
Farshid Vahid The effect of household characteristics
on living standards in South Africa
1993--1998: a quantile regression
analysis with sample attrition . . . . . 999--1018
Takashi Unayama The Engel curve for alcohol and the rank
of demand systems . . . . . . . . . . . 1019--1038
Katherine Ho The welfare effects of restricted
hospital choice in the US medical care
market . . . . . . . . . . . . . . . . . 1039--1079
Partha Deb and
Murat K. Munkin and
Pravin K. Trivedi Bayesian analysis of the two-part model
with endogeneity: application to health
care expenditure . . . . . . . . . . . . 1081--1099
Zijun Wang Convergence of productivity: a comment 1101--1102
J. Wilson Mixon, Jr. and
Ryan J. Smith Teaching undergraduate econometrics with
GRETL . . . . . . . . . . . . . . . . . 1103--1107
Catherine Y. Co and
John S. Landon-Lane and
Myeong-Su Yun Inter-state dynamics of invention
activities, 1930--2000 . . . . . . . . . 1111--1134
Elena Pesavento and
Barbara Rossi Small-sample confidence intervals for
multivariate impulse response functions
at long horizons . . . . . . . . . . . . 1135--1155
Markku Lanne Nonlinear dynamics of interest rate and
inflation . . . . . . . . . . . . . . . 1157--1168
Turan G. Bali and
Lin Peng Is there a risk-return trade-off?
Evidence from high-frequency data . . . 1169--1198
Kajal Lahiri and
Fushang Liu Modelling multi-period inflation
uncertainty using a panel of density
forecasts . . . . . . . . . . . . . . . 1199--1219
Stephen G. Donald and
Harry J. Paarsch and
Jacques Robert An empirical model of the multi-unit,
sequential, clock auction . . . . . . . 1221--1247
Anindya Banerjee and
Paul Mizen A re-interpretation of the linear
quadratic model when inventories and
sales are polynomially cointegrated . . 1249--1264
Marco Francesconi and
Cheti Nicoletti Intergenerational mobility and sample
selection in short panels . . . . . . . 1265--1293
Jeff Dominitz and
Robert P. Sherman Identification and estimation of bounds
on school performance measures: a
nonparametric analysis of a mixture
model with verification . . . . . . . . 1295--1326
Stephane Dees and
Filippo di Mauro and
M. Hashem Pesaran and
L. Vanessa Smith Exploring the international linkages of
the euro area: a global VAR analysis . . 1--38
Michael Artis and
Ana Beatriz Galvão and
Massimiliano Marcellino The transmission mechanism in a changing
world . . . . . . . . . . . . . . . . . 39--61
Heather M. Anderson and
George Athanasopoulos and
Farshid Vahid Nonlinear autoregressive leading
indicator models of output in G-7
countries . . . . . . . . . . . . . . . 63--87
Mardi Dungey and
Vance L. Martin Unravelling financial market linkages
during crises . . . . . . . . . . . . . 89--119
Michael P. Clements and
Fred Joutz and
Herman O. Stekler An evaluation of the forecasts of the
federal reserve: a pooled approach . . . 121--136
Christoph Schleicher Codependence in cointegrated
autoregressive models . . . . . . . . . 137--159
Jaejoon Lee and
Charles R. Nelson Expectation horizon and the Phillips
Curve: the solution to an empirical
puzzle . . . . . . . . . . . . . . . . . 161--178
Marc P. Giannoni Robust optimal monetary policy in a
forward-looking model with parameter and
shock uncertainty . . . . . . . . . . . 179--213
Michael Creel I ran four million probits last night:
HPC clustering with ParallelKnoppix . . 215--223
Badi H. Baltagi and
M. Hashem Pesaran Heterogeneity and cross section
dependence in panel data models: theory
and applications introduction . . . . . 229--232
In Choi and
Timothy K. Chue Subsampling hypothesis tests for
nonstationary panels with applications
to exchange rates and stock prices . . . 233--264
M. Hashem Pesaran A simple panel unit root test in the
presence of cross-section dependence . . 265--312
George Kapetanios Dynamic factor extraction of
cross-sectional dependence in panel unit
root tests . . . . . . . . . . . . . . . 313--338
Badi H. Baltagi and
Georges Bresson and
Alain Pirotte Panel unit root tests and spatial
dependence . . . . . . . . . . . . . . . 339--360
Laura Serlenga and
Yongcheol Shin Gravity models of intra-EU trade:
application of the CCEP--HT estimation
in heterogeneous panels with unobserved
common time-specific factors . . . . . . 361--381
Hyungsik Roger Moon and
Benoit Perron An empirical analysis of nonstationarity
in a panel of interest rates with
factors . . . . . . . . . . . . . . . . 383--400
Stefano Fachin Long-run trends in internal migrations
in Italy: a study in panel cointegration
with dependent units . . . . . . . . . . 401--428
Peter Pedroni Social capital, barriers to production
and capital shares: implications for the
importance of parameter heterogeneity
from a nonstationary panel approach . . 429--451
Cheng Hsiao and
Yan Shen and
Boqing Wang and
Greg Weeks Evaluating the impacts of Washington
state repeated job search services on
the earnings of prime-age female TANF
recipients . . . . . . . . . . . . . . . 453--475
Vassilis A. Hajivassiliou and
Yannis M. Ioannides Unemployment and liquidity constraints 479--510
Mark B. Stewart The interrelated dynamics of
unemployment and low-wage employment . . 511--531
Boris Augurzky and
Jochen Kluve Assessing the performance of matching
algorithms when selection into treatment
is strong . . . . . . . . . . . . . . . 533--557
Peter Egger and
Michael Pfaffermayr and
Andrea Weber Sectoral adjustment of employment to
shifts in outsourcing and trade:
evidence from a dynamic fixed effects
multinomial logit model . . . . . . . . 559--580
Monica Hernandez and
Stephen Pudney and
Ruth Hancock The welfare cost of means-testing:
pensioner participation in income
support . . . . . . . . . . . . . . . . 581--598
Adriaan R. Soetevent and
Peter Kooreman A discrete-choice model with social
interactions: with an application to
high school teen behavior . . . . . . . 599--624
Martin Browning and
M. Dolores Collado Habits and heterogeneity in demands: a
panel data analysis . . . . . . . . . . 625--640
Ben Groom and
Phoebe Koundouri and
Ekaterini Panopoulou and
Theologos Pantelidis Discounting the distant future: How much
does model selection affect the
certainty equivalent rate? . . . . . . . 641--656
Ron Shachar and
Zvi Eckstein Correcting for bias in retrospective
data . . . . . . . . . . . . . . . . . . 657--675
Alfonso Flores-Lagunes Finite sample evidence of IV estimators
under weak instruments . . . . . . . . . 677--694
Christopher F. Parmeter and
Daniel J. Henderson and
Subal C. Kumbhakar Nonparametric estimation of a hedonic
price function . . . . . . . . . . . . . 695--699
Mark Watson Journal of Applied Econometrics Annual
Lecture Series . . . . . . . . . . . . . 701--701
Anonymous Journal Of Applied Econometrics Scholars
Programme . . . . . . . . . . . . . . . 702--702
Lullit Getachew and
Robin C. Sickles The policy environment and relative
price efficiency of Egyptian private
sector manufacturing: 1987/88--1995/96 703--728
Alfonso Flores-Lagunes and
William C. Horrace and
Kurt E. Schnier Identifying technically efficient
fishing vessels: a non-empty, minimal
subset approach . . . . . . . . . . . . 729--745
Jonathan B. Hill Efficient tests of long-run causation in
trivariate VAR processes with a rolling
window study of the money-income
relationship . . . . . . . . . . . . . . 747--765
Youngsoo Bae and
Robert M. de Jong Money demand function estimation by
nonlinear cointegration . . . . . . . . 767--793
Gad Allon and
Michael Beenstock and
Steven Hackman and
Ury Passy and
Alexander Shapiro Nonparametric estimation of concave
production technologies by entropic
methods . . . . . . . . . . . . . . . . 795--816
Priya Ranjan and
Justin L. Tobias Bayesian inference for the gravity model 817--838
Paul J. Devereux Small-sample bias in synthetic cohort
models of labor supply . . . . . . . . . 839--848
A. Talha Yalta and
A. Yasemin Yalta GRETL 1.6.0 and its numerical accuracy 849--854
Jaehun Chung and
Yongmiao Hong Model-free evaluation of directional
predictability in foreign exchange
markets . . . . . . . . . . . . . . . . 855--889
Ivana Komunjer Asymmetric power distribution: Theory
and applications to risk measurement . . 891--921
Sergi Jiménez-Martín and
Alfonso R. Sánchez Martín An evaluation of the life cycle effects
of minimum pensions on retirement
behavior . . . . . . . . . . . . . . . . 923--950
Brian McCaig and
Adonis Yatchew International welfare comparisons and
nonparametric testing of multivariate
stochastic dominance . . . . . . . . . . 951--969
Herman J. Bierens and
Jose R. Carvalho Semi-nonparametric competing risks
analysis of recidivism . . . . . . . . . 971--993
Norman Offstein An extortionary guerrilla movement . . . 995--1011
H. Spencer Banzhaf and
V. Kerry Smith Meta-analysis in model implementation:
choice sets and the valuation of air
quality improvements . . . . . . . . . . 1013--1031
Cem Ertur and
Wilfried Koch Growth, technological interdependence
and spatial externalities: theory and
evidence . . . . . . . . . . . . . . . . 1033--1062
Adriaan S. Kalwij and
Rob Alessie Permanent and transitory wages of
British men, 1975--2001: year, age and
cohort effects . . . . . . . . . . . . . 1063--1093
Joan L. Walker and
Moshe Ben-Akiva and
Denis Bolduc Identification of parameters in normal
error component logit-mixture (NECLM)
models . . . . . . . . . . . . . . . . . 1095--1125
Konstantinos Metaxoglou and
Aaron Smith Efficiency of the California electricity
reserves market . . . . . . . . . . . . 1127--1144
C. R. McKenzie and
Sumiko Takaoka EViews 5.1 . . . . . . . . . . . . . . . 1145--1152
Luc Bauwens and
Alvaro Escribano and
Michel Lubrano The Econometrics of Industrial
Organization . . . . . . . . . . . . . . 1153--1156
Jerry Hausman and
Ephraim Leibtag Consumer benefits from increased
competition in shopping outlets:
Measuring the effect of Wal-Mart . . . . 1157--1177
Frank A. Wolak Quantifying the supply-side benefits
from forward contracting in wholesale
electricity markets . . . . . . . . . . 1179--1209
Jean-Thomas Bernard and
Nadhem Idoudi and
Lynda Khalaf and
Clément Yélou Finite sample inference methods for
dynamic energy demand models . . . . . . 1211--1226
Joris Pinkse and
Margaret Slade Semi-structural models of advertising
competition . . . . . . . . . . . . . . 1227--1246
Elena Argentesi and
Lapo Filistrucchi Estimating market power in a two-sided
market: The case of newspapers . . . . . 1247--1266
J. Luis Guasch and
Jean-Jacques Laffont and
Stéphane Straub Concessions of infrastructure in Latin
America: Government-led renegotiation 1267--1294
Michel Mouchart and
Marie Vandresse Bargaining powers and market
segmentation in freight transport . . . 1295--1313
Johannes Van Biesebroeck Complementarities in automobile
production . . . . . . . . . . . . . . . 1315--1345
Dirk Czarnitzki and
Bernd Ebersberger and
Andreas Fier The relationship between R&D
collaboration, subsidies and R&D
performance: Empirical evidence from
Finland and Germany . . . . . . . . . . 1347--1366
Léopold Simar and
Valentin Zelenyuk Statistical inference for aggregates of
Farrell-type efficiencies . . . . . . . 1367--1394
M. Hashem Pesaran Journal of Applied Econometrics
Dissertation Prize . . . . . . . . . . . 1395--1395
Anonymous Acknowledgement to Referees . . . . . . 1397--1398
Giuseppe Cavaliere and
Luca Fanelli and
Attilio Gardini International dynamic risk sharing . . . 1--16
S. T. M. Straetmans and
W. F. C. Verschoor and
C. C. P. Wolff Extreme US stock market fluctuations in
the wake of 9/11 . . . . . . . . . . . . 17--42
Jose Luis Gallizo and
Pilar Gargallo and
Manuel Salvador Multivariate partial adjustment of
financial ratios: a Bayesian
hierarchical approach . . . . . . . . . 43--64
David E. Rapach and
Jack K. Strauss Structural breaks and GARCH models of
exchange rate volatility . . . . . . . . 65--90
Surajit Ray and
N. E. Savin The performance of heteroskedasticity
and autocorrelation robust tests: a
Monte Carlo study with an application to
the three-factor FAMA--French
asset-pricing model . . . . . . . . . . 91--109
Yi-Ting Chen A unified approach to
standardized-residuals-based correlation
tests for GARCH-type models . . . . . . 111--133
Anonymous Book Review: \booktitleJournal of
Applied Econometrics: Call for papers
for Special Issue: ``Forecast
Uncertainty in Macroeconomics and
Finance'' . . . . . . . . . . . . . . . 135--135
Daniel J. Henderson and
Daniel L. Millimet Is gravity linear? . . . . . . . . . . . 137--172
Chang-Jin Kim and
James Morley and
Jeremy Piger Bayesian counterfactual analysis of the
sources of the great moderation . . . . 173--191
Joakim Westerlund Panel cointegration tests of the Fisher
effect . . . . . . . . . . . . . . . . . 193--233
Olivier Parent and
James P. LeSage Using the variance structure of the
conditional autoregressive spatial
specification to model knowledge
spillovers . . . . . . . . . . . . . . . 235--256
Antonio Matas-Mir and
Denise R. Osborn and
Marco J. Lombardi The effect of seasonal adjustment on the
properties of business cycle regimes . . 257--278
A. Talha Yalta and
Riccardo Lucchetti The GNU/Linux platform and freedom
respecting software for economists . . . 279--286
Tue Gòrgens and
Chris Ryan A bounds analysis of school completion
rates in Australia . . . . . . . . . . . 287--304
Andrea Ichino and
Fabrizia Mealli and
Tommaso Nannicini From temporary help jobs to permanent
employment: what can we learn from
matching estimators and their
sensitivity? . . . . . . . . . . . . . . 305--327
Brent Kreider and
John Pepper Inferring disability status from corrupt
data . . . . . . . . . . . . . . . . . . 329--349
Scott J. Savage and
Donald M. Waldman Learning and fatigue during choice
experiments: a comparison of online and
mail survey modes . . . . . . . . . . . 351--371
Florian Heiss Sequential numerical integration in
nonlinear state space models for
microeconometric panel data . . . . . . 373--389
M. Hashem Pesaran March 2008 Announcement:
\booktitleJournal of Applied
Econometrics Distinguished Authors . . . 391--393
Hans G. Bloemen and
Arie Kapteyn The estimation of utility-consistent
labor supply models by means of
simulated scores . . . . . . . . . . . . 395--422
Edwin Leuven and
Hessel Oosterbeek An alternative approach to estimate the
wage returns to private-sector training 423--434
Philippe J. Deschamps Comparing smooth transition and Markov
switching autoregressive models of US
unemployment . . . . . . . . . . . . . . 435--462
Ricardo Mora A nonparametric decomposition of the
Mexican American average wage gap . . . 463--485
Marco Alf\`o and
Giovanni Trovato and
Robert J. Waldmann Testing for country heterogeneity in
growth models using a finite mixture
approach . . . . . . . . . . . . . . . . 487--514
Jinhu Li and
Jeffrey S. Racine Maxima: An open source computer algebra
system . . . . . . . . . . . . . . . . . 515--523
James M. Nason and
Gregor W. Smith Identifying the new Keynesian Phillips
curve . . . . . . . . . . . . . . . . . 525--551
John M. Maheu and
Stephen Gordon Learning, forecasting and structural
breaks . . . . . . . . . . . . . . . . . 553--583
Gloria González-Rivera and
Tae-Hwy Lee and
Santosh Mishra Jumps in cross-sectional rank and
expected returns: a mixture model . . . 585--606
Daniel J. Henderson and
Christopher F. Parmeter and
R. Robert Russell Modes, weighted modes, and calibrated
modes: evidence of clustering using
modality tests . . . . . . . . . . . . . 607--638
Giorgio Fagiolo and
Mauro Napoletano and
Andrea Roventini Are output growth-rate distributions
fat-tailed? Some evidence from OECD
countries . . . . . . . . . . . . . . . 639--669
Winford H. Masanjala and
Chris Papageorgiou Rough and lonely road to prosperity: a
reexamination of the sources of growth
in Africa using Bayesian model averaging 671--682
Garth Holloway and
Simeon Ehui and
Amare Teklu Bayes estimates of distance-to-market:
transactions costs, cooperatives and
milk-market development in the Ethiopian
highlands . . . . . . . . . . . . . . . 683--696
Anonymous Acknowledgement to referees . . . . . . 697--698
Tong Li and
Xiaoyong Zheng Semiparametric Bayesian inference for
dynamic Tobit panel data models with
unobserved heterogeneity . . . . . . . . 699--728
Katrin Hussinger R&D and subsidies at the firm level: an
application of parametric and
semiparametric two-step selection models 729--747
Krishna G. Iyer and
Alicia N. Rambaldi and
Kam Ki Tang Efficiency externalities of trade and
alternative forms of foreign investment
in OECD countries . . . . . . . . . . . 749--766
Brendan Kline and
Justin L. Tobias The wages of BMI: Bayesian analysis of a
skewed treatment-response model with
nonparametric endogeneity . . . . . . . 767--793
William A. Barnett and
Ousmane Seck Rotterdam model versus almost ideal
demand system: will the best
specification please stand up? . . . . . 795--824
Christophe Bontemps and
Michel Simioni and
Yves Surry Semiparametric hedonic price models:
assessing the effects of agricultural
nonpoint source pollution . . . . . . . 825--842
Selima Ben Mansour and
Ely\`es Jouini and
Jean-Michel Marin and
Clotilde Napp and
Christian Robert Are risk-averse agents more optimistic?
