Journal of Econometrics

1973 - 2009

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

from Elsevier
Series data maintained by Heidi Boesdal ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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 Khairzhan-uli Munkin and Pravin Trivedi

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

Federico M. Bandi and Benoit Perron

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

Volume 142, issue 2, 2008

Special issue editors' introduction: The regression discontinuity design--Theory and applications pp. 611-614

Guido Imbens and Thomas Lemieux

Regression discontinuity designs: A guide to practice pp. 615-635

Guido W. Imbens and Thomas Lemieux

"Waiting for Life to Arrive": A history of the regression-discontinuity design in Psychology, Statistics and Economics pp. 636-654

Thomas D. Cook

Regression discontinuity inference with specification error pp. 655-674

David S. Lee and David E. Card

Randomized experiments from non-random selection in U.S. House elections pp. 675-697

David S. Lee

Manipulation of the running variable in the regression discontinuity design: A density test pp. 698-714

Justin McCrary

Ineligibles and eligible non-participants as a double comparison group in regression-discontinuity designs pp. 715-730

Erich Battistin and Enrico Rettore

Breaking the link between poverty and low student achievement: An evaluation of Title I pp. 731-756

Wilbert H van der Klaauw

The work disincentive effects of the disability insurance program in the 1990s pp. 757-784

Susan Elizabeth Chen and Wilbert H van der Klaauw

How do extended benefits affect unemployment duration A regression discontinuity approach pp. 785-806

Rafael Lalive

Incentive effects of social assistance: A regression discontinuity approach pp. 807-828

Thomas Lemieux and Kevin Milligan

Mandatory summer school and student achievement pp. 829-850

Jordan D. Matsudaira

Volume 142, issue 1, 2008

Nonlinearity, nonstationarity, and spurious forecasts pp. 1-27

Vadim Marmer

Symmetry-based inference in an instrumental variable setting pp. 28-49

Paul A. Bekker and Steve Lawford

Testing slope homogeneity in large panels pp. 50-93

M Hashem Pesaran and Takashi Yamagata

Adaptive consistent unit-root tests based on autoregressive threshold model pp. 94-133

Frédérique Bec, Alain Guay and Emmanuel Guerre

Generalized empirical likelihood tests in time series models with potential identification failure pp. 134-161

Patrik Guggenberger and Richard J. Smith

Local rank tests in a multivariate nonparametric relationship pp. 162-182

Natércia Fortuna

Exactly distribution-free inference in instrumental variables regression with possibly weak instruments pp. 183-200

Donald W. K. Andrews and Vadim Marmer

Sparse estimators and the oracle property, or the return of Hodges' estimator pp. 201-211

Hannes Leeb and Benedikt M Pötscher

A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change pp. 212-240

Ai Deng and Pierre Perron

Nonparametric transformation to white noise pp. 241-264

Oliver Bruce Linton and Enno Mammen

Adaptive estimation of autoregressive models with time-varying variances pp. 265-280

Xu, Ke-Li and Peter C. B. Phillips

Productivity trends in U.S. manufacturing: Evidence from the NQ and AIM cost functions pp. 281-311

Guohua Feng and Apostolos Serletis

A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test pp. 312-326

Christian Francq, Svetlana Makarova and Zakoi[diaeresis]an, Jean-Michel

Robust estimation for structural spurious regressions and a Hausman-type cointegration test pp. 327-351

Chi-Young Choi, Ling Hu and Masao Ogaki

Estimation and tests for power-transformed and threshold GARCH models pp. 352-378

Jiazhu Pan, Hui Wang and Howell Tong

Instrumental variable quantile regression: A robust inference approach pp. 379-398

Victor Chernozhukov and Christian Hansen

The multi-state latent factor intensity model for credit rating transitions pp. 399-424

Siem Jan Koopman, Andre Lucas and Andre Antonio Monteiro

Estimation and testing of Euler equation models with time-varying reduced-form coefficients pp. 425-448

Hong Li

Efficient estimation and inference in linear pseudo-panel data models pp. 449-466

Atsushi Inoue

Temporal aggregation of multivariate GARCH processes pp. 467-483

Christian Matthias Hafner

On Bayesian analysis and computation for functions with monotonicity and curvature restrictions pp. 484-507

William Mccausland

Conditional empirical likelihood estimation and inference for quantile regression models pp. 508-538

Taisuke Otsu

Fixed effects instrumental variables estimation in correlated random coefficient panel data models pp. 539-552

Irina Murtazashvili and Jeffrey Wooldridge

Bayesian stochastic search for VAR model restrictions pp. 553-580

Edward . George, Dongchu Sun and Shawn Ni

Testing for unit root processes in random coefficient autoregressive models pp. 581-609

Walter Distaso