Economics at your fingertips  

Journal of Econometrics

1973 - 2017

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
Series data maintained by Dana Niculescu ().

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 199, issue 1, 2017

Long memory, fractional integration, and cross-sectional aggregation pp. 1-11 Downloads
Niels Haldrup and J. Eduardo Vera Valdés
Semiparametric estimation and testing of smooth coefficient spatial autoregressive models pp. 12-34 Downloads
Emir Malikov and Yiguo Sun
Minimum distance from independence estimation of nonseparable instrumental variables models pp. 35-48 Downloads
Alexander Torgovitsky
A unifying theory of tests of rank pp. 49-62 Downloads
Majid M. Al-Sadoon
Identification in a generalization of bivariate probit models with dummy endogenous regressors pp. 63-73 Downloads
Sukjin Han and Edward J. Vytlacil
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis pp. 74-92 Downloads
Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni

Volume 198, issue 2, 2017

Higher-order properties of approximate estimators pp. 189-208 Downloads
Dennis Kristensen and Bernard Salanié
A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models pp. 209-230 Downloads
Andreea G. Halunga, Chris D. Orme and Takashi Yamagata
Tests of equal accuracy for nested models with estimated factors pp. 231-252 Downloads
Sílvia Gonçalves, Michael McCracken and Benoit Perron
Testing for prospect and Markowitz stochastic dominance efficiency pp. 253-270 Downloads
Stelios Arvanitis and Nikolas Topaloglou
Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order pp. 271-276 Downloads
Rocco Mosconi and Paolo Paruolo
Asymptotic F and t tests in an efficient GMM setting pp. 277-295 Downloads
Jungbin Hwang and Yixiao Sun

Volume 198, issue 1, 2017

Learning can generate long memory pp. 1-9 Downloads
Guillaume Chevillon and Sophocles Mavroeidis
A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation pp. 10-28 Downloads
Ulrich Hounyo and Rasmus T. Varneskov
A simple consistent test of conditional symmetry in symmetrically trimmed tobit models pp. 29-40 Downloads
Tao Chen and Gautam Tripathi
Evidence of randomisation bias in a large-scale social experiment: The case of ERA pp. 41-64 Downloads
Barbara Sianesi
Social interactions under incomplete information with heterogeneous expectations pp. 65-83 Downloads
Chao Yang and Lung-fei Lee
On time-varying factor models: Estimation and testing pp. 84-101 Downloads
Liangjun Su and Xia Wang
Fixed-effects dynamic spatial panel data models and impulse response analysis pp. 102-121 Downloads
Kunpeng Li
Chasing volatility pp. 122-145 Downloads
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
Measurement errors in quantile regression models pp. 146-164 Downloads
Sergio Firpo, Antonio F. Galvao and Suyong Song
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form pp. 165-188 Downloads
Giuseppe Cavaliere, Morten Nielsen and A.M. Robert Taylor

Volume 197, issue 2, 2017

QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices pp. 173-201 Downloads
Xi Qu, Lung-fei Lee and Jihai Yu
Testing identifying assumptions in nonseparable panel data models pp. 202-217 Downloads
Dalia Ghanem
Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination pp. 218-244 Downloads
Bent Jesper Christensen and Rasmus Tangsgaard Varneskov
Inference from high-frequency data: A subsampling approach pp. 245-272 Downloads
K. Christensen, M. Podolskij, N. Thamrongrat and Bezirgen Veliyev
Bayesian mode regression using mixtures of triangular densities pp. 273-283 Downloads
Chi-san Ho, Paul Damien and Stephen Walker
Testing for non-correlation between price and volatility jumps pp. 284-297 Downloads
Jean Jacod, Claudia Klüppelberg and Gernot Müller
A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data pp. 298-322 Downloads
Min Seong Kim, Yixiao Sun and Jingjing Yang
Spatial dynamic panel data models with interactive fixed effects pp. 323-347 Downloads
Wei Shi and Lung-fei Lee
Fitting a two phase threshold multiplicative error model pp. 348-367 Downloads
Indeewara Perera and Hira L. Koul
Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models pp. 368-381 Downloads
Yaxing Yang and Shiqing Ling

