Journal of Business & Economic Statistics CONTENTS OF VOLUME 21 (Numbers 81-84) | Se ae vasaietes 1, 213, 339, 449 Editorial Collaborators ................... 584 Index to Volume 21 .... INDEX TO VOLUME 21 (2003) ARTICLES, BY AUTHOR Abrevaya, Jason, “Pairwise-Difference Rank Estimation of the Falk, Martin (see Koebel, Bertrand) Transformation Model,” 437 Fiorentini, Gabriele, Sentana, Enrique, and Calzolari, Enrique, Almus, Matthias, and Czarnitzki, Dirk, “The Effects of Public “Maximum Likelihood Estimation and Inference in Multi- R&D Subsidies on Firms’ Innovation Activities: The Case variate Conditionally Heteroscedastic Dynamic Regression of Eastern Germany,” 226 Models With Student ¢ Innovations,” 532 Atkinson, Scott E., Cornwell, Christopher, and Honerkamp, Fleissig, Adrian R., and Whitney, Gerald A., “A New PC-Based Olaf, “Measuring and Decomposing Productivity Change: Test for Varian’s Weak Separability Conditions,” 133 Stochastic Distance Function Estimation Versus Data Envel- Gelman, Andrew, Stevens, Matt, and Chan, Valerie, “Regres- opment Analysis,” 284 sion Modeling and Meta-Analysis for Decision Making: Busetti, Fabio, and Harvey, Andrew, “Seasonality Tests,” 420 A Cost-Benefit Analysis of Incentives in Telephone Sur- Busetti, Fabio, and Taylor, A. M. Robert, “Variance Shifts, veys,” 213 Structural Breaks, and Stationarity Tests,” 510 Geweke, John (see Durham, Garland) Cagetti, Marco, “Wealth Accumulation Over the Life Cycle and Groen, Jan J. J., and Kleibergen, Frank, “Likelihood-Based Precautionary Savings,” 339 Cointegration Analysis in Panels of Vector Error-Correction Calzolari, Enrique (see Fiorentini, Gabriele) Models,” 295 Camba-Mendez, Gonzalo, Kapetanios, George, Smith, Guay, Alain, and Scaillet, Olivier, “Indirect Inference, Nuisance Richard J., and Weale, Martin R., “Tests of Rank in Reduced Parameter, and Threshold Moving Average Models,” 122 Rank Regression Models,” 145 Harvey, Andrew (see Busetti, Fabio) Chamberlain, Gary, and Imbens, Guido W., “Nonparametric Hodgson, Douglas J., and Vorkink, Keith P., “Efficient Estima- Applications of Bayesian Inference,” 12 tion of Conditional Asset-Pricing Models,” 269 Chan, Valerie (see Gelman, Andrew) Honerkamp, Olaf (see Atkinson, Scott E.) Chen, Xiaohong, Comment on Pastorello, Sergio, Patilea, Imbens, Guido W. (see Chamberlain, Gary) Valentin, and Renault, Eric, 482 Jalan, Jyotsna, and Ravallion, Martin, “Estimating the Benefit Chernov, Mikhail, Comment on Pastorello, Sergio, Patilea, Incidence of an Antipoverty Program by Propensity-Score Valentin, and Renault, Eric, 485 Matching,” 19 Chintagunta, Pradeep K. (see Seetharaman, P. B.) Johannes, Michael, and Polson, Nicholas, Comment on Christofides, Louis N., Li, Qi, Liu, Zhenjuan, and Min, Insik, Pastorello, Sergio, Patilea, Valentin, and Renault, Eric, 493 “Recent Two-Stage Sample Selection Procedures With an Kapetanios, George (see Camba-Mendez, Gonzalo) Application to the Gender Wage Gap,” 396 Kleibergen, Frank (see Groen, Jan J. J.) Clements, Michael P., and Krolzig, Hans-Martin, “Business Cy- Koebel, Bertrand, Falk, Martin, and Laisney, Francois, “Impos- cle Asymmetries: Characterization and Testing Based on