Journal of Business & Economic Statistics articles from April 2001

Journal of Business & Economic Statistics archives from April 2001

Estimation With Response Error and Nonresponse: Food-Stamp Participation in the SIPP.
April 1, 2001... Error in survey data originates from failure to contact the sample and from false answers to verifiable questions. These errors may be systematic and associated with uncooperative or unreliable respondents. Zabel modeled attrition in the Survey...

Testing for Choice Dynamics in Panel Data.
April 1, 2001... This article applies different approaches to distinguish state dependence from unobserved heterogeneity and serial correlation and, hence, test for state dependence in consumer brand choices. First, we apply a simple method proposed by...

Intertemporal Variation in Financial Constraints on Investment: A Time-Varying Parameter Approach Using Panel Data.
April 1, 2001... This article is concerned with understanding how financial constraints on investment vary over the business cycle and whether these constraints are related to macroeconomic policies. These issues are investigated within the framework of a...

Cointegration and Threshold Adjustment.
April 1, 2001... This article proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger...

MCMC Analysis of Diffusion Models With Application to Finance.
April 1, 2001... This article proposes a new method for estimation of parameters in diffusion processes from discrete observations. The method is based on Markov-chain Monte Carlo methodology and applies to a wide class of models including systems with...

Tests of the Seasonal Unit-Root Hypothesis Against Heteroscedastic Seasonal Integration.(Statistical Data Included)
April 1, 2001... This article considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time series process against the alternative of a randomized seasonal root with mean unity; that is, the process displays...

Tail-Index Estimates in Small Samples.
April 1, 2001... Financial returns are known to be nonnormal and tend to have fat-tailed distributions. This article presents a simple methodology that accurately estimates the degree of tail fatness, characterized by the tail index, in small samples. Our...

Prediction Intervals for ARIMA Models.(Statistical Data Included)
April 1, 2001... The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals that incorporate an allowance for sampling error associated with parameter estimates. The effect of...

Specification Analysis in Equations With Stochastic Regressors.
April 1, 2001... We encompass the (closely related) problems of testing for structural restrictions and for valid orthogonality conditions into a single-equation framework in which the familiar specification techniques of the linear regression model can be...

Tests for Asymmetry in Possibly Nonstationary Time Series Data.
April 1, 2001... Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it....

Tests Against Inequality Constraints When Some Nuisance Parameters Are Present Only Under the Alternative: Test of ARCH in ARCH-M Models.
April 1, 2001... In this article we develop improved statistical tests for situations satisfying the following two nonstandard conditions simultaneously: (a) Some nuisance parameters become unidentified under the null hypothesis, and (b) the alternative...

The Zellner Thesis Award in Business and Economic Statistics.
April 1, 2001... 2001 Zellner Award Competition The Business and Economics Statistics Section of the American Statistical Association announces the competition for the 2001 Zellner Thesis Award. The award is named for Arnold Zellner, past Chair of the...