The Econometrics Journal - Antérieurs à 2005

2004

Volume 7, n° 2, 2004

  • BARRIO CASTRO Tomas del, OSBORN Denise R. -  The consequences of seasonal adjustment for periodic autoregressive processes, pp. 307-321  
  • BANERJEE Anindya, MARCELLINO Massimiliano, OSBAT Chiara - Some cautions on the use of panel methods for integrated series of macroeconomic data, pp. 322-340
  • CHOI In, SAIKKONEN Pentti - Testing linearity in cointegrating smooth transition regressions, pp. 341-365
  • ABREVAYA Jason, HAUSMAN Jerry A. - Response error in a transformation model with an application to earnings-equation estimation, pp. 366-388
  • JOHANSEN Soren, SWENSEN Anders Rygh - More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term, pp. 389-397
  • TSIONAS Efthymios G., KUMBHAKAR Subal C. - Markov switching stochastic frontier model, pp. 398-425
  • ALFÒ Marco, TROVATO Giovanni - Semiparametric mixture models for multivariate count data, with application, pp. 426-454
  • GABRIEL Vasco J., MARTINS Luis F. - On the forecasting ability of ARFIMA models when infrequent breaks occur, pp. 455-475 
  • AKRAM Q. Farooq - Oil prices and exchange rates: Norwegian evidence, pp. 476-504
  • GOSPODINOV Nikolay - Asymptotic confidence intervals for impulse responses of near-integrated processes, pp. 505-527 
  • OHN Jonathan, TAYLOR Larry W. - Testing for duration dependence in economic cycles, pp. 528-549
  • KOOP Gary, POTTER Simon - Forecasting in dynamic factor models using Bayesian model averaging, pp. 550-565 
  • CAMERON A. Colin, LI Tong, TRIVEDI Pravin K., ZIMMER David M. - Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts, pp. 566-584
  • PANOPOULO Ekaterini, PITTIS Nikitas - A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error, pp. 585-617 
  • HEATON Chris, SOLO Victor - Identification of causal factor models of stationary time series, pp. 618-627 
  • BEC Frederique, RAHBEK Anders - Vector equilibrium correction models with non-linear discontinuous adjustments, pp. 628-651

Volume 7, n° 1, 2004

  • HENDRY David F., CLEMENTS Michael P. - Pooling of forecasts, pp. 1-31
  • PITARAKIS Jean-Yves - Least squares estimation and tests of breaks in mean and variance under misspecification, pp. 32-54
  • KILIC Rehim - Linearity tests and stationarity, pp. 55-62
  • ORREGAARD NIELSEN Morten - Efficient inference in multivariate fractionally integrated time series models, pp. 63-97 
  • GREENE William - The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects, pp. 98-119
  • ZHANG Wei, LEE Lung-fei - Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers, pp. 120-142
  • FRÜHWIRTH-SCHNATTER Sylvia - Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques, pp. 143-167
  • DOLADO Juan J., MARMOL Francesc - Asymptotic inference results for multivariate long-memory processes, pp. 168-190
  • HARRIS D., POSKITT D.S. - Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion, pp. 191-217
  • KIM Tae-Hwan, MULLER Christophe - Two-stage quantile regression when the first stage is based on quantile regression, pp. 218-231
  • RÜNSTLER Gerhard - Modelling phase shifts among stochastic cycles, pp. 232-248
  • NIELSEN Heino Bohn - Cointegration analysis in the presence of outliers, pp. 249-271
  • HAHN Jinyong, HAUSMAN Jerry, KUERSTEINER Guido -  Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations, pp.272-306

(résumés du n° 1/2004)