Volume 197, issue 1, 2017

Resurrecting weighted least squares pp. 1-19 Downloads
Joseph P. Romano and Michael Wolf
Estimation of integrated quadratic covariation with endogenous sampling times pp. 20-41 Downloads
Yoann Potiron and Per A. Mykland
Partial identification of functionals of the joint distribution of “potential outcomes” pp. 42-59 Downloads
Yanqin Fan, Emmanuel Guerre and Dongming Zhu
On the role of the rank condition in CCE estimation of factor-augmented panel regressions pp. 60-64 Downloads
Hande Karabiyik, Simon Reese and Joakim Westerlund
Estimation of average treatment effects with panel data: Asymptotic theory and implementation pp. 65-75 Downloads
Kathleen T. Li and David R. Bell
Determining the number of factors when the number of factors can increase with sample size pp. 76-86 Downloads
Hongjun Li, Qi Li and Yutang Shi
Identification and estimation of a large factor model with structural instability pp. 87-100 Downloads
Badi Baltagi, Chihwa Kao and Fa Wang
Least squares estimation of large dimensional threshold factor models pp. 101-129 Downloads
Daniele Massacci
Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading pp. 130-152 Downloads
Ulrich Hounyo
Testing rationality without restricting heterogeneity pp. 153-171 Downloads
Kohei Kawaguchi

Volume 196, issue 2, 2017

R-estimation in semiparametric dynamic location-scale models pp. 233-247 Downloads
Marc Hallin and Davide La Vecchia
Estimation of fractionally integrated panels with fixed effects and cross-section dependence pp. 248-258 Downloads
Yunus Emre Ergemen and Carlos Velasco
Inference and testing breaks in large dynamic panels with strong cross sectional dependence pp. 259-274 Downloads
Javier Hidalgo and Marcia Schafgans
Inference based on many conditional moment inequalities pp. 275-287 Downloads
Donald W.K. Andrews and Xiaoxia Shi
Identification and estimation of non-Gaussian structural vector autoregressions pp. 288-304 Downloads
Markku Lanne, Mika Meitz and Pentti Saikkonen
Tests for conditional ellipticity in multivariate GARCH models pp. 305-319 Downloads
Christian Francq, M.D. Jiménez-Gamero and S.G. Meintanis
Unequal spacing in dynamic panel data: Identification and estimation pp. 320-330 Downloads
Yuya Sasaki and Yi Xin
Fractional order statistic approximation for nonparametric conditional quantile inference pp. 331-346 Downloads
Matt Goldman and David Kaplan
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity pp. 347-367 Downloads
Kris Boudt, Sébastien Laurent, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri
Testing for central dominance: Method and application pp. 368-378 Downloads
O-Chia Chuang, Chung-Ming Kuan and Larry Y. Tzeng

Volume 196, issue 1, 2017

Efficient estimation in models with independence restrictions pp. 1-22 Downloads
Alexandre Poirier
Inference and testing on the boundary in extended constant conditional correlation GARCH models pp. 23-36 Downloads
Rasmus Pedersen
Asymptotics for recurrent diffusions with application to high frequency regression pp. 37-54 Downloads
Jihyun Kim and Joon Y. Park
Rolling window selection for out-of-sample forecasting with time-varying parameters pp. 55-67 Downloads
Atsushi Inoue, Lu Jin and Barbara Rossi
A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks pp. 68-82 Downloads
Guohua Feng, Jiti Gao, Bin Peng and Xiaohui Zhang
Forecasting cointegrated nonstationary time series with time-varying variance pp. 83-98 Downloads
Yundong Tu and Yanping Yi
A multivariate stochastic unit root model with an application to derivative pricing pp. 99-110 Downloads
Offer Lieberman and Peter C.B. Phillips
Statistical inference for independent component analysis: Application to structural VAR models pp. 111-126 Downloads
Christian Gourieroux, Alain Monfort and Jean-Paul Renne
A new approach to model regime switching pp. 127-143 Downloads
Yoosoon Chang, Yongok Choi and Joon Y. Park
Impulse response matching estimators for DSGE models pp. 144-155 Downloads
Pablo Guerron, Atsushi Inoue and Lutz Kilian
Inference in semiparametric conditional moment models with partial identification pp. 156-179 Downloads
Shengjie Hong
Estimating smooth structural change in cointegration models pp. 180-195 Downloads
Peter C.B. Phillips, Degui Li and Jiti Gao
Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models pp. 196-214 Downloads
Kai Yang and Lung-fei Lee
Data revisions and DSGE models pp. 215-232 Downloads
Ana Galvão
Page updated 2017-06-28