Objectives

**Advances in Econometrics** aims to annually publish original scholarly econometrics
papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques
by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and
social science literature.

Key Benefits

**Advances in Econometrics** is essential reading for academics, researchers and practitioners who are involved in applied
economic, business or social science research, and eager to keep up with the latest methodological tools. The series:

Disseminates new ideas in a style that is more extensive and self-contained than journal articles, with many papers including supplementary computer code and/or data driven examples illustrating the techniques.

Provides a collection of papers in each volume related to a central theme or idea, encompassing alternative approaches to implementation of the methodology.

Provides empirical applications that may be related to microeconomics, macroeconomics or finance, using cross-section data, time series data or panel data.

Key Audiences

**Advances in Econometrics** encourages academics, researchers and Ph.D. students to share their experience, knowledge,
and original research with an international audience. Contributors come from across the globe and researchers from all
areas are welcome to submit work for consideration in the series.

**Advances in Econometrics** is a series of research annuals first published in 1982. The founding co-editors of the series were Robert L. Basmann of Texas A&M University
and George F. Rhodes, Jr. of Colorado State University. Beginning in 1986 Thomas B. Fomby of Southern Methodist University became Senior Co-editor with Rhodes. In 1995,
R. Carter Hill of Louisiana State University joined Fomby as Senior Co-editor. In 2009, Ivan Jeliazkov of the University of California at Irvine joined Fomby and Hill as a
Senior Co-editor. In 2012, Juan Carlos Escanciano of Indiana University and Eric Hillebrand of Aarhus University joined as Senior Co-editors. In 2013, David Jacho-Chavez of
Emory University, Daniel Millimet of Southern Methodist University, and Rodney Strachan of University of Queensland joined as Senior Co-editors.

Juan Carlos Escanciano, Indiana University

Thomas B. Fomby, Southern Methodist University

R. Carter Hill, Louisiana State University

Eric Hillebrand, Aarhus University

David Jacho-Chávez, Emory University

Ivan Jeliazkov, University of California - Irvine

Daniel L. Millimet, Southern Methodist University

Alicia Rambaldi, University of Queensland

Rodney Strachan, University of Queensland

Douglas J. Miller, University of Missouri

Beginning in February 2012, the election of **Advances in Econometrics** Fellows was introduced. To be eligible, an individual must have served as a
co-editor of at least *three* volumes of **AiE** OR contributed at least *four* papers to the series as an author or co-author.

Badi H. Baltagi, Syracuse University

Dek Terrell, Louisiana State University

Aman Ullah, University California - Riverside

Tae-Hwy Lee, University California - Riverside

**Volume 42: The Econometrics of Networking****Editors:**Áureo De Paula (UCL), Elie Tamer (Harvard), and Marcel Voia (Carleton)**Conference:**May 16-17, 2019 at National Bank of Romania and Lucian Blaga University from Păltiniş (near Sibiu, Romania)**Volume 41: Essays in Honor of Cheng Hsiao****Editors:**M. Hashem Pesaran (USC), Tong Li (Vanderbilt), and Dek Terrell (LSU)**Conference:**October 26-28, 2018 in Baton Rouge, LA**Volume 40:**Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling**Editors:**Ivan Jeliazkov (U California - Irvine), Justin Tobias (Purdue U)**Conference:**June 2018 in Irvine, CA**Volume 39:**The Econometrics of Complex Survey Data: Theory and Applications**Editors:**Gautam Tripathi (U Luxembourg), David Jacho-Chavez (Emory U), Kim P. Huynh (Bank of Canada)**Conference:**October 19-20, 2017 in Ottawa, ON, Canada [Website] [PICS]**Volume 38:**Regression Discontinuity Designs: Theory and Applications**Editors:**Matias D. Cattaneo (U Michigan), Juan-Carlos Escanciano (Indiana U)**Conference:**May 19-20, 2016 at U Michigan**Volume 37:**Spatial and Spatiotemporal Econometrics**Editors:**Badi Baltagi (Syracuse U), James P. LeSage (Texas State U), R. Kelley Pace (LSU)**Conference:**October 9-11, 2015 at LSU**Volume 36:**Advances in Econometrics: Essays in Honor of Aman Ullah**Editors:**R. Carter Hill (LSU), Gloria Gonzalez-Rivera (UC-Riverside), Tae-Hwy Lee (UC-Riverside)**Conference:**March 13-15, 2015 at UC-Riverside [Website] [PICS]**Volume 35:**Dynamic Factor Models**Editors:**Siem Jan Koopman (VU U Amsterdam), Eric Hillebrand (Aarhus U)**Conference:**November 14-16, 2014 at Aarhus U [PICS]

Beginning with Volume 25, one paper from each volume or sub-volume of **Advances in Econometrics** is selected by the editors to receive the Emerald Literati Outstanding Author Contribution award. Past recipients are

**Volume 33:**Fixed-Smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation,*Yixiao Sun.***Volume 32:**Panel Vector Autoregressive Models: A Survey,*Fabio Canova and Matteo Ciccarelli.***Volume 31:**A Test for Monotone Comparative Statics,*Federico Echenique and Ivana Komunjer.***Volume 30:**A Risk Superior Semiparametric Estimator for Overidentified Linear Modes,*George Judge and Ron Mittelhammer.***Volume 29:**Quantile Regression Estimation of Panel Duration Models with Censored Data,*Matthew Harding and Carlos Lamarche.***Volume 28:**Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007),*Denis Tkachenko and Zhongjun Qu.***Volume 27A:**The Elephant in the Corner: A Cautionary Tale About Measurement Error in Treatment Effects Models,*Daniel L. Millimet.***Volume 27B:**Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey,*Massimo Guidolin.***Volume 26:**The Panel Probit Model: Adaptive Integration on Sparse Grids,*Florian Heiss.***Volume 25:**Partial Identification of the Distribution of Treatment Effects and Its Confidence Sets,*Yanqin Fan and Sang Soo Park.*