A Bayesian estimation approach . . . . . 843--860
Teresa D. Harrison Software review: Review of np software
for R . . . . . . . . . . . . . . . . . 861--865
Pierre Dubois and
Marc Ivaldi and
Thierry Magnac Introduction to the special issue on the
Econometrics of Auctions . . . . . . . . 867--869
Jingfeng Lu and
Isabelle Perrigne Estimating risk aversion from ascending
and sealed-bid auctions: the case of
timber auction data . . . . . . . . . . 871--896
Lu Ji and
Tong Li Multi-round procurement auctions with
secret reserve prices: theory and
evidence . . . . . . . . . . . . . . . . 897--923
Leonardo Rezende Econometrics of auctions by least
squares . . . . . . . . . . . . . . . . 925--948
Philippe Février Nonparametric identification and
estimation of a class of common value
auction models . . . . . . . . . . . . . 949--964
Olivier Armantier and
Jean-Pierre Florens and
Jean-François Richard Approximation of Nash equilibria in
Bayesian games . . . . . . . . . . . . . 965--981
Maxim Engers and
Monica Hartmann and
Steven Stern Annual miles drive used car prices . . . 1--33
Nathan S. Balke and
Mark E. Wohar Market fundamentals versus rational
bubbles in stock prices: a Bayesian
perspective . . . . . . . . . . . . . . 35--75
Gael M. Martin and
Andrew Reidy and
Jill Wright Does the option market produce superior
forecasts of noise-corrected volatility
measures? . . . . . . . . . . . . . . . 77--104
Guohua Feng and
Apostolos Serletis Efficiency and productivity of the US
banking industry, 1998--2005: evidence
from the Fourier cost function
satisfying global regularity conditions 105--138
Giovanni Caggiano and
Leone Leonida International output convergence:
evidence from an autocorrelation
function approach . . . . . . . . . . . 139--162
Giuseppe Porro and
Stefano Maria Iacus Random Recursive Partitioning: a
matching method for the estimation of
the average treatment effect . . . . . . 163--185
Arabinda Basistha Hours per capita and productivity:
evidence from correlated unobserved
components models . . . . . . . . . . . 187--206
M. Hashem Pesaran Journal of Applied Econometrics
Dissertation Prize . . . . . . . . . . . 207--207
Gernot Doppelhofer and
Melvyn Weeks Jointness of growth determinants . . . . 209--244
Rodney W. Strachan Comment on `Jointness of growth
determinants' by Gernot Doppelhofer and
Melvyn Weeks . . . . . . . . . . . . . . 245--247
Eduardo Ley and
Mark F. J. Steel Comments on `Jointness of growth
determinants' . . . . . . . . . . . . . 248--251
Gernot Doppelhofer and
Melvyn Weeks `Jointness of growth determinants':
Reply to comments by Rodney Strachan,
Eduardo Ley and Mark F. J. Steel . . . . 252--256
Ji Li and
Lung-fei Lee Binary choice under social interactions:
an empirical study with and without
subjective data on expectations . . . . 257--281
Alex Maynard and
Jiaping Qiu Public insurance and private savings:
who is affected and by how much? . . . . 282--308
Sule Alan and
Orazio Attanasio and
Martin Browning Estimating Euler equations with noisy
data: two exact GMM estimators . . . . . 309--324
Richard Ashley Assessing the credibility of
instrumental variables inference with
imperfect instruments via sensitivity
analysis . . . . . . . . . . . . . . . . 325--337
Michael Rosholm and
Lars Skipper Is labour market training a curse for
the unemployed? Evidence from a social
experiment . . . . . . . . . . . . . . . 338--365
Evan Meredith and
Jeffrey S. Racine Towards reproducible econometric
research: the \tt Sweave framework . . . 366--374
Pradeep Chintagunta and
Philip Hans Franses and
Richard Paap Introduction to the special issue on new
econometric models in marketing . . . . 375--376
Ulf Böckenholt and
Sema Barlas and
Peter G. M. van der Heijden Do randomized-response designs eliminate
response biases? An empirical study of
non-compliance behavior . . . . . . . . 377--392
Andrew Ching and
Tülin Erdem and
Michael Keane The price consideration model of brand
choice . . . . . . . . . . . . . . . . . 393--420
Pradeep K. Chintagunta and
Harikesh S. Nair and
R. Sukumar Measuring marketing-mix effects in the
32/64 bit video-game console market . . 421--445
Peter Ebbes and
Michel Wedel and
Ulf Böckenholt Frugal IV alternatives to identify the
parameter for an endogenous regressor 446--468
Dennis Fok and
Richard Paap Modeling category-level purchase timing
with brand-level marketing variables . . 469--489
Andrés Musalem and
Eric T. Bradlow and
Jagmohan S. Raju Bayesian estimation of
random-coefficients choice models using
aggregate data . . . . . . . . . . . . . 490--516
Zsolt Sándor and
Philip Hans Franses Consumer price evaluations through
choice experiments . . . . . . . . . . . 517--535
Hamid Mohtadi and
Antu Panini Murshid Risk of catastrophic terrorism: an
extreme value approach . . . . . . . . . 537--559
Qianqiu Liu On portfolio optimization: How and when
do we benefit from high-frequency data? 560--582
G. A. Christodoulakis and
E. C. Mamatzakis Assessing the prudence of economic
forecasts in the EU . . . . . . . . . . 583--606
Jushan Bai and
Serena Ng Boosting diffusion indices . . . . . . . 607--629
Mattias Villani Steady-state priors for vector
autoregressions . . . . . . . . . . . . 630--650
Eduardo Ley and
Mark F. J. Steel On the effect of prior assumptions in
Bayesian model averaging with
applications to growth regression . . . 651--674
Scott E. Atkinson and
Jeffrey H. Dorfman Feasible estimation of firm-specific
allocative inefficiency through Bayesian
numerical methods . . . . . . . . . . . 675--697
Christine Choirat and
Raffello Seri Econometrics with Python . . . . . . . . 698--704
Anonymous Acknowledgement to referees . . . . . . 705--707
Chun Liu and
John M. Maheu Forecasting realized volatility: a
Bayesian model-averaging approach . . . 709--733
Roger Klein and
Francis Vella A semiparametric model for binary
response and continuous outcomes under
index heteroscedasticity . . . . . . . . 735--762
Stéphane Bonhomme and
Grégory Jolivet The pervasive absence of compensating
differentials . . . . . . . . . . . . . 763--795
Annette Bergemann and
Bernd Fitzenberger and
Stefan Speckesser Evaluating the dynamic employment
effects of training programs in East
Germany using conditional
difference-in-differences . . . . . . . 797--823
Paul Turner Testing for cointegration using the
Johansen approach: are we using the
correct critical values? . . . . . . . . 825--831
Roger Koenker and
Achim Zeileis On reproducible econometric research . . 833--847
Giovanni Baiocchi PDL: an object-oriented programming
environment for econometrics . . . . . . 849--856
J. Stoye Book Review: Charles F. Manski,
\booktitleIdentification for Prediction
and Decision (Harvard University Press
2007) . . . . . . . . . . . . . . . . . 857--862
M. Hashem Pesaran The Richard Stone Prize in Applied
Econometrics . . . . . . . . . . . . . . 863--863
M. Hashem Pesaran Announcement . . . . . . . . . . . . . . 865--865
Anonymous Erratum: Acknowledgement to Referees . . 867--869
David F. Hendry and
M. Hashem Pesaran In memory of Clive Granger: an advisory
board member of the Journal . . . . . . 871--873
M. Dolores Gadea and
Laura Mayoral Aggregation is not the solution: the PPP
puzzle strikes back . . . . . . . . . . 875--894
Haroon Mumtaz and
Paolo Surico Time-varying yield curve dynamics and
monetary policy . . . . . . . . . . . . 895--913
Tricia Gladden and
Christopher Taber The relationship between wage growth and
wage levels . . . . . . . . . . . . . . 914--932
Sandra Eickmeier Comovements and heterogeneity in the
euro area analyzed in a non-stationary
dynamic factor model . . . . . . . . . . 933--959
Andrew Mountford and
Harald Uhlig What are the effects of fiscal policy
shocks? . . . . . . . . . . . . . . . . 960--992
Stefan Hochguertel and
Henry Ohlsson Compensatory inter vivos gifts . . . . . 993--1023
Maarten Lindeboom and
Marcel Kerkhofs Health and work of the elderly:
subjective health measures, reporting
errors and endogeneity in the
relationship between health and work . . 1024--1046
Steven Cook A re-examination of the stationarity of
inflation . . . . . . . . . . . . . . . 1047--1053
Anonymous Replications in the `Narrow Sense' . . . 1054--1054
Anonymous Erratum . . . . . . . . . . . . . . . . 1055--1055
Xiaohong Chen and
Sydney C. Ludvigson Land of addicts? An empirical
investigation of habit-based asset
pricing models . . . . . . . . . . . . . 1057--1093
Martin Biewen Measuring state dependence in individual
poverty histories when there is feedback
to employment status and household
composition . . . . . . . . . . . . . . 1095--1116
Marco Costanigro and
Ron C. Mittelhammer and
Jill J. McCluskey Estimating class-specific parametric
models under class uncertainty: local
polynomial regression clustering in an
hedonic analysis of wine markets . . . . 1117--1135
Kelvin Balcombe and
Iain Fraser Dichotomous-choice contingent valuation
with `dont know' responses and
misreporting . . . . . . . . . . . . . . 1137--1152
Peter C. B. Phillips and
Donggyu Sul Economic transition and growth . . . . . 1153--1185
Michael P. Clements and
Ana Beatriz Galvão Forecasting US output growth using
leading indicators: an appraisal using
MIDAS models . . . . . . . . . . . . . . 1187--1206
Yongfu Huang The political economy of financial
reform: are Abiad and Mody right? . . . 1207--1213
Anonymous Acknowledgement to referees . . . . . . 1215--1217
Steven N. Durlauf and
Shaun P. Vahey Introduction: `Model uncertainty and
macroeconomics' . . . . . . . . . . . . 1--3
Todd E. Clark and
Michael W. McCracken Averaging forecasts from VARs with
uncertain instabilities . . . . . . . . 5--29
Oleg Korenok and
Stanislav Radchenko and
Norman R. Swanson International evidence on the efficacy
of new-Keynesian models of inflation
persistence . . . . . . . . . . . . . . 31--54
Martin Fukac and
Adrian Pagan Limited information estimation and
evaluation of DSGE models . . . . . . . 55--70
Marta Ba\'nbura and
Domenico Giannone and
Lucrezia Reichlin Large Bayesian vector auto regressions 71--92
Alejandro Justiniano and
Bruce Preston Monetary policy and uncertainty in an
empirical small open-economy model . . . 93--128
Rochelle M. Edge and
Thomas Laubach and
John C. Williams Welfare-maximizing monetary policy under
parameter uncertainty . . . . . . . . . 129--143
Alexei Onatski and
Noah Williams Empirical and policy performance of a
forward-looking monetary model . . . . . 145--176
Thomas A. Lubik and
Paolo Surico The Lucas critique and the stability of
empirical models . . . . . . . . . . . . 177--194
M. Hashem Pesaran Journal of applied econometrics
distinguished authors . . . . . . . . . 195--195
Neil Shephard and
Kevin Sheppard Realising the future: forecasting with
high-frequency-based volatility (HEAVY)
models . . . . . . . . . . . . . . . . . 197--231
Torben G. Andersen and
Tim Bollerslev and
Per Frederiksen and
Morten Òrregaard Nielsen Continuous-time models, realized
volatilities, and testable
distributional implications for daily
stock returns . . . . . . . . . . . . . 233--261
Jean-Marie Dufour and
Lynda Khalaf and
Marie-Claude Beaulieu Multivariate residual-based
finite-sample tests for serial
dependence and ARCH effects with
applications to asset pricing models . . 263--285
Tony Lancaster and
Sung Jae Jun Bayesian quantile regression methods . . 287--307
Sylvia Kaufmann Dating and forecasting turning points by
Bayesian clustering with dynamic
structure: a suggestion with an
application to Austrian data . . . . . . 309--344
Yong Bao and
Melody Lo and
Franklin G. Mixon, Jr. General-interest versus specialty
journals: Using intellectual influence
of econometrics research to rank
economics journals and articles . . . . 345--353
Stijn Kelchtermans and
Frank Verboven Participation and study decisions in a
public system of higher education . . . 355--391
Fali Huang and
Myoung-Jae Lee Dynamic treatment effect analysis of TV
effects on child cognitive development 392--419
Krishna Pendakur and
Stefan Sperlich Semiparametric estimation of consumer
demand systems in real expenditure . . . 420--457
Daniel J. Henderson A test for multimodality of regression
derivatives with application to
nonparametric growth regressions . . . . 458--480
Raffaele Miniaci and
Sergio Pastorello Mean-variance econometric analysis of
household portfolios . . . . . . . . . . 481--504
Badi H. Baltagi Narrow Replication of Serlenga and Shin
(2007) Gravity models of intra-EU trade:
application of the CCEP--HT estimation
in heterogeneous panels with unobserved
common time-specific factors . . . . . . 505--506
Anonymous Journal of Applied Econometrics
dissertation prize . . . . . . . . . . . 507--507
Matteo Ciccarelli and
Kirstin Hubrich Forecast uncertainty: sources,
measurement and evaluation . . . . . . . 509--513
Kajal Lahiri and
Xuguang Sheng Measuring forecast uncertainty by
disagreement: The missing link . . . . . 514--538
Ron Alquist and
Lutz Kilian What do we learn from the price of crude
oil futures? . . . . . . . . . . . . . . 539--573
Kirstin Hubrich and
Kenneth D. West Forecast evaluation of small nested
model sets . . . . . . . . . . . . . . . 574--594
Raffaella Giacomini and
Barbara Rossi Forecast comparisons in unstable
environments . . . . . . . . . . . . . . 595--620
Anne Sofie Jore and
James Mitchell and
Shaun P. Vahey Combining forecast densities from VARs
with uncertain instabilities . . . . . . 621--634
\`Oscar Jord\`a and
Massimiliano Marcellino Path forecast evaluation . . . . . . . . 635--662
Maximo Camacho and
Gabriel Perez-Quiros Introducing the euro-sting: Short-term
indicator of euro area growth . . . . . 663--694
Drew Creal and
Siem Jan Koopman and
Eric Zivot Extracting a robust US business cycle
using a time-varying multivariate
model-based bandpass filter . . . . . . 695--719
Rochelle M. Edge and
Michael T. Kiley and
Jean-Philippe Laforte A comparison of forecast performance
between federal reserve staff forecasts,
simple reduced-form models, and a DSGE
model . . . . . . . . . . . . . . . . . 720--754
Fabio Canova and
David Lopez-Salido and
Claudio Michelacci The effects of technology shocks on
hours and output: a robustness analysis 755--773
Pablo A. Guerron-Quintana What you match does matter: the effects
of data on DSGE estimation . . . . . . . 774--804
Bruno Bosco and
Lucia Parisio and
Matteo Pelagatti and
Fabio Baldi Long-run relations in European
electricity prices . . . . . . . . . . . 805--832
Marek Jaroci\'nski Responses to monetary policy shocks in
the east and the west of Europe: a
comparison . . . . . . . . . . . . . . . 833--868
George Kapetanios and
Tony Yates Estimating time variation in measurement
error from data revisions: an
application to backcasting and
forecasting in dynamic models . . . . . 869--893
Harry Haupt and
Joachim Schnurbus and
Rolf Tschernig On nonparametric estimation of a hedonic
price function . . . . . . . . . . . . . 894--901
Christopher Douglas and
Ana María Herrera Why are gasoline prices sticky? A test
of alternative models of price
adjustment . . . . . . . . . . . . . . . 903--928
Julien Prat The rate of learning-by-doing: estimates
from a search-matching model . . . . . . 929--962
Pavlo R. Blavatskyy and
Ganna Pogrebna Models of stochastic choice and decision
theories: why both are important for
analyzing decisions . . . . . . . . . . 963--986
Nicolas de Roos and
Yianis Sarafidis Decision making under risk in Deal or No
Deal . . . . . . . . . . . . . . . . . . 987--1027
Michael P. Clements and
David I. Harvey Forecast encompassing tests and
probability forecasts . . . . . . . . . 1028--1062
Anton Nakov Jackknife instrumental variables
estimation: replication and extension of
Angrist, Imbens and Krueger (1999) . . . 1063--1066
M Hashem Pesaran The Richard Stone Prize in Applied
Econometrics . . . . . . . . . . . . . . 1067--1068
Anonymous Acknowledgement to Referees . . . . . . 1069--1072
Steve Bond and
Asli Leblebicio\uglu and
Fabio Schiantarelli Capital accumulation and growth: a new
look at the empirical evidence . . . . . 1073--1099
Chih Ming Tan No one true path: uncovering the
interplay between geography,
institutions, and fractionalization in
economic development . . . . . . . . . . 1100--1127
Miguel A. Juárez and
Mark F. J. Steel Non-Gaussian dynamic Bayesian modelling
for panel data . . . . . . . . . . . . . 1128--1154
Cheolbeom Park How does changing age distribution
impact stock prices? A nonparametric
approach . . . . . . . . . . . . . . . . 1155--1178
Aditi Mehta and
Marc Rysman and
Tim Simcoe Identifying the age profile of patent
citations: new estimates of knowledge
diffusion . . . . . . . . . . . . . . . 1179--1204
Robert Finger Review of `Robustbase' software for R 1205--1210
Kim P. Huynh and
David T. Jacho-Chávez Firm size distributions through the lens
of functional principal components
analysis . . . . . . . . . . . . . . . . 1211--1214
Isabelle Perrigne Book Review: Harry J. Paarsch and Han
Hong, \booktitleAn Introduction to the
Structural Econometrics of Auction Data
(The MIT Press 2006) . . . . . . . . . . 1215--1222
John Geweke and
Gianni Amisano Hierarchical Markov normal mixture
models with applications to financial
asset returns . . . . . . . . . . . . . 1--29
Theo S. Eicher and
Chris Papageorgiou and
Adrian E. Raftery Default priors and predictive
performance in Bayesian model averaging,
with application to growth determinants 30--55
Joakim Westerlund and
Wolfgang Hess A new poolability test for cointegrated
panels . . . . . . . . . . . . . . . . . 56--88
Shigeru Fujita Dynamics of worker flows and vacancies:
evidence from the sign restriction
approach . . . . . . . . . . . . . . . . 89--121
Sung-Jin Cho An empirical model of mainframe computer
investment . . . . . . . . . . . . . . . 122--150
Monique De Haan and
Erik Plug Estimating intergenerational schooling
mobility on censored samples:
consequences and remedies . . . . . . . 151--166
Jae Bong Chang and
Jayson L. Lusk Mixed logit models: accuracy and
software choice . . . . . . . . . . . . 167--172
Nicholas M. Kiefer Default estimation, correlated defaults,
and expert information . . . . . . . . . 173--192
Antonio Diez De Los Rios and
René Garcia Assessing and valuing the nonlinear
structure of hedge fund returns . . . . 193--212
Ryan R. Brady Measuring the diffusion of housing
prices across space and over time . . . 213--231
Adam Copeland and
George Hall The response of prices, sales, and
output to temporary changes in demand 232--269
Subal C. Kumbhakar and
Efthymios G. Tsionas Stochastic error specification in primal
and dual production systems . . . . . . 270--297
Vanessa Berenguer-Rico and
Josep Lluís Carrion-i-Silvestre Regime shifts in stock-flow $ {\rm
I}(2)$--$ {\rm I}(1)$ systems: the case
of US fiscal sustainability . . . . . . 298--321
Orazio P. Attanasio and
Monica Paiella Intertemporal consumption choices,
transaction costs and limited
participation in financial markets:
reconciling data and theory . . . . . . 322--343
Anson T. Y. Ho and
Kim P. Huynh and
David T. Jacho-Chávez \tt npRmpi: A package for parallel
distributed kernel estimation in R . . . 344--349
Charles Bellemare and
Charles F. Manski Introduction: `Measurement and analysis
of subjective expectations' . . . . . . 351--351
Jeff Dominitz and
Charles F. Manski Measuring and interpreting expectations
of equity returns . . . . . . . . . . . 352--370
Fabian Gouret and
Guillaume Hollard When Kahneman meets Manski: Using dual
systems of reasoning to interpret
subjective expectations of equity
returns . . . . . . . . . . . . . . . . 371--392
Péter Hudomiet and
Gábor Kézdi and
Robert J. Willis Stock market crash and expectations of
American households . . . . . . . . . . 393--415
Michael Hurd and
Maarten Van Rooij and
Joachim Winter Stock market expectations of Dutch
households . . . . . . . . . . . . . . . 416--436
Charles Bellemare and
Alexander Sebald and
Martin Strobel Measuring the willingness to pay to
avoid guilt: estimation using
equilibrium and stated belief models . . 437--453
Wändi Bruine De Bruin and
Charles F. Manski and
Giorgio Topa and
Wilbert van der Klaauw Measuring consumer uncertainty about
future inflation . . . . . . . . . . . . 454--478
Adeline Delavande and
Xavier Giné and
David McKenzie Eliciting probabilistic expectations
with visual aids in developing
countries: how sensitive are answers to
variations in elicitation design? . . . 479--497
Adeline Delavande and
Susann Rohwedder Individuals' uncertainty about future
social security benefits and portfolio
choice . . . . . . . . . . . . . . . . . 498--519
Basit Zafar Can subjective expectations data be used
in choice models? Evidence on cognitive
biases . . . . . . . . . . . . . . . . . 520--544
M. Hashem Pesaran Journal of Applied Econometrics
distinguished authors . . . . . . . . . 545--546
Anonymous Journal of Applied Econometrics
dissertation prize . . . . . . . . . . . 547--547
Andrew M. Jones and
Stefanie Schurer How does heterogeneity shape the
socioeconomic gradient in health
satisfaction? . . . . . . . . . . . . . 549--579
Zvi Eckstein and
Suqin Ge and
Barbara Petrongolo Job and wage mobility with minimum wages
and imperfect compliance . . . . . . . . 580--612
John K. Dagsvik and
Torbjòrn Hægeland and
Arvid Raknerud Estimating the returns to schooling: a
likelihood approach based on normal
mixtures . . . . . . . . . . . . . . . . 613--640
Pierre-Carl Michaud and
Konstantinos Tatsiramos Fertility and female employment dynamics
in Europe: the effect of using
alternative econometric modeling
assumptions . . . . . . . . . . . . . . 641--668
Katarzyna Bien and
Ingmar Nolte and
Winfried Pohlmeier An inflated multivariate integer count
hurdle model: an application to bid and
ask quote dynamics . . . . . . . . . . . 669--707
Kai Sun and
Daniel J. Henderson and
Subal C. Kumbhakar Biases in approximating log production 708--714
Jushan Bai and
Peng Wang Conditional Markov chain and its
application in economic time series
analysis . . . . . . . . . . . . . . . . 715--734
Andrea Carriero and
George Kapetanios and
Massimiliano Marcellino Forecasting large datasets with Bayesian
reduced rank multivariate models . . . . 735--761
Luca Fanelli and
Giulio Palomba Simulation-based tests of
forward-looking models under VAR
learning dynamics . . . . . . . . . . . 762--782
Pamela Giustinelli Non-parametric bounds on quantiles under
monotonicity assumptions: with an
application to the Italian education
returns . . . . . . . . . . . . . . . . 783--824
Ahmed Khwaja and
Gabriel Picone and
Martin Salm and
Justin G. Trogdon A comparison of treatment effects
estimators using a structural model of
AMI treatment choices and severity of
illness information from hospital charts 825--853
Sheng-Kai Chang Simulation estimation of two-tiered
dynamic panel Tobit models with an
application to the labor supply of
married women . . . . . . . . . . . . . 854--871
Hans Van Ophem The frequency of visiting a doctor: Is
the decision to go independent of the
frequency? . . . . . . . . . . . . . . . 872--879
Lee C. Adkins Using gretl for Monte Carlo experiments 880--885
Cheolbeom Park How does changing age distribution
impact stock prices? A nonparametric
approach . . . . . . . . . . . . . . . . 886--887
Cheolbeom Park Acknowledgement to Referees . . . . . . 888--891
Jérôme Lahaye and
Sébastien Laurent and
Christopher J. Neely Jumps, cojumps and macro announcements 893--921
Roxana Chiriac and
Valeri Voev Modelling and forecasting multivariate
realized volatility . . . . . . . . . . 922--947
Michael Ehrmann and
Marcel Fratzscher and
Roberto Rigobon Stocks, bonds, money markets and
exchange rates: measuring international
financial transmission . . . . . . . . . 948--974
Zeynep Senyuz Factor analysis of permanent and
transitory dynamics of the US economy
and the stock market . . . . . . . . . . 975--998
Francesco Audrino and
Marcelo C. Medeiros Modeling and forecasting short-term
interest rates: The benefits of smooth
regimes, macroeconomic variables, and
bagging . . . . . . . . . . . . . . . . 999--1022
James Mitchell and
Kenneth F. Wallis Evaluating density forecasts: forecast
combinations, model mixtures,
calibration and sharpness . . . . . . . 1023--1040
Jesus Crespo Cuaresma How different is Africa? A comment on
Masanjala and Papageorgiou . . . . . . . 1041--1047
Chris Papageorgiou How to use interaction terms in BMA:
Reply to Crespo Cuaresma's comment on
Masanjala and Papageorgiou (2008) . . . 1048--1050