ing and Testing Curvature Conditions on a Box—Cox Cost Markov-Switching Autoregressions,” 196 Function,” 319 Cornwell, Christopher (see Atkinson, Scott E.) Koning, Ruud H. (see van der Klaauw, Bas) Czarnitzki, Dirk (see Almus, Matthias) Koop, Gary, and Potter, Simon M., “Bayesian Analysis of En- Dai, Qiang, Comment on Pastorello, Sergio, Patilea, Valentin, dogenous Delay Threshold Models,” 93 and Renault, Eric, 488 Krolzig, Hans-Martin (see Clements, Michael P.) Dehejia, Rajeev H., “Was There a Riverside Miracle? A Hier- Laisney, Francois (see Koebel, Bertrand) archical Framework for Evaluating Programs With Grouped Data,” | © 2003 American Statistical Association Deri, Catherine (see Yatchew, Adonis) Journal of Business & Economic Statistics Durham, Garland, and Geweke, John, Comment on Pastorello, October 2003, Vol. 21, No. 4 Sergio, Patilea, Valentin, and Renault, Eric, 490 DO! 10.1198/073500103288619223 Journal of Business & Economic Statistics CONTENTS OF VOLUME 21 (Numbers 81-84) | Se ae vasaietes 1, 213, 339, 449 Editorial Collaborators ................... 584 Index to Volume 21 .... INDEX TO VOLUME 21 (2003) ARTICLES, BY AUTHOR Abrevaya, Jason, “Pairwise-Difference Rank Estimation of the Falk, Martin (see Koebel, Bertrand) Transformation Model,” 437 Fiorentini, Gabriele, Sentana, Enrique, and Calzolari, Enrique, Almus, Matthias, and Czarnitzki, Dirk, “The Effects of Public “Maximum Likelihood Estimation and Inference in Multi- R&D Subsidies on Firms’ Innovation Activities: The Case variate Conditionally Heteroscedastic Dynamic Regression of Eastern Germany,” 226 Models With Student ¢ Innovations,” 532 Atkinson, Scott E., Cornwell, Christopher, and Honerkamp, Fleissig, Adrian R., and Whitney, Gerald A., “A New PC-Based Olaf, “Measuring and Decomposing Productivity Change: Test for Varian’s Weak Separability Conditions,” 133 Stochastic Distance Function Estimation Versus Data Envel- Gelman, Andrew, Stevens, Matt, and Chan, Valerie, “Regres- opment Analysis,” 284 sion Modeling and Meta-Analysis for Decision Making: Busetti, Fabio, and Harvey, Andrew, “Seasonality Tests,” 420 A Cost-Benefit Analysis of Incentives in Telephone Sur- Busetti, Fabio, and Taylor, A. M. Robert, “Variance Shifts, veys,” 213 Structural Breaks, and Stationarity Tests,” 510 Geweke, John (see Durham, Garland) Cagetti, Marco, “Wealth Accumulation Over the Life Cycle and Groen, Jan J. J., and Kleibergen, Frank, “Likelihood-Based Precautionary Savings,” 339 Cointegration Analysis in Panels of Vector Error-Correction Calzolari, Enrique (see Fiorentini, Gabriele) Models,” 295 Camba-Mendez, Gonzalo, Kapetanios, George, Smith, Guay, Alain, and Scaillet, Olivier, “Indirect Inference, Nuisance Richard J., and Weale, Martin R., “Tests of Rank in Reduced Parameter, and Threshold Moving Average Models,” 122 Rank Regression Models,” 145 Harvey, Andrew (see Busetti, Fabio) Chamberlain, Gary, and Imbens, Guido W., “Nonparametric Hodgson, Douglas J., and Vorkink, Keith P., “Efficient Estima- Applications of Bayesian Inference,” 12 tion of Conditional Asset-Pricing Models,” 269 Chan, Valerie (see Gelman, Andrew) Honerkamp, Olaf (see Atkinson, Scott E.) Chen, Xiaohong, Comment