**Volume 34:**Bayesian Model Comparison**Editors:**Ivan Jeliazkov (UC-Irvine), Dale Poirier (UC-Irvine)**Conference:**February 22-23, 2014 at UC-Irvine [PICS]**Contents:**Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments,*Garland Durham and John Geweke.*Model Switching and Model Averaging in Time-Varying Parameter Regression Models,*Miguel Belmonte and Gary Koop.*Assessing Bayesian Model Comparison in Small Samples,*Enrique Martinez-Garcia and Mark A. Wynne.*Bayesian Selection of Systematic Risk Networks,*Daniel Felix Ahelegbey and Paolo Giudici.*Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison,*Martin Burda.*Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach,*Guillaume Weisang.*Determining the Proper Specification for Endogenous Covariates in Discrete Data Settings,*Angela Vossmeyer.*Variable Selection in Bayesian Models: Using Parameter Estimation and Non Parameter Estimation Methods,*Gail Blattenberger, Richard Fowles, and Peter D. Loeb.*Intrinsic Priors for Objective Bayesian Model Selection,*Elias Moreno and Luis Raul Pericchi.*Demand Estimation with High-Dimensional Product Characteristics,*Benjamin J. Gillen, Matthew Shum, and Hyungsik Roger Moon.*Copula Analysis of Correlated Counts,*Esther Hee Lee.***Volume 33:**Essays in Honor of Peter C.B. Phillips**Editors:**Yoosoon Chang (Indiana U), Thomas B. Fomby (SMU), Joon Park (Indiana U)**Conference:**November 1-3, 2013 at SMU [PICS]**Contents:**Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk,*Bruce E. Hansen.*Fixed-Smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation,*Yixiao Sun.*Moment Approximations for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors,*Yong Bao, Aman Ullah, and Ru Zhang.*On the Size Distortion from Linearly Interpolating Low-Frequency Series for Cointegration Tests,*Eric Ghysels and J. Isaac Miller.*Testing for Cointegration in Markov Switching Error Correction Models,*Liang Hu and Yongcheol Shin.*Specification Testing in Parametric Trending Models with Unknown Errors,*Jiti Gao and Maxwell King.*Panel Macroeconometric Modeling,*Cheng Hsiao.*Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition,*John Chao, Myungsup Kim, and Donggyu Sul.*Efficient Estimation and Inference for Difference-in-Difference Regression with Persistent Errors,*Ryan Greenaway-McGrevy, Chirok Han, and Donggyu Sul.*A CUSUM Test for Common Trends in Large Heterogeneous Panels,*Javier Hidalgo and Jungyoon Lee*Tests of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances,*Badi H. Baltagi, Chihwa Kao, and Long Liu.*Limit Theory and Inference About Conditional Distributions,*Purevdorj Tuvaandorj and Victoria Zinde-Walsh.*On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous,*Jan F. Kiviet and Jerzy Niemczyk.*Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing,*Jin Seo Cho and Halbert White.*Minimax Estimation of onregular Parameters and Discontinuity in Minimax Risk,*Kyungchul Song.*The Gap Between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering,*Esfandiar Maasoumi, Melinda Pitts, and Ke Wu.*Deviance Information Criterion for Comparing VAR Models,*Tao Zeng, Yong Li, and Jun Yu.*Stable Limit Theory for the Variance Targeting Estimator,*Igor Vaynman and Brendan K. Beare.*Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets,*Alex Maynard and Dongmeng Ren.*Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns,*Chi Wan and Zhijie Xiao.***Emerald Literati Outstanding Author Contribution Award:**Fixed-Smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation,*Yixiao Sun.***Volume 32:**Vector Autoregressive Modeling -- New Developments and Applications: Essays in Honor of Christopher A. Sims**Editors:**Thomas B. Fomby (SMU), Lutz Killian (U Michigan), Anthony Murphy (Federal Reserve Bank of Dallas)**Conference:**November 2-4, 2012 at SMU [PICS]**Contents:**The Relationship Between DSGE and VAR Models,*Raffaella Giacomini.*Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?*Refet S. Gürkaynak, Burçin Kisacikoğlu, and Barbara Rossi.*Unit Roots, Cointegration, and Pretesting in VAR Models,*Nikolay Gospodinov, Ana María Herrera, and Elena Pesavento.*Evaluating the Accuracy of Forecasts from Vector Autoregressions,*Todd E. Clark and Michael W. McCracken.*Identifying Structural Vector Autoregressions Via Changes in Volatility,*Helmut Lütkepohl.*Panel Vector Autoregressive Models: A Survey,*Fabio Canova and Matteo Ciccarelli.*Mixed-Frequency Vector Autoregressive Models,*Claudia Foroni, Eric Gheysels, and Massimiliano Marcellino.*Thresholds and Smooth Transitions in Vector Autoregressive Models,*Kirstin Hubrich and Timo Teräsvirta.*Nonparametric Vector Autoregressions: Specification, Estimation, and Inference,*Ivan Jeliazkov.*Testing for Common Cycles in Non-Stationary VARs with Varied Frequency Data,*Thomas B. Götz, Alain Hecq, and Jean-Pierre Urbain.*Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation,*Bertrand Candelon, Elena-Ivona Dumitrescu, Christopher Hurlin, and Franz C. Palm.***Emerald Literati Outstanding Author Contribution Award:**Panel Vector Autoregressive Models: A Survey,*Fabio Canova and Matteo Ciccarelli.***Volume 31:**Structural Econometric Models**Editors:**Eugene Choo (U Calgary), Matthew Shum (Cal Tech)**Conference:**February 8-10, 2013 at LSU [PICS]**Contents:**Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models,*Victor Aguirregabiria and Arvind Magesan.*Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration,*Peter Arcidiacono, Patrick Bayer, Federico A. Bugni, and Jonathan James.*Identifying Dynamic Games with Serially Correlated Unobservables,*Yingyao Hu and Matthew Shum.*Partial Identification in Two-Sided Matching Models,*Federico Echenique, Sang Mok Le, and Matthew Shum.*Identification of Matching Complementarities: A Geometric Viewpoint,*Alfred Galichon.*Comparative Static and Computational Methods for an Empirical One-to-One Transferable Utility Matching Model,*Bryan S. Graham.*A Test for Monotone Comparative Statics,*Federico Echenique and Ivana Komunjer.*Estimating Supermodular Games Using Rationalizable Strategies,*Kosuke Uetake and Yasutora Watanabe.*Estimation of the Loan Spread Equation with Endogenous Bank-Firm Matching,*Jiawei Chen.*The Collective Marriage Matching Model: Identification, Estimation, and Testing,*Eugene Choo and Shannon Seitz.*Deflation in Durable Goods Markets: An Empirical Model of the Tokyo Condominium Market,*Migiwa Tanaka.*A Dynamic Analysis of the U.S. Cigarette Market and Antismoking Policies,*Wei Tan.***Emerald Literati Outstanding Author Contribution Award:****Volume 30:**30th Anniversary Issue**Editors:**Daniel L. Millimet (SMU), Dek Terrell (LSU)**Conference:**March 23-25, 2012 at LSU [PICS]**Contents:**Introduction,*Dek Terrell and Daniel Millimet.*A History of Advances in Econometrics,*Randalll C. Campbell and Asli Ogunc.*Bayesian Unit Root Testing: The Effect of Choice of Prior on Test Outcomes,*Charley Xia and William Griffiths.*Inverse Test Confidence Intervals for Turning-points: A Demonstration with Higher Order Polynomials,*Jeanette Lye and Joseph Hirschberg.*Serial Correlation Robust LM Type Tests for a Shift in Trend,*Jingjing Yang and Timothy Vogelsang.*Consistent Testing for Structural Change at the Ends of the Sample,*Michael W. McCracken.*Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors,*Eric Hillebrand and Tae-Hwy Lee.*On the Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments,*Badi Baltagi, Chihwa Kao, and Long Liu.*A Risk Superior Semiparametric Estimator for Overidentified Linear Models,*George Judge and Ron Mittelhammer.*Spatial Dependence in Regressors and its Effect on Performance of Likelihood-based and Instrumental Variable Estimators,*Kelley Pace, James LeSage, and Shuang Zhu.*Sectoral Effects of Aggregate Shocks,*Nathan Balke.*Cyclical Co-movement between Output, the Price Level, and the Inflation Rate,*Joseph Haslag and Yu-Chin Hsu.*Money-Income Granger-Causality in Quantiles,*Tae-Hwy Lee and Weiping Yang.