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Journal of Econometrics

1973 - 2017

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

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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 M. 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 Gouriéroux, 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

Volume 195, issue 2, 2016

Dynamic panels with threshold effect and endogeneity pp. 169-186 Downloads
Myung Hwan Seo and Yongcheol Shin
Using invalid instruments on purpose: Focused moment selection and averaging for GMM pp. 187-208 Downloads
Francis DiTraglia
Variance of the truncated negative binomial distribution pp. 209-210 Downloads
J.S. Shonkwiler
Spillover dynamics for systemic risk measurement using spatial financial time series models pp. 211-223 Downloads
Francisco Blasques, Siem Jan Koopman, André Lucas and Julia Schaumburg
Structural estimation of pairwise stable networks with nonnegative externality pp. 224-235 Downloads
Yuhei Miyauchi
A simple nonparametric approach to estimating the distribution of random coefficients in structural models pp. 236-254 Downloads
Jeremy Fox, Kyoo il Kim and Chenyu Yang
Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model pp. 255-270 Downloads
Heng Chen, Yanqin Fan and Ruixuan Liu

Volume 195, issue 1, 2016

Identifying the average treatment effect in ordered treatment models without unconfoundedness pp. 1-22 Downloads
Arthur Lewbel and Thomas Tao Yang
Four decades of the Journal of Econometrics: Coauthorship patterns and networks pp. 23-32 Downloads
Andreas Andrikopoulos, Aristeidis Samitas and Konstantinos Kostaris
Efficient estimation of integrated volatility incorporating trading information pp. 33-50 Downloads
Yingying Li, Shangyu Xie and Xinghua Zheng
Estimating jump–diffusions using closed-form likelihood expansions pp. 51-70 Downloads
Chenxu Li and Dachuan Chen
Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models pp. 71-85 Downloads
Anders Bredahl Kock
Conditional Value-at-Risk: Semiparametric estimation and inference pp. 86-103 Downloads
Chuan-Sheng Wang and Zhibiao Zhao
Econometric estimation with high-dimensional moment equalities pp. 104-119 Downloads
Zhentao Shi
An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions pp. 120-133 Downloads
Jonathan Eggleston
Functional-coefficient spatial autoregressive models with nonparametric spatial weights pp. 134-153 Downloads
Yiguo Sun
Testing a single regression coefficient in high dimensional linear models pp. 154-168 Downloads
Wei Lan, Ping-Shou Zhong, Runze Li, Hansheng Wang and Chih-Ling Tsai
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