Olli Ropponen Reconciling the evidence of Card and
Krueger (1994) and Neumark and Wascher
(2000) . . . . . . . . . . . . . . . . . 1051--1057
Joseph Engelberg and
Charles F. Manski and
Jared Williams Assessing the temporal variation of
macroeconomic forecasts by a panel of
changing composition . . . . . . . . . . 1059--1078
Laurent Gobillon and
Thierry Magnac and
Harris Selod The effect of location on finding a job
in the Paris region . . . . . . . . . . 1079--1112
Jeffrey R. Campbell Competition in large markets . . . . . . 1113--1136
Jan C. van Ours and
Jenny Williams Cannabis use and mental health problems 1137--1156
Anne Line Bretteville-Jensen and
Liana Jacobi Climbing the drug staircase: a Bayesian
analysis of the initiation of hard drug
use . . . . . . . . . . . . . . . . . . 1157--1186
Lucas W. Davis and
Lutz Kilian Estimating the effect of a gasoline tax
on carbon emissions . . . . . . . . . . 1187--1214
Fábio Augusto Reis Gomes and
Lourenço S. Paz Narrow Replication of Yogo (2004)
Estimating the Elasticity of
Intertemporal Substitution when
Instruments are Weak . . . . . . . . . . 1215--1216
Loren K. Smith Dynamics and equilibrium in a structural
model of wide-body commercial aircraft
markets . . . . . . . . . . . . . . . . 1--33
Shanjun Li Traffic safety and vehicle choice:
quantifying the effects of the `arms
race' on American roads . . . . . . . . 34--62
Pieter A. Gautier and
Bas van der Klaauw Selection in a field experiment with
voluntary participation . . . . . . . . 63--84
Valentino Dardanoni and
Mario Fiorini and
Antonio Forcina Stochastic monotonicity in
intergenerational mobility tables . . . 85--107
Aart Kraay Instrumental variables regressions with
uncertain exclusion restrictions: a
Bayesian approach . . . . . . . . . . . 108--128
Hui Xie and
Yi Qian Measuring the impact of nonignorability
in panel data with non-monotone
nonresponse . . . . . . . . . . . . . . 129--159
Juan A. Correa Innovation and competition: An unstable
relationship . . . . . . . . . . . . . . 160--166
Jeffrey S. Racine RStudio: A Platform-Independent IDE for
R and Sweave . . . . . . . . . . . . . . 167--172
Alfonso Flores-Lagunes and
Kurt Erik Schnier Estimation of sample selection models
with spatial dependence . . . . . . . . 173--204
Abhiman Das and
Subal C. Kumbhakar Productivity and efficiency dynamics in
Indian banking: An input distance
function approach incorporating quality
of inputs and outputs . . . . . . . . . 205--234
Clare McAndrew and
James L. Smith and
Rex Thompson The impact of reserve prices on the
perceived bias of expert appraisals of
fine art . . . . . . . . . . . . . . . . 235--252
Qu Feng and
William C. Horrace Alternative technical efficiency
measures: Skew, bias and scale . . . . . 253--268
Christian M. Hafner and
Hans Manner Dynamic stochastic copula models:
estimation, inference and applications 269--295
Theo S. Eicher and
Christian Henn and
Chris Papageorgiou Trade creation and diversion revisited:
Accounting for model uncertainty and
natural trading partner effects . . . . 296--321
Geert Dhaene and
J. M. C. Santos Silva Specification and testing of models
estimated by quadrature . . . . . . . . 322--332
Myrto Kalouptsidi From market shares to consumer types:
Duality in differentiated product demand
estimation . . . . . . . . . . . . . . . 333--342
Helmut Farbmacher GMM with many weak moment conditions:
Replication and application of Newey and
Windmeijer (2009) . . . . . . . . . . . 343--346
Yingyao Hu and
Geert Ridder Estimation of nonlinear models with
mismeasured regressors using marginal
information . . . . . . . . . . . . . . 347--385
L. Hospido Modelling heterogeneity and dynamics in
the volatility of individual wages . . . 386--414
Anil Kumar Nonparametric estimation of the impact
of taxes on female labor supply . . . . 415--439
Pelin Ilbas Revealing the preferences of the US
Federal Reserve . . . . . . . . . . . . 440--473
Emma M. Iglesias and
Garry D. A. Phillips Improved instrumental variables
estimation of simultaneous equations
under conditionally heteroskedastic
disturbances . . . . . . . . . . . . . . 474--499
Michael S. Smith and
Quan Gan and
Robert J. Kohn Modelling dependence using skew t
copulas: Bayesian inference and
applications . . . . . . . . . . . . . . 500--522
Anonymous Journal of Applied Econometrics
Dissertation Prize . . . . . . . . . . . 523--523
Vito Polito and
Mike Wickens Optimal monetary policy using an
unrestricted VAR . . . . . . . . . . . . 525--553
Matthew Greenwood-Nimmo and
Viet Hoang Nguyen and
Yongcheol Shin Probabilistic forecasting of output
growth, inflation and the balance of
trade in a GVAR framework . . . . . . . 554--573
Emanuel Moench Term structure surprises: the predictive
content of curvature, level, and slope 574--602
Jean-Thomas Bernard and
Jean-Marie Dufour and
Lynda Khalaf and
Maral Kichian An identification-robust test for
time-varying parameters in the dynamics
of energy prices . . . . . . . . . . . . 603--624
Nikolaus Hautsch and
Lada M. Kyj and
Roel C. A. Oomen A blocking and regularization approach
to high-dimensional realized covariance
estimation . . . . . . . . . . . . . . . 625--645
Thomas A. Mroz A simple, flexible estimator for count
and other ordered discrete data . . . . 646--665
Kamhon Kan and
Myoung-Jae Lee Lose weight for a raise only if
overweight: Marginal integration for
semi-linear panel models . . . . . . . . 666--685
Martin Feldkircher and
Stefan Zeugner The impact of data revisions on the
robustness of growth determinants --- a
note on `determinants of economic
growth: Will data tell?' . . . . . . . . 686--694
Eelco Zandberg and
Jakob De Haan and
J. Paul Elhorst The political economy of financial
reform: How robust are Huang's findings? 695--699
Anonymous Acknowledgement to referees . . . . . . 700--703
Cheng Hsiao and
H. Steve Ching and
Shui Ki Wan A panel data approach for program
evaluation: measuring the benefits of
political and economic integration of
Hong Kong with Mainland China . . . . . 705--740
Mario Fiorini Fostering educational enrolment through
subsidies: the issue of timing . . . . . 741--772
Kristian Behrens and
Cem Ertur and
Wilfried Koch `Dual' gravity: using spatial
econometrics to control for multilateral
resistance . . . . . . . . . . . . . . . 773--794
Ralf Becker and
Denise R. Osborn Weighted smooth transition regressions 795--811
Markku Lanne and
Arto Luoma and
Jani Luoto Bayesian model selection and forecasting
in noncausal autoregressive models . . . 812--830
Dennis Fok and
Richard Paap and
Bram Van Dijk a rank-ordered logit model with
unobserved heterogeneity in ranking
capabilities . . . . . . . . . . . . . . 831--846
Michal Paluch and
Alois Kneip and
Werner Hildenbrand Individual versus aggregate income
elasticities for heterogeneous
populations . . . . . . . . . . . . . . 847--869
Shahram M. Amini and
Christopher F. Parmeter Comparison of model averaging
techniques: assessing growth
determinants . . . . . . . . . . . . . . 870--876
Peter Reinhard Hansen and
Zhuo Huang and
Howard Howan Shek Realized GARCH: a joint model for
returns and realized measures of
volatility . . . . . . . . . . . . . . . 877--906
Diaa Noureldin and
Neil Shephard and
Kevin Sheppard Multivariate high-frequency-based
volatility (HEAVY) models . . . . . . . 907--933
Sébastien Laurent and
Jeroen V. K. Rombouts and
Francesco Violante On the forecasting accuracy of
multivariate GARCH models . . . . . . . 934--955
Charlotte Christiansen and
Maik Schmeling and
Andreas Schrimpf A comprehensive look at financial
volatility prediction by economic
variables . . . . . . . . . . . . . . . 956--977
Christian Bontemps and
Nour Meddahi Testing distributional assumptions: A
GMM approach . . . . . . . . . . . . . . 978--1012
René Garcia and
Richard Luger Risk aversion, intertemporal
substitution, and the term structure of
interest rates . . . . . . . . . . . . . 1013--1036
Xiaodong Liu and
John H. Kagel and
Lung-Fei Lee Learning from peers in signaling game
experiments . . . . . . . . . . . . . . 1037--1058
Steven N. Durlauf and
Andros Kourtellos and
Chih Ming Tan Is God in the details? A reexamination
of the role of religion in economic
growth . . . . . . . . . . . . . . . . . 1059--1075
Giuseppe De Luca and
Franco Peracchi Estimating Engel curves under unit and
item nonresponse . . . . . . . . . . . . 1076--1099
Tzu-Chun Kuo Evaluating Californian under-age drunk
driving laws: endogenous policy lags . . 1100--1115
Sylvia Frühwirth-Schnatter and
Christoph Pamminger and
Andrea Weber and
Rudolf Winter-Ebmer Labor market entry and earnings
dynamics: Bayesian inference using
mixtures-of-experts Markov chain
clustering . . . . . . . . . . . . . . . 1116--1137
Patrik Guggenberger and
Gitanjali Kumar On the size distortion of tests after an
overidentifying restrictions pretest . . 1138--1160
Irina Murtazashvili An alternative measure of
intergenerational income mobility based
on a random coefficient model . . . . . 1161--1173
Dries F. Benoit and
Dirk Van den Poel Binary quantile regression: a Bayesian
approach based on the asymmetric Laplace
distribution . . . . . . . . . . . . . . 1174--1188
Alpaslan Akay Finite-sample comparison of alternative
methods for estimating dynamic panel
data models . . . . . . . . . . . . . . 1189--1204
C. R. McKenzie and
Sumiko Takaoka EViews 7.2 . . . . . . . . . . . . . . . 1205--1210
Anonymous The Richard Stone Prize in Applied
Econometrics . . . . . . . . . . . . . . 1211--1212
Sabien Dobbelaere and
Jacques Mairesse Panel data estimates of the production
function and product and labor market
imperfections . . . . . . . . . . . . . 1--46
Anastasia Semykina and
Jeffrey M. Wooldridge Estimation of dynamic panel data models
with sample selection . . . . . . . . . 47--61
Markus Jochmann and
Gary Koop and
Roberto Leon-Gonzalez and
Rodney W. Strachan Stochastic search variable selection in
vector error correction models with an
application to a model of the UK
macroeconomy . . . . . . . . . . . . . . 62--81
Antonello D'Agostino and
Luca Gambetti and
Domenico Giannone Macroeconomic forecasting and structural
change . . . . . . . . . . . . . . . . . 82--101
Liugang Sheng Did China diversify its foreign
reserves? . . . . . . . . . . . . . . . 102--125
Markus Brückner On the simultaneity problem in the aid
and growth debate . . . . . . . . . . . 126--150
Konstantinos Drakos and
Panagiotis Th. Konstantinou Investment decisions in manufacturing:
assessing the effects of real oil prices
and their uncertainty . . . . . . . . . 151--165
Koen Deconinck and
Marijke Verpoorten Narrow and scientific replication of
`The slave trade and the origins of
mistrust in Africa' . . . . . . . . . . 166--169
C. R. McKenzie and
Sumiko Takaoka Microfit 5.0 . . . . . . . . . . . . . . 170--175
Gary M. Koop Forecasting with Medium and Large
Bayesian VARS . . . . . . . . . . . . . 177--203
Dimitris Korobilis Var forecasting using Bayesian variable
selection . . . . . . . . . . . . . . . 204--230
Gabriel Fagan and
James R. Lothian and
Paul D. Mcnelis Was the gold standard really
destabilizing? . . . . . . . . . . . . . 231--249
Jan J. J. Groen and
George Kapetanios and
Simon Price Multivariate methods for monitoring
structural change . . . . . . . . . . . 250--274
Bas Van der Klaauw and
Jan C. Van Ours Carrot and stick: how re-employment
bonuses and benefit sanctions affect
exit rates from welfare . . . . . . . . 275--296
Seung-Hyun Hong Measuring the effect of Napster on
recorded music sales:
difference-in-differences estimates
under compositional changes . . . . . . 297--324
Katarina Richardson and
Gerard J. van den Berg Duration dependence versus unobserved
heterogeneity in treatment effects:
Swedish labor market training and the
transition rate to employment . . . . . 325--351
Min Wei and
Jonathan H. Wright Reverse regressions and long--horizon
forecasting . . . . . . . . . . . . . . 353--371
Carolina Castagnetti and
Eduardo Rossi Euro corporate bond risk factors . . . . 372--391
Vladimir Kuzin and
Massimiliano Marcellino and
Christian Schumacher Pooling versus model selection for
nowcasting GDP with many predictors:
empirical evidence for six
industrialized countries . . . . . . . . 392--411
Thomas Fomby and
Yuki Ikeda and
Norman V. Loayza The growth aftermath of natural
disasters . . . . . . . . . . . . . . . 412--434
Georgios Chortareas and
George Kapetanios How puzzling is the PPP puzzle? An
alternative half-life measure of
convergence to PPP . . . . . . . . . . . 435--457
Michael P. Clements and
Ana Beatriz Galvão Real-time forecasting of inflation and
output growth with autoregressive models
in the presence of data revisions . . . 458--477
Taeyoung Doh Long-run risks in the term structure of
interest rates: estimation . . . . . . . 478--497
Haroon Mumtaz and
Laura Sunder-Plassmann Time-varying dynamics of the real
exchange rate: an empirical analysis . . 498--525
Anonymous Journal of applied econometrics
dissertation prize . . . . . . . . . . . 526--526
Dana Goldman and
Nicole Maestas Medical expenditure risk and household
portfolio choice . . . . . . . . . . . . 527--550
Qi Li and
Desheng Ouyang and
Jeffrey S. Racine Categorical semiparametric
varying-coefficient models . . . . . . . 551--579
James Mitchell and
Richard J. Smith and
Martin R. Weale Efficient aggregation of panel
qualitative survey data . . . . . . . . 580--603
Marco Caliendo and
Konstantinos Tatsiramos and
Arne Uhlendorff Benefit duration, unemployment duration
and job match quality: a
regression--discontinuity approach . . . 604--627
Maria Knoth Humlum and
Rune Majlund Vejlin The responses of youth to a cash
transfer conditional on schooling: a
quasi--experimental study . . . . . . . 628--649
Marc Henry and
Ismael Mourifié Euclidean revealed preferences: testing
the spatial voting model . . . . . . . . 650--666
Gianni Amisano and
Maria Letizia Giorgetti Entry into pharmaceutical submarkets: a
Bayesian panel probit analysis . . . . . 667--701
Harrison Fell and
Alan C. Haynie Spatial competition with changing market
institutions . . . . . . . . . . . . . . 702--719
Jesús Crespo Cuaresma and
Martin Feldkircher Spatial filtering, model uncertainty and
the speed of income convergence in
Europe . . . . . . . . . . . . . . . . . 720--741
Luc Bauwens and
Christian M. Hafner and
Diane Pierret Multivariate volatility modeling of
electricity futures . . . . . . . . . . 743--761
Jonathan H. Wright Evaluating real--time var forecasts with
an informative democratic prior . . . . 762--776
Drew Creal and
Siem Jan Koopman and
André Lucas Generalized autoregressive score models
with applications . . . . . . . . . . . 777--795
John Ermisch and
Marco Francesconi The effect of parental employment on
child schooling . . . . . . . . . . . . 796--822
Edoardo Di Porto and
Federico Revelli Tax--limited reaction functions . . . . 823--839
Andreas Pollak Unemployment, human capital
depreciation, and unemployment insurance
policy . . . . . . . . . . . . . . . . . 840--863
Shanjun Li and
Yanyan Liu and
Klaus Deininger How important are endogenous peer
effects in group lending? Estimating a
static game of incomplete information 864--882
K. Peren Arin and
Michael Berlemann and
Faik Koray and
Torben Kuhlenkasper Nonlinear growth effects of taxation: a
semi--parametric approach using average
marginal tax rates . . . . . . . . . . . 883--899
M. Hashem Pesaran Distinguished authors . . . . . . . . . 900--901
Alexei Onatski and
Francisco Ruge-Murcia Factor analysis of a large DSGE model 903--928
Martin M. Andreasen Non-linear DSGE models and the central
difference Kalman filter . . . . . . . . 929--955
Martin Burda and
Matthew Harding Panel probit with flexible correlated
effects: quantifying technology
spillovers in the presence of latent
heterogeneity . . . . . . . . . . . . . 956--981
Daniel L. Millimet and
Rusty Tchernis Estimation of treatment effects without
an exclusion restriction: with an
application to the analysis of the
school breakfast program . . . . . . . . 982--1017
Michael Keane and
Nada Wasi Comparing alternative models of
heterogeneity in consumer choice
behavior . . . . . . . . . . . . . . . . 1018--1045
Pai Xu Nonparametric estimation of entry cost
in first--price procurement auctions . . 1046--1065
Fabrizio Cipollini and
Robert F. Engle and
Giampiero M. Gallo Semiparametric vector mem . . . . . . . 1067--1086
Christiane Baumeister and
Gert Peersman The role of time--varying price
elasticities in accounting for
volatility changes in the crude oil
market . . . . . . . . . . . . . . . . . 1087--1109
Prosper Dovonon Conditionally heteroskedastic factor
models with skewness and leverage
effects . . . . . . . . . . . . . . . . 1110--1137
Daniel Preve and
Yiu-Kuen Tse Estimation of time--varying adjusted
probability of informed trading and
probability of symmetric order--flow
shock . . . . . . . . . . . . . . . . . 1138--1152
Patrick Arni and
Rafael Lalive and
Jan C. Van Ours How effective are unemployment benefit
sanctions? Looking beyond unemployment
exit . . . . . . . . . . . . . . . . . . 1153--1178
Christian Schoder and
Christian R. Proaño and
Willi Semmler Are the current account imbalances
between EMU countries sustainable?
Evidence from parametric and
non-parametric tests . . . . . . . . . . 1179--1204
José Luis Moraga-González and
Zsolt Sándor and
Matthijs R. Wildenbeest Semi-nonparametric estimation of
consumer search costs . . . . . . . . . 1205--1223
Michael S. Delgado and
Christopher F. Parmeter Embarrassingly easy embarrassingly
parallel processing in R . . . . . . . . 1224--1230
Anonymous Acknowledgement to Referees . . . . . . 1231--1234
Hadi Salehi Esfahani and
Kamiar Mohaddes and
M. Hashem Pesaran An empirical growth model for major oil
exporters . . . . . . . . . . . . . . . 1--21
Robert Gramacy and
Samuel W. Malone and
Enrique Ter Horst Exchange rate fundamentals, forecasting,
and speculation: Bayesian models in
black markets . . . . . . . . . . . . . 22--41
Hans Dewachter and
Leonardo Iania and
Marco Lyrio Information in the yield curve: a
macro--finance approach . . . . . . . . 42--64
Borus Jungbacker and
Siem Jan Koopman and
Michel van der Wel Smooth dynamic factor analysis with
application to the us term structure of
interest rates . . . . . . . . . . . . . 65--90
Vincent Boucher and
Yann Bramoullé and
Habiba Djebbari and
Bernard Fortin Do peers affect student achievement?
Evidence from Canada using group size
variation . . . . . . . . . . . . . . . 91--109
Efthymios G. Tsionas and
Subal C. Kumbhakar Firm heterogeneity, persistent and
transient technical inefficiency: a
generalized true random--effects model 110--132
Marta Ba\'nbura and
Michele Modugno Maximum likelihood estimation of factor
models on datasets with arbitrary
pattern of missing data . . . . . . . . 133--160
James G. MacKinnon and
Morten Òrregaard Nielsen Numerical distribution functions of
fractional unit root and cointegration
tests . . . . . . . . . . . . . . . . . 161--171
Stefan Klößner and
Sven Wagner Exploring all VAR orderings for
calculating spillovers? Yes, we can! ---
a note on Diebold and Yilmaz (2009) . . 172--179
Jesus M. Carro and
Alejandra Traferri State dependence and heterogeneity in
health using a bias--corrected
fixed--effects estimator . . . . . . . . 181--207
Nicolas R. Ziebarth and
Martin Karlsson The effects of expanding the generosity
of the statutory sickness insurance
system . . . . . . . . . . . . . . . . . 208--230
Dukpa Kim and
Tatsushi Oka Divorce law reforms and divorce rates in
the USA: an interactive fixed--effects
approach . . . . . . . . . . . . . . . . 231--245
Arthur Van Soest and
Hana Vonkova How sensitive are retirement decisions
to financial incentives? A stated
preference analysis . . . . . . . . . . 246--264
Michele Campolieti and
Deborah Gefang and
Gary Koop Time variation in the dynamics of worker
flows: evidence from North America and
Europe . . . . . . . . . . . . . . . . . 265--290
Dongfeng Chang and
Apostolos Serletis The demand for gasoline: evidence from
household survey data . . . . . . . . . 291--313
Guy Laroque and
Bernard Salanié Identifying the response of fertility to
financial incentives . . . . . . . . . . 314--332
Diego Restrepo-Tobón and
Subal C. Kumbhakar Enjoying the quiet life under
deregulation? Not quite . . . . . . . . 333--343
Mathias Moser and
Paul Hofmarcher Model priors revisited: interaction
terms in BMA growth applications . . . . 344--347
Anson T. Y. Ho and
Kim P. Huynh and
David T. Jacho-Chávez CRS: a package for nonparametric spline
estimation in R . . . . . . . . . . . . 348--352
Roy P. P. M. Hoevenaars and
Roderick D. J. Molenaar and
Peter C. Schotman and
Tom B. M. Steenkamp Strategic asset allocation for
long--term investors: parameter
uncertainty and prior information . . . 353--376
Mardi Dungey and
Denise R. Osborn Modelling large open economies with
international linkages: the USA and euro
area . . . . . . . . . . . . . . . . . . 377--393
Rien J. L. M. Wagenvoort and
Sanne Zwart Uncovering the common risk--free rate in
the European Monetary Union . . . . . . 394--414
Todd E. Clark and
Michael W. Mccracken Tests of equal forecast accuracy for
overlapping models . . . . . . . . . . . 415--430
Gerdie Everaert and
Lorenzo Pozzi The predictability of aggregate
consumption growth in OECD countries: a
panel data analysis . . . . . . . . . . 431--453
Lutz Kilian and
Daniel P. Murphy The role of inventories and speculative
trading in the global market for crude
oil . . . . . . . . . . . . . . . . . . 454--478
Helmut Lütkepohl and
Aleksei NetSunajev Disentangling demand and supply shocks
in the crude oil market: how to check
sign restrictions in structural vars . . 479--496
Coen N. Teulings and
Nikolay Zubanov Is economic recovery a myth? Robust
estimation of impulse responses . . . . 497--514
Badi H. Baltagi and
Jing Li Further evidence on the spatio--temporal
model of house prices in the United
States . . . . . . . . . . . . . . . . . 515--522
Jason Abrevaya and
Shu Shen Estimation of censored panel--data
models with slope heterogeneity . . . . 523--548
Peter L. Ormosi A tip of the iceberg? The probability of
catching cartels . . . . . . . . . . . . 549--566
Kristin J. Kleinjans and
Arthur Van Soest Rounding, focal point answers and
nonresponse to subjective probability
questions . . . . . . . . . . . . . . . 567--585
Ozkan Eren and
Serkan Ozbeklik Who benefits from job corps? A
distributional analysis of an active
labor market program . . . . . . . . . . 586--611
Soohyung Lee and
Azeem M. Shaikh Multiple testing and heterogeneous
treatment effects: re--evaluating the
effect of progresa on school enrollment 612--626
John G. T. Watkins and
Andrey L. Vasnev and
Richard Gerlach Multiple event incidence and duration
analysis for credit data incorporating
non-stochastic loan maturity . . . . . . 627--648
Andrew M. Jones and
James Lomas and
Nigel Rice Applying beta--type size distributions
to healthcare cost regressions . . . . . 649--670
Anirban Basu Estimating person-centered treatment
(pet) effects using instrumental
variables: an application to evaluating
prostate cancer treatments . . . . . . . 671--691
Dick van Dijk and
Siem Jan Koopman and
Michel van der Wel and
Jonathan H. Wright Forecasting interest rates with shifting
endpoints . . . . . . . . . . . . . . . 693--712
Travis J. Berge Forecasting disconnected exchange rates 713--735
Wagner Piazza Gaglianone and
Luiz Renato Lima Constructing optimal density forecasts
from point forecast combinations . . . . 736--757
Hendrik Kaufmann and
Florian Heinen and
Philipp Sibbertsen The dynamics of real exchange rates: a
reconsideration . . . . . . . . . . . . 758--773
Peter Reinhard Hansen and
Asger Lunde and
Valeri Voev Realized beta GARCH: a multivariate
GARCH model with realized measures of
volatility . . . . . . . . . . . . . . . 774--799
Todd Prono The role of conditional
heteroskedasticity in identifying and
estimating linear triangular systems,
with applications to asset pricing
models that include a mismeasured factor 800--824
Yong Song Modelling regime switching and
structural breaks with an infinite
hidden Markov model . . . . . . . . . . 825--842
Nikolay Gospodinov and
Damba Lkhagvasuren A moment-matching method for
approximating vector autoregressive
processes by finite-state Markov chains 843--859
Roger Hartley and
Gauthier Lanot and
Ian Walker Who really wants to be a millionaire?
