Journal of Business & Economic Statistics articles from January 2004

Journal of Business & Economic Statistics archives from January 2004

Editorial announcement.(Editorial)
January 1, 2004... With this issue, Torben G. Andersen begins his term as editor of JBES. Starting January 1, 2004, all manuscripts should be sent to: Torben G. Andersen Editorial Office, JBES Department of Finance Kellogg School of Management...

Bayesian analysis of the heterogeneity model.
January 1, 2004... We consider Bayesian estimation of a finite mixture of models with random effects, which is also known as the heterogeneity model. First, we discuss the properties of various Markov chain Monte Carlo samplers that are obtained from full...

Moment and memory properties of linear conditional heteroscedasticity models, and a new model.
January 1, 2004... This article analyses the statistical properties of that general class of conditional heteroscedasticity models in which the conditional variance is a linear function of squared lags of the process. GARCH, IGARCH, FIGARCH, and a newly proposed...

On the performance of some robust instrumental variables estimators.
January 1, 2004... This article considers instrumental variables versions of the quantile and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages...

Semiparametric duration models.
January 1, 2004... In this article we consider semiparametric duration models and efficient estimation of the parameters in a non-iid environment. In contrast to classical time series models where innovations are assumed to be iid we show that in, for example,...

Financial constraints and farm investment: a Bayesian examination.
January 1, 2004... This study contributes to the q-based empirical investment literature by using a Bayesian approach to analyze the impact of internal financial variables on a q-based investment model, accounting specifically for variable selection and...

How do behavioral assumptions affect structural inference? Evidence from a laboratory experiment.
January 1, 2004... We use laboratory experiments to investigate the effect that assuming rational expectations has on structural inference in a dynamic discrete decision problem. Our design induces preferences up to the subjective rate of time preference, leaving...

The less-volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.
January 1, 2004... Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s,...

Sampling frequency and the comparison between matched-model and hedonic regression price indexes.
January 1, 2004... Matched-model price indexes generally overestimate quality-adjusted prices, because the price/performance ratio of models sold in consecutive periods is worse than that of new models. This "unrepresentativeness" of the sample potentially might...

Deviance information criterion for comparing stochastic volatility models.
January 1, 2004... Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including...

An empirical Bayes procedure for improving individual-level estimates and predictions from finite mixtures of multinomial logit models.
January 1, 2004... Unobserved heterogeneity in random utility choice models can be dealt with by specifying either a multinomial or a normal distribution of the coefficients, leading to finite mixture logit and mixed logit models. Focusing on the former, we show...

The Zellner Thesis Award in Business and Economic Statistics.
January 1, 2004... 2004 Zellner Award Competition The Business and Economics Statistics Section of the American Statistical Association announces the competition for the 2004 Zellner Thesis Award. The award is named for Arnold Zellner, past Chair of the...