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Journal of Econometrics
1973 - 2011
Edited by T. Amemiya , A. R. Gallant , J. F. Geweke , C. Hsiao and P. M. Robinson
from Elsevier
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Volume 164, issue 2 , 2011
A family of empirical likelihood functions and estimators for the binary response model pp. 207-217 Ron Mittelhammer and George Judge Model selection criteria in multivariate models with multiple structural changes pp. 218-238 Eiji Kurozumi and Purevdorj Tuvaandorj A new method of projection-based inference in GMM with weakly identified nuisance parameters pp. 239-251 Saraswata Chaudhuri and Eric Zivot Measuring correlations of integrated but not cointegrated variables: A semiparametric approach pp. 252-267 Yiguo Sun , Cheng Hsiao and Qi Li Generalized spectral testing for multivariate continuous-time models pp. 268-293 Bin Chen and Yongmiao Hong How many consumers are rational? pp. 294-309 Stefan G.N. Hoderlein Estimating a common deterministic time trend break in large panels with cross sectional dependence pp. 310-330 Dukpa Kim Testing and detecting jumps based on a discretely observed process pp. 331-344 Yingying Fan and Jianqing Fan Robust trend inference with series variance estimator and testing-optimal smoothing parameter pp. 345-366 Yixiao Sun Realized Laplace transforms for estimation of jump diffusive volatility models pp. 367-381 Viktor Todorov , George Tauchen and Iaryna Grynkiv Semi-nonparametric estimation and misspecification testing of diffusion models pp. 382-403 Dennis Kristensen Volume 164, issue 1 , 2011
Annals issue on forecasting--Guest editors' introduction pp. 1-3 João Victor Issler , Oliver Bruce Linton and Allan Timmermann The affine arbitrage-free class of Nelson-Siegel term structure models pp. 4-20 Jens H.E. Christensen , Francis X. Diebold and Glenn D. Rudebusch How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? pp. 21-34 Andrea Carriero and Raffaella Giacomini Do interest rate options contain information about excess returns? pp. 35-44 Caio Almeida , Jeremy J. Graveline and Scott Joslin A component model for dynamic correlations pp. 45-59 Riccardo Colacito , Robert F. Engle and Eric Ghysels Predictability of stock returns and asset allocation under structural breaks pp. 60-78 Davide Pettenuzzo and Allan Timmermann A control function approach for testing the usefulness of trending variables in forecast models and linear regression pp. 79-91 Graham Elliott A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom pp. 92-115 Alev Atak , Oliver Bruce Linton and Zhijie Xiao Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions pp. 116-129 George Athanasopoulos , Osmani Teixeira de Carvalho Guillén , João Victor Issler and Farshid Vahid Optimal prediction pools pp. 130-141 John Geweke and Gianni Amisano Quantile regression for dynamic panel data with fixed effects pp. 142-157 Antonio F. Galvao Understanding models' forecasting performance pp. 158-172 Barbara Rossi and Tatevik Sekhposyan Variable selection, estimation and inference for multi-period forecasting problems pp. 173-187 M Hashem Pesaran , Andreas Pick and Allan Timmermann A two-step estimator for large approximate dynamic factor models based on Kalman filtering pp. 188-205 Catherine Doz , Domenico Giannone and Lucrezia Reichlin Volume 163, issue 2 , 2011
Asymptotic distributions of impulse response functions in short panel vector autoregressions pp. 127-143 Bolong Cao and Yixiao Sun Bias corrections for two-step fixed effects panel data estimators pp. 144-162 Ivan Fernandez-Val and Francis Vella Nonparametric identification of a binary random factor in cross section data pp. 163-171 Yingying Dong and Arthur Lewbel Inference and prediction in a multiple-structural-break model pp. 172-185 John Geweke and Yu Jiang An I(d) model with trend and cycles pp. 186-199 Karim Maher Abadir , Walter Distaso and Liudas Giraitis A class of simple distribution-free rank-based unit root tests pp. 200-214 Marc Hallin , Ramon van den Akker and Bas J.M. Werker Likelihood-based scoring rules for comparing density forecasts in tails pp. 215-230 Cees Diks , Valentyn Panchenko and Dick van Dijk Volume 163, issue 1 , 2011
