Journal of Business & Economic Statistics articles from October 2004

Journal of Business & Economic Statistics archives from October 2004

CAViaR: conditional autoregressive value at risk by regression quantiles.
October 1, 2004... Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR)...

Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship.
October 1, 2004... We consider modeling the real exchange rate by a stationary three-regime self-exciting threshold auto-regressive (SETAR) model with possibly a unit root in the middle regime. This representation is consistent with purchasing power parity in the...

Regime shifts, risk premiums in the term structure, and the business cycle.
October 1, 2004... Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury Bonds, with the [R.sup.2]'s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that...

The measurement of medicaid coverage in the SIPP: evidence from a comparison of matched records.
October 1, 2004... This article studies the accuracy of reported Medicaid coverage in the Survey of Income and Program Participation (SIPP) using administrative records from the State of California. Overall, we estimate that the SIPP underestimates Medicaid...

Decreasing relative risk aversion, risk sharing, and the permanent income hypothesis.
October 1, 2004... This article develops a method for testing the risk-sharing hypothesis (RSH) against various versions of the permanent income hypothesis (PIH) while allowing for heterogeneity in risk preferences across households. Using 1-year and longer...

Bayesian analysis of interval data contingent valuation models and pricing policies.
October 1, 2004... The general aim of a contingent valuation survey is to elicit the willingness to pay (WTP) of respondents for some (public) commodity without a clear market price. This could be a program to protect some environmental resource or, as in our...

Dynamics and seasonality in quarterly panel data: an analysis of earnings mobility in Spain.
October 1, 2004... This article presents an empirical analysis of the dynamics of individual earnings using Spanish quarterly earnings. I propose a new econometric methodology to control for the seasonality in my dataset. Moreover, I apply this methodology to the...

Out-of-sample performance of discrete-time spot interest rate models.
October 1, 2004... We provide a comprehensive analysis of the out-of-sample performance of a wide variety of spot rate models in forecasting the probability density of future interest rates. Although the most parsimonious models perform best in forecasting the...

Testing asset pricing models with coskewness.
October 1, 2004... In this article we investigate portfolio coskewness using a quadratic market model as a return-generating process. We show that the portfolios of small (large) firms have negative (positive) coskewness with the market. We test an asset pricing...

The Zellner Thesis Award in business and economic statistics.
October 1, 2004... 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...

Editors' report 2003.(Editorial)
October 1, 2004... The Journal received 228 submissions in 2003, slightly more than in the previous two years. These submissions span a wide range of areas in business and economic statistics, though the dominant fields are financial econometrics, labor, macro,...