1. Empirical economics acknowledges the cooperation of

   Acknowledgments Pages: vii - xi

2. New developments in time series econometrics: An overview

   • Jean-Marie Dufour
   • Baldev Raj

   OriginalPaper Pages: 557 - 564

3. Usefulness of linear transformations in multivariate time-series analysis

   • George C. Tiao
   • Ruey S. Tsay
   • Taychang Wang

   Modelling of Multivariate Economic Time Series Pages: 567 - 593

4. VAR modelling and Haavelmo's probability approach to macroeconomic modelling

   • Katarina Juselius

   Modelling of Multivariate Economic Time Series Pages: 595 - 622

5. Inference in expectations models of the term structure: A non-parametric approach

   • Bryan Campbell
   • John W. Galbraith

   Modelling of Multivariate Economic Time Series Pages: 623 - 638

6. Adjustment costs and time-to-build in factor demand in the U.S. manufacturing industry

   • Franz C. Palm
   • H. M. M. Peeters
   • G. A. Pfann

   Modelling of Multivariate Economic Time Series Pages: 639 - 671

7. Parameter constancy in cointegrating regressions

   • Carmela E. Quintos
   • Peter C. B. Phillips

   Structural Change Analysis Pages: 675 - 706

8. The HUMP-shaped behavior of macroeconomic fluctuations

   • Pierre Perron

   Structural Change Analysis Pages: 707 - 727

9. The sources of the U.S. money demand instability

   • Helmut Lütkepohl

   Structural Change Analysis Pages: 729 - 743

10. On the (mis)specification of seasonality and its consequences: An empirical investigation with US data

    • Eric Ghysels
    • Hahn S. Lee
    • Pierre L. Siklos

    Seasonality, Cointegration and Fractional Integration Pages: 747 - 760

11. Seasonal cointegration, common seasonals, and forecasting seasonal series

    • Robert M. Kunst

    Seasonality, Cointegration and Fractional Integration Pages: 761 - 776

12. A note on Johansen's cointegration procedure when trends are present

    • Pierre Perron
    • John Y. Campbell

    Seasonality, Cointegration and Fractional Integration Pages: 777 - 789

13. Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models

    • Ching-Fan Chung
    • Richard T. Baillie

    Seasonality, Cointegration and Fractional Integration Pages: 791 - 806