Estimates of risk aversion from gameshow
data . . . . . . . . . . . . . . . . . . 861--879
David Johnston and
Carol Propper and
Stephen Pudney and
Michael Shields Child mental health and educational
attainment: multiple observers and the
measurement error problem . . . . . . . 880--900
Stacey H. Chen and
Shakeeb Khan Semi-parametric estimation of program
impacts on dispersion of potential wages 901--919
Martin Huber Identifying causal mechanisms
(primarily) based on inverse probability
weighting . . . . . . . . . . . . . . . 920--943
Áureo De Paula and
Gil Shapira and
Petra E. Todd How beliefs about HIV status affect
risky behaviors: evidence from Malawi 944--964
Meliyanni Johar and
Shiko Maruyama Does coresidence improve an elderly
parent's health? . . . . . . . . . . . . 965--983
Kenneth L. Sòrensen and
Rune Vejlin Return to experience and initial wage
level: do low wage workers catch up? . . 984--1006
Harry Haupt and
Kathrin Kagerer and
Winfried J. Steiner Smooth quantile--based modeling of brand
sales, price and promotional effects
from retail scanner panels . . . . . . . 1007--1028
Fabio Canova and
Frank Schorfheide and
Herman van Dijk Introduction to recent advances in
methods and applications for DSGE models 1029--1030
Vasco Cúrdia and
Marco Del Negro and
Daniel L. Greenwald Rare shocks, great recessions . . . . . 1031--1052
Huixin Bi and
Nora Traum Estimating fiscal limits: the case of
Greece . . . . . . . . . . . . . . . . . 1053--1072
Edward Herbst and
Frank Schorfheide Sequential Monte Carlo sampling for DSGE
models . . . . . . . . . . . . . . . . . 1073--1098
Fabio Canova and
Filippo Ferroni and
Christian Matthes Choosing the variables to estimate
singular DSGE models . . . . . . . . . . 1099--1117
Claudia Foroni and
Massimiliano Marcellino Mixed-frequency structural models:
identification, estimation, and policy
analysis . . . . . . . . . . . . . . . . 1118--1144
Dario Caldara and
Richard Harrison and
Anna Lipi\'nska Practical tools for policy analysis in
DSGE models with missing shocks . . . . 1145--1163
Nalan Bastürk and
Cem Çakmakli and
S. Pinar Ceyhan and
Herman K. Van Dijk Posterior-predictive evidence on US
inflation using extended new Keynesian
Phillips curve models with non-filtered
data . . . . . . . . . . . . . . . . . . 1164--1182
Frank Kleibergen and
Sophocles Mavroeidis Identification issues in
limited--information Bayesian analysis
of structural macroeconomic models . . . 1183--1209
Luca Benati and
Thomas A. Lubik Sales, inventories and real interest
rates: a century of stylized facts . . . 1210--1222
Anindya Banerjee and
Josep Lluís Carrion-i-Silvestre Cointegration in Panel Data with
Structural Breaks and Cross-Section
Dependence . . . . . . . . . . . . . . . 1--23
Nora Traum and
Shu-Chun S. Yang When Does Government Debt Crowd Out
Investment? . . . . . . . . . . . . . . 24--45
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino Bayesian VARs: Specification Choices and
Forecast Accuracy . . . . . . . . . . . 46--73
Maik H. Wolters Evaluating Point and Density Forecasts
of DSGE Models . . . . . . . . . . . . . 74--96
Leo Krippner A Theoretical Foundation for the
Nelson--Siegel Class of Yield Curve
Models . . . . . . . . . . . . . . . . . 97--118
Pierre Perron and
Yohei Yamamoto Using OLS to Estimate and Test for
Structural Changes in Models with
Endogenous Regressors . . . . . . . . . 119--144
André K. Anundsen Econometric Regime Shifts and the US
Subprime Bubble . . . . . . . . . . . . 145--169
Micha\l Brzezinski Relative Risk Aversion and Power-Law
Distribution of Macroeconomic Disasters 170--175
César Calderón and
Enrique Moral-Benito and
Luis Servén Is infrastructure capital productive? A
dynamic heterogeneous approach . . . . . 177--198
Matteo Luciani Monetary Policy and the Housing Market:
A Structural Factor Analysis . . . . . . 199--218
Luca Sala DSGE Models in the Frequency Domains . . 219--240
Fabio Canova and
Alain Schlaepfer Has the Euro--Mediterranean Partnership
Affected Mediterranean Business Cycles? 241--262
Nikolaus Hautsch and
Lada M. Kyj and
Peter Malec Do High-Frequency Data Improve
High-Dimensional Portfolio Allocations? 263--290
Fabian Y. R. P. Bocart and
Christian M. Hafner Volatility of Price Indices for
Heterogeneous Goods with Applications to
the Fine Art Market . . . . . . . . . . 291--312
Graciela Sanroman Cost and Preference Heterogeneity in
Risky Financial Markets . . . . . . . . 313--332
Juha Siikamäki and
Douglas M. Larson Finding Sensitivity to Scope in
Nonmarket Valuation . . . . . . . . . . 333--349
Anna Bottasso and
Carolina Castagnetti and
Maurizio Conti R&D, Innovation and Knowledge Spillovers:
A Reappraisal of Bottazzi and Peri
(2007) in the Presence of
Cross-Sectional Dependence . . . . . . . 350--352
Martin Burda and
Matthew Harding and
Jerry Hausman A Bayesian Semiparametric Competing Risk
Model with Unobserved Heterogeneity . . 353--376
Fulvio Corsi and
Stefano Peluso and
Francesco Audrino Missing in Asynchronicity: A Kalman-em
Approach for Multivariate Realized
Covariance Estimation . . . . . . . . . 377--397
Martin S. Gaynor and
Samuel A. Kleiner and
William B. Vogt Analysis of Hospital Production: An
Output Index Approach . . . . . . . . . 398--421
Yingying Dong Regression Discontinuity Applications
with Rounding Errors in the Running
Variable . . . . . . . . . . . . . . . . 422--446
Kelvin Balcombe and
Iain Fraser and
Eugene McSorley Visual Attention and Attribute
Attendance in Multi-Attribute Choice
Experiments . . . . . . . . . . . . . . 447--467
Michael Berlemann and
Sören Enkelmann and
Torben Kuhlenkasper Unraveling the Relationship Between
Presidential Approval and the Economy: A
Multidimensional Semiparametric Approach 468--486
Erich Battistin and
Michele De Nadai Identification and Estimation of Engel
Curves with Endogenous and Unobserved
Expenditures . . . . . . . . . . . . . . 487--508
Badi H. Baltagi and
Georges Bresson and
Jean-Michel Etienne Hedonic Housing Prices in Paris: An
Unbalanced Spatial Lag Pseudo-Panel
Model with Nested Random Effects . . . . 509--528
Wolfgang K. Härdle and
Nikolaus Hautsch and
Andrija Mihoci Local Adaptive Multiplicative Error
Models for High-Frequency Forecasts . . 529--550
Todd E. Clark and
Francesco Ravazzolo Macroeconomic Forecasting Performance
under Alternative Specifications of
Time-Varying Volatility . . . . . . . . 551--575
Julieta Fuentes and
Pilar Poncela and
Julio Rodríguez Sparse Partial Least Squares in Time
Series for Macroeconomic Forecasting . . 576--595
Luc Bauwens and
Gary Koop and
Dimitris Korobilis and
Jeroen V. K. Rombouts The Contribution of Structural Break
Models to Forecasting Macroeconomic
Series . . . . . . . . . . . . . . . . . 596--620
Luciana Juvenal and
Ivan Petrella Speculation in the Oil Market . . . . . 621--649
Joshua C. C. Chan and
Justin L. Tobias Priors and Posterior Computation in
Linear Endogenous Variable Models with
Imperfect Instruments . . . . . . . . . 650--674
Christian Kascha and
Carsten Trenkler Simple Identification and Specification
of Cointegrated VARMA Models . . . . . . 675--702
Giovanni Millo Narrow Replication of `A
Spatio--Temporal Model of House Prices
in the USA' Using R . . . . . . . . . . 703--704
Shujie Ma and
Jeffrey S. Racine and
Lijian Yang Spline Regression in the Presence of
Categorical Predictors . . . . . . . . . 705--717
Markus Frölich and
Michael Lechner Combining Matching and Nonparametric
Instrumental Variable Estimation: Theory
and An Application to the Evaluation of
Active Labour Market Policies . . . . . 718--738
Brent R. Hickman and
Timothy P. Hubbard Replacing Sample Trimming with Boundary
Correction in Nonparametric Estimation
of First-Price Auctions . . . . . . . . 739--762
S. Derya Uysal Doubly Robust Estimation of Causal
Effects with Multivalued Treatments: An
Application to the Returns to Schooling 763--786
Pauline Givord and
Lionel Wilner When Does the Stepping-Stone Work?
Fixed-Term Contracts Versus Temporary
Agency Work in Changing Economic
Conditions . . . . . . . . . . . . . . . 787--805
Chandra R. Bhat and
Rajesh Paleti and
Marisol Castro A New Utility-Consistent Econometric
Approach to Multivariate Count Data
Modeling . . . . . . . . . . . . . . . . 806--825
Camilla Mastromarco and
Léopold Simar Effect of FDI and Time on Catching Up:
New Insights from a Conditional
Nonparametric Frontier Analysis . . . . 826--847
Abhishek Chakravarty Gender-Biased Breastfeeding in Egypt:
Examining the Fertility Preference
Hypotheses of Jayachandran and Kuziemko
(2011) . . . . . . . . . . . . . . . . . 848--855
Tiago V. De V. Cavalcanti and
Kamiar Mohaddes and
Mehdi Raissi Commodity Price Volatility and the
Sources of Growth . . . . . . . . . . . 857--873
Hyeongwoo Kim and
Ippei Fujiwara and
Bruce E. Hansen and
Masao Ogaki Purchasing Power Parity and the Taylor
Rule . . . . . . . . . . . . . . . . . . 874--903
Matteo Pelagatti and
Emilio Colombo On the Empirical Failure of Purchasing
Power Parity Tests . . . . . . . . . . . 904--923
Efrem Castelnuovo and
Luca Fanelli Monetary Policy Indeterminacy and
Identification Failures in the U.S.:
Results from a Robust Test . . . . . . . 924--947
Martin Wagner The Environmental Kuznets Curve,
Cointegration and Nonlinearity . . . . . 948--967
Alessio Anzuini and
Patrizio Pagano and
Massimiliano Pisani Macroeconomic Effects of Precautionary
Demand for Oil . . . . . . . . . . . . . 968--986
Constantino Hevia and
Martin Gonzalez-Rozada and
Martin Sola and
Fabio Spagnolo Estimating and Forecasting the Yield
Curve Using A Markov Switching Dynamic
Nelson and Siegel Model . . . . . . . . 987--1009
Tamer Kulaksizoglu Lag Order and Critical Values of the
Augmented Dickey--Fuller Test: A
Replication . . . . . . . . . . . . . . 1010--1010
Knut Are Aastveit and
Hilde C. Bjòrnland and
Leif Anders Thorsrud What Drives Oil Prices? Emerging Versus
Developed Economies . . . . . . . . . . 1013--1028
Gianna Boero and
Jeremy Smith and
Kenneth F. Wallis The Measurement and Characteristics of
Professional Forecasters' Uncertainty 1029--1046
Tommaso Ferraresi and
Andrea Roventini and
Giorgio Fagiolo Fiscal Policies and Credit Regimes: A
TVAR Approach . . . . . . . . . . . . . 1047--1072
Maximo Camacho and
Gabriel Perez-Quiros and
Pilar Poncela Extracting Nonlinear Signals from
Several Economic Indicators . . . . . . 1073--1089
Christian Conrad and
Karin Loch Anticipating Long-Term Stock Market
Volatility . . . . . . . . . . . . . . . 1090--1114
Xuequn Hu and
Murat K. Munkin and
Pravin K. Trivedi Estimating Incentive and Selection
Effects in the Medigap Insurance Market:
An Application with Dirichlet Process
Mixture Model . . . . . . . . . . . . . 1115--1143
Martin Huber and
Blaise Melly A Test of the Conditional Independence
Assumption in Sample Selection Models 1144--1168
Todd E. Elder and
John H. Goddeeris and
Steven J. Haider Isolating the Roles of Individual
Covariates in Reweighting Estimation . . 1169--1191
Ferre De Graeve and
Karl Walentin Refining Stylized Facts from Factor
Models of Inflation . . . . . . . . . . 1192--1209
Xiangkang Yin and
Jing Zhao A Hidden Markov Model Approach to
Information-Based Trading: Theory and
Applications . . . . . . . . . . . . . . 1210--1234
Anonymous Cross-Sectional Dependence in Panel Data
Models: A Special Issue . . . . . . . . 1--3
Matei Demetrescu and
Ulrich Homm Directed Tests of No Cross-Sectional
Correlation in Large-$N$ Panel Data
Models . . . . . . . . . . . . . . . . . 4--31
Arnab Bhattacharjee and
Eduardo Castro and
Taps Maiti and
João Marques Endogenous Spatial Regression and
Delineation of Submarkets: A New
Framework with Application to Housing
Markets . . . . . . . . . . . . . . . . 32--57
Liudas Giraitis and
George Kapetanios and
Anne Wetherilt and
Filip Zikes Estimating the Dynamics and Persistence
of Financial Networks, with an
Application to the Sterling Money Market 58--84
Valentin Verdier Estimation of Dynamic Panel Data Models
with Cross-Sectional Dependence: Using
Cluster Dependence for Efficiency . . . 85--105
Alin Mirestean and
Charalambos G. Tsangarides Growth Determinants Revisited Using
Limited-Information Bayesian Model
Averaging . . . . . . . . . . . . . . . 106--132
Lung-fei Lee and
Jihai Yu Identification of Spatial Durbin Panel
Models . . . . . . . . . . . . . . . . . 133--162
Tomohiro Ando and
Jushan Bai Panel Data Models with Grouped Factor
Structure Under Unknown Group Membership 163--191
Lena Boneva and
Oliver Linton and
Michael Vogt The Effect of Fragmentation in Trading
on Market Quality in the UK Equity
Market . . . . . . . . . . . . . . . . . 192--213
Badi H. Baltagi and
Peter H. Egger and
Michaela Kesina Firm-Level Productivity Spillovers in
China's Chemical Industry: A Spatial
Hausman--Taylor Approach . . . . . . . . 214--248
Natalia Bailey and
Sean Holly and
M. Hashem Pesaran A Two-Stage Approach to Spatio-Temporal
Analysis with Strong and Weak
Cross-Sectional Dependence . . . . . . . 249--280
Camilla Mastromarco and
Laura Serlenga and
Yongcheol Shin Modelling Technical Efficiency in Cross
Sectionally Dependent Stochastic
Frontier Panels . . . . . . . . . . . . 281--297
Chih-Sheng Hsieh and
Lung Fei Lee A Social Interactions Model with
Endogenous Friendship Formation and
Selectivity . . . . . . . . . . . . . . 301--319
Marianne Simonsen and
Lars Skipper and
Niels Skipper Price Sensitivity of Demand for
Prescription Drugs: Exploiting a
Regression Kink Design . . . . . . . . . 320--337
Brendan K. Beare and
Lawrence D. W. Schmidt An Empirical Test of Pricing Kernel
Monotonicity . . . . . . . . . . . . . . 338--356
Daniel Felix Ahelegbey and
Monica Billio and
Roberto Casarin Bayesian graphical models for structural
vector autoregressive processes . . . . 357--386
Harry H. Kelejian and
Gianfranco Piras An Extension of the $J$-Test to a
Spatial Panel Data Framework . . . . . . 387--402
Tai-kuang Ho and
Cheng-chung Lai A Silver Lifeboat, not Silver Fetters:
Why and how the Silver Standard
Insulated China from the 1929 Great
Depression . . . . . . . . . . . . . . . 403--419
Matteo Barigozzi and
Alessio Moneta Identifying the Independent Sources of
Consumption Variation . . . . . . . . . 420--449
Martin Spindler Lasso for Instrumental Variable
Selection: A Replication Study . . . . . 450--454
Sergio Firpo and
Cristine Pinto Identification and Estimation of
Distributional Impacts of Interventions
Using Changes in Inequality Measures . . 457--486
John K. Dagsvik and
Zhiyang Jia Labor Supply as a Choice Among Latent
Jobs: Unobserved Heterogeneity and
Identification . . . . . . . . . . . . . 487--506
Barbara Rossi and
Tatevik Sekhposyan Forecast Rationality Tests in the
Presence of Instabilities, with
Applications to Federal Reserve and
Survey Forecasts . . . . . . . . . . . . 507--532
Joshua Abel and
Robert Rich and
Joseph Song and
Joseph Tracy The Measurement and Behavior of
Uncertainty: Evidence from the ECB
Survey of Professional Forecasters . . . 533--550
Joshua C. C. Chan and
Gary Koop and
Simon M. Potter A Bounded Model of Time Variation in
Trend Inflation, Nairu and the Phillips
Curve . . . . . . . . . . . . . . . . . 551--565
Martin Kliem and
Alexander Kriwoluzky and
Samad Sarferaz On the Low-Frequency Relationship
Between Public Deficits and Inflation 566--583
Enrique Moral-Benito Growth Empirics in Panel Data Under
Model Uncertainty and Weak Exogeneity 584--602
Anson T. Y. Ho and
Kim P. Huynh and
David T. Jacho-Chávez Flexible Estimation of Copulas: An
Application to the US Housing Crisis . . 603--610
Lars Winkelmann and
Markus Bibinger and
Tobias Linzert ECB Monetary Policy Surprises:
Identification Through Cojumps in
Interest Rates . . . . . . . . . . . . . 613--629
Yasuo Hirose and
Atsushi Inoue The Zero Lower Bound and Parameter Bias
in an Estimated DSGE Model . . . . . . . 630--651
Daniel L. Millimet and
Jayjit Roy Empirical Tests of the Pollution Haven
Hypothesis When Environmental Regulation
is Endogenous . . . . . . . . . . . . . 652--677
Saraswata Chaudhuri and
David K. Guilkey GMM with Multiple Missing Variables . . 678--706
A. Stan Hurn and
Annastiina Silvennoinen and
Timo Teräsvirta A Smooth Transition Logit Model of The
Effects of Deregulation in the
Electricity Market . . . . . . . . . . . 707--733
Rémi Piatek and
Pia Pinger Maintaining (Locus of) Control? Data
Combination for the Identification and
Inference of Factor Structure Models . . 734--755
Zhou Xun and
Michel Lubrano Simulation Estimation of Two-tiered
Dynamic Panel Tobit Models with an
Application to the labour Supply of
Married Women: A Comment . . . . . . . . 756--761
Stephen Hansen and
Michael McMahon and
Sorawoot Srisuma Estimating Bayesian Decision Problems
with Heterogeneous Expertise . . . . . . 762--771
Jason R. Blevins Sequential Monte Carlo Methods for
Estimating Dynamic Microeconomic Models 773--804
Eric Eisenstat and
Rodney W. Strachan Modelling Inflation Volatility . . . . . 805--820
Georges Kapetanios and
Lynda Khalaf and
Massimiliano Marcellino Factor-Based Identification-Robust
Interference in IV Regressions . . . . . 821--842
Senay Sokullu A Semi-Parametric Analysis of Two-Sided
Markets: An Application to the Local
Daily Newspapers in the USA . . . . . . 843--864
Jaime Ruiz-Tagle and
Francis Vella Borrowing Constraints and Credit Demand
in a Developing Economy . . . . . . . . 865--891
Lance A. Fisher and
Hyeon-Seung Huh and
Adrian R. Pagan Econometric Methods for Modelling
Systems With a Mixture of i (1) and i
(0) Variables . . . . . . . . . . . . . 892--911
Daniel A. Kamhöfer and
Hendrik Schmitz Reanalyzing Zero Returns to Education in
Germany . . . . . . . . . . . . . . . . 912--919
Lauren E. Jones and
Nicolas R. Ziebarth Successful Scientific Replication and
Extension of Levitt (2008): Child Seats
are Still No Safer Than Seat Belts . . . 920--928
Natalia Bailey and
George Kapetanios and
M. Hashem Pesaran Exponent of Cross-Sectional Dependence:
Estimation and Inference . . . . . . . . 929--960
Simon Reese and
Joakim Westerlund Panicca: Panic on Cross-Section Averages 961--981
Christian Gengenbach and
Jean-Pierre Urbain and
Joakim Westerlund Error Correction Testing in Panels with
Common Stochastic Trends . . . . . . . . 982--1004
Tim Bollerslev and
Andrew J. Patton and
Wenjing Wang Daily House Price Indices: Construction,
Modeling, and Longer-run Predictions . . 1005--1025
Siddhartha Chib and
Liana Jacobi Bayesian Fuzzy Regression Discontinuity
Analysis and Returns to Compulsory
Schooling . . . . . . . . . . . . . . . 1026--1047
Eric M. Scheffel Accounting for the Political Uncertainty
Factor . . . . . . . . . . . . . . . . . 1048--1064
Stefanos Dimitrakopoulos and
Michalis Kolossiatis State Dependence and Stickiness of
Sovereign Credit Ratings: Evidence from
a Panel of Countries . . . . . . . . . . 1065--1082
Christoph Frey and
Frieder Mokinski Forecasting with Bayesian Vector
Autoregressions Estimated Using
Professional Forecasts . . . . . . . . . 1083--1099
George Athanasopoulos and
Donald S. Poskitt and
Farshid Vahid and
Wenying Yao Determination of Long-run and Short-run
Dynamics in EC--VARMA Models via
Canonical Correlations . . . . . . . . . 1100--1119
Soohyung Lee Effect of Online Dating on Assortative
Mating: Evidence from South Korea . . . 1120--1139
Arnab Mukherji and
Satrajit Roychoudhury and
Pulak Ghosh and
Sarah Brown Estimating Health Demand for an Aging
Population: A Flexible and Robust
Bayesian Joint Model . . . . . . . . . . 1140--1158
Helmut Herwartz and
Nadja Klein and
Christoph Strumann Modelling Hospital Admission and Length
of Stay by Means of Generalised Count
Data Models . . . . . . . . . . . . . . 1159--1182
Dean Croushore and
Katherine Marsten Reassessing the Relative Power of the
Yield Spread in Forecasting Recessions 1183--1191
Christos S. Savva Replication of Grier, Henry, Olekalns
and Shields (2004): the Asymmetric
Effects of Uncertainty on Inflation and
Output Growth . . . . . . . . . . . . . 1192--1196
Francesco Furlanetto and
Nicolas Groshenny Mismatch Shocks and Unemployment During
the Great Recession . . . . . . . . . . 1197--1214
Esteban Prieto and
Sandra Eickmeier and
Massimiliano Marcellino Time Variation in Macro-Financial
