Journal of Business & Economic Statistics articles from January 1 2005

Journal of Business & Economic Statistics archives from January 1 2005

A nonparametric approach to measuring and testing curvature.
January 1, 2005... This article considers the problem of testing curvature (e.g., linearity, concavity, convexity) in a multivariate nonparametric regression model. A measure of curvature, called the simplex statistic, that does not require bandwidth choice and...

Estimating housing demand with an application to explaining racial segregation in cities.
January 1, 2005... We present a three-stage, nonparametric estimation procedure to recover willingness to pay for housing attributes. In the first stage we estimate a nonparametric hedonic home price function. In the second stage we recover each consumer's taste...

Optimal power for testing potential cointegrating vectors with known parameters for nonstationarity.
January 1, 2005... Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this...

Tests for skewness, kurtosis, and normality for time series data.
January 1, 2005... We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time series observations. We show that when the data are serially correlated, consistent estimates of three-dimensional long-run...

Hedonic price indexes with unobserved product characteristics, and application to personal computers.
January 1, 2005... We show that hedonic price indexes may be biased when not all product characteristics are observed. We derive two primary sources of bias. The first source is a classical selection problem that arises due to changes over time in the values of...

Convergence rates to purchasing power parity for traded and nontraded goods: a structural error-correction model approach.
January 1, 2005... This article estimates the speed of the adjustment coefficient in structural error-correction models. We use a system method for real exchange rates of traded and nontraded goods by combining a single-equation method with Hansen and Sargent's...

Long swings in exchange rates: are they really in the data?
January 1, 2005... Several authors have reported evidence of long swings in U.S. dollar exchange rates by rejecting the random walk in favor of a Markov regime-switching model. We show that this evidence is not robust to an extension of the sample period. One...

Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions.(vector autoregression)
January 1, 2005... This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using...

Bayesian estimates for vector autoregressive models.
January 1, 2005... This article examines frequentist risks of Bayesian estimates of vector autoregressive (VAR) regression coefficient and error covariance matrices under competing loss functions, under various noninformative priors, and in the normal and...

Influence diagnostics in generalized autoregressive conditional heteroscedasticity processes.
January 1, 2005... Influence diagnostics have become important tools for statistical analysis since the seminal work by Cook. In this article we present a curvature-based directional diagnostic, set up based on the slope-based diagnostic to assess the local...

The Zellner Thesis Award in business and economic statistics.
January 1, 2005... 2005 Zellner Award Competition The Business and Economics Statistics Section of the American Statistical Association announces the competition for the 2005 Zellner Thesis Award. The award is named for Arnold Zellner, past Chair of the...