2003

Volume 6, n° 2, 2003

  • FAN Jianquing, GU Juan - Semiparametric estimation of Value at Risk, pp. 261-290
  • LEYBOURNE Stephen, KIM Tae-Hwan, SMITH Vanessa, NEWBOLD Paul - Tests for a change in persistence against the null of difference-stationarity, pp. 291-311
  • VRONTOS  I.D., DELLAPORTAS P., POLITIS D.N. - A full-factor multivariate GARCH model, pp. 312-334
  • MEDDAHI N. - ARMA representation of integrated and realized variances, pp. 335-356
  • BLAKE A.P., KAPETANIOS G. - A radial basis function artificial neural network test for neglected nonlinearity, pp. 357-373
  • AASNESS J., BJORN E., SKJERPEN T. - Distribution of preferences and measurement errors in a disaggregated expenditure system, pp. 374-400
  • KARACA-MANDIC P., TRAIN K. - Standard error correction in two-stage estimation with nested samples, pp. 401-407
  • MEYER R., FOURNIER D.A., BERG A. - Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter, pp. 408-420
  • SEN A. Limiting behaviour of Dickey–Fuller -tests under the crash model alternative, pp. 421-429
  • BARDSEN G., JANSEN E.S., NYMOEN R. - Econometric inflation targeting, pp. 430-461

(résumés du n° 2/2003)

Volume 6, n° 1, 2003

  • KONING H. Ruud, RIDDER Geert - Discrete choice and strochastic utility maximization, pp. 1-27
  • KONDO Yasushi, LEE  Myoung-jae - Hedonic price index estimation under mean-independence of time dummies from quality characteristics, pp. 28-45
  • SANTOS SILVA J.M.C. - A note on the estimation of mixture models under endogenous sampling, pp. 46-52
  • KOGSTED Christian Hans - An I (2) cointegration analysis of small-country import price determination, pp. 53-71
  • BAI Jushan, PERRON Pierre - Critical values for multiple structural change tests, pp. 72-78
  • VAN DIJK Dick, STRIKHOLM Birgit, TERÄSVIRTA Timo - The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series, pp. 79-98
  • SMITH  Murray D. - Modelling sample selection using Archimedean copulas, pp. 99-123
  • MARRIOTT J.M., NAYLOR J.C., TREMAYNE A.R. - Exploring economic time series: a Bayesian graphicial approach, pp. 124-145
  • KARANASOS M., KIM J. - Moments of the ARMA-EGARCH model, pp. 146-166
  • CHONG Terence Tai-Leung - Generic consistency of the break-point estimator under specification errors, pp. 167-192
  • CAVALIERE Giuseppe - Asysmptotics for unit root tests under Markov regime-switching, pp. 193-216
  • PHILLIPS Peter C.B., SUL Donggyu - Dynamic panel estimation and homogeneity testing under cross section dependence, pp. 217-259

(résumés du n° 1/2003)

2002

Volume 5, n° 2, 2002

  • DAHL Christian M. - An investigation of  tests for linearity and the accuracy of likelihood based inference using random fields, pp. 263-284
  • ERICSSON R. Neil, MacKinnon G. James - Distributions of error correction tests for cointegration, pp. 285-318
  • CLEMENTS P. Michael, HENDRY David F. - Modelling methodology and forecast failure, pp. 319-344
  • DEMOS Antonis - Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model, pp.345-357
  • TSE Y.K. - Residual-based diagnostics for conditional heteroscedasticity models, pp. 358-373
  • YANG Minxian - Lag length and mean break in  stationary VAR models, pp. 374-386
  • KLUPPELBERG Claudia, MALLER Ross A. , VYVER  Mark van der, WEE Derick - Testing for reduction to random walk in autoregressive conditional heteroskedasticity models, pp. 387-413
  • BRESLAW Jon A. - Multinomial probit estimation without nuisance parameters, pp. 417-434
  • YOSHIDA Atsushi, GUARIGLIA Alessandra - Estimating saving functions in the presence of excessive-zeros problems, pp.435-456
  • BOND Stephen , WINDMEIJER Frank - Projection estimators for autoregressive panel data models, pp. 457-479
  • BALTAGI Badi H., SONG Seuck H. - JUNG Byoung C. - A comparative study of alternative estimators for the unblanced two-way error component regression model, pp. 480-493
  • ALTISSIMO Filippo, CORRADI Valentina - Bounds for inference with nuisance parameters present only under the alternative, pp. 494-519
  • BAILEY R  Ralph W, TRAYLOR Robert A. M. - An optimal test against a random walk component in a non-orthogonal unobserved components model, pp. 520-532

