Journal of Business & Economic Statistics articles from January 2000

Journal of Business & Economic Statistics archives from January 2000

Alternative Variance-Ratio Tests Using Ranks and Signs.(Statistical Data Included)
January 1, 2000... This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference sequence. Unlike conventional variance-ratio tests, these tests can be exact. In Monte...

Exchange-Rate Volatility and Foreign Trade: Evidence From Thirteen LDC's.(less developed countries)(Statistical Data Included)
January 1, 2000... This article investigates empirically the impact of real exchange-rate volatility on the export flows of 13 less developed countries (LDC's) over the quarterly period 1973-1996. Estimates of the cointegrating relations are obtained using...

Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem.(Statistical Data Included)
January 1, 2000... The problem of whether stock returns can be predicted from dividend yields is discussed. I apply a new statistical method for finding reliable confidence intervals for regression parameters in the context of dependent and possibly...

A Note on Optimal Estimation From a Risk-Management Perspective Under Possibly Misspecified Tail Behavior.(Statistical Data Included)
January 1, 2000... Many financial time series show leptokurtic behavior--that is, fat tails. Such tail behavior is important for risk management. In this article I focus on the calculation of Value-at-Risk (VAR) as a downside-risk measure for optimal asset...

Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence.(Statistical Data Included)
January 1, 2000... Existing results for the asymptotic validity of the Jarque-Bera test in vector autoregressive (VAR) models assume stationarity. In applied work, however, researchers often work with possibly integrated and cointegrated process. We prove the...

Efficient Computation of Hierarchical Trends.(Statistical Data Included)
January 1, 2000... To model a large database containing selling prices for houses, in which local trends, general trends, and specific characteristics play a role, we derived a new procedure to implement a statespace model for repeated measurements. The original...

Aggregate Consumption and the Predictability of Asset Returns.
January 1, 2000... This article analyzes the predictability of asset returns that are discounted using a consumption-based discount factor. The main objective of the analysis is to investigate how ancillary statistical assumptions affect the performance of this...

Strongly Consistent Determination of Cointegrating Rank Via Canonical Correlations.(Statistical Data Included)
January 1, 2000... This article is concerned with the statistical analysis of nonstationary, cointegrated time series. The estimation of the cointegrating structure of such time series is considered, and the problem of identifying the cointegrating rank is...

Estimating Restricted Cointegrating Vectors.(Statistical Data Included)
January 1, 2000... This article suggests the use of simple minimum-distance methods to estimate restricted cointegrating vectors. The method directly employs minimum-distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate...

Identifying Bull and Bear Markets in Stock Returns.(Statistical Data Included)
January 1, 2000... This article uses a Markov-switching model that incorporates duration dependence to capture nonlinear structure in both the conditional mean and the conditional variance of stock returns. The model sorts returns into a high-return stable state...

The Contribution of Establishment Births and Deaths to Employment Growth.(Statistical Data Included)
January 1, 2000... This article examines how establishment births and deaths contribute to job creation, job destruction, and net employment growth at different frequencies of measurement. The longitudinal data are constructed from quarterly...

Measuring Regional Cost of Living.(Statistical Data Included)
January 1, 2000... Accurate measures of regional cost of living are vital to businesses and individuals. We compare a commonly used regional cost-of-living index, produced by the American Chamber of Commerce Research Association (ACCRA), to an index we calculate...