*Copula-GARCH Time-Varying Tail Dependence,*Jiaqi Chen and Jeffery Gunther.*Monte Carlo Experiments Using Stata: A Primer with Examples,*Lee Adkins and Mary Gade.***Emerald Literati Outstanding Author Contribution Award:**A Risk Superior Semiparametric Estimator for Overidentified Linear Modes,*George Judge and Ron Mittelhammer.***Volume 29:**Essays in Honor of Jerry Hausman**Editors:**Badi Baltagi (Syracuse U), R. Carter Hill (LSU), Whitney Newey (MIT), Halbert L. White (UCSD)**Conference:**February 17-19, 2012 at LSU [PICS]**Contents:**The Genesis of the Hausman Specification Test,*Jerry A. Hausman.*Introduction,*Badi H. Baltagi, R. Carter Hill, Whitney K. Newey, and Halbert L. White.*The Diffusion of Hausman's Econometric Ideas,*Hector O. Zapata and Cristina M. Caminita.*Combining Two Consistent Estimators,*John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, and Tiemen Woutersen.*A Minimum Mean Squared Error Semiparametric Combining Estimator,*George Judge and Ron Mittelhammer.*An Expository Note on the Existence of Moments of Fuller and HFUL Estimators,*John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, and Tiemen Woutersen.*Overcoming the Many Weak Instrument Problem Using Normalized Principal Components,*Nicky Grant.*Errors-in-Variables and the Wavelet Multiresoultion Approximation Approach: A Monte Carlo Study,*Marco Gallegati and James B. Ramsey.*A Robust Hausman-Taylor Estimator,*Badi H. Baltagi and Georges Bresson.*Small Sample Properties and Pretest Estimation of a Spatial Hausman-Taylor Model,*Badi H. Baltagi, Peter H. Egger, and Michaela Kesina.*Quantile Regression Estimation of Panel Duration Models with Censored Data,*Matthew Harding and Carlos Lamarche.*Labor Allocation in a Householdand its Impact on Production Efficiency: A Comparison of Panel Modeling Approaches,*Hilde Marte Bjornsen and Ashok K. Mishra.*Using Panel Data to Examine Racial and Gender Differences in Debt Burdens,*Michael D.S. Morris.*Sovereign Bond Spread Drivers in the EU Market in the Aftermath of the Global Financial Crisis,*Iuliana Matei and Angela Cheptea.*Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression,*Liangjun Su and Halbert L. White.*Extending the Hausman Test to Check for the Presence of Outliers,*Catherine Dehon, Marjorie Gassner, and Vincenzo Verardi.*A Simple Test for Identification in GMM Under Conditional Moment Restrictions,*Francesco Bravo, Juan Carlos Escanciano, and Taisuke Otsu.*Fixed vs Random: The Hausman Test Four Decades Later,*Shahram Amini, Michael S. Delgado, Daniel J. Henderson, and Christopher F. Parmeter.*The Hausman Test, and Some Alternatives, with Heteroskedastic Data,*Lee C. Adkins, Randall C. Campbell, Viera Chmelarova, and R. Carter Hill.*A Hausman Test for Spatial Regression Model,*Monalisa Sen, Anil K. Bera, and Yu-Hsien Kao.***Emerald Literati Outstanding Author Contribution Award:**Quantile Regression Estimation of Panel Duration Models with Censored Data,*Matthew Harding and Carlos Lamarche.***Volume 28:**DSGE Models in Macroeconomics - Estimation, Evaluation, and New Developments**Editors:**Nathan Balke (SMU), Fabio Canova (U Pompeu Fabra), Fabio Milani (UCI), Mark Wynne (Federal Reserve Bank of Dalls)**Conference:**November 4-6, 2011 at SMU [PICS]**Contents:**Introduction,*Juan Carlos Escanciano, Thomas B. Fomby, R. Carter Hill, Eric Hillebrand, and Ivan Jeliazkov.*The Modeling of Expectations in Empirical DSGE Models: A Survey,*Fabio Milani.*Optimal Monetary Policy in an Estimated Local Currency Pricing Model,*Eiji Okano, Masataka Eguchi, Hiroshi Gunji, and Tomomi Miyazaki.*News, Non-Invertibility, and Structural VARs,*Eric R. Sims.*Bayesian Estimation of NOEM Models: Identification and Inference in Small Samples,*Enrique Martinez-Garcia, Diego Vilan, and Mark A. Wynne.*Fitting U.S. Trend Inflation: A Rolling-Window Approach,*Efrem Castelnuovo.*Expectation Formation and Montary DSGE Models: Beyond the Rational Expectations Paradigm,*Fabio Milani and Ashish Rajbhandari.*Approximation Properties of Laplace-Type Estimators,*Anna Kormilitsina and Denis Nekipelov.*Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007),*Denis Tkachenko and Zhongjun Qu.*On the Estimation of Dynamic Stochastic General Equilibrium Models: An Empirical Likelihood Approach,*Sara Riscado.*Structural Estimation of the New-Keynesian Model: A Formal Test of Backward- and Forward-Looking Behavior,*Tae-Seok Jang.***Emerald Literati Outstanding Author Contribution Award:**Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007),*Denis Tkachenko and Zhongjun Qu.***Volume 27:**Missing Data Methods**Editors:**David M. Drukker (StataCorp)**Conference:**October 23-24, 2010 at SMU [PICS]**Contents:**[PART A] Introduction,*David M. Drukker.*The Elephant in the Corner: A Cautionary Tale About Measurement Error in Treatment Effects Models,*Daniel L. Millimet.*Recent Developments in Semiparametric Estimation of Panel Data Models with Incomplete Information: A Selected Review,*Yu Yvette Zhang, Qi Li, and Dong Li.*Likelihood-Based Estimators for Endogenous or Truncated Samples in Standard Stratified Sampling,*Myoung-jae Lee and Sanghyeok Lee.*Efficient Estimation of the Dose-Response Function Under Ignorability Using Subclassification on the Covariates,*Matias D. Cattaneo and Max H. Farrell.*Average Derivative Estimation with Missing Responses,*Francesco Bravo, Kim P. Huynh, and David T. Jacho-Chavez.*Consistent Estimation and Orthogonality,*Tiemen Woutersen.*On the Estimation of Selection Models When Participation is Endogenous and Misclassified,*Ian M. McCarthy and Rusty Tchernis.*Efficient Probit Estimation with Partially Missing Covariates,*Denis Conniffe and Donal O'Neill.*Nonlinear Difference-In-Difference Treatment Effect Estimation: A Distributional Analysis,*Kim P. Huynh, David T. Jacho-Chavez, and Marcel C. Voia.*Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas,*Phillip Li and Mohammad Arshad Rahman.*Estimating the Average Treatment Effect Based on Direct Estimation of the Conditional Treatment Effect,*Jingping Gu, Juan Lin, and Dandan Liu.*A Missing Variable Imputation Methodology with an Empirical Application,*Gayaneh Kyureghian, Oral Capps Jr. and Rodolfo M. Nayga, Jr.*[PART B] Introduction,*David M. Drukker.*Markov Switching Models in Empirical Finance,*Massimo Guidolin.*Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey,*Massimo Guidolin.*Volatility in Discrete and Continous-Time Models: A Survey with New Evidence on Large and Small Jumps,*Diep Duong and Norman R. Swanson.*Missing-Data Imputation in Nonstationary Panel Data Models,*Wensheng Kang.***Emerald Literati Outstanding Author Contribution Award:**[PART A] The Elephant in the Corner: A Cautionary Tale About Measurement Error in Treatment Effects Models,*Daniel L. Millimet.*[PART B] Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey,*Massimo Guidolin.***Volume 26:**Maximum Simulated Likelihood Methods and Applications**Editors:**William Greene (NYU), Carter Hill (LSU)**Conference:**November 6-8, 2009 at LSU [PICS]**Contents:**Introduction,*William Greene.*MCMC Perspectives on Simulated Likelihood Estimation,*Ivan Jeliazkov and Ester Hee Lee.*The Panel Probit Model: Adaptive Integration on Sparse Grids,*Florian Heiss.*A Comparison of the Maximum Simulated Likelihood and Composite Marginal Likelihood Estimation Approaches in the Context of the Multivariate Ordered-Response Model,*Chandra R. Bhat, Cristiano Varin and Nazneen Ferdous.*Pretest Estimation in the Random Parameters Logit Model,*Tong Zeng and R. Carter Hill.*Simulated Maximum Likelihood Estimation of Continous Time Stochastic Volatility Models,*Tore Sell and Kleppe, Jun Yu and H.J. Skaug.*Education Savings Accounts, Parent Contributions, and Education Attainment,*Michael D.S. Morris.*Estimating the Effect of Exchange Rate Flexibility on Financial Account Openness,*Raul Razo-Garcia.*Estimating a Fractional Response Model with a Count Endogenous Regressor and an Application to Female Labor Supply,*Hoa B. Nguyen.