(résumés du n° 2/2002)

Volume 5, n° 1,  2002

  • RIVERS Douglas, VUONG Quang - Model selection tests for nonlinear dynamic models, pp. 1-39
  • EITRHEIM Oyvind - JANSEN Eilev S., NYMOEN Ragnar - Progress from forecast failure - the Norwegian consumption function, pp. 40-64
  • PARUOLO Paolo - On Monte Carlo estimation of relative power, pp. 65-75
  • ABADIR Karim M., MAGNUS Jan R. - Notation in econometrics: a proposal for a standard, pp. 76-90
  • NICOLAU J. - A new technique for simulating the likelihood of stochastic differential equations, pp. 91-103
  • BRAVO Francesco - Testing linear restrictions in linear models with empirical likelihood, pp. 104-130
  • PAPARODITIS Efstathios, POLITIS Dimitris N. - The tapered block bootstrap for general statistics from stationary sequences, pp. 131-148
  • GARDEREN K.J.V., SHAH C. - Exact interpretation of dummy variables in semilogarithmic equations, pp. 149-159 
  • DAVIDSON James, DE JONG Robert M. - Consistency of kernel variance estimators for sums of semiparametric linear processes, pp. 160-175
  • RODRIGUES Paulo M.M. - On LM type tests for seasonal unit roots in quarterly data, pp. 176-195
  • NG Serena, VOGELSANG T.J. - Forecasting autoregressive time series in the presence of deterministic components, pp. 196-224
  • MAGNUS Jan R. - Estimation of the mean of a univariate normal distribution with known variance, pp. 225-236
  • ZAMAN Asad - Maximum likelihood estimates for the Hildreth-Houck random coefficients model, pp. 237-262

(résumés du n° 1/2002)

2001

Volume 4, n° 2,  2001

  • HSU Chih-Ching et  KUAN Chung-Ming - Distinguishing  between trend-break models: method and empirical evidence, pp.171-190
  • PETURSSON G.  Thorarinn et SLOK Torsten - Wage formation and employment in a cointegrated VAR model, pp. 191-209
  • YU Jun et PHILLIPS Peter C.B. - A Gaussian approach for continuous time models  of the short-term interest rate, pp. 210-224
  • PSARADAKIS  Zacharias - Markov level shifts and the unit-root hypothesis, pp. 225-241
  • DIETRICH K. Franz - The limiting distribution of the t-ratio for the unit root test in an AR(1), pp.241-256
  • KOOP Gary et POIRIER J. Dale - Testing for optimality in job search models, pp. 257-272
  • BHARGAVA Alok - Strochastic specification and the international GDP series, pp. 273-286
  • LUTKEPOHL Helmut, SAIKKONEN Pentti et TRENKLER Carsten - Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, pp. 287-310

(résumés du n° 2/2001)

Volume 4, n° 1, 2001

  • NEWBOLD Paul, SMITH Richard J. - Forecasting in Econometrics: editor's introduction, pp. i-ii
  • CLEMENTS Michael P., HENDRY David F. - Forecasting with difference-stationary and trend-stationary models, pp. S1-S19
  • ARTIS Michael, MARCELLINO Massimiliano - Fiscal forecasting: The track record of the IMF, OECD and EC, pp. S20-S36
  • HARVEY David E., LEYBOURNE Stephen J., NEWBOLD Paul - Analysis of a panel of UK macroeconomic forecasts, pp. S37-S55
  • CAMBA-MENDEZ Gonzalo, KAPETANIOS George, SMITH Richard J., WEALE Martin R. - An automatic leading indicator of economic activity: forecasting GDP growth for European countries, pp. S56-S90
  • CHANG Yoosoon, PARK Joon Y., PHILLIPS Peter C.B. - Non linear econometric models with cointegrated and deterministically trending regressors, pp. 1-36
  • KOOP Gary, POTTER Simon M. - Are apparent findings of nonlinearity due to structural instability in economic time series?, pp. 37-55
  • MOFFATT Peter G.- Graphical conditional moment tests, pp. 56-69
  • CAVALIERI Giuseppe - Testing the unit root hypothesis using generalized range statistics, pp. 70-88
  • McKENZIE David J. - Estimation of AR(1) models with unequally spaced pseudo-panels, pp. 89-108
  • LARSSON Rolf, LYHAGEN Johan, LÖTHGREN Mickael - Likelyhood-based cointegration tests in heterogeneous panels, pp. 109-142
  • PERRON Pierre, VODOUNOU Cosme - Asymptotic approximations in the near-integrated model with a non-zero initial condition, pp. 143-169

