Journal of Econometrics

1973 - 2008

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

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Volume 145, issue 1-2, 2008

Special issue editors' introduction: The use of econometrics in informing public policy makers pp. 1-3

Robin C. Sickles and Jennifer Williams

A model of Social Security Disability Insurance using matched SIPP/Administrative data pp. 4-20

Kajal Lahiri, Jae Song and Bernard Wixon

Social security and the retirement and savings behavior of low-income households pp. 21-42

Wilbert van der Klaauw and Kenneth . Wolpin

Household search and health insurance coverage pp. 43-63

Matthew Dey and Christopher Flinn

Heterogeneous impacts in PROGRESA pp. 64-80

Habiba Djebbari and Jeffrey Smith

State dependence in youth labor market experiences, and the evaluation of policy interventions pp. 81-97

Denise Doiron and Tue Gørgens

Evaluating the effectiveness of Washington state repeated job search services on the employment rate of prime-age female welfare recipients pp. 98-108

Cheng Hsiao, Yan Shen, Boqing Wang and Greg Weeks

The long-run cost of job loss as measured by consumption changes pp. 109-120

Martin Browning and Thomas F. Crossley

Panel data methods for fractional response variables with an application to test pass rates pp. 121-133

Leslie E. Papke and Jeffrey M. Wooldridge

Efficiency in public schools: Does competition matter? pp. 134-157

Daniel L. Millimet and Trevor Collier

Turning from crime: A dynamic perspective pp. 158-173

Robin C. Sickles and Jenny Williams

On the estimation of returns to scale, technical progress and monopolistic markups pp. 174-193

W. Erwin Diewert and Kevin J. Fox

Estimating regional trade agreement effects on FDI in an interdependent world pp. 194-208

Badi H. Baltagi, Peter Egger and Michael Pfaffermayr

Non-parametric, unconditional quantile estimation for efficiency analysis with an application to Federal Reserve check processing operations pp. 209-225

David C. Wheelock and Paul W. Wilson

Relative prices and electronic substitution: Changes in household-level demand for postal delivery services from 1986 to 2004 pp. 226-242

Hong, Seung-Hyun and Frank A. Wolak

Is econometrics useful for private policy making? A case study of replacement policy at an auto rental company pp. 243-257

Sungjin Cho and John Rust

Volume 144, issue 2, 2008

Evolution of forecast disagreement in a Bayesian learning model pp. 325-340

Kajal Lahiri and Xuguang Sheng

Patient enrollment in medical trials: Selection bias in a randomized experiment pp. 341-351

Anup Malani

Testing for jumps when asset prices are observed with noise-a "swap variance" approach pp. 352-370

George J. Jiang and Roel C.A. Oomen

Difference in difference meets generalized least squares: Higher order properties of hypotheses tests pp. 371-391

Jerry Hausman and Guido M. Kuersteiner

Estimation of partial differential equations with applications in finance pp. 392-408

Dennis Kristensen

Valid tests of whether technical inefficiency depends on firm characteristics pp. 409-427

Myungsup Kim and Peter Schmidt

Restricted Kalman filtering revisited pp. 428-429

Adrian Pizzinga, Cristiano Fernandes and Sergio Contreras

Inference in panel data models under attrition caused by unobservables pp. 430-446

Debopam Bhattacharya

Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model pp. 447-464

Hugo Kruiniger

Analysis of treatment response data from eligibility designs pp. 465-478

Siddhartha Chib and Liana Jacobi

The effect of college curriculum on earnings: An affinity identifier for non-ignorable non-response bias pp. 479-491

Daniel S. Hamermesh and Stephen G. Donald

Semiparametric estimation of a binary response model with a change-point due to a covariate threshold pp. 492-499

Sokbae (Simon) Lee and Myung Hwan Seo

Bootstrap refinements for QML estimators of the GARCH(1,1) parameters pp. 500-510

Valentina Corradi and Emma M. Iglesias

Nearly-singular design in GMM and generalized empirical likelihood estimators pp. 511-523