Linkages . . . . . . . . . . . . . . . . 1215--1233
Guenter W. Beck and
Kirstin Hubrich and
Massimiliano Marcellino On the Importance of Sectoral and
Regional Shocks for Price-Setting . . . 1234--1253
Kajal Lahiri and
George Monokroussos and
Yongchen Zhao Forecasting Consumption: the Role of
Consumer Confidence in Real Time with
many Predictors . . . . . . . . . . . . 1254--1275
Jacopo Cimadomo and
Antonello D'Agostino Combining Time Variation and Mixed
Frequencies: an Analysis of Government
Spending Multipliers in Italy . . . . . 1276--1290
André K. Anundsen and
Karsten Gerdrup and
Frank Hansen and
Kasper Kragh-Sòrensen Bubbles and Crises: The Role of House
Prices and Credit . . . . . . . . . . . 1291--1311
Davide Pettenuzzo and
Francesco Ravazzolo Optimal Portfolio Choice Under
Decision-Based Model Combinations . . . 1312--1332
Cees Diks and
Marcin Wolski Nonlinear Granger Causality: Guidelines
for Multivariate Analysis . . . . . . . 1333--1351
Monica Billio and
Roberto Casarin and
Francesco Ravazzolo and
Herman K. Van Dijk Interconnections Between Eurozone and US
Booms and Busts Using a Bayesian Panel
Markov-Switching VAR Model . . . . . . . 1352--1370
Jesús Crespo Cuaresma and
Martin Feldkircher and
Florian Huber Forecasting with Global Vector
Autoregressive Models: a Bayesian
Approach . . . . . . . . . . . . . . . . 1371--1391
Markku Lanne and
Jani Luoto Noncausal Bayesian Vector Autoregression 1392--1406
Emir Malikov and
Subal C. Kumbhakar and
Mike G. Tsionas A Cost System Approach to the Stochastic
Directional Technology Distance Function
with Undesirable Outputs: The Case of US
Banks in 2001--2010 . . . . . . . . . . 1407--1429
Vito Polito and
Peter Spencer Optimal Control of Heteroscedastic
Macroeconomic Models . . . . . . . . . . 1430--1444
Dries F. Benoit and
Stefan Van Aelst and
Dirk Van den Poel Outlier-Robust Bayesian Multinomial
Choice Modeling . . . . . . . . . . . . 1445--1466
Gerdie Everaert and
Hauke Vierke Demographics and Business Cycle
Volatility: A Spurious Relationship? . . 1467--1477
Nima Nonejad Replicating the Results in `A New Model
of Trend Inflation' Using Particle
Markov Chain Monte Carlo . . . . . . . . 1478--1483
John Coglianese and
Lucas W. Davis and
Lutz Kilian and
James H. Stock Anticipation, Tax Avoidance, and the
Price Elasticity of Gasoline Demand . . 1--15
Pedro Carneiro and
Michael Lokshin and
Nithin Umapathi Average and Marginal Returns to Upper
Secondary Schooling in Indonesia . . . . 16--36
Nayoung Lee and
Geert Ridder and
John Strauss Estimation of Poverty Transition
Matrices with Noisy Data . . . . . . . . 37--55
Martin Huber and
Lukas Laffers and
Giovanni Mellace Sharp IV Bounds on Average Treatment
Effects on the Treated and Other
Populations Under Endogeneity and
Noncompliance . . . . . . . . . . . . . 56--79
Yonghong An and
Michael R. Baye and
Yingyao Hu and
John Morgan and
Matt Shum Identification and Estimation of Online
Price Competition With an Unknown Number
of Firms . . . . . . . . . . . . . . . . 80--102
Anders Warne and
Günter Coenen and
Kai Christoffel Marginalized Predictive Likelihood
Comparisons of Linear Gaussian
State-Space Models with Applications to
DSGE, DSGE--VAR, and VAR Models . . . . 103--119
Erik Kole and
Dick van Dijk How to Identify and Forecast Bull and
Bear Markets? . . . . . . . . . . . . . 120--139
Laurent A. F. Callot and
Anders B. Kock and
Marcelo C. Medeiros Modeling and Forecasting Large Realized
Covariance Matrices and Portfolio Choice 140--158
Gianni De Nicol\`o and
Marcella Lucchetta Forecasting Tail Risks . . . . . . . . . 159--170
André Lucas and
Bernd Schwaab and
Xin Zhang Modeling Financial Sector Joint Tail
Risk in the Euro Area . . . . . . . . . 171--191
Konstantinos Metaxoglou and
Aaron Smith State Prices of Conditional Quantiles:
New Evidence on Time Variation in the
Pricing Kernel . . . . . . . . . . . . . 192--217
Badi H. Baltagi and
Pallab Kumar Ghosh Replication of unconditional Quantile
Regressions by Firpo, Fortin and Lemieux
(2009) . . . . . . . . . . . . . . . . . 218--223
Angelia L. Grant The Early Millennium Slowdown:
Replicating the Peersman (2005) Results 224--232
James G. Mackinnon and
Matthew D. Webb Wild Bootstrap Inference for Wildly
Different Cluster Sizes . . . . . . . . 233--254
Mariano Kulish and
Adrian Pagan Estimation and Solution of Models with
Expectations and Structural Changes . . 255--274
Christiane Baumeister and
Lutz Kilian and
Thomas K. Lee Inside the Crystal Ball: New Approaches
to Predicting the Gasoline Price at the
Pump . . . . . . . . . . . . . . . . . . 275--295
Bernd Schwaab and
Siem Jan Koopman and
André Lucas Global Credit Risk: World, Country and
Industry Factors . . . . . . . . . . . . 296--317
Stefano Grassi and
Nima Nonejad and
Paolo Santucci De Magistris Forecasting With the Standardized
Self-Perturbed Kalman Filter . . . . . . 318--341
Matthew Harding and
Carlos Lamarche Penalized Quantile Regression with
Semiparametric Correlated Effects: An
Application with Heterogeneous
Preferences . . . . . . . . . . . . . . 342--358
Felix Ward Spotting the Danger Zone: Forecasting
Financial Crises With Classification
Tree Ensembles and Many Predictors . . . 359--378
Francisco Ruge-Murcia Skewness Risk and Bond Prices . . . . . 379--400
Tatjana Dahlhaus Conventional Monetary Policy
Transmission During Financial Crises: An
Empirical Analysis . . . . . . . . . . . 401--421
J. Paul Elhorst and
Pim Heijnen and
Anna Samarina and
Jan P. A. M. Jacobs Transitions at Different Moments in
Time: A Spatial Probit Approach . . . . 422--439
Daniel Avdic and
Per Johansson Absenteeism, Gender and the
Morbidity--Mortality Paradox . . . . . . 440--462
Donald Lien and
Yue Hu and
Long Liu Subjective Well-Being and Income: A
Re-Examination of Satiation Using the
Regression Kink Model With an Unknown
Threshold . . . . . . . . . . . . . . . 463--469
Ossama Elshiewy and
German Zenetti and
Yasemin Boztug Differences Between Classical and
Bayesian Estimates for Mixed Logit
Models: A Replication Study . . . . . . 470--476
Cem Ertur and
Antonio Musolesi Weak and Strong Cross-Sectional
Dependence: A Panel Data Analysis of
International Technology Diffusion . . . 477--503
Worapree Maneesoonthorn and
Catherine S. Forbes and
Gael M. Martin Inference on Self-Exciting Jumps in
Prices and Volatility Using
High-Frequency Measures . . . . . . . . 504--532
Todd E. Clark and
Michael W. McCracken Tests of Predictive Ability for Vector
Autoregressions Used for Conditional
Forecasting . . . . . . . . . . . . . . 533--553
Joakim Westerlund and
Hande Karabiyik and
Paresh Narayan Testing for Predictability in panels
with General Predictors . . . . . . . . 554--574
Jiaying Gu and
Roger Koenker Empirical Bayesball Remixed: Empirical
Bayes Methods for Longitudinal Data . . 575--599
Roman Liesenfeld and
Jean-François Richard and
Jan Vogler Likelihood-Based Inference and
Prediction in Spatio-Temporal Panel
Count Models for Urban Crimes . . . . . 600--620
Melanie Krause The Millennium Peak in Club Convergence:
A New Look at Distributional Changes in
The Wealth of Nations . . . . . . . . . 621--642
Sander Gerritsen and
Erik Plug and
Dinand Webbink Teacher Quality and Student Achievement:
Evidence from a Sample of Dutch Twins 643--660
Douglas H. Wrenn and
H. Allen Klaiber and
David A. Newburn Confronting Price Endogeneity in a
Duration Model of Residential
Subdivision Development . . . . . . . . 661--682
Tommaso Proietti and
Martyna Marczak and
Gianluigi Mazzi Euromind-$ \cal D $: A Density Estimate
of Monthly Gross Domestic Product for
the Euro Area . . . . . . . . . . . . . 683--703
Patrick F\`eve and
Jean-Guillaume Sahuc In Search of the Transmission Mechanism
of Fiscal Policy in the Euro Area . . . 704--718
Alexander L. Lundberg and
Kim P. Huynh and
David T. Jacho-Chávez Income and Democracy: A Smooth Varying
Coefficient Redux . . . . . . . . . . . 719--724
Daniel L. Millimet and
Ian K. McDonough Dynamic Panel Data Models With Irregular
Spacing: With an Application to Early
Childhood Development . . . . . . . . . 725--743
Christophe Gouel and
Nicolas Legrand Estimating the Competitive Storage Model
with Trending Commodity Prices . . . . . 744--763
Luca Gambetti and
Alberto Musso Loan Supply Shocks and the Business
Cycle . . . . . . . . . . . . . . . . . 764--782
Knut Are Aastveit and
Claudia Foroni and
Francesco Ravazzolo Density Forecasts With Midas Models . . 783--801
Matthieu Droumaguet and
Anders Warne and
Tomasz Wo\'zniak Granger Causality and Regime Inference
in Markov Switching VAR Models with
Bayesian Methods . . . . . . . . . . . . 802--818
Gerdie Everaert and
Lorenzo Pozzi and
Ruben Schoonackers On the Stability of the Excess
Sensitivity of Aggregate Consumption
Growth in the USA . . . . . . . . . . . 819--840
Jonathan James MM Algorithm for General Mixed
Multinomial Logit Models . . . . . . . . 841--857
Aico Van Vuuren Using a Structural-Form Model to Analyze
the Impact of Home Ownership on
Unemployment Duration . . . . . . . . . 858--876
Luiz Renato Lima and
Fanning Meng Out-of-Sample Return Predictability: A
Quantile Combination Approach . . . . . 877--895
Adam Nowak and
Patrick Smith Textual Analysis in Real Estate . . . . 896--918
Matheus Albergaria and
Luiz Paulo Fávero Narrow Replication of Fisman and
Miguel's (2007a) `Corruption, Norms, and
Legal Enforcement: Evidence from
Diplomatic Parking Tickets' . . . . . . 919--922
Marcos Sanso-Navarro and
Maria Vera-Cabello and
Domingo P. Ximénez-De-Embún Human Capital Spillovers and Regional
Development . . . . . . . . . . . . . . 923--930
Knut Are Aastveit and
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino Have Standard VARS Remained Stable Since
the Crisis? . . . . . . . . . . . . . . 931--951
Carlo Altavilla and
Domenico Giannone The Effectiveness of Non-Standard
Monetary Policy Measures: Evidence from
Survey Data . . . . . . . . . . . . . . 952--964
Joonyoung Hur Monetary Policy and Asset Prices: A
Markov-Switching DSGE Approach . . . . . 965--982
Javier Gardeazabal and
Ainhoa Vega-Bayo An Empirical Comparison Between the
Synthetic Control Method and HSIAO et
al. 's Panel Data Approach to Program
Evaluation . . . . . . . . . . . . . . . 983--1002
István Barra and
Lennart Hoogerheide and
Siem Jan Koopman and
André Lucas Joint Bayesian Analysis of Parameters
and States in Nonlinear non-Gaussian
State Space Models . . . . . . . . . . . 1003--1026
Chi-Yang Chu and
Daniel J. Henderson and
Le Wang The Robust Relationship Between US Food
Aid and Civil Conflict . . . . . . . . . 1027--1032
Peter M. Summers Credit Booms Gone Bust: Replication of
Schularick and Taylor (AER 2012) . . . . 1033--1038
Joachim Schnurbus and
Harry Haupt and
Verena Meier Economic Transition and Growth: A
Replication . . . . . . . . . . . . . . 1039--1042
Christopher L. Colvin and
Matthew McCracken Work Ethic, Social Ethic, no Ethic:
Measuring the Economic Values of Modern
Christians . . . . . . . . . . . . . . . 1043--1053
Carlo Altavilla and
Raffaella Giacomini and
Giuseppe Ragusa Anchoring the yield curve using survey
expectations . . . . . . . . . . . . . . 1055--1068
Anindya Banerjee and
Massimiliano Marcellino and
Igor Masten Structural FECM: Cointegration in
large-scale structural FAVAR models . . 1069--1086
Jack Fosten Model selection with estimated factors
and idiosyncratic components . . . . . . 1087--1106
Alexander Heinemann Efficient estimation of factor models
with time and cross-sectional dependence 1107--1122
Sylvia Kaufmann and
Christian Schumacher Identifying relevant and irrelevant
variables in sparse factor models . . . 1123--1144
Katarina Juselius and
Katrin Assenmacher Real exchange rate persistence and the
excess return puzzle: The case of
Switzerland versus the US . . . . . . . 1145--1155
Alexis Akira Toda and
Kieran James Walsh Fat tails and spurious estimation of
consumption-based asset pricing models 1156--1177
Leopoldo Catania and
Anna Gloria Billé Dynamic spatial autoregressive models
with autoregressive and heteroskedastic
disturbances . . . . . . . . . . . . . . 1178--1196
Muhammad Asali and
Aamer S. Abu-Qarn and
Michael Beenstock The cycle of violence in the Second
Intifada: Causality in nonlinear vector
autoregressive models . . . . . . . . . 1197--1205
Sokbae Lee and
Ryo Okui and
Yoon-Jae Whang Doubly robust uniform confidence band
for the conditional average treatment
effect function . . . . . . . . . . . . 1207--1225
Lena Boneva and
Oliver Linton A discrete-choice model for large
heterogeneous panels with interactive
fixed effects with an application to the
determinants of corporate bond issuance 1226--1243
Ricardo T. Fernholz Nonparametric methods and
local-time-based estimation for dynamic
power law distributions . . . . . . . . 1244--1260
Neville Francis and
Michael T. Owyang and
Ozge Savascin An endogenously clustered factor
approach to international business
cycles . . . . . . . . . . . . . . . . . 1261--1276
Joshua C. C. Chan and
Eric Eisenstat Efficient estimation of Bayesian VARMAs
with time-varying coefficients . . . . . 1277--1297
Anne Opschoor and
Dick van Dijk and
Michel van der Wel Combining density forecasts using
focused scoring rules . . . . . . . . . 1298--1313
Patrick Hummel and
R. Preston McAfee Loss functions for predicted
click-through rates in auctions for
online advertising . . . . . . . . . . . 1314--1328
Emir Malikov and
Shunan Zhao and
Subal C. Kumbhakar Economies of diversification in the US
credit union sector . . . . . . . . . . 1329--1347
Cecilia Machado Unobserved selection heterogeneity and
the gender wage gap . . . . . . . . . . 1348--1366
Martin Becker and
Stefan Klößner Estimating the economic costs of
organized crime by synthetic control
methods . . . . . . . . . . . . . . . . 1367--1369
Anonymous Issue Information . . . . . . . . . . . i--iv
Mert Demirer and
Francis X. Diebold and
Laura Liu and
Kamil Yilmaz Estimating global bank network
connectedness . . . . . . . . . . . . . 1--15
David C. Wheelock and
Paul W. Wilson The evolution of scale economies in US
banking . . . . . . . . . . . . . . . . 16--28
Hugo Jales Estimating the effects of the minimum
wage in a developing country: A density
discontinuity design approach . . . . . 29--51
Stefan Hoderlein and
Anne Vanhems Estimating the distribution of welfare
effects using quantiles . . . . . . . . 52--72
Irene Botosaru and
Federico H. Gutierrez Difference-in-differences when the
treatment status is observed in only one
period . . . . . . . . . . . . . . . . . 73--90
Jeremiah Richey and
Alicia Rosburg Decomposing economic mobility transition
matrices . . . . . . . . . . . . . . . . 91--108
Jaerim Choi and
Jiaying Gu and
Shu Shen Weak-instrument robust inference for
two-sample instrumental variables
regression . . . . . . . . . . . . . . . 109--125
Mark Bognanni and
Edward Herbst A sequential Monte Carlo approach to
inference in multiple-equation
Markov-switching models . . . . . . . . 126--140
Jin Seo Cho and
Peter C. B. Phillips Sequentially testing polynomial model
hypotheses using power transforms of
regressors . . . . . . . . . . . . . . . 141--159
Anton Pak Predicting crude oil prices: Replication
of the empirical results in ``What do we
learn from the price of crude oil?'' . . 160--163
Anonymous Issue Information . . . . . . . . . . . i--iv
Ethan Cohen-Cole and
Xiaodong Liu and
Yves Zenou Multivariate choices and identification
of social interactions . . . . . . . . . 165--178
Anastasia Semykina and
Jeffrey M. Wooldridge Binary response panel data models with
sample selection and self-selection . . 179--197
Benjamin Nelson and
Gabor Pinter and
Konstantinos Theodoridis Do contractionary monetary policy shocks
expand shadow banking? . . . . . . . . . 198--211
Gerhard Rünstler and
Marente Vlekke Business, housing, and credit cycles . . 212--226
Mardi Dungey and
Eric Renault Identifying contagion . . . . . . . . . 227--250
John M. Maheu and
Yong Song An efficient Bayesian approach to
multiple structural change in
multivariate time series . . . . . . . . 251--270
Sebastian Opitz and
Henry Seidel and
Alexander Szimayer Measuring crisis risk using conditional
copulas: An empirical analysis of the
2008 shipping crisis . . . . . . . . . . 271--289
Kenneth G. Stewart Normalized CES supply systems:
Replication of Klump, McAdam, and
Willman (2007) . . . . . . . . . . . . . 290--296
Anonymous Issue Information . . . . . . . . . . . i--iv
Jia Liu and
John M. Maheu Improving Markov switching models using
realized variance . . . . . . . . . . . 297--318
Haroon Mumtaz and
Paolo Surico Policy uncertainty and aggregate
fluctuations . . . . . . . . . . . . . . 319--331
Rubén Loaiza-Maya and
Michael S. Smith and
Worapree Maneesoonthorn Time series copulas for heteroskedastic
data . . . . . . . . . . . . . . . . . . 332--354
In Choi and
Dukpa Kim and
Yun Jung Kim and
Noh-Sun Kwark A multilevel factor model:
Identification, asymptotic theory and
applications . . . . . . . . . . . . . . 355--377
Minsu Chang and
Francis J. DiTraglia A generalized focused information
criterion for GMM . . . . . . . . . . . 378--397
Marco Bee and
Debbie J. Dupuis and
Luca Trapin Realized extreme quantile: A joint model
for conditional quantiles and measures
of volatility with EVT refinements . . . 398--415
Anastasia Semykina Self-employment among women: Do children
matter more than we previously thought? 416--434
Domenico Depalo Identification issues in the
public/private wage gap, with an
application to Italy . . . . . . . . . . 435--456
Helmut Farbmacher and
Raphael Guber and
Johan Vikström Increasing the credibility of the twin
birth instrument . . . . . . . . . . . . 457--472
Andrew C. Chang and
Phillip Li and
Shawn M. Martin Comparing cross-country estimates of
Lorenz curves using a Dirichlet
distribution across estimators and
datasets . . . . . . . . . . . . . . . . 473--478
Shulin Shen and
Jindong Pang Measuring the diffusion of housing
prices across space and over time:
Replication and further evidence . . . . 479--484
Anonymous Issue Information . . . . . . . . . . . i--iv
Marco Bernardini and
Gert Peersman Private debt overhang and the government
spending multiplier: Evidence for the
United States . . . . . . . . . . . . . 485--508
Joshua C. C. Chan and
Eric Eisenstat Bayesian model comparison for
time-varying parameter VARs with
stochastic volatility . . . . . . . . . 509--532
Bart Keijsers and
Bart Diris and
Erik Kole Cyclicality in losses on bank loans . . 533--552
Le-Yu Chen and
Sokbae Lee Exact computation of GMM estimators for
instrumental variable quantile
regression models . . . . . . . . . . . 553--567
Petri Böckerman and
Ohto Kanninen and
Ilpo Suoniemi A kink that makes you sick: The effect
of sick pay on absence . . . . . . . . . 568--579
Gustaf Bruze Intergenerational mobility: New evidence
from consumption data . . . . . . . . . 580--593
Bruno Crépon and
Marc Ferracci and
Gregory Jolivet and
Gerard J. van den Berg Information shocks and the empirical
evaluation of training programs during
unemployment spells . . . . . . . . . . 594--616
Vincenzo Bove and
Gunes Gokmen Genetic distance, trade, and the
diffusion of development . . . . . . . . 617--623
Anonymous Issue Information . . . . . . . . . . . i--iv
Mario Forni and
Alessandro Giovannelli and
Marco Lippi and
Stefano Soccorsi Dynamic factor model with
infinite-dimensional factor space:
Forecasting . . . . . . . . . . . . . . 625--642
Andrea Carriero and
Sarah Mouabbi and
Elisabetta Vangelista UK term structure decompositions at the
zero lower bound . . . . . . . . . . . . 643--661
Laurent Ferrara and
Pierre Guérin What are the macroeconomic effects of
high-frequency uncertainty shocks? . . . 662--679
Maik H. Wolters How the baby boomers' retirement wave
distorts model-based output gap
estimates . . . . . . . . . . . . . . . 680--689
Zhentao Shi and
Huanhuan Zheng Structural estimation of behavioral
heterogeneity . . . . . . . . . . . . . 690--707
Pengfei Sun and
Casper G. de Vries Exploiting tail shape biases to
discriminate between stable and student
t alternatives . . . . . . . . . . . . . 708--726
Roberto A. De Santis and
Srecko Zimic Spillovers among sovereign debt markets:
Identification through absolute