*Alternative Random Effects Panel Gamma SML Estimation with Heterogeneity in Random and One-Sided Error,*Saleem Shaik and Ashok K. Mishra.*Modeling and Forecasting Volatility in a Bayesian Approach,*Esmail Amiri.***Volume 25:**Nonparametric Econometric Methods**Editors:**Jeffrey Racine (McMaster U), Qi Li (Texas A&M U)**Conference:**November 14-16, 2008 at LSU [PICS]**Contents:**Introduction,*Qi Li and Jeffrey S. Racine.*Partial Identification of the Distribution of Treatment Effects and Its Confidence Sets,*Yanqin Fan and Sang Soo Park.*Cross-Validated Bandwidths and Significance Testing,*Christopher F. Parmeter, Zhiyuan Zheng and Patrick McCann.*Semiparametric Estimation of Fixed-Effects Panel Data Varying Coefficient Models,*Yiguo Sun, Raymond J. Carroll and Dingding Li.*Functional Coefficient Estimation with Both Categorical and Continuous Data,*Liangjun Su, Ye Chen and Aman Ullah.*The Evolution of the Conditional Joint Distribution of Life Expectancy and Per Capita Income Growth,*Thanasis Stengos, Brennan S. Thompson, and Ximing Wu.*A Nonparametric Quantile Analysis of Growth and Governance,*Kim P. Huynh and David T. Jacho-Chavez.*Nonparametric Estimation of Production Risk and Risk Preference Functions,*Subal C. Kumbhakar and Efthymios G. Tsionas.*Exponential Series Estimation of Empirical Copulas with Application to Financial Returns,*Chinman Chui and Ximing Wu.*Nonparametric Estimation of Multivariate CDF with Categorical and Continuous Data,*Gaosheng Ju, Rui Li and Zhongwen Liang.*Higher Order Bias Reduction of Kernel Density and Density Derivative Estimation at Boundary Points,*Peter Bearse and Paul Rilstone.*Nonparametric and Semiparametric Methods in R,*Jeffrey S. Racine.*Some Recent Developments in Nonparametric Finance,*Zongwu Cai and Yongmiao Hong.*Imposing Economic Constraints in Nonparametric Regression: Survey, Implementation, and Extension,*Daniel J. Henderson and Christopher F. Parmeter.*Functional Form of the Environmental Kuznets Curve,*Hector O. Zapata and Krishna P. Paudel.*Some Recent Developments on Nonparametric Econometrics,*Zongwu Cai, Jingping Gu and Qi Li.***Volume 24:**Measurement Error**Editors:**Jane M. Binner (Aston U), David L. Edgerton (Lund U), Thomas Elger (Lund U)**Contents:**Introduction: All the Results Not Fit to Print - Why Measurement Error Haunts Empirical Work in Macroeconomics,*Michael T. Belongia.*Price Errors from Thin Markets and Their Corrections: Studies Based on Taiwan's Political Futures Markets,*Shu-Heng Chen and Wei-Shao Wu.*Potential Biases in Substitution Estimates and Violations of Regularity Conditions,*Leigh Drake and Adrian R. Fleissig.*The Information Content of Inflationary Expectations Derived from Bond Prices in Israel,*David Elkayam and Alex Hek.*Measurement Error in the National Accounts,*Dennis Fixler.*Testing for Weak Separability,*Adrian R. Fleissig and Gerald A. Whitney.*Cointegration Analysis Under Measurement Errors,*Uwe Hassler and Vladimir Kuzin.*A Monte Carlo Study of the Necessary and Sufficient Conditions for Weak Separability,*Per Hjertstrand.*Threshold Stock Price Adjustment,*Fredj Jawadi.*Testing Utility Maximization with Measurement Errors in the Data,*Barry E. Jones and David L. Edgerton.*The Stock of Money and Why You Should Care,*Logan J. Kelly.*Distribution Dynamics and Measurement Error,*Ole Rummel.*Analyzing MSI Rules for the USA - Extracted from a Feed Forward Neural Network,*Vincent A. Schmidt and Jane M. Binner.***Volume 23:**Bayesian Econometrics**Editors:**Siddhartha Chib (Washington U - St. Louis), Gary Koop (U Strathclyde), Bill Griffiths (U Melbourne), Dek Terrell (LSU)**Conference:**November 2-4, 2007 at LSU**Contents:**Bayesian Econometrics: An Introduction,*Siddhartha Chib, William Griffiths, Gary Koop, and Dek Terrell.*Bayesian Econometrics: Past, Present, and Future,*Arnold Zellner.*Bayesian Inference Using Adaptive Sampling,*Paolo Giordani and Robert Kohn.*A Bayesian Analysis of the OPES Model with a Nonparametric Component: An Application to Dental Insurance and Dental Care,*Murat K. Munkin and Pravin K. Trivedi.*Fitting and Comparison of Models for Multivariate Ordinal Outcomes,*Ivan Jeliazkov, Jennifer Graves, and Mark Kutzbach.*Intra-Household Allocation and Consumption of WIC-Approved Foods: A Bayesian Approach,*Ariun Ishdorj, Helen H. Jensen, and Justin Tobias.*Causal Effects from Panel Data in Randomized Experiments with Partial Compliance,*Siddhartha Chib and Liana Jocobi.*Parametric and Nonparametric Inference in Equilibrium Job Search Models,*Gary Koop.*Do Subsidies Drive Productivity? A Cross-Country Analysis of Nordic Dairy Farms,*Nadine McCloud and Subal C. Kumbhakar.*Semiparametric Bayesian Estimation of Random Coefficients Discrete Choice Models,*Sylvie Tchumtchoua and Dipak K. Dey.*Bayesian Two-Stage Regression with Parametric Heteroscedasticity,*Arto Luoma and Jani Luoto.*Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-Series Models,*Michiel de Pooter, Francesco Ravazzolo, Rene Segers, and Herman K. van Dijk.*Forecasting in Vector Autoregressions with Many Predictors,*Dimitris Korobilis.*Bayesian Inference in a Cointegrating Panel Data Model,*Gary Koop, Roberto Leon-Gonzalez, and Rodney Strachan.*Investigating Nonlinear Purchasing Power Parity During the Post-Bretton Woods Era - A Bayesian Exponential Smooth Transition VECM Approach,*Deborah Gefang.*Bayesian Forecast Combination for VAR Models,*Michael K. Andersson and Sune Karlsson.*Bayesian Inference on Time-Varying Proportions,*William J. McCausland and Brahim Lgui.*Imposing Stationarity Constraints on the Parameters of ARCH and GARCH Models,*Christopher J. O'Donnell and Venessa Rayner.*Bayesian Model Selection for Heteroskedastic Models,*Cathy W.S. Chen, Richard Gerlach, and Mike K.P. So.*Bayesian Student-t Stochastic Volatility Models via Scale Mixtures,*S.T. Boris Choy, Wai-yin Wan, and Chun-man Chan.*Bayesian Analysis of the Consumption CAPM,*Veni Arakelian and Efthymios G. Tsionas.***Volume 22:**Econometrics of Risk Management**Editors:**Thomas B. Fomby (SMU), Jean-Pierre Fouque (UCSB), Knut Solna (UCI)**Conference:**November 3-5, 2006 at LSU**Contents:**Introduction,*Jean-Pierre Fouque, Thomas B. Fomby, and Knut Solna.*Fast Solution of the Gaussian Copula Model, Bjorn Flesaker. An Empirical Study of Pricing and Hedging Collateralized Debt Obligation (CDO),*Lijuan Cao, Zhang Jingqing, Lim Kian Guan, and Zhonghui Zhao.*The Skewed t Distribution for Portfolio Credit Risk,*Wenbo Hu and Alec N. Kercheval.*Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches,*Daniel Totouom and Margaret Armstrong.*Perturbed Gaussian Copula,*Jean-Pierre Fouque and Xianwen Zhou.*The Determininants of Default Correlations,*Kanak Patel and Ricardo Pereira.*Data Mining Procedures in Generalized Cox Regressions,*Zhen Wei.*Jump Diffusion in Credit Barrier Modeling: A Partial Integro-Differential Equation Approach,*Jingyi Zhu.*Bond Markets with Stochastic Volatility,*Rafael DeSantiago, Jean-Pierre Fouque, and Knut Solna.*Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss,*Andrei V. Lopatin and Timur Misirpashaev.*Credit Derivatives and Risk Aversion,*Tim Leung, Ronnie Sircar, and Thaleia Zariphopoulou.***Volume 21:**Modeling and Evaluating Treatment Effects in Econometrics**Editors:**Daniel L. Millimet (SMU), Jeffrey Smith (U Michigan), Ed Vytlacil (Yale U),**Conference:**October 28-30, 2005 at SMU [PICS]**Contents:**Introduction,*Daniel L. Millimet, Jeffrey A. Smith, and Edward J. Vytlacil.*Selection Bias in Evaluating Treatment Effects: Some Formal Illustrations,*Arthur S. Goldberger.*The Event-History Approach to Program Evaluation,*Jaap H. Abbring.*Bayesian Analysis of Treatment Effects in an Ordered Potential Outcomes Model,*Mingliang Li and Justin L. Tobias.*Instrumental Variables Estimation of the Average Treatment Effects in the Correlated Random Coefficient Model,*Jeffrey M. Wooldridge.