Journal of Econometrics

1973 - 2013

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

from Elsevier
Series data maintained by Wendy Shamier ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 173, issue 2, 2013

Tests for m-dependence based on sample splitting methods pp. 143-159

Seongman Moon and Carlos Velasco

Evaluating treatment protocols using data combination pp. 160-174

Debopam Bhattacharya

Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions pp. 175-188

Hugo Kruiniger

On the structure and estimation of hierarchical Archimedean copulas pp. 189-204

Ostap Okhrin, Yarema Okhrin and Wolfgang Schmid

Volume 173, issue 1, 2013

On loss functions and ranking forecasting performances of multivariate volatility models pp. 1-10

Sébastien Laurent, Jeroen VK Rombouts and Francesco Violante

Generalized quadratic revenue functions pp. 11-21

Robert Chambers, Rolf Färe, Shawna Grosskopf and Michael Vardanyan

Estimating DSGE models using seasonally adjusted and unadjusted data pp. 22-35

Hikaru Saijo

Maximum likelihood estimation and uniform inference with sporadic identification failure pp. 36-56

Donald W.K. Andrews and Xu Cheng

Semi-parametric estimation of American option prices pp. 57-82

Patrick Gagliardini and Diego Ronchetti

Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach pp. 83-107

Bin Chen and Zhaogang Song

Chi-squared tests for evaluation and comparison of asset pricing models pp. 108-125

Nikolay Gospodinov, Raymond Kan and Cesare Robotti

Powerful tests for structural changes in volatility pp. 126-142

Ke-Li Xu

Volume 172, issue 2, 2013

Linear and nonlinear regression with stable errors pp. 186-194

John P. Nolan and Diana Ojeda-Revah

One-step R-estimation in linear models with stable errors pp. 195-204

Marc Hallin, Yvik Swan, Thomas Verdebout and David Veredas

Heavy tails of OLS pp. 205-221

Thomas Mikosch and Casper G. de Vries

Model identification for infinite variance autoregressive processes pp. 222-234

Beth Andrews and Richard A. Davis

The method of simulated quantiles pp. 235-247

Yves Dominicy and David Veredas

Estimation for multivariate stable distributions with generalized empirical likelihood pp. 248-254

Hiroaki Ogata

Moment condition tests for heavy tailed time series pp. 255-274

Jonathan B. Hill and Mike Aguilar

Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions pp. 275-282

J. Huston McCulloch and E. Richard Percy

Fat tails, VaR and subadditivity pp. 283-291

Jon Danielsson, Bjorn Nybo Jorgensen, Gennady Samorodnitsky, Mandira Sarma and Casper G. de Vries

Stable mixture GARCH models pp. 292-306

Simon A. Broda, Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude

Jump tails, extreme dependencies, and the distribution of stock returns pp. 307-324

Tim Bollerslev, Viktor Todorov and Sophia Zhengzi Li

Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration pp. 325-337

Vicky Fasen

Volume 172, issue 1, 2013

Estimation in threshold autoregressive models with a stationary and a unit root regime pp. 1-13

Jiti GAO, Dag Tjøstheim and Jiying Yin

Testing functional inequalities pp. 14-32

Lee, Sokbae (Simon), Kyungchul Song and Yoon-Jae Whang

Local Gaussian correlation: A new measure of dependence pp. 33-48

Dag Tjøstheim and Karl Ove Hufthammer

Bootstrapping realized multivariate volatility measures pp. 49-65

Prosper Dovonon, Sílvia Gonçalves and Nour Meddahi

A zero inefficiency stochastic frontier model pp. 66-76

Subal C. Kumbhakar, Christopher F. Parmeter and Efthymios Mike Tsionas

Partial maximum likelihood estimation of spatial probit models pp. 77-89

Honglin Wang, Emma M. Iglesias and Jeffrey M. Wooldridge

Rank tests for short memory stationarity pp. 90-105

Matteo Maria Pelagatti and Pranab K. Sen

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions pp. 106-126

A.S. Hurn, K.A. Lindsay and A.J. McClelland

On bootstrapping panel factor series pp. 127-141

Lorenzo Trapani

Jackknife estimation of stationary autoregressive models pp. 142-157

Marcus J. Chambers

Estimation and inference in unstable nonlinear least squares models pp. 158-167

Otilia Boldea and Alastair Hall

Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions pp. 168-182

Shakeeb Khan

Volume 171, issue 2, 2012

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation pp. 101-120

Lennart Hoogerheide, Anne Opschoor and Herman K. van Dijk

Generalized smooth finite mixtures pp. 121-133

Mattias Villani, Robert J. Kohn and David J. Nott

On some properties of Markov chain Monte Carlo simulation methods based on the particle filter pp. 134-151

Michael K. Pitt, Ralph dos Santos Silva, Paolo Giordani and Robert J. Kohn

Evaluating DSGE model forecasts of comovements pp. 152-166

Edward Herbst and Frank Schorfheide

Confronting model misspecification in macroeconomics pp. 167-184

Daniel F. Waggoner and Tao Zha

Nonparametric Bayesian modelling of monotone preferences for discrete choice experiments pp. 185-204

John Geweke

A Bayesian analysis of payday loans and their regulation pp. 205-216

Mingliang Li, Kevin J. Mumford and Justin L. Tobias

Probabilistic forecasts of volatility and its risk premia pp. 217-236

Worapree Maneesoonthorn, Gael Margaret Martin, Catherine Scipione Forbes and Simone D. Grose

Bayesian model averaging in the instrumental variable regression model pp. 237-250

Gary Koop, Roberto Leon-Gonzalez and Rodney W. Strachan

Mixtures of g-priors for Bayesian model averaging with economic applications pp. 251-266

Eduardo Ley and Mark Steel

Variable selection and functional form uncertainty in cross-country growth regressions pp. 267-280

Tim Salimans

Volume 171, issue 1, 2012

Nonparametric estimation and inference about the overlap of two distributions pp. 1-23

Gordon Anderson, Oliver Bruce Linton and Yoon-Jae Whang

Ratio-based estimators for a change point in persistence pp. 24-31

Andreea G. Halunga and Denise Osborn

Nonparametric identification of dynamic models with unobserved state variables pp. 32-44

Yingyao Hu and Matthew Shum

Hodges–Lehmann optimality for testing moment conditions pp. 45-53

Ivan Alexis Canay and Taisuke Otsu

Higher order properties of the wild bootstrap under misspecification pp. 54-70

Patrick Kline and Andres Santos

Semiparametric trending panel data models with cross-sectional dependence pp. 71-85

Jia Chen, Jiti GAO and Degui Li

Econometric analysis of present value models when the discount factor is near one pp. 86-97

Kenneth D. West