Journal of Business & Economic Statistics articles from April 2002

Journal of Business & Economic Statistics archives from April 2002

Macroeconomic forecasting using diffusion indexes.(Statistical Data Included)
April 1, 2002... This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor...

Regime switches in interest rates.(Statistical Data Included)
April 1, 2002... We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models forecast better out-of-sample than single-regime models, including an...

Markov-switching and stochastic volatility diffusion models of short-term interest rates.
April 1, 2002... This article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the elasticity of volatility parameter for...

Estimation of continuous-time processes via the empirical characteristic function.(Statistical Data Included)
April 1, 2002... This article examines the class of continuous-time stochastic processes commonly known as affine diffusions (AD's) and affine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical...

Collective decision-making and heterogeneity in tastes.(Statistical Data Included)
April 1, 2002... This article begins by proposing a random taste parameterization of a quadratic extension of the PIGLOG demand system at the household level, which is consistent with exact aggregation. This variation in tastes is a random function of household...

Costly reversible investment with fixed costs: an empirical study.
April 1, 2002... The analysis presented here applies a generalized version of the friction model to costly reversible investment with fixed costs of investment. The analysis investigates three U.S. industries: the computer and office equipment industry, the...

An empirical analysis of earnings and employment risk.(Statistical Data Included)
April 1, 2002... The mean and higher moments of the distribution of future income are crucial determinants of individual choices. These moments are usually estimated in panel data from past income realizations. In this article we rely instead on subjective...

Bootstrap-based inference in models with a nearly noninvertible moving average component.(Statistical Data Included)
April 1, 2002... This article proposes a bootstrap method for constructing two-sided confidence intervals for the moving average (MA) parameter in nearly noninvertible models. The confidence intervals are obtained by inverting the acceptance region of the...

Regression-based unit root tests with recursive mean adjustment for seasonal and nonseasonal time series.(Statistical Data Included)
April 1, 2002... This article considers tests for (seasonal) unit roots in a univariate time-series process that are similar with respect to both the initial values of the process and the possibility of (differential seasonal) drift under the (seasonal) unit...

Threshold autoregressions for strongly autocorrelated time series.(Statistical Data Included)
April 1, 2002... In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive...

Estimating Lorenz curves using a Dirichlet distribution.(Statistical Data Included)
April 1, 2002... The Lorenz curve relates the cumulative proportion of income to the cumulative proportion of population. When a particular functional form of the Lorenz curve is specified, it is typically estimated by linear or nonlinear least squares...