magnitude restrictions . . . . . . . . . 727--747
Enrico Spolaore and
Romain Wacziarg Ancestry and development: New evidence 748--762
Anonymous Issue Information . . . . . . . . . . . i--iv
Sébastien Fries and
Jean-Stéphane Mésonnier and
Sarah Mouabbi and
Jean-Paul Renne National natural rates of interest and
the single monetary policy in the euro
area . . . . . . . . . . . . . . . . . . 763--779
Laura Coroneo and
Valentina Corradi and
Paulo Santos Monteiro Testing for optimal monetary policy via
moment inequalities . . . . . . . . . . 780--796
Wuyi Wang and
Peter C. B. Phillips and
Liangjun Su Homogeneity pursuit in panel data
models: Theory and application . . . . . 797--815
Alexander Chudik and
M. Hashem Pesaran and
Jui-Chung Yang Half-panel jackknife fixed-effects
estimation of linear panels with weakly
exogenous regressors . . . . . . . . . . 816--836
Carlos Madeira Testing the rationality of expectations
of qualitative outcomes . . . . . . . . 837--852
Constantino Hevia and
Ivan Petrella and
Martin Sola Risk premia and seasonality in commodity
futures . . . . . . . . . . . . . . . . 853--873
Eduardo Rossi and
Paolo Santucci de Magistris Indirect inference with time series
observed with error . . . . . . . . . . 874--897
Julien Hambuckers and
Andreas Groll and
Thomas Kneib Understanding the economic determinants
of the severity of operational losses: A
regularized generalized Pareto
regression approach . . . . . . . . . . 898--935
Anonymous Issue Information . . . . . . . . . . . i--iv
Jesper Lindé and
Mathias Trabandt Should we use linearized models to
calculate fiscal multipliers? . . . . . 937--965
Siem Jan Koopman and
Rutger Lit and
André Lucas and
Anne Opschoor Dynamic discrete copula models for
high-frequency stock price changes . . . 966--985
Christian Brownlees and
Eul\`alia Nualart and
Yucheng Sun Realized networks . . . . . . . . . . . 986--1006
Bruno Feunou and
Cédric Okou Risk-neutral moment-based estimation of
affine option pricing models* . . . . . 1007--1025
Lei Jiang and
Esfandiar Maasoumi and
Jiening Pan and
Ke Wu A test of general asymmetric dependence 1026--1043
Soohyung Lee and
Chiara Orsini Girls and boys: Economic crisis,
fertility, and birth outcomes . . . . . 1044--1063
Olivier Donni and
Eleonora Matteazzi Collective decisions, household
production, and labor force
participation . . . . . . . . . . . . . 1064--1080
Marina Glushenkova and
Andros Kourtellos and
Marios Zachariadis Barriers to price convergence . . . . . 1081--1097
Susan Dynarski and
Brian Jacob and
Daniel Kreisman How important are fixed effects and time
trends in estimating returns to
schooling? Evidence from a replication
of Jacobson, Lalonde, and Sullivan, 2005 1098--1108
Mateo Velásquez-Giraldo and
Gustavo Canavire-Bacarreza and
Kim P. Huynh and
David T. Jacho-Chavez Flexible Estimation of Demand Systems: A
Copula Approach . . . . . . . . . . . . 1109--1116
Anonymous Issue Information . . . . . . . . . . . i--iv
José Luis Montiel Olea and
Mikkel Plagborg-Mòller Simultaneous confidence bands: Theory,
implementation, and an application to
SVARs . . . . . . . . . . . . . . . . . 1--17
Mark Kerssenfischer The puzzling effects of monetary policy
in VARs: Invalid identification or
missing information? . . . . . . . . . . 18--25
H. Peter Boswijk and
Maurice J. G. Bun and
Maarten Pieter Schinkel Cartel dating . . . . . . . . . . . . . 26--42
Mauro Bernardi and
Leopoldo Catania Switching generalized autoregressive
score copula models with application to
systemic risk . . . . . . . . . . . . . 43--65
David Pacini The two-sample linear regression model
with interval-censored covariates . . . 66--81
Emir Malikov and
Yiguo Sun and
Diane Hite (Under)Mining local residential property
values: A semiparametric spatial
quantile autoregression . . . . . . . . 82--109
Arthur Alik-Lagrange and
Martin Ravallion Estimating within-cluster spillover
effects using a cluster randomization
with application to knowledge diffusion
in rural India . . . . . . . . . . . . . 110--128
Chew Lian Chua and
Sarantis Tsiaplias Information flows and stock market
volatility . . . . . . . . . . . . . . . 129--148
Philipp Eisenhauer The approximate solution of
finite-horizon discrete-choice dynamic
programming models . . . . . . . . . . . 149--154
Giovanni Millo Private returns to R&D in the presence of
spillovers, revisited . . . . . . . . . 155--159
Anonymous Issue Information . . . . . . . . . . . i--iv
Hilde C. Bjòrnland and
Leif Anders Thorsrud Commodity prices and fiscal policy
design: Procyclical despite a rule . . . 161--180
Michael W. McCracken and
Joseph T. McGillicuddy An empirical investigation of direct and
iterated multistep conditional forecasts 181--204
Filippo Ferroni and
Stefano Grassi and
Miguel A. León-Ledesma Selecting structural innovations in DSGE
models . . . . . . . . . . . . . . . . . 205--220
Mario Forni and
Luca Gambetti and
Luca Sala Structural VARs and noninvertible
macroeconomic models . . . . . . . . . . 221--246
Yohei Yamamoto Bootstrap inference for impulse response
functions in factor-augmented vector
autoregressions . . . . . . . . . . . . 247--267
Hande Karabiyik and
Jean-Pierre Urbain and
Joakim Westerlund CCE estimation of factor-augmented
regression models with more factors than
observables . . . . . . . . . . . . . . 268--284
Dimitrios P. Louzis Steady-state modeling and macroeconomic
forecasting quality . . . . . . . . . . 285--314
Hans van Ophem and
Noud van Giersbergen and
Kees Jan van Garderen and
Maurice Bun The cyclicality of R&D investment
revisited . . . . . . . . . . . . . . . 315--324
Anonymous Issue Information . . . . . . . . . . . i--iv
Gabriele Fiorentini and
Enrique Sentana Dynamic specification tests for dynamic
factor models . . . . . . . . . . . . . 325--346
Matteo Barigozzi and
Christian Brownlees NETS: Network estimation for time series 347--364
Maarten van Oordt and
Chen Zhou Systemic risk and bank business models 365--384
Francisco H. G. Ferreira and
Sergio Firpo and
Antonio F. Galvao Actual and counterfactual growth
incidence and delta Lorenz curves:
Estimation and inference . . . . . . . . 385--402
Bart Cockx and
Matteo Picchio and
Stijn Baert Modeling the effects of grade retention
in high school . . . . . . . . . . . . . 403--424
Kurt F. Lewis and
Francisco Vazquez-Grande Measuring the natural rate of interest:
A note on transitory shocks . . . . . . 425--436
Giovanni Angelini and
Emanuele Bacchiocchi and
Giovanni Caggiano and
Luca Fanelli Uncertainty across volatility regimes 437--455
Anthony Garratt and
Shaun P. Vahey and
Yunyi Zhang Real-time forecast combinations for the
oil price . . . . . . . . . . . . . . . 456--462
Anonymous Issue Information . . . . . . . . . . . i--iv
Cheng Hsiao and
Qiankun Zhou Panel parametric, semiparametric, and
nonparametric construction of
counterfactuals . . . . . . . . . . . . 463--481
Cheti Nicoletti and
Birgitta Rabe Sibling spillover effects in school
achievement . . . . . . . . . . . . . . 482--501
Esteban M. Aucejo and
Jonathan James Catching up to girls: Understanding the
gender imbalance in educational
attainment within race . . . . . . . . . 502--525
Sebastian Kripfganz and
Claudia Schwarz Estimation of linear dynamic panel data
models with time-invariant regressors 526--546
Benjamin Williams Controlling for ability using test
scores . . . . . . . . . . . . . . . . . 547--565
James Thomas The signal quality of grades across
academic fields . . . . . . . . . . . . 566--587
Gregorio Caetano and
Josh Kinsler and
Hao Teng Towards causal estimates of children's
time allocation on skill development . . 588--605
Agnieszka Postepska Ethnic capital and intergenerational
transmission of educational attainment 606--611
Kyoo il Kim and
Yao Luo and
Yingjun Su A robust approach to estimating
production functions: Replication of the
ACF procedure . . . . . . . . . . . . . 612--619
Anonymous Issue Information . . . . . . . . . . . i--iv
Florian Huber and
Gregor Kastner and
Martin Feldkircher Should I stay or should I go? A latent
threshold approach to large-scale
mixture innovation models . . . . . . . 621--640
Xin Jin and
John M. Maheu and
Qiao Yang Bayesian parametric and semiparametric
factor models for large realized
covariance matrices . . . . . . . . . . 641--660
Lucia Alessi and
Mark Kerssenfischer The response of asset prices to monetary
policy shocks: Stronger than thought . . 661--672
Daniel A. Dias and
João B. Duarte Monetary policy, housing rents, and
inflation dynamics . . . . . . . . . . . 673--687
Claudia Foroni and
Massimiliano Marcellino and
Dalibor Stevanovic Mixed-frequency models with
moving-average components . . . . . . . 688--706
Damian Clarke and
Sonia Oreffice and
Climent Quintana-Domeque The demand for season of birth . . . . . 707--723
Wendun Wang and
Xinyu Zhang and
Richard Paap To pool or not to pool: What is a good
strategy for parameter estimation and
forecasting in panel regressions? . . . 724--745
Joakim Westerlund and
Yana Petrova and
Milda Norkute CCE in fixed-T panels . . . . . . . . . 746--761
Antonio F. Galvao and
Gabriel Montes-Rojas and
Jose Olmo Tests of asset pricing with time-varying
factor loads . . . . . . . . . . . . . . 762--778
Arnold Polanski and
Evarist Stoja and
Frank Windmeijer Telling tales from the tails:
High-dimensional tail interdependence 779--794
Manuel González-Astudillo Estimating the U.S. output gap with
state-level data . . . . . . . . . . . . 795--810
Helmut Herwartz Long-run neutrality of demand shocks:
Revisiting Blanchard and Quah (1989)
with independent structural shocks . . . 811--819
Davaajargal Luvsannyam and
Khuslen Batmunkh A factor-augmented vector autoregressive
(FAVAR) approach for monetary policy:
Replication of the empirical results in
``measuring the effects of monetary
policy'' . . . . . . . . . . . . . . . . 820--821
Bowen Fu Bubbles and crises: Replicating the
Anundsen et al. (2016) results . . . . . 822--826
Pierfederico Asdrubali and
Simone Tedeschi and
Luigi Ventura Heterogeneity in risk aversion and risk
sharing regressions . . . . . . . . . . 827--835
Tino Berger and
Bernd Kempa Testing for time variation in the
natural rate of interest . . . . . . . . 836--842
Haitao Huang and
Liang Peng and
Vincent W. Yao Comovements and asymmetric tail
dependence in state housing prices in
the USA: a nonparametric approach . . . 843--849
Christian Gillitzer and
Martin McCarthy Does global inflation help forecast
inflation in industrialized countries? 850--857
Matthijs Lof Expected market returns: SVIX, realized
volatility, and the role of dividends 858--864
Elliot Anenberg and
Aurel Hizmo and
Edward Kung and
Raven Molloy Measuring mortgage credit availability:
A frontier estimation approach . . . . . 865--882
Badi H. Baltagi and
Qu Feng and
Chihwa Kao Structural changes in heterogeneous
panels with endogenous regressors . . . 883--892
Arun Advani and
Toru Kitagawa and
Tymon S\loczy\'nski Mostly harmless simulations? Using Monte
Carlo studies for estimator selection 893--910
Keith Finlay and
Leandro M. Magnusson Two applications of wild bootstrap
methods to improve inference in
cluster-IV models . . . . . . . . . . . 911--933
Aeimit Lakdawala Decomposing the effects of monetary
policy using an external instruments
SVAR . . . . . . . . . . . . . . . . . . 934--950
Giovanni Angelini and
Luca Fanelli Exogenous uncertainty and the
identification of structural vector
autoregressions with external
instruments . . . . . . . . . . . . . . 951--971
Fabio Bertolotti and
Massimiliano Marcellino Tax shocks with high and low uncertainty 972--993
Sukjin Han and
Sungwon Lee Estimation in a generalization of
bivariate probit models with dummy
endogenous regressors . . . . . . . . . 994--1015
Jaeho Kim and
Le Wang Hidden group patterns in democracy
developments: Bayesian inference for
grouped heterogeneity . . . . . . . . . 1016--1028
Anonymous Issue Information . . . . . . . . . . . 1--4
George Kapetanios and
Massimiliano Marcellino and
Fabrizio Venditti Large time varying parameter VARs: A
nonparametric approach . . . . . . . . . 1027--1049
Rachidi Kotchoni and
Maxime Leroux and
Dalibor Stevanovic Macroeconomic forecast accuracy in a
data rich environment . . . . . . . . . 1050--1072
Pablo Cuba-Borda and
Luca Guerrieri and
Matteo Iacoviello and
Molin Zhong Likelihood evaluation of models with
occasionally binding constraints . . . . 1073--1085
Arkadiusz Szyd\lowski Endogenous censoring in the mixed
proportional hazard model with an
application to optimal unemployment
insurance . . . . . . . . . . . . . . . 1086--1101
Christopher J. Cronin and
David K. Guilkey and
Ilene S. Speizer Measurement error in discrete health
facility choice models: An example from
urban Senegal . . . . . . . . . . . . . 1102--1120
Wei Lin and
Gloria González-Rivera Extreme returns and intensity of trading 1121--1140
Anonymous Issue Information . . . . . . . . . . . i--iv
James Morley and
Benjamin Wong Estimating and accounting for the output
gap with large Bayesian vector
autoregression . . . . . . . . . . . . . 1--18
Christian Conrad and
Onno Kleen Two are better than one: Volatility
forecasting using multiplicative
component GARCH--MIDAS mode . . . . . . 19--45
Stephen Thiele Modeling the conditional distribution of
financial returns with asymmetric tails 46--60
Christian Gross and
Pierre L. Siklos Analyzing credit risk transmission to
the nonfinancial sector in Europe: A
network approach . . . . . . . . . . . . 61--81
Luca Guerrieri and
Dale Henderson and
Jinill Kim Interpreting shocks to the relative
price of investment with a two-sector
model . . . . . . . . . . . . . . . . . 82--98
Richard Startz The next hundred years of growth and
convergence . . . . . . . . . . . . . . 99--113
Julien Champagne and
Guillaume Poulin-Bellisle and
Rodrigo Sekkel Introducing the Bank of Canada staff
economic projections database . . . . . 114--129
Xiaoqing Zhou Refining the workhorse oil market model 130--140
Anonymous Issue Information . . . . . . . . . . . i--iv
Ana María Herrera and
Sandeep Kumar Rangaraju The effect of oil supply shocks on US
economic activity: What have we learned? 141--159
Malick Sy and
Liuren Wu The shale revolution and shifting crude
dynamics . . . . . . . . . . . . . . . . 160--175
Gary Koop and
Stuart McIntyre and
James Mitchell and
Aubrey Poon Regional output growth in the United
Kingdom: More timely and higher
frequency estimates from 1970 . . . . . 176--197
Jason Abrevaya and
Chris Muris Interval censored regression with fixed
effects . . . . . . . . . . . . . . . . 198--216
Hung-pin Lai and
Subal C. Kumbhakar Estimation of a dynamic stochastic
frontier model using likelihood-based
approaches . . . . . . . . . . . . . . . 217--247
Nikolaus Hautsch and
Rodrigo Herrera Multivariate dynamic intensity
peaks-over-threshold models . . . . . . 248--272
Anonymous Issue Information . . . . . . . . . . . i--iv
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino Assessing international commonality in
macroeconomic uncertainty and its
effects . . . . . . . . . . . . . . . . 273--293
Matthew Harding and
Carlos Lamarche and
M. Hashem Pesaran Common correlated effects estimation of
heterogeneous dynamic panel quantile
regression models . . . . . . . . . . . 294--314
Shosei Sakaguchi Estimation of average treatment effects
using panel data when treatment effect
heterogeneity depends on unobserved
fixed effects . . . . . . . . . . . . . 315--327
Alain Hecq and
Joao Victor Issler and
Sean Telg Mixed causal-noncausal autoregressions
with exogenous regressors . . . . . . . 328--343
Antoine A. Djogbenou Comovements in the real activity of
developed and emerging economies: A test
of global versus specific international
factors . . . . . . . . . . . . . . . . 344--370
Anonymous Issue Information . . . . . . . . . . . i--iv
Gloria Gonzalez-Rivera and
Yun Luo and
Esther Ruiz Prediction regions for interval-valued
time series . . . . . . . . . . . . . . 373--390
Laura Coroneo and
Fabrizio Iacone Comparing predictive accuracy in small
samples using fixed-smoothing
asymptotics . . . . . . . . . . . . . . 391--409
Joscha Beckmann and
Gary Koop and
Dimitris Korobilis and
Rainer Alexander Schüssler Exchange rate predictability and dynamic
Bayesian learning . . . . . . . . . . . 410--421
A. Ronald Gallant Complementary Bayesian method of moments
strategies . . . . . . . . . . . . . . . 422--439
Jonas Dovern and
Hans Manner Order-invariant tests for proper
calibration of multivariate density
forecasts . . . . . . . . . . . . . . . 440--456
Emir Malikov and
Shunan Zhao and
Subal C. Kumbhakar Estimation of firm-level productivity in
the presence of exports: Evidence from
China's manufacturing . . . . . . . . . 457--480
Anonymous Issue Information . . . . . . . . . . . i--iv
Hans Fricke and
Markus Frölich and
Martin Huber and
Michael Lechner Endogeneity and non-response bias in
treatment evaluation --- nonparametric
identification of causal effects by
instruments . . . . . . . . . . . . . . 481--504
Yi-Ting Chen A distributional synthetic control
method for policy evaluation . . . . . . 505--525
Paul Muller and
Bas van der Klaauw and
Arjan Heyma Comparing econometric methods to
empirically evaluate activation programs
for job seekers . . . . . . . . . . . . 526--547
Mohitosh Kejriwal and
Xiaoxiao Li and
Evan Totty Multidimensional skills and the returns
to schooling: Evidence from an
interactive fixed-effects approach and a
linked survey-administrative data set 548--566
Mette Ejrnæs and
Thomas H. Jòrgensen Family planning in a life-cycle model
with income risk . . . . . . . . . . . . 567--586
Norman R. Swanson and
Weiqi Xiong and
Xiye Yang Predicting interest rates using
shrinkage methods, real-time diffusion
indexes, and model combinations . . . . 587--613
Daniel Kaufmann Is deflation costly after all? The
perils of erroneous historical
classifications . . . . . . . . . . . . 614--628
Hongwei Zhang and
Qiang He and
Ben Jacobsen and
Fuwei Jiang Forecasting stock returns with model
uncertainty and parameter instability 629--644
Marcin B\lazejowski and
Pawe\l Kufel and
Jacek Kwiatkowski Model simplification and variable
selection: a replication of the UK
inflation model by Hendry (2001) . . . . 645--652
Anonymous Issue Information . . . . . . . . . . . i--iv
Jing Cynthia Wu and
Fan Dora Xia Negative interest rate policy and the
yield curve . . . . . . . . . . . . . . 653--672
Lutz Kilian and
Xiaoqing Zhou Does drawing down the US Strategic
Petroleum Reserve help stabilize oil
prices? . . . . . . . . . . . . . . . . 673--691
Joshua C. C. Chan and
Eric Eisenstat and
Chenghan Hou and
Gary Koop Composite likelihood methods for large
Bayesian VARs with stochastic volatility 692--711
Otilia Boldea and
Bettina Drepper and
Zhuojiong Gan Change point estimation in panel data
with time-varying individual effects . . 712--727
In Choi and
Hanbat Jeong Differencing versus nondifferencing in
factor-based forecasting . . . . . . . . 728--750
Gerald Carlino and
Thorsten Drautzburg The role of startups for local labor
markets . . . . . . . . . . . . . . . . 751--775
Joakim Westerlund A cross-section average-based principal
components approach for fixed- T panels 776--785
Richard A. Dunn and
Nathan W. Tefft Replicating the Levitt and Porter
estimates of drunk driving . . . . . . . 786--796
Anonymous Issue Information . . . . . . . . . . . i--iv
Bo Honoré and
Thomas Jòrgensen and
Áureo de Paula The informativeness of estimation
moments . . . . . . . . . . . . . . . . 797--813
Martin Huber and
Yu-Chin Hsu and
Ying-Ying Lee and
Layal Lettry Direct and indirect effects of
continuous treatments based on
generalized propensity score weighting 814--840
Christian Belzil and
Jörgen Hansen The evolution of the US family
income--schooling relationship and
educational selectivity . . . . . . . . 841--859
Koen Jochmans Testing for correlation in
error-component models . . . . . . . . . 860--878
Yanchun Jin and
Ryo Okui Testing for overconfidence
statistically: a moment inequality
approach . . . . . . . . . . . . . . . . 879--892
Marco Bertoni and
Giorgio Brunello and
Lorenzo Cappellari Who benefits from privileged peers?
