Journal of Econometrics

1973 - 2009

Edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao, P. M. Robinson and A. Zellner

from Elsevier
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Volume 152, issue 2, 2009

Nonparametric and robust methods in econometrics pp. 79-80

Luiz Renato Lima, Marcelo J. Moreira, Jack Porter and Zhijie Xiao

Functional-coefficient cointegration models pp. 81-92

Zhijie Xiao

Finite sample inference for quantile regression models pp. 93-103

Victor Chernozhukov, Christian Hansen and Michael Jansson

Inference on endogenously censored regression models using conditional moment inequalities pp. 104-119

Shakeeb Khan and Elie Tamer

Parametric links for binary choice models: A Fisherian-Bayesian colloquy pp. 120-130

Roger Koenker and Jungmo Yoon

Tests with correct size when instruments can be arbitrarily weak pp. 131-140

Marcelo J. Moreira

Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative pp. 141-152

Joel L. Horowitz and Sokbae Lee

A panel data approach to economic forecasting: The bias-corrected average forecast pp. 153-164

João Victor Issler and Luiz Renato Lima

Unit root quantile autoregression testing using covariates pp. 165-178

Antonio F. Galvao

Quantiles, expectiles and splines pp. 179-185

Giuliano De Rossi and Andrew C. Harvey

A test of non-identifying restrictions and confidence regions for partially identified parameters pp. 186-196

Alfred Galichon and Marc Henry

Volume 152, issue 1, 2009

Editor's introduction pp. 1-2

Miguel A. Delgado

Semiparametric tests of conditional moment restrictions under weak or partial identification pp. 3-18

Sung Jae Jun and Joris Pinkse

Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators pp. 19-27

Donald W.K. Andrews and Patrik Guggenberger

Choosing instrumental variables in conditional moment restriction models pp. 28-36

Stephen G. Donald, Guido W. Imbens and Whitney K. Newey

Excess heterogeneity, endogeneity and index restrictions pp. 37-45

Andrew Chesher

Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals pp. 46-60

Xiaohong Chen and Demian Pouzo

Maternal full-time employment and overweight children: Parametric, semi-parametric, and non-parametric assessment pp. 61-69

Echu Liu, Cheng Hsiao, Tomoya Matsumoto and Shinyi Chou

Consistent estimation of a general nonparametric regression function in time series pp. 70-78

Oliver Linton and Alessio Sancetta

Volume 151, issue 2, 2009

Editor's introduction pp. 99-100

Miguel A. Delgado

Local inference for locally stationary time series based on the empirical spectral measure pp. 101-112

Rainer Dahlhaus

Goodness of fit for lattice processes pp. 113-128

Javier Hidalgo

Inference on transformed stationary time series pp. 129-139

Yuzo Hosoya and Takahiro Terasaka

An automatic Portmanteau test for serial correlation pp. 140-149

J. Carlos Escanciano and Ignacio N. Lobato

Long memory and long run variation pp. 150-158

Peter C. B. Phillips

Estimators of long-memory: Fourier versus wavelets pp. 159-177

Gilles Faÿ, Eric Moulines, François Roueff and Murad S. Taqqu

A Wald test for the cointegration rank in nonstationary fractional systems pp. 178-189

Marco Avarucci and Carlos Velasco

Whittle estimation of EGARCH and other exponential volatility models pp. 190-200

Paolo Zaffaroni

Volume 151, issue 1, 2009

The optimal choice of moments in dynamic panel data models pp. 1-16

Ryo Okui

Optimally combining censored and uncensored datasets pp. 17-32

Paul J. Devereux and Gautam Tripathi

A specification test for the propensity score using its distribution conditional on participation pp. 33-46

Azeem M. Shaikh, Marianne Simonsen, Edward J. Vytlacil and Nese Yildiz

GMM redundancy results for general missing data problems pp. 47-55

Artem Prokhorov and Peter Schmidt

Estimating deterministic trends with an integrated or stationary noise component pp. 56-69

Pierre Perron and Tomoyoshi Yabu

Minimax regret treatment choice with finite samples pp. 70-81

Jörg Stoye

Local structural quantile effects in a model with a nonseparable control variable pp. 82-97

Sung Jae Jun

Volume 150, issue 2, 2009

Guest editors' introduction pp. 117-118

Chung-Ming Kuan and Yongmiao Hong

Predictive density estimators for daily volatility based on the use of realized measures pp. 119-138

Valentina Corradi, Walter Distaso and Norman R. Swanson

A two-stage realized volatility approach to estimation of diffusion processes with discrete data pp. 139-150

Peter C. B. Phillips and Jun Yu

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects pp. 151-166

Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen

The Wishart Autoregressive process of multivariate stochastic volatility pp. 167-181

C. Gourieroux, J. Jasiak and R. Sufana

The structure of dynamic correlations in multivariate stochastic volatility models pp. 182-192

Manabu Asai and Michael McAleer

Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models pp. 193-206

Dufour, Jean-Marie and Pascale Valéry

Copula-based multivariate GARCH model with uncorrelated dependent errors pp. 207-218

Lee, Tae-Hwy and Xiangdong Long

Maximum entropy autoregressive conditional heteroskedasticity model pp. 219-230

Sung Y. Park and Anil K. Bera

Extracting a common stochastic trend: Theory with some applications pp. 231-247

Yoosoon Chang, J. Isaac Miller and Joon Y. Park

Quantile cointegrating regression pp. 248-260

Zhijie Xiao

Assessing value at risk with CARE, the Conditional Autoregressive Expectile models pp. 261-270

Chung-Ming Kuan, Yeh, Jin-Huei and Yu-Chin Hsu

Granger causality in risk and detection of extreme risk spillover between financial markets pp. 271-287

Yongmiao Hong, Yanhui Liu and Shouyang Wang

Estimating the structural credit risk model when equity prices are contaminated by trading noises pp. 288-296

Duan, Jin-Chuan and Andras Fulop

Forecasts of US short-term interest rates: A flexible forecast combination approach pp. 297-311

Massimo Guidolin and Allan Timmermann

Discrete choice modeling with nonstationary panels applied to exchange rate regime choice pp. 312-321

Sainan Jin

The role of beliefs in inference for rational expectations models pp. 322-331

Bruce N. Lehmann

Volume 150, issue 1, 2009

Dynamics of state price densities pp. 1-15

Wolfgang Karl Härdle and Zdenek Hlávka

Edgeworth expansions and normalizing transforms for inequality measures pp. 16-29

Christian Schluter and Kees Jan van Garderen

Reliable inference for the Gini index pp. 30-40

Russell Davidson

Identification of peer effects through social networks pp. 41-55

Yann Bramoullé, Habiba Djebbari and Bernard Fortin

Two estimators of the long-run variance: Beyond short memory pp. 56-70

Karim Abadir, Walter Distaso and Liudas Giraitis

Fixed effects estimation of structural parameters and marginal effects in panel probit models pp. 71-85

Fernández-Val, Iván

Central limit theorems and uniform laws of large numbers for arrays of random fields pp. 86-98

Nazgul Jenish and Ingmar R. Prucha

On the statistical identification of DSGE models pp. 99-115

Agostino Consolo, Carlo A. Favero and Alessia Paccagnini