Journal of Business & Economic Statistics articles from July 2001

Journal of Business & Economic Statistics archives from July 2001

Testing Target-Zone Models Using Efficient Method of Moments.(currency rates for French Franc/Deutsche Mark)(Statistical Data Included)
July 1, 2001... The objectives of this article are threefold--(1) to test target-zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test...

To Aggregate, Pool, or Neither: Testing the Rational-Expectations Hypothesis Using Survey Data.(economic forecasting)(Statistical Data Included)
July 1, 2001... It is well known that, even if all forecasters are rational, unbiasedness tests using consensus forecasts are inconsistent because forecasters have private information. However, if all forecasters face a common realization, pooled estimators...

Bayesian Analysis on Engel Curves Estimation With Measurement Errors and an Instrumental Variable.(Statistical Data Included)
July 1, 2001... In this article, we consider the Bayesian estimation of Engel curves specified as the Working-Leser form with the measurement errors on both the left and the right sides. It is noteworthy that in the Bayesian approach no additional variation...

Structural Breaks, Incomplete Information, and Stock Prices.(Statistical Data Included)
July 1, 2001... This article presents empirical evidence on the existence of structural breaks in the fundamentals process underlying U.S. stock prices. I develop an asset-pricing model that represents breaks in the context of a Markov switching process with...

A Formalization of Seasonal Encompassing With an Application to a German Macromodel.(Statistical Data Included)
July 1, 2001... In this article, I apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted (SA) data can encompass a model that is based on nonseasonally adjusted (NSA) data. Building on and extending the work...

Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis.(Statistical Data Included)
July 1, 2001... Federal-funds rate-forecast errors from vector autoregressive (VAR) models used for monetary policy analysis and fitted by ordinary least squares (OLS) are large relative to those from the futures market. Using three different structural VAR...

Rank Tests for Nonlinear Cointegration.(Statistical Data Included)
July 1, 2001... A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series can asymptotically be represented as Wiener...

Spatially Disaggregated Real Estate Indices.(Statistical Data Included)
July 1, 2001... A spatial--temporal Markov random-field model is used to produce indices for residential real estate from repeat home sale data. A set of regions is represented by a graph in which neighboring regions are linked. This graph, repeated...

Interpreting Instrumental Variables Estimates of the Returns to Schooling.(Statistical Data Included)
July 1, 2001... This article synthesizes economic insights from theoretical models of schooling choice based on individual benefits and econometric work interpreting instrumental variables estimates as weighted averages of individual-specific causal effects....

The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series.
July 1, 2001... Long-term trends and business cycles are usually estimated by applying the Hodrick and Prescott (HP) filter to X-11 seasonally adjusted data. A two-stage procedure is proposed in this article to improve this methodology. The improvement is...

On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation.(Statistical Data Included)
July 1, 2001... We analyze the behavior of widely used regression-based tests for seasonal unit roots when the shocks are serially correlated. We show, in the quarterly case, that the common assumption that serial correlation may be accommodated by augmenting...

On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables.(Statistical Data Included)
July 1, 2001... In a recent article by Qi, neural networks trained by Bayesian regularization were used to predict excess returns on the S&P 500. The article concluded that the switching portfolio based on the recursive neural-network forecasts generates...