Evidence from siblings in schools . . . 893--916
Valentin Verdier Average treatment effects for stayers
with correlated random coefficient
models of panel data . . . . . . . . . . 917--939
Yifan Gong and
Todd Stinebrickner and
Ralph Stinebrickner Perceived and actual option values of
college enrollment . . . . . . . . . . . 940--959
Yana Petrova and
Joakim Westerlund Fixed effects demeaning in the presence
of interactive effects in treatment
effects regressions and elsewhere . . . 960--964
Anonymous Issue Information . . . . . . . . . . . 1--4
James M. Nason and
Gregor W. Smith Measuring the slowly evolving trend in
US inflation with professional forecasts 1--17
Michele Aquaro and
Natalia Bailey and
M. Hashem Pesaran Estimation and inference for spatial
models with heterogeneous coefficients:
An application to US house prices . . . 18--44
David I. Harvey and
Stephen J. Leybourne and
Robert Sollis and
A. M. Robert Taylor Real-time detection of regimes of
predictability in the US equity premium 45--70
Andrew Harvey and
Stephen Thiele Cointegration and control: Assessing the
impact of events using time series data 71--85
Haroon Mumtaz and
Laura Sunder-Plassmann Nonlinear effects of government spending
shocks in the USA: Evidence from
state-level data . . . . . . . . . . . . 86--97
Romain Duval and
Davide Furceri and
Jakob Miethe Robust political economy correlates of
major product and labor market reforms
in advanced economies: Evidence from
BAMLE for logit models . . . . . . . . . 98--124
Sinem Hacio\uglu Hoke and
George Kapetanios Common correlated effect cross-sectional
dependence corrections for nonlinear
conditional mean panel models . . . . . 125--150
Matei Demetrescu and
Christoph Roling and
Anna Titova Reevaluating the prudence of economic
forecasts in the EU: The role of
instrument persistence . . . . . . . . . 151--161
Anonymous Issue Information . . . . . . . . . . . 163--163
Chih-Sheng Hsieh and
Xu Lin Social interactions and social
preferences in social networks . . . . . 165--189
Lukás Lafférs and
Bernhard Schmidpeter Early child development and parents'
labor supply . . . . . . . . . . . . . . 190--208
Sacha Kapoor and
Matthijs Oosterveen and
Dinand Webbink The price of forced attendance . . . . . 209--227
Alexis Akira Toda and
Yulong Wang Efficient minimum distance estimation of
Pareto exponent from top income shares 228--243
Richard Bluhm and
Martin Gassebner and
Sarah Langlotz and
Paul Schaudt Fueling conflict? (De)escalation and
bilateral aid . . . . . . . . . . . . . 244--261
Florian Huber and
Michael Pfarrhofer Dynamic shrinkage in time-varying
parameter stochastic volatility in mean
models . . . . . . . . . . . . . . . . . 262--270
Anonymous Issue Information . . . . . . . . . . . 271--271
Hilde C. Bjòrnland and
Frode Martin Nordvik and
Maximilian Rohrer Supply flexibility in the shale patch:
Evidence from North Dakota . . . . . . . 273--292
James D. Hamilton Measuring global economic activity . . . 293--303
Niko Hauzenberger and
Florian Huber and
Luca Onorante Combining shrinkage and sparsity in
conjugate vector autoregressive models 304--327
Isabel Casas and
Jiti Gao and
Bin Peng and
Shangyu Xie Time-varying income elasticities of
healthcare expenditure for the OECD and
Eurozone . . . . . . . . . . . . . . . . 328--345
Yu-Chin Hsu and
Shu Shen Testing monotonicity of conditional
treatment effects under regression
discontinuity designs . . . . . . . . . 346--366
Anonymous Issue Information . . . . . . . . . . . 367--367
Jörg Breitung and
Malte Knüppel How far can we forecast? Statistical
tests of the predictive content . . . . 369--392
Arnaud Dupuy Migration in China: To work or to wed? 393--415
Nathan Canen and
Kyungchul Song Counterfactual analysis under partial
identification using locally robust
refinement . . . . . . . . . . . . . . . 416--436
Sabine Deij and
Jakob B. Madsen and
Laura Puzzello When are instruments generated from
geographic characteristics in bilateral
relationships invalid? . . . . . . . . . 437--452
Robert M. Sauer and
Christopher Taber Understanding women's wage growth using
indirect inference with importance
sampling . . . . . . . . . . . . . . . . 453--473
Andrés Ramírez-Hassan Bayesian estimation of the exact affine
Stone index demand system: Replicating
the Lewbel and Pendakur (2009) results 484--491
Stephen P. Jenkins and
Fernando Rios-Avila Measurement error in earnings data:
Replication of Meijer, Rohwedder, and
Wansbeek's mixture model approach to
combining survey and register data . . . 474--483
Anonymous Issue Information . . . . . . . . . . . 493--493
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino No-arbitrage priors, drifting
volatilities, and the term structure of
interest rates . . . . . . . . . . . . . 495--516
Ruben Loaiza-Maya and
Gael M. Martin and
David T. Frazier Focused Bayesian prediction . . . . . . 517--543
Marina Balboa and
Paulo M. M. Rodrigues and
Antonio Rubia and
A. M. Robert Taylor Multivariate fractional integration
tests allowing for conditional
heteroskedasticity with an application
to return volatility and trading volume 544--565
Arnoud Stevens and
Joris Wauters Is euro area lowflation here to stay?
Insights from a time-varying parameter
model with survey data . . . . . . . . . 566--586
Natalia Bailey and
George Kapetanios and
M. Hashem Pesaran Measurement of factor strength: Theory
and practice . . . . . . . . . . . . . . 587--613
Mengheng Li and
Siem Jan Koopman Unobserved components with stochastic
volatility: Simulation-based estimation
and signal extraction . . . . . . . . . 614--627
Arpita Chatterjee and
James Morley and
Aarti Singh Estimating household consumption
insurance . . . . . . . . . . . . . . . 628--635
Anonymous Issue Information . . . . . . . . . . . 637--637
Rolf Aaberge and
Tarjei Havnes and
Magne Mogstad Ranking intersecting distribution
functions . . . . . . . . . . . . . . . 639--662
Matteo Picchio and
Claudia Pigini and
Stefano Staffolani and
Alina Verashchagina If not now, when? The timing of
childbirth and labor market outcomes . . 663--685
Bernard Fortin and
Nicolas Jacquemet and
Bruce Shearer Labour supply, service intensity, and
contracts: Theory and evidence on
physicians . . . . . . . . . . . . . . . 686--702
Arnaud Dufays and
Zhuo Li and
Jeroen V. K. Rombouts and
Yong Song Sparse change-point VAR models . . . . . 703--727
Patrick Schmidt and
Matthias Katzfuss and
Tilmann Gneiting Interpretation of point forecasts with
unknown directive . . . . . . . . . . . 728--743
Mathias Klein and
Roland Winkler The government spending multiplier at
the zero lower bound: International
evidence from historical data . . . . . 744--759
Everett Grant and
Julieta Yung The double-edged sword of global
integration: Robustness, fragility, and
contagion in the international firm
network . . . . . . . . . . . . . . . . 760--783
Sarantis Tsiaplias Consumer inflation expectations, income
changes and economic downturns . . . . . 784--807
Bruno Merlevede and
Angelos Theodorakopoulos Productivity effects of
internationalisation through the
domestic supply chain . . . . . . . . . 808--832
Héctor M. Núñez and
Jesús Otero A one covariate at a time, multiple
testing approach to variable selection
in high-dimensional linear regression
models: a replication in a narrow sense 833--841
Luke Chicoine and
Emily Lyons and
Alexia Sahue The impact of HIV/AIDS on human capital
investment in Sub-Saharan Africa: New
evidence . . . . . . . . . . . . . . . . 842--852
Jeremy Edwards Did Protestantism promote prosperity via
higher human capital? Replicating the
Becker--Woessmann (2009) results . . . . 853--858
Anonymous Issue Information . . . . . . . . . . . 859--859
Federico A. Bugni and
Joel L. Horowitz Permutation tests for equality of
distributions of functional data . . . . 861--877
Dante Amengual and
Jesús Bueren and
Julio A. Crego Endogenous health groups and
heterogeneous dynamics of the elderly 878--897
Olivier De Groote and
Koen Declercq Tracking and specialization of high
schools: Heterogeneous effects of school
choice . . . . . . . . . . . . . . . . . 898--916
Cheng Chou and
Ruoyao Shi What time use surveys can (and cannot)
tell us about labor supply . . . . . . . 917--937
Stanislav Anatolyev and
Sergei Seleznev and
Veronika Selezneva How does the financial market update
beliefs about the real economy? Evidence
from the oil market . . . . . . . . . . 938--961
Bingduo Yang and
Christian M. Hafner and
Guannan Liu and
Wei Long Semiparametric estimation and variable
selection for single-index copula models 962--988
Simon Beyeler and
Sylvia Kaufmann Reduced-form factor augmented
VAR-Exploiting sparsity to include
meaningful factors . . . . . . . . . . . 989--1012
Robert A. Jarrow and
Simon S. Kwok Inferring financial bubbles from option
data . . . . . . . . . . . . . . . . . . 1013--1046
Nooman Rebei and
Rashid Sbia Transitory and permanent shocks in the
global market for crude oil . . . . . . 1047--1064
Daniel Kuehnle and
Michael Oberfichtner and
Kerstin Ostermann Revisiting gender identity and relative
income within households: a cautionary
tale on the potential pitfalls of
density estimators . . . . . . . . . . . 1065--1073
Xiao Ke and
Cheng Hsiao Featured Cover . . . . . . . . . . . . . i--i
Anonymous Issue Information . . . . . . . . . . . i--ii
Giovanni Angelini and
Giuseppe Cavaliere and
Luca Fanelli Bootstrap inference and diagnostics in
state space models: With applications to
dynamic macro models . . . . . . . . . . 3--22
Malte Knüppel and
Fabian Krüger Forecast uncertainty, disagreement, and
the linear pool . . . . . . . . . . . . 23--41
Nikoleta Anesti and
Ana Beatriz Galvão and
Silvia Miranda-Agrippino Uncertain Kingdom: Nowcasting Gross
Domestic Product and its revisions . . . 42--62
Jon Ellingsen and
Vegard H. Larsen and
Leif Anders Thorsrud News media versus FRED-MD for
macroeconomic forecasting . . . . . . . 63--81
Jo Reynaerts and
Jakob Vanschoonbeek The economics of state fragmentation:
Assessing the economic impact of
secession . . . . . . . . . . . . . . . 82--115
Konstantinos Angelopoulos and
Spyridon Lazarakis and
James Malley Cyclical labour income risk in Great
Britain . . . . . . . . . . . . . . . . 116--130
Callum Jones and
Mariano Kulish and
Daniel M. Rees International spillovers of forward
guidance shocks . . . . . . . . . . . . 131--160
Malin Gardberg and
Lorenzo Pozzi Aggregate consumption and wealth in the
long run: The impact of financial
liberalization . . . . . . . . . . . . . 161--186
Xiao Ke and
Cheng Hsiao Economic impact of the most drastic
lockdown during COVID-19 pandemic ---
the experience of Hubei, China . . . . . 187--209
Giovanni Caggiano and
Efrem Castelnuovo and
Gabriela Nodari Uncertainty and monetary policy in good
and bad times: a replication of the
vector autoregressive investigation by
Bloom (2009) . . . . . . . . . . . . . . 210--217
Kamila Cygan-Rehm Are there no wage returns to compulsory
schooling in Germany? A reassessment . . 218--223
Anonymous Issue Information . . . . . . . . . . . 225--225
Stephen Kastoryano and
Bas van der Klaauw Dynamic evaluation of job search
assistance . . . . . . . . . . . . . . . 227--241
Jorge Rodríguez and
Fernando Saltiel and
Sergio Urzúa Dynamic treatment effects of job
training . . . . . . . . . . . . . . . . 242--269
Michael P. Leung Dependence-robust inference using
resampled statistics . . . . . . . . . . 270--285
Senay Sokullu and
Christine Valente Individual consumption in collective
households: Identification using
repeated observations with an
application to PROGRESA . . . . . . . . 286--304
Mustapha Douch and
Terence Huw Edwards The bilateral trade effects of
announcement shocks: Brexit as a natural
field experiment . . . . . . . . . . . . 305--329
Eric Fesselmeyer and
Haoming Liu and
Alberto Salvo Declining discount rates in Singapore's
market for privately developed
apartments . . . . . . . . . . . . . . . 330--350
Martijn van Hasselt and
Christopher R. Bollinger and
Jeremy W. Bray A Bayesian approach to account for
misclassification in prevalence and
trend estimation . . . . . . . . . . . . 351--367
Viktor Todorov and
Yang Zhang Information gains from using short-dated
options for measuring and forecasting
volatility . . . . . . . . . . . . . . . 368--391
Anthony Garratt and
Ivan Petrella Commodity prices and inflation risk . . 392--414
Michael T. Owyang and
Jeremy Piger and
Daniel Soques Contagious switching . . . . . . . . . . 415--432
Gerdie Everaert and
Lorenzo Pozzi Encompassing measures of international
consumption risk sharing and their link
with trade and financial globalization 433--449
Matthew Schaffer and
Nimrod Segev The deposits channel revisited . . . . . 450--458
Anonymous Issue Information . . . . . . . . . . . 459--459
Simona Delle Chiaie and
Laurent Ferrara and
Domenico Giannone Common factors of commodity prices . . . 461--476
Martin Kliem and
Alexander Meyer-Gohde (Un)expected monetary policy shocks and
term premia . . . . . . . . . . . . . . 477--499
Michael R. M. Abrigo and
Timothy J. Halliday and
Teresa Molina Expanding health insurance for the
elderly of the Philippines . . . . . . . 500--520
Mauro Laudicella and
Paolo Li Donni The dynamic interdependence in the
demand of primary and emergency
secondary care: a hidden Markov approach 521--536
William C. Horrace and
Yulong Wang Nonparametric tests of tail behavior in
stochastic frontier models . . . . . . . 537--562
Seung-Hyun Hong Real estate agents' influence on housing
search . . . . . . . . . . . . . . . . . 563--582
Joshua C. C. Chan and
Liana Jacobi and
Dan Zhu An automated prior robustness analysis
in Bayesian model comparison . . . . . . 583--602
Iason Kynigakis and
Ekaterini Panopoulou Does model complexity add value to asset
allocation? Evidence from machine
learning forecasting models . . . . . . 603--639
Michael P. Clements Individual forecaster perceptions of the
persistence of shocks to GDP . . . . . . 640--656
Raphael Gouvêa Large devaluations and inflation
inequality: Replicating Cravino and
Levchenko (2017) with evidence from
Brazil . . . . . . . . . . . . . . . . . 657--664
Anonymous Issue Information . . . . . . . . . . . 665--665
Daniel J. Lewis and
Karel Mertens and
James H. Stock and
Mihir Trivedi Measuring real activity using a weekly
economic index . . . . . . . . . . . . . 667--687
Michele Lenza and
Giorgio E. Primiceri How to estimate a vector autoregression
after March 2020 . . . . . . . . . . . . 688--699
Andrea Carriero and
Francesco Corsello and
Massimiliano Marcellino The global component of inflation
volatility . . . . . . . . . . . . . . . 700--721
Yohei Yamamoto and
Naoko Hara Identifying factor-augmented vector
autoregression models via changes in
shock variances . . . . . . . . . . . . 722--745
Jakob de Haan and
Rasmus Wiese The impact of product and labour market
reform on growth: Evidence for OECD
countries based on local projections . . 746--770
Zichen Deng and
Maarten Lindeboom Early-life famine exposure, hunger
recall, and later-life health . . . . . 771--787
Arturas Juodis A regularization approach to common
correlated effects estimation . . . . . 788--810
Martin Fischer and
Gawain Heckley and
Martin Karlsson and
Therese Nilsson Revisiting Sweden's comprehensive school
reform: Effects on education and
earnings . . . . . . . . . . . . . . . . 811--819
Michael E. Rose Small world: Narrow, wide, and long
replication of Goyal, van der Leij and
Moraga--Gonzélez (JPE 2006) and a
comparison of EconLit and Scopus . . . . 820--828
Anonymous Correction . . . . . . . . . . . . . . . 829--830
Daniel Kuehnle and
Michael Oberfichtner and
Kerstin Ostermann Correction . . . . . . . . . . . . . . . 831--840
Anonymous Issue Information . . . . . . . . . . . 841--841
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino Nowcasting tail risk to economic
activity at a weekly frequency . . . . . 843--866
Lutz Kilian and
Xiaoqing Zhou Oil prices, gasoline prices, and
inflation expectations . . . . . . . . . 867--881
Jamie L. Cross and
Bao H. Nguyen and
Trung Duc Tran The role of precautionary and
speculative demand in the global market
for crude oil . . . . . . . . . . . . . 882--895
Eleni Kalamara and
Arthur Turrell and
Chris Redl and
George Kapetanios and
Sujit Kapadia Making text count: Economic forecasting
using newspaper text . . . . . . . . . . 896--919
Philippe Goulet Coulombe and
Maxime Leroux and
Dalibor Stevanovic and
Stéphane Surprenant How is machine learning useful for
macroeconomic forecasting? . . . . . . . 920--964
Tae-Hwy Lee and
Shahnaz Parsaeian and
Aman Ullah Optimal forecast under structural breaks 965--987
Linda Mhalla and
Julien Hambuckers and
Marie Lambert Extremal connectedness of hedge funds 988--1009
Matei Demetrescu and
Christoph Hanck and
Robinson Kruse-Becher Robust inference under time-varying
volatility: a real-time evaluation of
professional forecasters . . . . . . . . 1010--1030
Trong-Nghia Nguyen and
Minh-Ngoc Tran and
Robert Kohn Recurrent conditional heteroskedasticity 1031--1054
Jinho Choi and
Juan Carlos Escanciano and
Junjie Guo Generalized band spectrum estimation
with an application to the New Keynesian
Phillips curve . . . . . . . . . . . . . 1055--1078
Kleanthis Natsiopoulos and
Nickolaos G. Tzeremes ARDL bounds test for cointegration:
Replicating the Pesaran et al. (2001)
results for the UK earnings equation
using R . . . . . . . . . . . . . . . . 1079--1090
Anonymous Issue Information . . . . . . . . . . . 1091--1091
Pedro H. C. Sant'Anna and
Xiaojun Song and
Qi Xu Covariate distribution balance via
propensity scores . . . . . . . . . . . 1093--1120
Koen Jochmans and
Vincenzo Verardi Instrumental-variable estimation of
exponential-regression models with
two-way fixed effects with an
application to gravity equations . . . . 1121--1137
Massimo Ferrari Minesso and
Frederik Kurcz and
Maria Sole Pagliari Do words hurt more than actions? The
impact of trade tensions on financial
markets . . . . . . . . . . . . . . . . 1138--1159
Murat K. Munkin Count Roy model with finite mixtures . . 1160--1181
Georg Duernecker and
Moritz Meyer and
Fernando Vega-Redondo Trade openness and growth: a
network-based approach . . . . . . . . . 1182--1203
M. Hashem Pesaran and
Cynthia Fan Yang Matching theory and evidence on Covid-19
using a stochastic network SIR model . . 1204--1229
Yu Bai and
Andrea Carriero and
Todd E. Clark and
Massimiliano Marcellino Macroeconomic forecasting in a
multi-country context . . . . . . . . . 1230--1255
Emilia Del Bono and
Josh Kinsler and
Ronni Pavan Identification of dynamic latent factor
models of skill formation with translog
production . . . . . . . . . . . . . . . 1256--1265
Nino Buliskeria and
Jaromir Baxa Do rural banks matter that much? Burgess
and Pande (2005) reconsidered . . . . . 1266--1274
Anonymous Issue Information . . . . . . . . . . . 1275--1275
Thomas F. Crossley and
Peter Levell and
Stavros Poupakis Regression with an imputed dependent
variable . . . . . . . . . . . . . . . . 1277--1294
Dante Amengual and
Xinyue Bei and
Enrique Sentana Normal but skewed? . . . . . . . . . . . 1295--1313
Ana Beatriz Galvão and
Michael Owyang Forecasting low-frequency macroeconomic
events with high-frequency data . . . . 1314--1333
Erik Hjalmarsson and
Tamas Kiss Long-run predictability tests are even
worse than you thought . . . . . . . . . 1334--1355
Badi H. Baltagi and
Peter H. Egger and
Michaela Kesina Bayesian estimation of multivariate
panel probits with higher-order network
interdependence and an application to
firms' global market participation in
Guangdong . . . . . . . . . . . . . . . 1356--1378
Costanza Naguib Did earnings mobility change after
minimum wage introduction? Evidence from
parametric and semi-nonparametric
methods in Germany . . . . . . . . . . . 1379--1402
Dean Scrimgeour Reevaluating the evidence on seasonality
in housing market match quality:
Replication of Ngai and Tenreyro (2014) 1403--1409
Hie Joo Ahn The role of observed and unobserved
heterogeneity in the duration of
unemployment . . . . . . . . . . . . . . 3--23
Yoonseok Lee and
Mary E. Lovely and
Hoang Pham Dynamic and non-neutral productivity
effects of foreign ownership: a
nonparametric approach . . . . . . . . . 24--48
Daniela Scidá Structural VAR and financial networks: a
minimum distance approach to spatial
modeling . . . . . . . . . . . . . . . . 49--68
Manfred M. Fischer and
Niko Hauzenberger and
Florian Huber and
Michael Pfarrhofer General Bayesian time-varying parameter
vector autoregressions for modeling
government bond yields . . . . . . . . . 69--87
Andrew C. Chang and
Trace J. Levinson Raiders of the lost high-frequency
forecasts: New data and evidence on the
efficiency of the Fed's forecasting . . 88--104
Luiz Renato Lima and
Lucas Lúcio Godeiro Equity-premium prediction: Attention is
all you need . . . . . . . . . . . . . . 105--122
Anna\"\ig Morin Workplace heterogeneity and wage
inequality in Denmark . . . . . . . . . 123--133
Denise Desjardins and
Georges Dionne and
Yang Lu Featured Cover . . . . . . . . . . . . . ??
