Journal of Business & Economic Statistics, Volume 27, Issue 2 (2009)

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Journal of Business & Economic Statistics, Volume 27, Issue 2 (2009)

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Research Article

Article
A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects
C. Alan Bester & Christian Hansen
Pages: 131-148
Published online: 01 Jan 2012
AbstractforA Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects | PDF (621.1 KB)
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Article
Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
Stanislav Anatolyev
Pages: 149-160
Published online: 01 Jan 2012
AbstractforNonparametric Retrospection and Monitoring of Predictability of Financial Returns | PDF (792.8 KB)
  • 129 Views
  • 9 CrossRef citations
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Article
Local Transformation Kernel Density Estimation of Loss Distributions
J. Gustafsson, M. Hagmann, J. P. Nielsen & O. Scaillet
Pages: 161-175
Published online: 01 Jan 2012
AbstractforLocal Transformation Kernel Density Estimation of Loss Distributions | PDF (673.4 KB)
  • 202 Views
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Article
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
Ángel León, Javier Mencía & Enrique Sentana
Pages: 176-192
Published online: 01 Jan 2012
AbstractforParametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation | PDF (1.6 MB) | Supplemental
  • 258 Views
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Article
Reform of Unemployment Compensation in Germany: A Nonparametric Bounds Analysis Using Register Data
Sokbae Lee & Ralf A. Wilke
Pages: 193-205
Published online: 01 Jan 2012
AbstractforReform of Unemployment Compensation in Germany: A Nonparametric Bounds Analysis Using Register Data | PDF (1 MB)
  • 187 Views
  • 15 CrossRef citations
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Article
Efficient Estimation of Average Treatment Effects with Mixed Categorical and Continuous Data
Qi Li, Jeffrey S. Racine & Jeffrey M. Wooldridge
Pages: 206-223
Published online: 01 Jan 2012
AbstractforEfficient Estimation of Average Treatment Effects with Mixed Categorical and Continuous Data | PDF (677.5 KB)
  • 476 Views
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Article
Inhomogeneous Dependence Modeling with Time-Varying Copulae
Enzo Giacomini, Wolfgang Härdle & Vladimir Spokoiny
Pages: 224-234
Published online: 01 Jan 2012
AbstractforInhomogeneous Dependence Modeling with Time-Varying Copulae | PDF (637.7 KB)
  • 540 Views
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Article
Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model
C. Alan Bester & Christian Hansen
Pages: 235-250
Published online: 01 Jan 2012
AbstractforIdentification of Marginal Effects in a Nonparametric Correlated Random Effects Model | PDF (628 KB)
  • 439 Views
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Article
Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks
Basel Awartani, Valentina Corradi & Walter Distaso
Pages: 251-265
Published online: 01 Jan 2012
AbstractforAssessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks | PDF (601.2 KB)
  • 213 Views
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Article
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Sean D. Campbell & Francis X. Diebold
Pages: 266-278
Published online: 01 Jan 2012
AbstractforStock Returns and Expected Business Conditions: Half a Century of Direct Evidence | PDF (572.9 KB)
  • 548 Views
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Article
An Efficient Algorithm for Constructing Bayesian Optimal Choice Designs
Roselinde Kessels, Bradley Jones, Peter Goos & Martina Vandebroek
Pages: 279-291
Published online: 01 Jan 2012
AbstractforAn Efficient Algorithm for Constructing Bayesian Optimal Choice Designs | PDF (676.1 KB)
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