*Evaluating the Effects of Job Training Programs on Wages Through Principal Stratification,*Junni L. Zhang, Donald B. Rubin, and Fabrizia Mealli.*Graphical Diagnostics of Endogeneity,*Xavier de Luna and Per Johansson.*Fertility and the Health of Children: A Nonparametric Investigation,*Daniel J. Henderson, Daniel L. Millimet, Christopher F. Parmeter and Le Wang.*Program Participation, Labor Force Dynamics, and Accepted Wage Rates,*Jakob Roland Munich and Lars Skipper.*When is ATE Enough? Risk Aversion and Inequality Aversion in Evaluating Training Programs,*Rajeev Dehejia.*Matching Estimation of Dynamic Treatment Models: Some Practical Issues,*Michael Lechner.*Panel Data Models and Transitory Fluctuations in the Explanatory Variable,*Terra McKinnish.*An Empirical Assessment of the Effects of Parenthood on Wages,*Marianne Simonsen and Lars Skipper.*The Employment Effects of Job-Creation Schemes in Germany: A Microeconometric Evaluation,*Marco Caliendo, Reinhard Hujer, and Stephan L. Thomsen.***Volume 20:**Econometric Analysis of Financial and Economic Time Series**Editors:**Thomas B. Fomby (SMU), Dek Terrell (LSU)**Contents:**[PART A] Introduction,*Dek Terrell and Thomas B. Fomby.*Remarks by Robert F. Engle III and Sir Clive W.J. Granger, KB. Good Ideas,*Robert F. Engle III.*The Creativity Process,*Sir Clive W.J. Granger, KB.*Part I: Multivariate Volatility Models. A Flexible Dynamic Correlation Model,*Dirk Baur.*A Multivariate Skew-GARCH Model,*Giovanni De Luca, Marc G. Genton, and Nicola Loperfido.*Semi-Parametric Modeling of Correlation Dynamics,*Christian M. Hafner, Dick van Dijk, and Philip Hans Franses.*A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals,*Dimitris N. Politis.*A Portmanteau Test for Multivariate GARCH When the Conditional Mean is an ECM: Theory and Empirical Applications,*Chor-yiu Sin.*Part II: High Frequency Volatility Models. Sampling Frequency and Window Length Trade-Offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations,*Elena Andreou and Eric Ghysels.*Model-Based Measurement of Actual Volatility in High-Frequency Data,*Borus Jungbacker and Siem Jan Koopman.*Noise Reduced Realized Volatility: A Kalman Filter Approach,*John P. Owens and Douglas Steigerwald.*Part III: Univariate Volatility Models. Modeling the Asymmetry of Stock Movements Using Price Ranges,*Ray Y. Chou.*On a Simple Two-Stage Closed-Form Estimator for a Stochastic Volatility in a General Linear Regression,*Jean-Marie Dufour and Pascale Valery.*The Student's T Dynamic Linear Regression: Re-Examining Volatility Modeling,*Maria S. Heracleous and Aris Spanos.*ARCH Models for Multi-Period Forecast Uncertainty: A Reality Check Using a Panel of Density Forecasts,*Kajal Lahiri and Fushang Liu.*Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(P,Q) Process,*Peter A. Zadrozny.*[PART B] Introduction,*Thomas B. Fomby and Deck Terrell.*Remarks by Robert F. Engle III and Sir Clive W.J. Granger, KB. Good Ideas,*Robert F. Engle III.*The Creativity Process,*Sir Clive W.J. Granger, KB.*Realized Beta: Persistence and Predictability,*Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, and Ginger Wu.*Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison,*Yong Bao and Tae-Hwy Lee.*Flexible Seasonal Time Series Models,*Zongwu Cai and Rong Chen.*Estimation of Long-Memory Time Series Models: A Survey of Different Likelihood-Based Methods,*Ngai Hang Chan and Wilfredo Palma.*Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting,*Valeriy A. Gavrishchaka.*Overlaying Time Scales in Financial Volatility Data,*Eric Hillebrand.*Evaluating the 'FED Model' of Stock Price Valuation: An Out-of-Sample Forecasting Perspective,*Dennis W. Jansen and Zijun Wang.*Structural Change as an Alternative to Long Memory in Financial Time Series,*Tze Leung Lai and Haipeng Xing.*Time Series Mean Level and Stochastic Volatility Modeling by Smooth Transition Autoregressions: A Bayesian Approach,*Hedibert Freitas Lopes and Esther Salazar.*Estimating Taylor-Type Rules: An Unbalanced Regression?*Pierre L. Siklos and Mark E. Wohar.*Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility,*Alejandro Villagran and Gabriel Huerta.*A Modern Time Series Assessment of "A Statistical Model for Sunspot Activity" by C.W.J. Granger (1957),*Gawon Yoon.*Personal Comments on Yoon's Discussion of My 1957 Paper,*Sir Clive W.J. Granger, KB.*A New Class of Tail-Dependent Time-Series Models and Its Applications in Financial Time Series,*Zhengjun Zhang.***Volume 19:**Applications of Artificial Intelligence in Finance and Economics**Editors:**Jane M. Binner (U Nottingham), Shu-Heng Chen (National Chengchi U)**Contents:**Introduction,*Jane M. Binner, Graham Kendall, and Shu-Heng Chen.*Statistical Analysis of Genetic Algorithms in Discovering Technical Trading Strategies,*Chueh-Yung Tsao and Shu-Heng Chen.*A Genetic Programming Approach to Model International Short-Term Capital Flow,*Tina Yu, Shu-Heng Chen and Tzu-Wen Kuo.*Tools for Non-Linear Time Series Forecasting in Economics - An Empirical Comparison of Regime Switching Vector Autoregressive Models and Recurrent Neural Networks,*Jane M. Binner, Thomas Elger, Birger Nilsson and Jonathan A. Tepper.*Using Non-Parametric Search Algorithms to Forecast Daily Excess Stock Returns,*Nathan Lael Joseph, David S. Bree and Efstathios Kalyvas.*Co-Evolving Neural Networks with Evolutionary Strategies: A New Application to Divisia Money,*Jane M. Binner, Graham Kendall and Alicia Gazely.*Forecasting the EMU Inflation Rate: Linear Econometric vs. Non-Linear Computational Models Using Genetic Neural Fuzzy Systems,*Stefan Kooths, Timo Mitze and Eric Ringhut.*Finding or Not Finding Rules in Time Series,*Jessica Lin and Eamonn Keogh.*A Comparison of VAR and Neural Networks with Genetic Algorithm in Forecasting Price of Oil,*Sam Mirmirani and Hsi Cheng Li.*Searching for Divisa/Inflation Relationships with the Aggregate Feedforward Neural Network,*Vincent A. Schmidt and Jane M. Binner.*Predicting Housing Value: Genetic Algorithm Attribute Selection and Dependence Modelling Utilising the Gamma Test,*Ian D. Wilson, Antonia J. Jones, David H. Jenkins, and J.A. Ware.***Volume 18:**Spatial and Spatiotemporal Econometrics**Editors:**James P. LeSage (U Toledo), R. Kelley Pace (LSU)**Contents:**Introduction,*James P. LeSage and R. Kelley Pace.*Testing for Linear and Log-Linear Models Against Box-Cox Alternatives with Spatial Lag Dependence,*Badi H. Baltagi and Dong Li.*Spatial Lags and Spatial Errors Revisited: Some Monte Carlo Evidence,*Robin Dubin.*Bayesian Model Choice in Spatial Econometrics,*Leslie W. Hepple.*A Bayesian Probit Model with Spatial Dependencies,*Tony E. Smith and James P. LeSage.*Instrumental Variable Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances: Large and Small Sample Results,*Harry H. Kelejian, Ingmar R. Prucha, and Yevgeny Yuzefovich.*Generalized Maximum Entropy Estimation of a First Order Spatial Autoregressive Model,*Thomas L. Marsh and Ron C. Mittelhammer.*Employment Subcenters and Home Price Appreciation Rates in Metropolitan Chicago,*Daniel P. McMillen.*Searching for Housing Submarkets Using Mixtures of Linear Models,*M.D. Ugarte, T. Gopicoa, and A.F. Militino.*Spatio-Temporal Autoregressive Models for U.S. Unemployment Rate,*Xavier de Luna and Marc G. Genton.*A Learning Rule for Inferring Local Distributions Over Space and Time,*Stephen M. Stohs and Jeffrey T. LaFrance.***Volume 17:**Maximum Likelihood Estimation of Misspecified Models- Twenty Years Later**Editors:**Thomas B. Fomby (SMU), R. Carter Hill (LSU)**Contents:**Introduction,*Thomas B. Fomby and R. Carter Hill.*A Comparative Study of Pure and Pretest Estimators for a Possibly Misspecified Two-Way Error Component Model,*Badi H. Baltagi, Georges Bresson and Alain Pirotte.*Tests of Common Deterministic Trend Slopes Applied to Quarterly Global Temperature Data,*Thomas B. Fomby and Timothy J. Vogelsang.*The Sandwich Estimate of Variance,*James W. Hardin.