on Pastorello, Sergio, Patilea, Imbens, Guido W. (see Chamberlain, Gary) Valentin, and Renault, Eric, 482 Jalan, Jyotsna, and Ravallion, Martin, “Estimating the Benefit Chernov, Mikhail, Comment on Pastorello, Sergio, Patilea, Incidence of an Antipoverty Program by Propensity-Score Valentin, and Renault, Eric, 485 Matching,” 19 Chintagunta, Pradeep K. (see Seetharaman, P. B.) Johannes, Michael, and Polson, Nicholas, Comment on Christofides, Louis N., Li, Qi, Liu, Zhenjuan, and Min, Insik, Pastorello, Sergio, Patilea, Valentin, and Renault, Eric, 493 “Recent Two-Stage Sample Selection Procedures With an Kapetanios, George (see Camba-Mendez, Gonzalo) Application to the Gender Wage Gap,” 396 Kleibergen, Frank (see Groen, Jan J. J.) Clements, Michael P., and Krolzig, Hans-Martin, “Business Cy- Koebel, Bertrand, Falk, Martin, and Laisney, Francois, “Impos- cle Asymmetries: Characterization and Testing Based on ing and Testing Curvature Conditions on a Box—Cox Cost Markov-Switching Autoregressions,” 196 Function,” 319 Cornwell, Christopher (see Atkinson, Scott E.) Koning, Ruud H. (see van der Klaauw, Bas) Czarnitzki, Dirk (see Almus, Matthias) Koop, Gary, and Potter, Simon M., “Bayesian Analysis of En- Dai, Qiang, Comment on Pastorello, Sergio, Patilea, Valentin, dogenous Delay Threshold Models,” 93 and Renault, Eric, 488 Krolzig, Hans-Martin (see Clements, Michael P.) Dehejia, Rajeev H., “Was There a Riverside Miracle? A Hier- Laisney, Francois (see Koebel, Bertrand) archical Framework for Evaluating Programs With Grouped Data,” | © 2003 American Statistical Association Deri, Catherine (see Yatchew, Adonis) Journal of Business & Economic Statistics Durham, Garland, and Geweke, John, Comment on Pastorello, October 2003, Vol. 21, No. 4 Sergio, Patilea, Valentin, and Renault, Eric, 490 DO! 10.1198/073500103288619223 Journal of Business & Economic Statistics : Index to Volume 21 587 Li, Qi (see Christofides, Louis N.) Sen, Amit, “On Unit-Root Tests When the Alternative Is a Li, Tong, Perrigne, Isabelle, and Vuong, Quang, “Semiparamet- Trend-Break Stationary Process,” 174 ric Estimation of the Optimal Reserve Price in First-Price Sentana, Enrique (see Fiorentini, Gabriele) Auctions,” 53 Sherman, Robert P., Comment on Pastorello, Sergio, Patilea, Liesenfeld, Roman, and Richard, Jean-Francois, “Estimation Valentin, and Renault, Eric, 498 of Dynamic Bivariate Mixture Models: Comments on Sims, Christopher A., Comment on Pastorello, Sergio, Patilea, Watanabe (2000),” 570 Valentin, and Renault, Eric, 500 Linton, Oliver, and Perron, Benoit, “The Shape of the Risk Pre- Smith, Richard J. (see Camba-Mendez, Gonzalo) mium: Evidence From a Semiparametric Generalized Au- Stevens, Matt (see Gelman, Andrew) toregressive Conditional Heteroscedasticity Model,” 354 Strachan, Rodney W., “Valid Bayesian Estimation of the Coin- Liu, Zhenjuan (see Christofides, Louis N.) Lobato, Ignacio N., “Testing for Nonlinear Autoregression,” tegrating Error Correction Model,” 185 164 Sun, Yiguo (see Yatchew, Adonis) Lundbergh, Stefan, Terasvirta, Timo, and van Dijk, Dick, Swait, Joffre, “Flexible Covariance Structures for Categorical “Time-Varying Smooth Transition Autoregressive