Journal of Econometrics

1973 - 2009

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

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Volume 141, issue 2, 2007

Realized range-based estimation of integrated variance pp. 323-349

Kim Christensen and Mark Podolskij

Instrumental variable estimation based on conditional median restriction pp. 350-382

Shinichi Sakata

Generalized R-estimators under conditional heteroscedasticity pp. 383-415

Kanchan Mukherjee

Incidental trends and the power of panel unit root tests pp. 416-459

Hyungsik Roger Moon, Benoit Perron and Peter C. B. Phillips

Non-parametric estimation of sequential english auctions pp. 460-481

Bjarne Brendstrup

On the uniqueness of optimal prices set by monopolistic sellers pp. 482-491

Gerard J. van den Berg

On the second-order properties of empirical likelihood with moment restrictions pp. 492-516

Song Xi Chen and Hengjian Cui

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting pp. 517-547

Michael J. Dueker, Martin Sola and Fabio Spagnolo

Efficient tests of the seasonal unit root hypothesis pp. 548-573

Paulo Rodrigues and Robert Taylor

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach pp. 574-596

Morten Ørregaard Nielsen and Katsumi Shimotsu

Asymptotic properties of a robust variance matrix estimator for panel data when T is large pp. 597-620

Christian B. Hansen

Online forecast combinations of distributions: Worst case bounds pp. 621-651

Alessio Sancetta

Nonparametric tests for conditional symmetry in dynamic models pp. 652-682

Miguel A. Delgado and Juan Carlos Escanciano

Masking identification of discrete choice models under simulation methods pp. 683-703

Lesley Chiou and Joan L. Walker

A smoothed least squares estimator for threshold regression models pp. 704-735

Myung Hwan Seo and Oliver Bruce Linton

Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates pp. 736-776

Yongmiao Hong, Haitao Li and Feng Zhao

Endogenous selection or treatment model estimation pp. 777-806

Arthur Lewbel

A consistent characteristic function-based test for conditional independence pp. 807-834

Liangjun Su and Halbert White

A goodness-of-fit test for ARCH([infinity]) models pp. 835-875

Javier Hidalgo and Paolo Zaffaroni

Modelling security market events in continuous time: Intensity based, multivariate point process models pp. 876-912

Clive G. Bowsher

Asymptotics for duration-driven long range dependent processes pp. 913-949

Hsieh, Meng-Chen, Clifford M. Hurvich and Philippe Soulier

An adaptive empirical likelihood test for parametric time series regression models pp. 950-972

Song Xi Chen and Jiti GAO

A goodness-of-fit test for ARCH([infinity]) models pp. 973-1013

Javier Hidalgo and Paolo Zaffaroni

Discrete time duration models with group-level heterogeneity pp. 1014-1043

Anders Frederiksen, Bo E. Honore and Luojia Hu

Income distribution and inequality measurement: The problem of extreme values pp. 1044-1072

Frank Alan Cowell and Emmanuel Flachaire

A zero-inflated ordered probit model, with an application to modelling tobacco consumption pp. 1073-1099

Mark Harris and Xueyan Zhao

Estimating a generalized correlation coefficient for a generalized bivariate probit model pp. 1100-1114

Songnian Chen and Yahong Zhou

Nonstationary discrete choice: A corrigendum and addendum pp. 1115-1130

Peter C. B. Phillips, Sainan Jin and Ling Hu

Endogeneity in quantile regression models: A control function approach pp. 1131-1158

Sokbae (Simon) Lee

Time and causality: A Monte Carlo assessment of the timing-of-events approach pp. 1159-1195

Simen Gaure, Knut Røed and Tao Zhang

Confidence sets for the date of a single break in linear time series regressions pp. 1196-1218

Graham Elliott and Ulrich K. Muller

Finite sample multivariate structural change tests with application to energy demand models pp. 1219-1244

Bernard, Jean-Thomas, Nadhem Idoudi, Lynda Khalaf and Clement Yelou

Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan pp. 1245-1280

Jialin Yu

Inverse probability weighted estimation for general missing data problems pp. 1281-1301

Jeffrey Wooldridge

A simple, robust and powerful test of the trend hypothesis pp. 1302-1330

David . Harvey, Stephen J. Leybourne and Robert Taylor

A theory of robust long-run variance estimation pp. 1331-1352

Ulrich K. Muller

Nonstationarity-extended local Whittle estimation pp. 1353-1384

Karim Abadir, Walter Distaso and Liudas Giraitis

Efficient high-dimensional importance sampling pp. 1385-1411

Richard, Jean-Francois and Wei Zhang

Corrigendum to "The pseudo-true score encompassing test for non-nested hypotheses": [Journal of Econometrics 106, 271-295] pp. 1412-1417

Chen, Yi-Ting and Chung-Ming Kuan

Erratum to "Generalizing the standard product rule of probability theory and Bayes's Theorem": [J. Econometrics 138 (1) (2007) 14-23] pp. 1417-1419

Arnold Zellner

Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394] pp. 1417-1418

Alastair Hall and Atsushi Inoue

Volume 141, issue 1, 2007

Semiparametric methods in econometrics pp. 1-4

Marcelo Fernandes, Oliver Bruce Linton and Olivier Scaillet

Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables pp. 5-43

Chunrong Ai and Xiaohong Chen

Testing the Markov property with high frequency data pp. 44-64

João Amaro de Matos and Marcelo Fernandes

Censored regression quantiles with endogenous regressors pp. 65-83

Richard Blundell and James L. Powell

Semiparametric identification and estimation in multi-object, English auctions pp. 84-108

Bjarne Brendstrup and Harry J Paarsch

Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models pp. 109-140

Xiaohong Chen, Han Hong and Matthew Shum

Asymptotic and bootstrap inference for inequality and poverty measures pp. 141-166

Russell Davidson and Emmanuel Flachaire

Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance pp. 167-178

Ronaldo Dias and Nancy L. Garcia

Root-N consistent semiparametric estimators of a dynamic panel-sample-selection model pp. 179-212

Gayle, George-Levi and Christelle Katia Viauroux

Local multiplicative bias correction for asymmetric kernel density estimators pp. 213-249

M. Hagmann and Olivier Scaillet

The quantilogram: With an application to evaluating directional predictability pp. 250-282

Oliver Bruce Linton and Yoon-Jae Whang

Nonparametric frontier estimation via local linear regression pp. 283-319

Carlos Martins-Filho and Feng Yao