TOC: J Econometrics
Introduction
Journal of Econometrics, 146(2)
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Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
–Timothy Cogley, Steven N. Durlauf and James M. Nason []
The Beveridge–Nelson decomposition in retrospect and prospect
–Charles R. Nelson [] []
The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics
–Kum Hwa Oh, Eric Zivot and Drew Creal [] []
Trend/cycle decomposition of regime-switching processes
–James Morley and Jeremy Piger [] []
Markov-switching and the Beveridge–Nelson decomposition: Has US output persistence changed since 1984?
–Chang-Jin Kim [] []
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
–Donald W.K. Andrews, Marcelo J. Moreira and James H. Stock [] []
Methods for inference in large multiple-equation Markov-switching models
–Christopher A. Sims, Daniel F. Waggoner and Tao Zha [] []
Time series properties of ARCH processes with persistent covariates?
–Heejoon Han and Joon Y. Park [] []
Efficient forecast tests for conditional policy forecasts
–Jon Faust and Jonathan H. Wright [] []
Forecasting economic time series using targeted predictors
–Jushan Bai and Serena Ng [] []
Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
–Christine De Mol, Domenico Giannone and Lucrezia Reichlin [] []
Bayesian Model Averaging and exchange rate forecasts
–Jonathan H. Wright [] []
Least-squares forecast averaging
–Bruce E. Hansen [] []
Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach
–Francis X. Diebold, Canlin Li and Vivian Z. Yue [] []
Quality control for structural credit risk models
–Elena Andreou and Eric Ghysels [] []