*Test Statistics and Critical Values in Selectivity Models,*R. Carter Hill, Lee C. Adkins and Keith A. Bender.*Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression,*Tae-Hwan Kim and Halbert White.*Quasi-Maximum Likelihood Estimation with Bounded Symmetric Errors,*Douglas Miller, James Eales and Paul Preckel.*Consistent Quasi-Maximum Likelihood Estimation with Limited Information,*Douglas Miller and Sang-Hak Lee.*An Examination of the Sign and Volatility Switching ARCh Models under Alternative Distributional Assumptions,*Mohamed F. Omran and Florin Avram.*Estimating a Linear Exponential Density when the Weighting Matrix and Mean Parameter Vector are Functionally Related,*Chor-yiu Sin.*Testing in GMM Models without Truncation,*Timothy J. Vogelsang.*Bayesian Analysis of Misspecified Models with Fixed Effects,*Tiemen Woutersen.***Volume 16:**Econometric Models in Marketing**Editors:**Philip Hans Franses (Erasmus U), Alan L. Montgomery (Carnegie Mellon U)**Contents:**Introduction,*Philip Hans Franses and Alan L. Montgomery.*The Role of Stated Intentions in New Product Purchase Forecasting,*Cheng Hsiao, Baohong Sun and Vicki G. Morwitz.*Discrete Choice Models Incorporating Revealed Preferences and and Psychometric Data,*Taka Morikawa, Moshe Ben-Akiva and Daniel McFadden.*Analysis of Multi-Category Purchase Incidence Decisions Using IRI Market Basket Data,*Siddhartha Chib, P.B. Seetharaman and Andrei Strijnev.*Advances in Optimum Experimental Design for Conjoint Analysis and Discrete Choice Models,*Heiko Grossmann, Heinz Holling and Rainer Schwabe.*A Decision Theoretic Framework for Profit Maximization in Direct Marketing,*Lars Muus, Hiek van der Scheer and Tom Wansbeek.*'New and Improved' Direct Marketing: A Non-Parametric Approach,*Jeffrey S. Racine.*Estimating Market-Level Multiplicative Models of Promotion Effects with Linearly Aggregated Data: A Parametric Approach,*Albert C. Bemmaor and Udo Wagner.*Market Structure Across Stores: An Application of a Random Coefficients Logit Model with Store Level Data,*Pradeep Chintagunta, Jean-Pierre Dube and Vishal Singh.*Reflecting Uncertainty about Economic Theory when Estimating Consumer Demand,*Alan L. Montgomery.*A Study of 'Spurious Regression' and Model Discrimination in the Generalized Bass Model,*Frank M. Bass and Shuba Srinivasan.*Using Stochastic Frontier Analysis for Performance Measurement and Benchmarking,*Leonard J. Parsons.***Volume 15:**Nonstationary Panels, Panel Cointegration, and Dynamic Panels**Editor:**Badi Baltagi (Texas A&M)**Contents:**Introduction,*Badi H. Baltagi, Thomas B. Fomby and R. Carter Hill.*Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey,*Badi H. Baltagi and Chihwa Kao.*Estimation in Dynamic Panel Data Models: Improving on the Performance of the Standard GMM Estimator,*Richard Blundell, Stephen Bond and Frank Windmeijer.*Fully Modified OLS for Heterogeneous Contegrated Panels,*Peter Pedroni.*Testing for Common Cyclical Features in Nonstationary Panel Data Models,*Alain Hecq, Franz C. Palm and Jean-Pierre Urbain.*The Local Power of Some Unit Root Tests for Panel Data,*Jorg Breitung.*On the Estimation and Inference of a Cointegrated regression in Panel Data,*Chihwa Kao and Min-Hsien Chiang*Testing for Unit Roots in Panels in the Presence of Structural Change With an Application to OECD Unemployment,*Christian J. Murray and David H. Papell.*Panel Data Limit Theory and Asympototic Analysis of a Panel Regression With Near Integrated Regressors,*Heikki Dauppi.*Stationarity Tests in Heterogeneous Panels,*Yong Yin and Showen Wu.*Instrumental Variable Estimation of Semiparametric Dynamic Panel Data Models: Monte Carlo Results on Several New and Existing Estimators,*M. Douglas Berg, Qi Li and Aman Ullah.*Small Sample Performance of Dynamic Panel Data Estimators in Estimating the Growth Convergence Equation: A Monte Carlo Study,*Nazrul Islam.***Volume 14:**Applying Kernel and Nonparametric Estimation to Economic Topics**Editors:**Thomas B. Fomby (SMU), R. Carter Hill (LSU)**Contents:**Introduction,*Thomas B. Fomby and R. Carter Hill.*A Consistent Test for the Parametric Distribution of Regression Disturbances,*Badi H. Baltagi and Qi Li.*A Comparison of Parametric, Semi-Nonparametric, Adaptive, and Nonparametric Cointegration Tests,*H. Peter Boswijk, Andre Lucas, and Nick Taylor.*An Out-of-Sample, Nonparametric Test of the Martingale Difference Hypothesis,*Michael W. McCracken.*On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series,*Jeremy Berkowitz, Ionel Birgean, and Lutz Kilian.*Semiparametric Varying Parameter Panel Data Models: An Application to Estimation of Speed of Convergence,*Subodh Kumar and Aman Ullah.*Specification Testing and Nonparametric Estimation of the Human Capital Model,*John Xu Zheng.*A Nonparametric Approach to Stochastic Discount Factor Estimation,*Fan Hu, Alastair R. Hall, and Douglas Nychka.*Nonparametric Estimation of the Net Benefits of Southern Illinois University on the State of Illinois by the Human Capital Model,*Shawna Grosskopf and Brian W. Sloboda.*The Reaction of Housing Prices to Information on Superfund Sites: A Semiparametric Analysis of the Tacoma, Washington Market,*Daniel P. McMillen and Paul Thorsnes.*Nonparametric Assessment of the Effects of Neighborhood Land Uses On Residential House Values,*Shigeru Iwata, Hiroshi Murao, and Qiang Wang.*Equality of Opportunity and Kernel Density Estimation: An Application to Intergenerational Mobility,*Donal O'Neill, Olive Sweetmen, and Dirk Van de gaer.*A Nonparametric Analysis of the U.S. Male Earnings Distribution,*Donna K. Ginther.*Nonparametric Analysis of Growth in Replenishable Resource Stocks,*J.S. Racine and J.B. Smith.*Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data,*Cornelis A. Los.***Volume 13:**Messy Data- Missing Observations, Outliers, and Mixed-Frequency Data**Editors:**Thomas B. Fomby (SMU), R. Carter Hill (LSU)**Contents:**Introduction,*Thomas B. Fomby and R. Carter Hill.*Testing for Random Individual and Time Effects Using Unbalanced Panel Data,*Badi H. Baltagi, Young-Jae Chang, and Qi Li.*A Statistical Approach for Disaggregating Mixed-Frequency Economic Time-Series Data,*Wai-Sum Chan and Zhao-Guo Chen.*An Extended Yule-Walker Method for Estimating a Vector Autoregressive Model with Mixed-Frequency Data,*Baoline Chen and Peter A. Zadrozny.*Missing Data from Infrequency of Purchase: Bayesian Estimation of a Linear Expenditure System,*William Griffiths and Ma. Rebecca Valenzuela.*Messy Time Series: A Unified Approach,*Andrew Harvey, Siem Jan Koopman, and Jeremy Penzer.*Simulation of Multinomial Probit Probabilities and Imputation of Missing Data,*Victor Lavy, Michael Palumbo, and Steven Stern.*Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model-Based Procedure,*Massimiliano Marcellino.*Testing for Unit Roots in Economic Time Series With Missing Observations,*Kevin F. Ryan and David E.A. Giles.*Influential Data Diagnostics for Transition Data,*Larry W. Taylor.*The Effects of Different Types of Outliers on Unit Root Tests,*Yong Yin and G.S. Maddala.***Volume 12:**Applying Maximum Entropy to Econometric Problems**Editors:**Thomas B. Fomby (SMU), R. Carter Hill (LSU)**Contents:**Introduction,*Thomas B. Fomby and R. Carter Hill.*Section I. Methodology. The Maximum Entropy Approach to Estimation and Inference: an Overview,*Amos Golan, George Judge, and Douglas Miller.*Information Theoretic Regression Methods,*Ehsan S. Soofi.*The Bayesian Method of Moments (BMOM): Theory and Applications,*Arnold Zellner.*Information Theoretic Methods for Categorical Data,*Ehsan S. Soofi and D.V. Gokhale.*Model Selection by Maximum Entropy,*Pieter H.F.M. van Casteren and Jan G. De Gooijer.*Maximum-Entropy Acceptable-Likelihood Estimation of Population Heterogeneity,*Peter S. Faynzilberg.*A Monte Carlo Study of a Generalized Maximum Entropy Estimator of the Binary Choice Model,*Lee Adkins.*Section II. Applications. Constructing a Unimodal Bayesian Prior Distribution from Incompletely Assessed Information,*Patrick L. Brockett, Linda L. Golden, and Kwang H. Paick.