Volume 27, Part A, Missing Data Methods: Cross-Sectional Methods and Applications
2011, 337 pp.
ISBN: 978-1-78052-542-2
Contents: List of Contributors. 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.
Volume 27, Part B, Missing Data Methods: Time-Series and Applications
2011, 251 pp.
ISBN: 978-1-78052-526-6
Contents: List of Contributors. 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.
Volume 26, Maximum Simulated Likelihood Methods and Applications
2010, 356 pp.
ISBN: 978-0-85724-149-8
Contents: List of Contributors. Introduction, William Greene. PART I: THEORY AND METHODS. 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 Selland Kleppe, Jun Yu and H.J. Skaug. PART II: APPLICATIONS. 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
2009, 549 pp.
ISBN: 978-1-84950-623-6
Contents: List of Contributors. Call for Papers. Introduction, Qi Li and Jeffrey S. Racine. PART I: MODEL IDENTIFICATION AND TESTING OF ECONOMETRIC MODELS. 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. PART II: ESTIMATION OF SEMIPARAMETRIC MODELS. 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. PART III: EMPIRICAL APPLICATIONS OF NONPARAMETRIC METHODS. 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. PART IV: COPULA AND DENSITY ESTIMATION. 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. PART V: COMPUTATION. Nonparametric and Semiparametric Methods in R, Jeffrey S. Racine. PART VI: Surveys. 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: Consequences, Applications and Solutions
2009, 294 pp.
ISBN: 978-1-84855-902-8
Contents: List of Contributors. 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
2008, 643 pp.
ISBN: 978-1-84855-308-8
Contents: List of Contributors. PART I: INTRODUCTION. 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. PART II: MICROECONOMETRIC MODELING. 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. PART III: TIME-SERIES MODELIING. 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 and Risk Management
2008, 291 pp.
ISBN: 978-1-84855-196-1
Contents: List of Contributors. 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, Modelling and Evaluating Treatment Effects in Econometrics
2008, 428 pp.
ISBN: 978-0-7623-1380-8
Contents: List of Contributors. 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, Part A, Econometric Analysis of Financial and Economic Time Series
2006, 379 pp.
ISBN: 0-7623-1274-2 (Part A)
Contents: Dedication. List of Contributors. 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.
Volume 20, Part B, Econometric Analysis of Financial and Economic Time Series
2006, 352 pp.
ISBN: 0-7623-1273-4 (Part B)
Contents: Dedication. List of Contributors. 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
Edited by Jane M. Binner, Department of Strategic Management, Aston Business School, UK,
Graham Kendall, School of Computer Science and Information Technology, University of Nottingham, UK, and
Shu-Heng Chen, Department of Economics, National Chengchi University, Taiwan
2004, 275 pp.
ISBN: 0-7623-1150-9
Contents: Editors' 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
Edited by James P. LeSage, Department of Economics, University of Toledo, and
R. Kelley Pace, Department of Finance, Louisiana State University
2004, 331 pp.
ISBN: 0-7623-1148-7
Contents: Editors' 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
Edited by Thomas B. Fomby, Department of Economics, Southern Methodist University and
R. Carter Hill, Department of Economics, Louisiana State University
2003, 249 pp.
ISBN: 0-7623-1075-8
Contents: Editors' 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
Edited by P.H. Franses, Econometric Institute, Erasmus University and
A.L. Montgomery, Graduate School of Industrial Administration, Carnegie Mellon University
2002, 350 pp.
ISBN: 0-7623-0857-5
Contents: Econometric Models in Marketing: Editors' 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
Edited by Badi H. Baltagi, Department of Economics, Texas A&M University
2000, 339 pp.
ISBN: 0-7623-0688-2
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
2000, 363 pp.
ISBN: 0-7623-0581-9
Contents: Introduction, Thomas B. Fomby and R. Carter Hill. Part 1. Methodology. 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. Part II. Applications. 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
1998, 305 pp.
ISBN: 0-7623-0303-4
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
1997, 358 pp.
ISBN: 0-7623-0187-2
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, Part A, Bayesian Computational Methods and Applications
1996, 319 pp.
ISBN: 1-55938-973-7 (Part A)
Contents: 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.
Volume 11, Part B, Bayesian Methods Applied to Time Series Data
1996, 281 pp.
ISBN: 1-55938-974-5 (Part B)
Contents: 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
1994, 170 pp.
ISBN: 1-55938-461-1
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
1991, 265 pp.
ISBN: 1-55938-341-0
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
1990, 342 pp.
ISBN: 1-55938-038-1
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.
Supplement 1, International Evidence on Consumption Patterns
1989, 212 pp.
ISBN: 1-55938-046-2
Contents: Preface. Acknowledgements. The International Consumption Data. A Cross-Country Model. Pooling Data. Extending the Sample Size. Income and Price Elasticities. Applications to OECD Data. Epilogue. Appendices.
Volume 7, Nonparametric and Robust Inference
1988, 309 pp.
ISBN: 0-89232-911-4
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
1987, 261 pp.
ISBN: 0-89232-795-2
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
1986, 345 pp.
ISBN: 0-89232-686-7
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
1985, 243 pp.
ISBN: 0-89232-580-1
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
1984, 282 pp.
ISBN: 0-89232-443-0
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
1983, 231 pp.
ISBN: 0-89232-183-0
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
1982, 310 pp.
ISBN: 0-89232-138-5
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.