Anonymous Issue Information . . . . . . . . . . . 135--135
Aaron J. Amburgey and
Michael W. McCracken On the real-time predictive content of
financial condition indices for growth 137--163
Michael P. Clements and
Ana Beatriz Galvão Density forecasting with Bayesian Vector
Autoregressive models under
macroeconomic data uncertainty . . . . . 164--185
Katarzyna Budnik and
Gerhard Rünstler Identifying structural VARs from sparse
narrative instruments: Dynamic effects
of US macroprudential policies . . . . . 186--201
Jianhao Lin and
Jiacheng Fan and
Yifan Zhang and
Liangyuan Chen Real-time macroeconomic projection using
narrative central bank communication . . 202--221
Christopher S. Sutherland Forward guidance and expectation
formation: A narrative approach . . . . 222--241
Denise Desjardins and
Georges Dionne and
Yang Lu Hierarchical random-effects model for
the insurance pricing of vehicles
belonging to a fleet . . . . . . . . . . 242--259
Tony Chernis and
Patrick J. Coe and
Shaun P. Vahey Reassessing the dependence between
economic growth and financial conditions
since 1973 . . . . . . . . . . . . . . . 260--267
Anonymous Issue Information . . . . . . . . . . . 269--269
Dario Laudati and
M. Hashem Pesaran Identifying the effects of sanctions on
the Iranian economy using newspaper
coverage . . . . . . . . . . . . . . . . 271--294
Pablo Guerróon-Quintana and
Molin Zhong Macroeconomic forecasting in times of
crises . . . . . . . . . . . . . . . . . 295--320
Koen Jochmans Testing random assignment to peer groups 321--333
David Slichter The employment effects of the minimum
wage: a selection ratio approach to
measuring treatment effects . . . . . . 334--357
Bruno Ferman Inference in difference-in-differences:
How much should we trust in independent
clusters? . . . . . . . . . . . . . . . 358--369
Claudia Foroni and
Livio Stracca The shale oil revolution and the global
oil supply curve . . . . . . . . . . . . 370--387
Lukas Boer and
Lukas Menkhoff and
Malte Rieth The multifaceted impact of US trade
policy on financial markets . . . . . . 388--406
Santiago Acerenza and
Otávio Bartalotti and
Désiré Kédagni Testing identifying assumptions in
bivariate probit models . . . . . . . . 407--422
Jan Bietenbeck and
Matthew Collins New evidence on the importance of
instruction time for student achievement
on international assessments . . . . . . 423--431
Giovanni Caggiano and
Efrem Castelnuovo Global financial uncertainty . . . . . . 432--449
Anonymous Issue Information . . . . . . . . . . . 451--451
Alexander Doser and
Ricardo Nunes and
Nikhil Rao and
Viacheslav Sheremirov Inflation expectations and
nonlinearities in the Phillips curve . . 453--471
Joan Paredes and
Javier J. Pérez and
Gabriel Perez Quiros Fiscal targets. A guide to forecasters? 472--492
Nadja Klein and
Michael Stanley Smith and
David J. Nott Deep distributional time series models
and the probabilistic forecasting of
intraday electricity prices . . . . . . 493--511
Daniel Borup and
Jorge Wolfgang Hansen and
Benjamin Dybro Liengaard and
Erik Christian Montes Schütte Quantifying investor narratives and
their role during COVID-19 . . . . . . . 512--532
Thomas Despois and
Catherine Doz Identifying and interpreting the factors
in factor models via sparsity: Different
approaches . . . . . . . . . . . . . . . 533--555
Florian Huber and
Gary Koop Subspace shrinkage in conjugate Bayesian
vector autoregressions . . . . . . . . . 556--576
Oskar Gustafsson and
Mattias Villani and
Pär Stockhammar Bayesian optimization of hyperparameters
from noisy marginal likelihood estimates 577--595
Valentina Corradi and
Sainan Jin and
Norman R. Swanson Robust forecast superiority testing with
an application to assessing pools of
expert forecasters . . . . . . . . . . . 596--622
Zidong An and
Salem Abo-Zaid and
Xuguang Simon Sheng Inattention and the impact of monetary
policy . . . . . . . . . . . . . . . . . 623--643
Zhongjun Qu and
Denis Tkachenko Using arbitrary precision arithmetic to
sharpen identification analysis for DSGE
models . . . . . . . . . . . . . . . . . 644--667
James G. MacKinnon and
Morten Òrregaard Nielsen and
Matthew D. Webb Featured Cover . . . . . . . . . . . . .
Anonymous Issue Information . . . . . . . . . . . 669--669
James G. MacKinnon and
Morten Òrregaard Nielsen and
Matthew D. Webb Fast and reliable jackknife and
bootstrap methods for cluster-robust
inference . . . . . . . . . . . . . . . 671--694
Kurt Schmidheiny and
Sebastian Siegloch On event studies and distributed-lags in
two-way fixed effects models:
Identification, equivalence, and
generalization . . . . . . . . . . . . . 695--713
James Mitchell and
Martin Weale Censored density forecasts: Production
and evaluation . . . . . . . . . . . . . 714--734
Yingying Dong and
Michal Kolesár When can we ignore measurement error in
the running variable? . . . . . . . . . 735--750
Yunjong Eo and
Luis Uzeda and
Benjamin Wong Understanding trend inflation through
the lens of the goods and services
sectors . . . . . . . . . . . . . . . . 751--766
Illenin O. Kondo and
Logan T. Lewis and
Andrea Stella Heavy tailed but not Zipf: Firm and
establishment size in the United States 767--785
Jan Bietenbeck and
Petra Thiemann Revisiting the effect of growing up in a
recession on attitudes towards
redistribution . . . . . . . . . . . . . 786--794
Anonymous Correction to ``Exogenous uncertainty
and the identification of structural
vector autoregressions with external
instruments'' . . . . . . . . . . . . . 795--797
Anonymous Issue Information . . . . . . . . . . . 799--799
Josep Lluís Carrion-i-Silvestre and
María Dolores Gadea Testing for multiple level shifts with
an integrated or stationary noise
component . . . . . . . . . . . . . . . 801--819
Yoosoon Chang and
Ana María Herrera and
Elena Pesavento Oil prices uncertainty, endogenous
regime switching, and inflation
anchoring . . . . . . . . . . . . . . . 820--839
Carolina Caetano and
Gregorio Caetano and
Juan Carlos Escanciano Regression discontinuity design with
multivalued treatments . . . . . . . . . 840--856
Eric Hillebrand and
Jakob Guldbæk Mikkelsen and
Lars Spreng and
Giovanni Urga Exchange rates and macroeconomic
fundamentals: Evidence of instabilities
from time-varying factor loadings . . . 857--877
Haicheng Shu and
Peter Spencer Oil prices in the real economy . . . . . 878--897
Jack Fosten and
Shaoni Nandi Nowcasting from cross-sectionally
dependent panels . . . . . . . . . . . . 898--919
John A. List and
Azeem M. Shaikh and
Atom Vayalinkal Multiple testing with covariate
adjustment in experimental economics . . 920--939
Kazuhiko Hayakawa and
M. Hashem Pesaran and
L. Vanessa Smith Short $T$ dynamic panel data models with
individual, time and interactive effects 940--967
Tsutomu Watanabe and
Tomoyoshi Yabu The demand for money at the zero
interest rate bound . . . . . . . . . . 968--976
Philipp Wegmüller and
Christian Glocker US weekly economic index: Replication
and extension . . . . . . . . . . . . . 977--985
Anonymous Issue Information . . . . . . . . . . . 987--987
Wenting Liao and
Jun Ma and
Chengsi Zhang Identifying exchange rate effects and
spillovers of US monetary policy shocks
in the presence of time-varying
instrument relevance . . . . . . . . . . 989--1006
Eiji Goto and
Jan P. A. M. Jacobs and
Tara M. Sinclair and
Simon van Norden Employment reconciliation and nowcasting 1007--1017
Ruhollah Eskandari and
Morteza Zamanian Heterogeneous responses to corporate
marginal tax rates: Evidence from small
and large firms . . . . . . . . . . . . 1018--1047
Seonyoung Park and
Donggyun Shin Recent changes in the nature of the
distribution dynamics of the US county
incomes . . . . . . . . . . . . . . . . 1048--1067
Shiu-Sheng Chen A direct approach to Kilian--Lewis style
counterfactual analysis in vector
autoregression models . . . . . . . . . 1068--1076
Daniel J. Lewis and
Davide Melcangi and
Laura Pilossoph and
Aidan Toner-Rodgers Approximating grouped fixed effects
estimation via fuzzy clustering
regression . . . . . . . . . . . . . . . 1077--1084
Sebastian K. Rüth and
Wouter Van der Veken Monetary policy and exchange rate
anomalies in set-identified SVARs:
Revisited . . . . . . . . . . . . . . . 1085--1092
Christopher Ferrall Was Harold Zurcher myopic after all?
Replicating Rust's engine replacement
estimates . . . . . . . . . . . . . . . 1093--1100
Josefine Quast and
Maik H. Wolters The Federal Reserve's output gap: The
unreliability of real-time reliability
tests . . . . . . . . . . . . . . . . . 1101--1111
Mohitosh Kejriwal and
Xiaoxiao Li and
Linh Nguyen and
Evan Totty The efficacy of ability proxies for
estimating the returns to schooling: a
factor model-based evaluation . . . . . 3--21
Eva F. Janssens and
Robin L. Lumsdaine Sectoral slowdowns in the United
Kingdom: Evidence from transmission
probabilities and economic linkages . . 22--40
Jun Cai and
William C. Horrace and
Christopher F. Parmeter Penalized sieve estimation of
zero-inefficiency stochastic frontiers 41--65
Sulkhan Chavleishvili and
Simone Manganelli Forecasting and stress testing with
quantile vector autoregression . . . . . 66--85
Jens Klooster and
Mikhail Zhelonkin Outlier robust inference in the
instrumental variable model with
applications to causal effects . . . . . 86--106
Sungwon Lee Partial identification and inference for
conditional distributions of treatment
effects . . . . . . . . . . . . . . . . 107--127
Antoine A. Djogbenou Identifying oil price shocks with
global, developed, and emerging latent
real economy activity factors . . . . . 128--149
Enzo D'Innocenzo and
André Lucas and
Anne Opschoor and
Xingmin Zhang Heterogeneity and dynamics in network
models . . . . . . . . . . . . . . . . . 150--173
Yunho Cho and
James Morley and
Aarti Singh Did marginal propensities to consume
change with the housing boom and bust? 174--199
Thomas Aronsson and
Katharina Jenderny and
Gauthier Lanot A maximum likelihood bunching estimator
of the elasticity of taxable income . . 200--216
Federico Crudu and
Advait Moharir Narrow and wide replication of Chalfin
and McCrary (REStat, 2018) . . . . . . . 217--224
Dooyeon Cho and
Seunghwa Rho Reassessing growth vulnerability . . . . 225--234
Anonymous Issue Information . . . . . . . . . . . 235--235
Alyssa Carlson and
Riju Joshi Sample selection in linear panel data
models with heterogeneous coefficients 237--255
Yuehao Bai and
Meng Hsuan Hsieh and
Jizhou Liu and
Max Tabord-Meehan Revisiting the analysis of matched-pair
and stratified experiments in the
presence of attrition . . . . . . . . . 256--268
Jan Prüser and
Florian Huber Nonlinearities in macroeconomic tail
risk through the lens of big data
quantile regressions . . . . . . . . . . 269--291
Andrii Babii and
Ryan T. Ball and
Eric Ghysels and
Jonas Striaukas Panel data nowcasting: The case of
price-earnings ratios . . . . . . . . . 292--307
Shosei Sakaguchi Partial identification and inference in
duration models with endogenous
censoring . . . . . . . . . . . . . . . 308--326
David Kreitmeir and
Thomas Überfuhr Disease and development-The predicted
mortality instrument revisited . . . . . 327--337
Luca Barbaglia and
Sergio Consoli and
Sebastiano Manzan Forecasting GDP in Europe with textual
data . . . . . . . . . . . . . . . . . . 338--355
Claudia Troccoli Does paid parental leave affect
children's schooling outcomes?
Replicating Danzer and Lavy (2018) . . . 356--362
Anonymous Issue Information . . . . . . . . . . . 363--363
Samuele Centorrino and
María Pérez-Urdiales and
Boris Bravo-Ureta and
Alan Wall Binary endogenous treatment in
stochastic frontier models with an
application to soil conservation in El
Salvador . . . . . . . . . . . . . . . . 365--382
Dylan Brewer and
Alyssa Carlson Addressing sample selection bias for
machine learning methods . . . . . . . . 383--400
Philippe Goulet Coulombe The macroeconomy as a random forest . . 401--421
Jetro Anttonen and
Markku Lanne and
Jani Luoto Statistically identified structural VAR
model with potentially skewed and
fat-tailed errors . . . . . . . . . . . 422--437
Esfandiar Maasoumi and
Jianqiu Wang and
Zhuo Wang and
Ke Wu Identifying factors via automatic
debiased machine learning . . . . . . . 438--461
Pawel M. Krolikowski and
Kurt G. Lunsford Advance layoff notices and aggregate job
loss . . . . . . . . . . . . . . . . . . 462--480
Didier Nibbering A high-dimensional multinomial logit
model . . . . . . . . . . . . . . . . . 481--497
Robert Bernhardt and
David Munro and
Erin L. Wolcott How does the dramatic rise of
nonresponse in the Current Population
Survey impact labor market indicators? 498--512
D. Mark Anderson and
Yang Liang and
Joseph J. Sabia Mandatory seatbelt laws and traffic
fatalities: a reassessment . . . . . . . 513--521
Michael Bates and
Seolah Kim Featured Cover . . . . . . . . . . . . . ??
Anonymous Issue Information . . . . . . . . . . . 523--523
Adrian Mehic Peer desirability and academic
achievement . . . . . . . . . . . . . . 525--542
Guido Ascari and
Qazi Haque and
Leandro M. Magnusson and
Sophocles Mavroeidis Empirical evidence on the Euler equation
for investment in the US . . . . . . . . 543--563
Taining Wang and
Feng Yao and
Subal C. Kumbhakar A flexible stochastic production
frontier model with panel data . . . . . 564--588
Fabio Canova Should we trust cross-sectional
multiplier estimates? . . . . . . . . . 589--606
Allan W. Gregory and
James McNeil and
Gregor W. Smith US fiscal policy shocks: Proxy-SVAR
overidentification via GMM . . . . . . . 607--619
Helmut Herwartz and
Shu Wang Statistical identification in panel
structural vector autoregressive models
based on independence criteria . . . . . 620--639
Fei Jin and
Lung-fei Lee and
Kai Yang Best linear and quadratic moments for
spatial econometric models with an
application to spatial interdependence
patterns of employment growth in US
counties . . . . . . . . . . . . . . . . 640--658
Iván Fernández-Val and
Aico van Vuuren and
Francis Vella and
Franco Peracchi Hours worked and the US distribution of
real annual earnings 1976--2019 . . . . 659--678
Michael Bates and
Seolah Kim Estimating the price elasticity of
gasoline demand in correlated random
coefficient models with endogeneity . . 679--696
Frank C. Z. Wu Bayesian collapsed Gibbs sampling for a
stochastic volatility model with a
Dirichlet process mixture . . . . . . . 697--704
Alexandra de Gendre and
Jan Feld and
Nicolás Salamanca Re-examining the relationship between
patience, risk-taking, and human capital
investment across countries . . . . . . 705--713
Petra Besenhard Exploring skill distribution tails
through stochastic dominance . . . . . . 714--720
Anonymous Issue Information . . . . . . . . . . . 721--721
Jia Liu and
John M. Maheu and
Yong Song Identification and forecasting of bull
and bear markets using multivariate
returns . . . . . . . . . . . . . . . . 723--745
Michele Lenza and
Jiri Slacalek How does monetary policy affect income
and wealth inequality? Evidence from
quantitative easing in the euro area . . 746--765
Bruno Albuquerque Corporate debt booms, financial
constraints, and the investment nexus 766--789
James Mitchell and
Aubrey Poon and
Dan Zhu Constructing density forecasts from
quantile regressions: Multimodality in
macrofinancial dynamics . . . . . . . . 790--812
Danilo Leiva-León and
Gabriel Perez Quiros and
Eyno Rots Real-time weakness of the global economy 813--832
Onno Kleen Scaling and measurement error
sensitivity of scoring rules for
distribution forecasts . . . . . . . . . 833--849
David I. Harvey and
Stephen J. Leybourne and
Yang Zu Tests for equal forecast accuracy under
heteroskedasticity . . . . . . . . . . . 850--869
Ruben Dewitte and
Bruno Merlevede and
Glenn Rayp Gains from trade: Demand, supply, and
idiosyncratic shocks . . . . . . . . . . 870--886
Julian Ashwin and
Eleni Kalamara and
Lorena Saiz Nowcasting Euro area GDP with news
sentiment: a tale of two crises . . . . 887--905
Marco Alfano and
Joseph-Simon Görlach Terrorism and education: Evidence from
instrumental variables estimators . . . 906--925
Gloria González-Rivera and
C. Vladimir Rodríguez-Caballero and
Esther Ruiz Expecting the unexpected: Stressed
scenarios for economic growth . . . . . 926--942
Eul Noh Revisiting the effects of conventional
and unconventional monetary policies . . 943--951
Umair Khalil and
Mandar Oak and
Sundar Ponnusamy The heterogeneous role of party
affiliation in the runner-up effect . . 952--959
Sangyup Choi and
Jaehun Jeong and
Dohyeon Park and
Donghoon Yoo News or animal spirits? Consumer
confidence and economic activity: Redux 960--966
Anonymous Issue Information . . . . . . . . . . . 967--967
Lars Peter Hansen and
Thomas J. Sargent Risk, ambiguity, and misspecification:
Decision theory, robust control, and
statistics . . . . . . . . . . . . . . . 969--999
Hilde C. Bjòrnland and
Julia Skretting The shale oil boom and the US economy:
Spillovers and time-varying effects . . 1000--1020
Alfred Galichon and
Bernard Salanié Estimating separable matching models . . 1021--1044
Erich Battistin and
Carlos Lamarche and
Enrico Rettore Quantiles of the gain distribution of an
early childhood intervention . . . . . . 1045--1064
Alessandro Barbarino and
Travis J. Berge and
Andrea Stella The stability and economic relevance of
output gap estimates . . . . . . . . . . 1065--1081
Anja Sebbesen and
Harald Oberhofer The propagation of business expectations
within the European Union . . . . . . . 1082--1103
Jonas Dovern and
Alexander Glas and
Geoff Kenny Testing for differences in survey-based
density expectations: a compositional
data approach . . . . . . . . . . . . . 1104--1122
Denni Tommasi and
Lina Zhang Identifying program benefits when
participation is misreported . . . . . . 1123--1148
Franziska Zimmert and
Michael Zimmert Part-time subsidies and maternal
reemployment: Evidence from a
difference-in-differences analysis . . . 1149--1171
Minki Kim and
Munseob Lee The US structural transformation and
regional convergence: Racial
heterogeneity . . . . . . . . . . . . . 1172--1179
Karim Bekhtiar and
Benjamin Bittschi and
Richard Sellner Robots at work? Pitfalls of
industry-level data . . . . . . . . . . 1180--1189
Hong Yang and
Wen Zhang Explaining the decline of China's labor
share: a wide replication of Oberfield
and Raval (2021) . . . . . . . . . . . . 1190--1197