Journal of Business & Economic Statistics articles from October 2003

Journal of Business & Economic Statistics archives from October 2003

Iterative and recursive estimation in structural nonadaptive models.
October 1, 2003... An inference method, called latent backfitting, is proposed. This method appears well suited for econometric models where the structural relationships of interest define the observed endogenous variables as a known function of unobserved state...

Variance shifts, structural breaks, and stationarity tests.
October 1, 2003... This article considers the problem of testing the null hypothesis of stochastic stationarity in time series characterized by variance shifts at some (known or unknown) point in the sample. It is shown that existing stationarity tests can be...

Maximum likelihood estimation and inference in multivariate conditionally heteroscedastic dynamic regression models with student t innovations.
October 1, 2003... We provide numerically reliable analytical expressions for the score, Hessian, and information matrix of conditionally heteroscedastic dynamic regression models when the conditional distribution is multivariate t. We also derive one-sided and...

Bayes estimates of Markov trends in possibly cointegrated series: an application to U.S. consumption and income.
October 1, 2003... Stylized facts show that average growth rates of U.S. per capita consumption and income differ in recession and expansion periods. Because a linear combination of such series does not have to be a constant mean process, standard cointegration...

Business cycle duration dependence reconsidered.
October 1, 2003... Sichel estimated a Weibull hazard model using the National Bureau of Economic Research business cycle chronology and found evidence of duration dependence only for prewar expansions and postwar contractions. The article updates the postwar...

Estimation of dynamic bivariate mixture models: comments on Watanabe (2000).
October 1, 2003... This note compares a Bayesian Markov chain Monte Carlo approach implemented by Watanabe with a maximum likelihood ML approach based on an efficient importance sampling procedure to estimate dynamic bivariate mixture models. In these models,...

The estimation of dynamic bivariate mixture models: reply to Liesenfeld and Richard comments.
October 1, 2003... Watanabe estimated the dynamic bivafiate mixture models introduced by Tauchen and Pias and modified by Andersen using a Bayesian method via Markov chain Monte Carlo techniques. Based on a maximum likelihood method via efficient importance...

The Zellner Thesis Award in business and economic statistics.
October 1, 2003... 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...

Editors' report 2002.(Editorial)
October 1, 2003... Two special issues were published in 2002, these were the January 2002 20th anniversary commemorative issue and the October 2002 issue on the occasion of the 20th anniversary of the paper on the Generalized Method of Moment estimator by Lars...