Factor structures for panel and multivariate time series data pp. 1-3 Franz C. Palm and Jean-Pierre Urbain Infinite-dimensional VARs and factor models pp. 4-22 Alexander Chudik and M Hashem Pesaran The general dynamic factor model: One-sided representation results pp. 23-28 Mario Forni and Marco Lippi Dynamic factors in the presence of blocks pp. 29-41 Marc Hallin and Roman Liska Market liquidity as dynamic factors pp. 42-50 Marc Hallin , Charles Mathias , Hugues E. Pirotte Speder and David Veredas Fitting dynamic factor models to non-stationary time series pp. 51-70 Michael Eichler , Giovanni Motta and Rainer von Sachs Testing for structural breaks in dynamic factor models pp. 71-84 Jörg Breitung and Sandra Eickmeier Cross-sectional dependence robust block bootstrap panel unit root tests pp. 85-104 Franz C. Palm , Stephan Smeekes and Jean-Pierre Urbain A characterization of vector autoregressive processes with common cyclical features pp. 105-117 Massimo Franchi and Paolo Paruolo Method of moments estimation of GO-GARCH models pp. 118-126 H. Peter Boswijk and Roy van der Weide Volume 162, issue 2 , 2011
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading pp. 149-169 Ole E. Barndorff-Nielsen , Peter Reinhard Hansen , Asger Lunde and Neil Shephard Estimating features of a distribution from binomial data pp. 170-188 Arthur Lewbel , Daniel L. McFadden and Oliver Bruce Linton A martingale approach for testing diffusion models based on infinitesimal operator pp. 189-212 Zhaogang Song A bootstrap-assisted spectral test of white noise under unknown dependence pp. 213-224 Xiaofeng Shao Nonparametric model validations for hidden Markov models with applications in financial econometrics pp. 225-239 Zhibiao Zhao Estimation of fractional integration under temporal aggregation pp. 240-247 Uwe Hassler Estimating structural changes in regression quantiles pp. 248-267 Tatsushi Oka and Zhongjun Qu A new class of asymptotically efficient estimators for moment condition models pp. 268-277 Yanqin Fan , Matthew Gentry and Tong Li Fourth order pseudo maximum likelihood methods pp. 278-293 Alberto Holly , Alain Monfort and Michael Rockinger Integrated variance forecasting: Model based vs. reduced form pp. 294-311 Natalia Sizova Modeling frailty-correlated defaults using many macroeconomic covariates pp. 312-325 Siem Jan Koopman , André Lucas and Bernd Schwaab Generalized runs tests for the IID hypothesis pp. 326-344 Jin Seo Cho and Halbert White Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling pp. 345-361 Mingliang Li and Justin L. Tobias Regression with imputed covariates: A generalized missing-indicator approach pp. 362-368 Valentino Dardanoni , Salvatore Modica and Franco Peracchi Bayesian estimation of an extended local scale stochastic volatility model pp. 369-382 Philippe J. Deschamps Stick-breaking autoregressive processes pp. 383-396 Jim Edward Griffin and Mark Steel Volume 162, issue 1 , 2011
The economics and econometrics of risk: An introduction to the special issue pp. 1-5 Arnold Zellner and David Zilberman Global identification of risk preferences with revealed preference data pp. 6-17 Richard E. Just and David R. Just Risk behavior in the presence of government programs pp. 18-24 Teresa Serra , Barry K. Goodwin and Allen Merril Featherstone Calibrating the wealth effects of decoupled payments: Does decreasing absolute risk aversion matter? pp. 25-34 David R. Just Agricultural arbitrage and risk preferences pp. 35-43 Rulon D. Pope , Jeffrey Thomas LaFrance and Richard E. Just The empirical relevance of the competitive storage model pp. 44-54 Carlo Cafiero , Eugenio Sebastian Antonio Bobenrieth , Juan R.A. Bobenrieth H. and Brian Davern Wright A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates pp. 55-70 Alexei V. Egorov , Haitao Li and David Ng Semi-nonparametric test of second degree stochastic dominance with respect to a function pp. 71-78 Keith D. Schumann Mixture models of choice under risk pp. 79-88 Anna Conte , John Denis Hey and Peter G. Moffatt 'Stochastically more risk averse:' A contextual theory of stochastic discrete choice under risk pp. 89-104 Nathaniel T. Wilcox Evaluation of similarity models for expected utility violations pp. 105-113 David E. Buschena and Joseph A. Atwood Are CEOs expected utility maximizers? pp. 114-123 John List and Charles F. Mason A similarity-based approach to prediction pp. 124-131 Itzhak Gilboa , Offer Lieberman and David Schmeidler The distortion of information to support an emerging evaluation of risk pp. 132-139 J.E. Russo and Kevyn Yong The effects of information about health hazards in food on consumers' choice process pp. 140-147 Amir Heiman and Oded Lowengart
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