1: A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series / James H. Stock and Mark W. Watson -- 2: A multivariate time series analysis of the data revision process for industrial production and the composite leading indicator / Norman R. Swanson, Eric Ghysels, and Myles Callan -- 3: Evaluating density forecasts of inflation: the survey of professional forecasters / Francis X. Diebold, Anthony S. Tay, and Kenneth F. Wallis -- 4: Ranking competing multi-step forecasts / Paul Newbold, David I. Harvey, and Stephen J. Leybourne -- 5: The pervasiveness of Granger causality in econometrics / David F. Hendry and Grayham E. Mizon -- 6: A class of tests for integration and cointegration / James H. Stock -- 7: Order selection in testing for the cointegrating rank of a VAR process / Helmut Lütkepohl and Pentti Saikkonen -- 8: Granger's representation theorem and multicointegration / Tom Engsted and Søren Johansen -- 9: Dimensionality effect in cointegration analysis / Jesús Gonzalo and Jean-Yves Pitarakis -- 10: Testing DHSY as a restricted conditional model of a trivariate seasonally cointegrated system / Luigi Ermini -- 11: A unit root test in the presence of structural changes in I(1) and I(0) models / Michio Hatanaka and Kazuo Yamada -- 12: Investigating inflation transmission by stages of processing / Tae-Hwy Lee and Stuart Scott -- 13: Price convergence in the medium and long run: an I(2) analysis of six price indices / Katarina Juselius -- 14: M-testing using finite and infinite dimensional parameter estimators / Halbert White and Yongmiao Hong -- 15: Asymptotic properties of some specification tests in linear models with integrated processes / Jeffrey M. Wooldridge -- 16: Residual variance estimates and order determination in panels of intercorrelated autoregressive time series / Vidar Hjellvik and Dag Tjøstheim -- 17: Partial pooling: a possible answer to "To pool or not to pool" / Farshid Vahid -- 18: A simultaneous binary choice/count model with an application to credit card approvals / Andrew A. Weiss -- 19: Statistical properties of the asymmetric power ARCH process / Changli He and Timo Teräsvirta -- 20: A long-run and short-run component model of stock return volatility / Robert F. Engle and Gary G. J. Lee.