*Recovering Wastewater Treatment Objectives: an Application of Entropy Estimation for Inverse Control Problems,*Linda Fernandez.*Dart Boards and Asset Prices: Introducing the Entropy Pricing Theory,*Les Gulko.*Maximum Entropy and Derivative Securities,*Raymond J. Hawkins.*Forecasting the Production Benefits and Incidence of a Public Program: An Integrated Survey and Estimation Procedure Applied to Study the California Irrigation Management Information System,*Daniel Osgood, Daniel Cohen, Doug Parker, and David Zilberman.*Another Perspective on Recent Changes in the U.S. Income Distribution: An Index Space Representation,*Hang K. Ryu and Daniel J. Slottje.*Omnibus Tests for Multivariate Normality Based on a Class of Maximum Entropy Distributions,*Carlos Urzua.***Volume 11:**Bayesian Methods**Editors:**Thomas B. Fomby (SMU), R. Carter Hill (LSU)**Contents:**[PART A] Introduction,*R. Carter Hill and Thomas B. Fomby.*Section I. Applications of Gibbs Sampling and Related Methods. Computation in Bayesian Econometrics: An Introduction to Markov Chain Monte Carlo,*Jim Albert and Siddharta Chib.*Bayesian Analysis of Financial Event Studies Data,*Alan E. Gelfand and James M. Sfiridis.*Bayesian Estimation of Adult-Equivalence Scales: An Application to Thai Expenditure Data,*William Griffiths and Duangkamon Chotikapanich.*Bayesian Computation for Parametric Models of Heteroscedasticity in the Linear Model,*W. John Boscardin and Andrew Gelman.*A Bayesian Analysis of Censored Autocorrelated Data on Exports of Japanese Passenger Cars to the United States,*Peter J. Zangari and Hiroki Tsurumi.*Bayesian Approach in Model Selection for the Binary Response Data,*Dipak K. Dey, Hong Chang, and Subhash C. Ray.*Section II. Special Computational Methods and Problems. Bayesian Bootstrap Inference Via Regression Structure Likelihood,*Thomas Heckelei and Ron C. Mittelhammer.*Protection Against Outliers in Bayesian Linear Models with Econometric Applications,*Jean-Francois Angers and Brenda MacGibbon.*Measurement Error or Endogeneity: Sorting Out Sources of Simultaneity-With an Application to Female Labor Supply,*Charles J. Romeo and Jie Sun.*Conditional Bayesian Signficance Levels: Econometric Applications,*Michael Brimacombe.*Section III. Applications of Bayesian Decision Theory. Multiagent Bayesian Theory and Economic Models of Duopoly, R&D, and Bank Runs,*Jauna Sanchez, Joseph B. Kadane and Alberto Candel.*A Decision Framework for Asset Acquisition in a Decentralized Firm,*Michael Cain and Christian Janssen.*[PART B] Introduction,*Thomas B. Fomby and R. Carter Hill.*Section I. Unit Roots and Cointegration. Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems,*Luc Bauwens and Michel Lubrano.*Trends and Cycles as Unobserved Components in Macroeconomic Time Series: A Bayesian Perspective,*David N. DeJong and Charles Whiteman.*A Bayesian Analysis of Unit Root and Cointegration with an Application to a Yen-Dollar Exchange Rate Model,*Hiroki Tsurumi and Hajime Wago.*Section II. Time Series with Structural Breaks. Analyzing Threshold Autoregressions with a Baysesian Approach,*Peyton Cook and Lyle D. Broemeling.*A Bayesian Search for Structural Breaks in U.S. GNP,*David DeJong.*Are Interest Rates Responsible for Unemployment in the Eighties? A Bayesian Analysis of Cointegrated Relationship with a Regime Shift,*David de la Croix and Michel Lubrano.*Forecasting and Assessing Structural Change Using the Bayesian Dynamic Linear Model: The Case of Promotional Campaigns,*Andy Pole.*Section III. Applied Time Series Analysis. The Term Structure of Interest Rates: An Empirical Investigation Using Multiprocess Mixture Models,*Basma Bekdache.*Price and Trading Volume Effects of Introducing Foreign Exchange Futures Options Trading,*Robert A. Connolly.*A Discrete Model for Bayesian Forecasting with Stable Seasonal Patterns,*Enrique de Alba and Manuel Mendoza.***Volume 10:**Simulating and Analyzing Industrial Structure**Editors:**Thomas B. Fomby (SMU), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction,*George F. Rhodes, Jr.*A Multivariate Stochastic Theory of Size Distribution of Firms with Empirical Evidence,*Amos Golan.*Research and Devlopment (R&D) Competition and Development of Market Structure,*George F. Rhodes, Jr. and Asdollah Heidari.*Real Estate Takeover and Urban Renewal: A Subgame Perfect Approach,*S. Deman and Kuang-Wei Wen.*Using the Beta Distribution to Model the Effects of a Share System on Industry Structure,*George F. Rhodes, Jr. and Dino Francescutti.*Impact of Macroeconomic Policy Instruments on Microeconomic Industrial Performance: The Case of Real Devaluations in a Developing Economy,*Rod E. Jensen.*A Bayesian Theory of Economic Policy Evaluation,*George F. Rhodes, Jr.***Volume 9:**Econometric Methods and Models for Industrial Organizations**Editors:**Thomas B. Fomby (SMU), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction,*George F. Rhodes, Jr.*Part I. Econometric Analysis of Structure and Incentives. Econometric Analysis of Market Structure: Statistical Evaluation of Price-Taking Behavior and Market Power,*Michael Hazilla.*Estimation and Structure of Price-Cost Margins Under Demand Uncertainty,*T.V.S. Ramamohan Rao, Saraswati P. Singh and Prem P. Talwar.*Delegation, the Role of Managerial Discretion as a Bonding Device, and the Enforcement of Implicit Contracts,*Gerald Garvey and Noel Gaston.*Estimation of Cost Frontiers in the Presence of Selectivity Bias: Ownership and Efficiency of Water Utilities,*Partricia Byrnes.*The Theory of Corporate Takeover Bids: A Game-Theoretical Model,*Suresh Deman.*Part II. Regulation. The Econometric Implications of Incentive Compatible Regulation,*Jonathan S. Feinstein and Frank A. Wolak.*A Generalized Measure of Government Intervention: The Case of Industrial Concentration,*K.P. Kalirajan.*Part III. Advertising. An Econometric Analysis of Some Duopolistic Games In Prices and Advertising,*Farid Gasmi and Quang H. Vuong.*The Effects of Television Advertising on Prices,*Arthur S. Leahy.***Volume 8:**Co-Integration, Spurious Regressions, and Unit Roots**Editors:**Thomas B. Fomby (SMU), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction,*Thomas B. Fomby and George F. Rhodes, Jr.*Part I. Survey and the New Concept of Multi-Co-Integration. Unit Roots in Economic Time Series: A Selected Survey,*Francis X. Diebold and Marc Nerlove.*Multicointegration,*C.W.J. Granger and Tae-Hwy Lee.*Part II. Developments in Testing. Testing for Unot Roots in Vector Processes and its Relation to Cointegration,*David A. Dickey.*Testing for Unit Roots and Cointegration by Variable Addition,*Joon Y. Park.*Tests of Joint Hypotheses for Time Series Regression with a Unit Root,*Pierre Perron.*Dickey-Fuller Tests with Drift,*Peter Schmidt.*Part III. Developments in Theory. State Space Approach to Modeling Cointegrated Time Series,*Masanao Aoki.*Estimation and Inference in Models of Cointegration: A Simulation Study,*Bruce E. Hansen and Peter C.B. Phillips.*Common Deterministic Trends, Common Factors, and Co-Integration,*Heejoon Kang.*Unit Roots and Their Dependence on the Conditioning Information Set,*Aris Spanos.*Part IV. Applications. On Unit Roots and the Persistent Dependence of Futures Prices,*John Doukas.*The Wage-Price Nexus in a Small Developing Country: An Application of Co- Integration Theory,*Andrews Downes, Carlos Holder and Hyginus Leon.*Evaluating Trends in Aggregate Time Series: A Monte Carlo Based Forecasting Approach,*Lee E. Ohanian.***Volume 7:**Nonparametric and Robust Inference**Editors:**Thomas B. Fomby (SMU), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction,*George Rhodes, Jr. and Thomas B. Fomby.*PART I. Robust Estimation. Robust Estimation of Location in a Gaussian Parametric Model,*Donald W.K. Andrews.*Semiparametric M-Estimation of Censored Linear Regression Models,*Joel L. Horowitz.