Mehmet Caner

Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18] pp. 524-525

Marcus J. Chambers

Volume 144, issue 1, 2008

An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions pp. 1-26

Aït-Sahalia, Yacine and Per A. Mykland

Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution pp. 27-61

Yingyao Hu

Likelihood approximation by numerical integration on sparse grids pp. 62-80

Florian Heiss and Viktor Winschel

Partial identification of probability distributions with misclassified data pp. 81-117

Francesca Molinari

Weak identification robust tests in an instrumental quantile model pp. 118-138

Sung Jae Jun

A non-parametric independence test using permutation entropy pp. 139-155

Matilla-Garci­a, Mariano and Ruiz Mari­n, Manuel

Learning and the value of information: Evidence from health plan report cards pp. 156-174

Michael Chernew, Gautam Gowrisankaran and Dennis P. Scanlon

Mixtures of t-distributions for finance and forecasting pp. 175-192

Raffaella Giacomini, Andreas Gottschling, Christian Haefke and Halbert White

Local polynomial estimation of nonparametric simultaneous equations models pp. 193-218

Liangjun Su and Aman Ullah

More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares pp. 219-233

Kyung So Im and Peter Schmidt

Risk, jumps, and diversification pp. 234-256

Tim Bollerslev, Tzuo Hann Law and George Tauchen

Nonparametric estimation and testing of fixed effects panel data models pp. 257-275

Daniel J. Henderson, Raymond J. Carroll and Qi Li

A semi-parametric Bayesian approach to the instrumental variable problem pp. 276-305

Timothy G. Conley, Christian B. Hansen, Robert E. McCulloch and Peter E. Rossi

Chain indices of the cost-of-living and the path-dependence problem: An empirical solution pp. 306-324

Nicholas Oulton

Volume 143, issue 2, 2008

Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility pp. 227-262

Gongmeng Chen, Yoon K. Choi and Yong Zhou

Estimation of Markov regime-switching regression models with endogenous switching pp. 263-273

Kim, Chang-Jin, Jeremy Piger and Richard Startz

Birth-spacing, fertility and neonatal mortality in India: Dynamics, frailty, and fecundity pp. 274-290

Sonia Bhalotra and Arthur van Soest

Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models pp. 291-316

Anastasios Panagiotelis and Michael Stanley Smith

A smooth nonparametric conditional quantile frontier estimator pp. 317-333

Carlos Martins-Filho and Feng Yao

Bayesian analysis of the ordered probit model with endogenous selection pp. 334-348

Murat K. Munkin and Pravin K. Trivedi

Long-run risk-return trade-offs pp. 349-374

Federico M. Bandi and Perron, Benoît

Examining bias in estimators of linear rational expectations models under misspecification pp. 375-395

Eric Jondeau and Hervé Le Bihan

Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330] pp. 396-397

David . Harvey, Stephen J. Leybourne and Robert Taylor

Volume 143, issue 1, 2008

Specification testing pp. 1-4

Miguel A. Delgado

On distribution-free goodness-of-fit testing of exponentiality pp. 5-18

John Haywood and Estate Khmaladze

Testing multivariate distributions in GARCH models pp. 19-36

Jushan Bai and Zhihong Chen

Distribution-free specification tests of conditional models pp. 37-55

Miguel A. Delgado and Winfried Stute

Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach pp. 56-73

Holger Dette and Mark Podolskij

Joint and marginal specification tests for conditional mean and variance models pp. 74-87

Juan Carlos Escanciano

Specification tests in nonparametric regression pp. 88-102

John Einmahl and Ingrid Van Keilegom

Breaking the curse of dimensionality in nonparametric testing pp. 103-122

Pascal Lavergne and Valentin Patilea

Nonparametric simultaneous testing for structural breaks pp. 123-142

Jiti Gao, Irene Gijbels and Sebastien Van Bellegem

Specification testing for regression models with dependent data pp. 143-165

J. Hidalgo

Goodness-of-fit tests for conditional models under censoring and truncation pp. 166-190

Ricardo Cao and Gonzalez-Manteiga, Wenceslao

On specification testing of ordered discrete choice models pp. 191-205

Juan Mora and Ana Isabel Moro-Egido

Diagnostic testing for cointegration pp. 206-225

P.M. Robinson