Journal of Business & Economic Statistics articles from January 2002

Journal of Business & Economic Statistics archives from January 2002

Editors' introduction to twentieth anniversary commemorative issue of the Journal of Business and Economic Statistics.
January 1, 2002... The year 2002 is the twentieth anniversary of JBES. The journal was created to satisfy the pressing need for an outlet that would publish articles dealing with a broad range of applied problems in business and economic statistics. From the...

Tests for unit roots: a Monte Carlo investigation.(Statistical Data Included)
January 1, 2002... Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo...

Determining the order of differencing in autoregressive processes.(Statistical Data Included)
January 1, 2002... One way of handling nonstationarity in time series is to compute first differences and fit a model to the differenced series unless the differenced series also looks nonstationary. In that case, second- or higher-order differencing is done. To...

Further evidence on the Great Crash, the oil-price shock, and the unit-root hypothesis.(Statistical Data Included)
January 1, 2002... Recently, Perron has carried out tests of the unit-root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil-price shock. His analysis covers the...

Tests for parameter instability in regressions with I(1) processes.(Statistical Data Included)
January 1, 2002... This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips...

The message in daily exchange rates: a conditional-variance tale.(Statistical Data Included)
January 1, 2002... Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are...

Bayesian analysis of stochastic volatility model.(Statistical Data Included)
January 1, 2002... New techniques for the analysis of stochastic volatility models in which the logarithm of conditional variance follows an autoregressive model are developed. A cyclic Metropolis algorithm is used to construct a Markov-chain simulation tool....

Estimation and inference in two-step econometric models.(Statistical Data Included)
January 1, 2002... A commonly used procedure in a wide class of empirical applications is to impute unobserved regressors, such as expectations, from an auxiliary econometric model. This two-step (T-S) procedure fails to account for the fact that imputed...

Issues involved with the seasonal adjustment of economic time series.(Statistical Data Included)
January 1, 2002... In the first part of this article, we briefly review the history of seasonal adjustment and statistical time series analysis in order to understand why seasonal adjustment methods have evolved into their present form. This review provides...

Vector autoregressions and reality.(Statistical Data Included)
January 1, 2002... This article questions the statistical significance of variance decompositions and impulse response functions for unrestricted vector autoregressions. It suggests that previous authors have failed to provide confidence intervals for variance...

Comparing predictive accuracy.(Statistical Data Included)
January 1, 2002... We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss...

The Zellner Thesis Award in Business and Economic Statistics.(Statistical Data Included)
January 1, 2002... 2002 Zellner Award Competition The Business and Economics Statistics Section of the American Statistical Association announces the competition for the 2002 Zellner Thesis Award. The award is named for Arnold Zellner, past chair of the...