Models,” Dependent Variables Through Finite Mixtures of General- 104 ized Extreme Value Models,” 80 Maliar, Lilia, and Maliar, Serguei, “Parameterized Expectations Swartz, Tim, “Bayesian Modeling and Computations in Final- Algorithm and the Moving Bounds,” 88 Offer Arbitration,” 74 Maliar, Serguei (see Maliar, Lilia) Taylor, A. M. Robert, “Robust Stationarity Tests in Seasonal McMillen, Daniel P., and Thorsnes, Paul, “The Aroma of Time Series Processes,” 156 (also see Busetti, Fabio) Tacoma: Time-Varying Average Derivatives and the Effect Terasvirta, Timo (see Lundbergh, Stefan) of a Superfund Site on House Prices,” 237 Thorsnes, Paul (see McMillen, Daniel P.) Min, Insik (see Christofides, Louis N.) Moriarity, Chris, and Scheuren, Fritz, “A Note on Rubin’s Sta- Tobias, Justin L. (see Poirier, Dale J.) tistical Matching Using File Concatenation With Adjusted van der Klaauw, Bas, and Koning, Ruud H., “Testing the Nor- Weights and Multiple Imputations,” 65 mality Assumption in the Sample Selection Model With an Nevo, Aviv, “Using Weights to Adjust for Sample Selection Application to Travel Demand,” 31 When Auxiliary Information Is Available,” 43 van Dijk, Dick (see Lundbergh, Stefan) Paap, Richard, and van Dijk, Herman K., “Bayes Estimates of van Dijk, Herman K. (see Paap, Richard) Markov Trends in Possibly Cointegrated Series: An Appli- Vorkink, Keith P. (see Hodgson, Douglas J.) cation to U.S. Consumption and Income” 547 Vuong, Quang (see Li, Tong) Pan, Jun, Comment on Pastorello, Sergio, Patilea, Valentin, and Wang, Hung-Jen, “A Stochastic Frontier Analysis of Financing Renault, Eric, 495 Constraints on Investment: The Case of Financial Liberal- Pastorello, Sergio, Patilea, Valentin, and Renault, Eric, “Iter- ization in Taiwan,” 406 ative and Recursive Estimation in Structural Nonadaptive Watanabe, Toshiaki, “The Estimation of Dynamic Bivariate Models,” 449; Rejoinder, 503 Patilea, Valentin (see Pastorello, Sergio) Mixture Models: Reply to Liesenfeld and Richard Com- Perrigne, Isabelle (see Li, Tong) ments,” 577 Perron, Benoit (see Linton, Oliver) Weale, Martin R. (see Camba-Mendez, Gonzalo) Poirier, Dale J., and Tobias, Justin L., “On the Predictive Distri- Whitney, Gerald A. (see Fleissig, Adrian R.) butions of Outcome Gains in the Presence of an Unidentified Yatchew, Adonis, Sun, Yiguo, and Deri, Catherine, “Efficient Parameter,’ 258 Estimation of Semiparametric Equivalence Scales With Ev- Polson, Nicholas (see Johannes, Michael) idence From South Africa,” 247 Potter, Simon M. (see Koop, Gary) Yilmaz, Kamil, “Martingale Property of Exchange Rates and Ravallion, Martin (see Jalan, Jyotsna) Central Bank Interventions,” 383 Renault, Eric (see Pastorello, Sergio) Zuehlke, Thomas W., “Business Cycle Duration Dependence Richard, Jean-Francois (see Liesenfeld, Roman) Reconsidered,’ 564 Scaillet, Olivier (see Guay, Alain) Editors’ Report 2003, 583 Scheuren, Fritz (see Moriarity, Chris) Editorial Collaborators, 584 Seetharaman, P. B., and Chintagunta, Pradeep K., “The Propor- tional Hazard Model for Purchase Timing: A Comparison of The Zellner Thesis Award in Business and Economic Statis- Alternative Specifications,” 368 tics, 336; 581