*Robust Regressian in the Presence of Hetroscedasticity,*Shankar Subramanian and Richard T. Carson.*Flexible Production Function Estimation by Nonparametric Kernel Estimators,*H.D. Vinod and A. Ullah.*PART II. Robust Inference. Finite Sample Performance of the Robust Wald Test in Simultaneous Equation Systems,*Giorgio Calzolari and Lorenzo Panattoni.*Small-Sigma Approximations and the Minimaxity of Stein-Rules Under Nonnormality,*Thomas B. Fomby and R. Carter Hill.*A Functional-Form, Distribution-Free Alternative to Parametric Analysis of Granger Causal Models,*James M. Holmes and Patricia A Hutton.*PART III. Consumer Demand Studies. Semiparametric Estimation of the Asymptotically Ideal Model: The Aim Demand System,*William A. Barnett and Piyu Yue.*Exact Aggregation, Distribution Parameterization, and A Nonlinear Representative Consumer,*Arthur Lewbel.*Random Walk in Consumption: Maximum Likelihood and Nonparametrics,*H.D. Vinod.***Volume 6:**Computation and Simulation**Editors:**Thomas B. Fomby (SMU), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction,*Thomas B. Fomby and George Rhodes, Jr.*Monte Carlo Testing for Heteroscedasticity in Equation Systems,*Ronald Bewley and Henri Theil.*The Ridge Regression Monte Carlo Controversy: Where Do We Stand?*Thomas B. Fomby.*Computer Algebra: Symbolic and Algebraic Computation in Economic/Econometric Applications.*K.J. Hayes, Joseph G. Hirschberg and D.J. Slottje.*Monte Carlo Experimentation Using PC-Naive,*David F. Hendry and Adrian J. Neale.*Modeling Multicollinearity and Extrapolation in Monte Carlo Experiments on Regression,*R. Carter Hill.*Nonparametric Monte Carlo Estimations of Rational Expectations Estimators and Their t Ratios,*Simon Power and Aman Ullah.*Validating Simulation Studies,*George F. Rhodes, Jr.*Some Advances in Bayesian Estimation Methods Using Monte Carlo Integration,*Herman K. van Dijik.***Volume 5:**Innovations in Quantitative Economics: Essays in Honor of Robert L. Basmann**Editors:**Daniel J. Slottje (SMU)**Contents:**Introduction,*Daniel J. Slottje.*PART I. Economic Studies. Test of Some Alternative Theories of Individual Choice Behavior,*Raymond C. Battalio, Gerald P. Dwyer, Jr. and John H. Kagel.*Testing the Integrability of Consumer Demand Functions, United States, 1947-71,*Dale W. Jorgenson and Lawrence J. Lau.*Supplier Induced Demand for Physician Services: Theoretical Anomaly or Statistical Artifact?.*James B. Ramsey.*Modeling Complex Phenomena for Economic Policy Analysis,*George F. Rhodes, Jr.*A Sensitivity Analysis of the Effect of Fiscal and Monetary Policy on the Size Distribution of Income in the U.S.,*William R. Russell, D.J. Slottje with Joseph H. Haslag.*PART II. Econometric Theory. Random Set Methodology and Stochastic Geometry in Econometrics and Statistics,*William A. Barnett.*Exact Finite Sample Distribution Theory: Some Results for Equations Containing Three Endogeneous Variables,*David H. Richardson.*Further Results on Bayesian Minimum Expected Loss (MELO) Estimates and Posterior Distributions for Structural Coefficients,*Arnold Zellner.*PART III. Inference. Improved Confidence Sets in a Non-Utopian Setting,*R. Carter Hill and Thomas B. Fomby.*Large Deviation Expansions Applied to Tail Probabilities in First Order Stochastic Difference Equations,*Peter C.B. Phillips.*Monte Carlo Testing in Systems of Equations,*Henri Theil, Timothy G. Taylor and J.S. Shonkwiler.*PART IV. Coordinating Data, Estimation Technique and Functional Form. Alternative Identifying Assumptions in Econometric Models of Selection Bias,*James J. Heckman and Richard Robb.*Missing Measurements in a Regression Problem with No Auxillary Relations,*Jan Kmenta and Pietro Balestra.*Unknown Regression Functions and Efficient Functional Forms: An Interpretation,*Esfandiar Maasoumi.*On the Effects of Multicollinearity upon the Properties of Structural Coefficient Estimators,*Roberto S. Mariano, James B. McDonald and Asher Tishler.*Variable Preferences, Demand Elasticities, and the True Cost-of-Living Index: The Case of Mexico,*Kathy Hayes, David Molina, Michael Nieswiadomy, and D.J. Slottje.*Bibliography of Robert L. Basmann.**Volume 4:**Economic Inequality: Survey Methods and Measurements**Editors:**R.L. Basmann (Texas A&M U), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction: Welfare Economics, Equality Measurement, and Shaping the Rules of the Game,*George F. Rhodes, Jr.*Variable Consumer Preferences, Economic Inequality, and Cost-of-Living Concept: PART TWO,*R.L. Basmann, C.A. Diamond, J.C. Frentrup and S.N. White.*An Axiomatic Approach to the Gini Coefficient and the Measurement of Welfare,*Graham Pyatt*Bounds on Welfare Measures,*Thomas M. Stoker.*The Theory Measurement of Income Distribution,*John S. Chipman.*Analysis of Income Distribution and Inequality by Education and Sex in Canada,*Camilo Dagum.*Simple Asymptotically Distribution-Free Methods for Comparing Lorenz Curves and Gini Indices Obtained from Complete Data,*Joseph L. Gastwirth and Michael H. Gail.***Volume 3:**Economics Inequality: Measurement and Policy**Editors:**R.L. Basmann (Texas A&M U), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction,*George F. Rhodes, Jr.*Variable Consumer Preferences, Economic Inequality, and the Cost of Living Concept: Part One,*R.L. Basmann, D.J. Molina and D.J. Slottje.*Inequality in the Distribution of Individual Welfare,*Dale W. Jorgenson and Daniel T. Slesnick.*Ethically Significant Ordinal Indexes of Relative Inequality,*Charles Blackorby and David Donaldson.*On Measurement of Taxes, Professivity and Redistributive Effect of Taxes with Applications to Horizontal and Vertical Equity,*Nanak Kakwani.*The Impact of Measurement Error on the Distribution of Income,*L. Dwight Israelsen, James B. McDonald and Whitney K. Newey.*Welfare Ranking of Income Distributions,*Nanak Kakwani.*On Economic Poverty: A Survey of Aggregate Measures,*James E. Foster.*Issues in Measuring Poverty,*Nanak Kakwani.***Volume 2:**Exact Distribution Analysis in Linear Simultaneous Equation Models**Editors:**R.L. Basmann (Texas A&M U), George F. Rhodes, Jr. (Colorado State U)**Contents:**Foreword,*R. L. Basmann.*Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case,*P.C.B. Phillips.*An Experimental Study of Two-Stage Least Squares Distributions in Equations Containing Three Endogenous Variables,*D.H. Richardson and R.J. Rohr.*Specification Error Analysis in Linear Simultaneous Systems,*Roberto S. Mariano and John G. Ramage.*Testing Single Equation Identifying Restrictions With Generated Regressors,*George F. Rhodes, Jr.*Simultaneous Equations Estimators, Identifiability Test Statistics, and Structional Forms,*M. Daniel Westbrook and George F. Rhodes, Jr.*An Experimental Investigation of Some Approximate Finite Sample Tests of Linear Restrictions on Matrices of Regression Coefficients,*R.L. Basmann.*Misclassification of Variables and the Two-Stage Least Squares Estimations,*Parthasaradhi Mallella and Anil K. Bhargava.*Erratum and Addendum to Volume One: Models for the Analysis of Labor Force Dynamics,*C. Flinn and J.J. Heckman.*The Likelihood Function for the Multistate-Multiepisode Model in Models for the Analysis of Labor Force Dynamics,*C. Flinn and J.J. Heckman.***Volume 1:****Editors:**R.L. Basmann (Texas A&M U), George F. Rhodes, Jr. (Colorado State U)**Contents:**Introduction. Part I. Studies of Consumers and Worker Behavior. Rationality Versus Myopia in Dynamic Demand Systems,*Louis Phillips and Frans Spinnewyn.*Models of Analysis of Labor Force Dynamics,*C. J. Flynn and J.J. Heckman.*The Transcendental Logarithmic Model of Aggregate Consumer Behavior,*Dale W. Jorgensen, Lawrence J. Lau, and Thomas M. Stoker.*Part II. Studies in Econometric Theory. Estimation of Regression Coefficients from a Decision Theoretic Viewpoint,*Takeaki Kariya.*On Monte Carlo Estimates of Moments that are Infinite,*J. D. Sargan.*A Test of Similarily Between Two Groups of Growth Curves of Economic Time Series Variables,*Takeai Kariya.*