Journal of Business & Economic Statistics articles from July 2000

Journal of Business & Economic Statistics archives from July 2000

Unit-Root Tests Are Useful for Selecting Forecasting Models.(Statistical Data Included)
July 1, 2000... We study the usefulness of unit-root tests as diagnostic tools for selecting forecasting models. Difference-stationary and trend-stationary models of economic and financial time series often imply very different predictions, so deciding which...

Pooling in Dynamic Panel-Data Models: An Application to Forecasting GDP Growth Rates.(Statistical Data Included)
July 1, 2000... In this article, we analyze issues of pooling models for a given set of N individual units observed over T periods of time. When the parameters of the models are different but exhibit some similarity, pooling may lead to a reduction of the mean...

Modeling the Sources of Output Growth in a Panel of Countries.(Statistical Data Included)
July 1, 2000... This article seeks to improve understanding of cross-country patterns of economic growth. It adopts a stochastic production-frontier model that allows for the decomposition of output change into input, efficiency, and technical change. The...

Time Series and Cross-section Information in Affine Term-Structure Models.(Statistical Data Included)
July 1, 2000... In this article I provide an empirical analysis of the term structure of interest rates using the affine class of term-structure models introduced by Duffie and Kan. I estimate these models by combining time series and cross-section information...

Changepoint Tests Designed for the Analysis of Hiring Data Arising in Employment Discrimination Cases.(Statistical Data Included)
July 1, 2000... When a complaint of discrimination is made, an employer may respond by hiring more minorities. From a legal viewpoint, the practices in effect during the time period prior to the complaint are more relevant for determining liability than those...

Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States.(Statistical Data Included)
July 1, 2000... Given the assumption that the components of a vector time series are stationary around nonlinear deterministic time trends, nonlinear cotrending is the phenomenon that one or more linear combinations of the time series are stationary around a...

Bayesian Dynamic Factor Models and Portfolio Allocation.(Statistical Data Included)
July 1, 2000... We discuss the development of dynamic factor models for multivariate financial time series, and the incorporation of stochastic volatility components for latent factor processes. Bayesian inference and computation is developed and explored in a...

Statistical Inference for Random-Variance Option Pricing.(Statistical Data Included)
July 1, 2000... This article deals with the estimation of continuous-time stochastic volatility models of option pricing. We argue that option prices are much more informative about the parameters than are asset prices. This is confirmed in a Monte Carlo...

Confidence Intervals for Univariate Impulse Responses With a Near Unit Root.(Statistical Data Included)
July 1, 2000... This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have...

A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance.(Statistical Data Included)
July 1, 2000... We consider a deterministically trending dynamic time series model in which multiple structural changes in level, trend, and error variance are modeled explicitly and the number, but not the timing, of the changes is known. Estimation of the...