(résumés du n° 1/2001)

2000

Volume 3, n°2, 2000

  • SORENSEN Michael - Prediction-based estimating functions, pp.123-147
  • HADRI Kaddour - Testing for stationarity in heterogeneous panel data, pp.148 - 161
  • PETURSSON G. Thorarinn - The representative household's demand for money in a cointegrated VAR model, pp.162 -176
  • HAFNER M. Christian et HERWARTZ - Testing for linear autoregressive dynamics under heteroskedasticity, pp.177-197
  • MEYER Renate and Jun Yu - BUGS for a Bayesian analysis of stochastic volatility models, pp.198-215
  • JOHANSEN Soren, MOSCONI Rocco et NIELSEN Bent - Cointegration analysis in the presence of structural breaks in the deterministic trend, pp.216-249
  • FRANSES Hans Philip et TAYLOR Robert M. A. - Determining the order of differencing in seasonal time series processes, pp.250

(résumés du n° 2/2000)

Volume 3, n°1, 2000

  • LEYBOURNE Stephen J et NEWBOLD Paul - Behaviour of the standard and symmetric Dickey–Fuller-type tests when there is a break under the null hypothesis, pp.1-15
  • GRAMMING Joachim et KAI-OLIVER Maurer -on-monotonic hazard functions and the autoregressive conditional duration model, pp.16-38
  • KAUFMANN Sylvia - Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods, pp.39-65
  • GODFREY G. Leslie et ORME D. Chris - Controlling the significance levels of prediction error tests for lincar regression models, pp.66--83
  • HARVEY Andrew et KOOPMAN Siem Jan - Signal extraction and the formulation of unobserved components models, pp.84-107
  • HORNOK Attila et LARSSON Rolf - The finite sample distribution of the KPSS test, pp.108-121

(résumés du n° 1/2000)

1999

Volume 2, n°2, 1999

  • HOOVER Kevin D. et PEREZ J. Stephen - Data mining reconsidered: encompassing and the general-to-specific approach to specification search, pp.167-191
  • HANSEN E. Bruce - Discussion of Data mining reconsidered, pp.192-201
  • HENDRY F. David et KROLZIG Hans-Martin - Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez, pp.202-219
  • CLIVE Granger et TIMMERMANN Allan - Data mining with local model specification uncertainty: a discussion of Hoover and Perez, pp.220-225
  • CAMPOS Julia et ERICSSON R. Neil - Constructive data mining: modeling consumers' expenditure in Venezuela,pp.226-240
  • HAND David J. - Discussion contribution on 'Data mining reconsidered: encompassing and the general-to-specific approach to specification search' by Hoover and Perez, pp.241-243
  • HOOVER D. Kevin et PEREZ Stephen J. - Reply to our discussants, pp.244-247
  • SHERMAN Robert P., HO Yu-Yun K. et DALAL R. Siddhartha, Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling, pp.248-267
  • BUTTLER Hans-Jürg - The optimal capital structure of a liquidity-insuring bank, pp.268-291
  • ABREVAYA Jason - Rank estimation of a transformation model with obsesrved truncation, pp.292-305
  • HANSEN Henrik et JOHANSEN Soren - Some tests for parameter constancy in cointegrated VAR-models, pp.306 et s.

(résumés du n° 2/1999)

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