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
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Volume 149, issue 2, 2009

Semiparametric binary regression models under shape constraints with an application to Indian schooling data pp. 101-117

Moulinath Banerjee, Debasri Mukherjee and Santosh Mishra

Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors pp. 118-135

Eiji Kurozumi and Kazuhiko Hayakawa

Bayesian analysis of random coefficient logit models using aggregate data pp. 136-148

Renna Jiang, Puneet Manchanda and Peter E. Rossi

Tests of risk premia in linear factor models pp. 149-173

Frank Kleibergen

Delay times of sequential procedures for multiple time series regression models pp. 174-190

Alexander Aue, Lajos Horvath and Matthew L. Reimherr

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality pp. 191-208

Pedro Carneiro and Sokbae Lee

Volume 149, issue 1, 2009

Announcement of the establishment of the Amemiya lecture series pp. 1-1

Cheng Hsiao

Testing the assumptions behind importance sampling pp. 2-11

Siem Jan Koopman, Neil Shephard and Drew D. Creal

Consistent noisy independent component analysis pp. 12-25

Stphane Bonhomme and Jean-Marc Robin

Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope pp. 26-51

Dukpa Kim and Pierre Perron

Bootstrap validity for the score test when instruments may be weak pp. 52-64

Marcelo J. Moreira, Jack R. Porter and Gustavo A. Suarez

Parameter estimation and bias correction for diffusion processes pp. 65-81

Cheng Yong Tang and Song Xi Chen

Panel cointegration with global stochastic trends pp. 82-99

Jushan Bai, Chihwa Kao and Serena Ng

Volume 148, issue 2, 2009

Functional-coefficient models for nonstationary time series data pp. 101-113

Zongwu Cai, Qi Li and Joon Y. Park

Simulation based selection of competing structural econometric models pp. 114-123

Tong Li

The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators pp. 124-130

Steve Lawford and Michalis P. Stamatogiannis

Estimation of continuous-time stochastic volatility models with jumps using high-frequency data pp. 131-148

Viktor Todorov

A test of cross section dependence for a linear dynamic panel model with regressors pp. 149-161

Vasilis Sarafidis, Takashi Yamagata and Donald Robertson

Predictable returns and asset allocation: Should a skeptical investor time the market? pp. 162-178

Jessica A. Wachter and Missaka Warusawitharana

Thirty-five years of journal of econometrics pp. 179-185

Takeshi Amemiya

A nonparametric test for equality of distributions with mixed categorical and continuous data pp. 186-200

Qi Li, Esfandiar Maasoumi and Jeffrey Scott Racine

Volume 148, issue 1, 2009

Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses pp. 1-13

Dukpa Kim and Pierre Perron

Tests for changing mean with monotonic power pp. 14-24

Ted Juhl and Zhijie Xiao

Studying co-movements in large multivariate data prior to multivariate modelling pp. 25-35

Gianluca Cubadda, Alain Hecq and Franz C. Palm

On the distribution of estimated technical efficiency in stochastic frontier models pp. 36-45

Wei Siang Wang and Peter Schmidt

Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure pp. 46-55

Kim, Chang-Jin

Inference in a synchronization game with social interactions pp. 56-71

Áureo de Paula

The efficiency of top agents: An analysis through service strategy in tennis pp. 72-85

Franc Klaassen and Jan R. Magnus

Properties and estimation of asymmetric exponential power distribution pp. 86-99

Dongming Zhu and Victoria Zinde-Walsh

Volume 147, issue 2, 2008

Estimating demand systems and measuring consumer preferences pp. 207-209

Daniel Slottje

Consumer preferences and demand systems pp. 210-224

William Barnett and Apostolos Serletis

Chamberlin's strategy of multiple working hypotheses and a relative frequency theory of market demand pp. 225-231

R.L. Basmann

A Bayesian mixed logit-probit model for multinomial choice pp. 232-246

Martin Burda, Matthew Harding and Jerry Hausman

Demand and supply estimation biases due to omission of durability pp. 247-257

Jiawei Chen, Susanna Esteban and Matthew Shum

Nonparametric tests of collectively rational consumption behavior: An integer programming procedure pp. 258-265

Laurens Cherchye, Bram De Rock, Jeroen Sabbe and Frederic Vermeulen

Estimating demand with distance functions: Parameterization in the primal and dual pp. 266-274

Rolf Färe, Shawna Grosskopf, Kathy J. Hayes and Dimitris Margaritis

A nonparametric test of weak separability and consumer preferences pp. 275-281

Adrian R. Fleissig and Gerald A. Whitney

Estimating demand systems when outcomes are correlated counts pp. 282-298

Joseph A. Herriges, Daniel J. Phaneuf and Justin L. Tobias

Inferential methods for elasticity estimates pp. 299-315

Joseph Gerald Hirschberg, Jeanette Ngaire Lye and D.J. Slottje

Increasing the price variation in a repeated cross section pp. 316-325

Stefan Hoderlein and Sonya Mihaleva

Consumption and labor supply pp. 326-335

Dale W. Jorgenson and Daniel T. Slesnick

The structure of US food demand pp. 336-349

Jeffrey Thomas LaFrance

Estimation of collective household models with Engel curves pp. 350-358

Arthur Lewbel and Krishna Pendakur

A neural network demand system with heteroskedastic errors pp. 359-371

Michael McAleer, Marcelo C. Medeiros and Daniel Slottje

An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals pp. 372-383

Marcelo C. Medeiros, Michael McAleer, Daniel Slottje, Vicente Ramos and Rey-Maquieira, Javier

Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints pp. 384-395

Daniel L. Millimet and Rusty Tchernis

Volume 147, issue 1, 2008

Econometric modelling in finance and risk management: An overview pp. 1-4

Jiti GAO, Michael McAleer and David Edmund Allen

Correlation testing in time series, spatial and cross-sectional data pp. 5-16

P.M. Robinson

Out of sample forecasts of quadratic variation pp. 17-33

Yacine Ait-Sahalia and Loriano Mancini

Realized volatility forecasting and option pricing pp. 34-46

Federico M. Bandi, Jeffrey R. Russell and Chen Yang

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error pp. 47-59

Ilze Kalnina and Oliver Bruce Linton

Nonlinear models for strongly dependent processes with financial applications pp. 60-71

Richard T. Baillie and George Kapetanios

Econometric estimation in long-range dependent volatility models: Theory and practice pp. 72-83

Isabel Casas and Jiti GAO

Testing for a change in persistence in the presence of non-stationary volatility pp. 84-98

Giuseppe Cavaliere and Robert Taylor

A complete asymptotic series for the autocovariance function of a long memory process pp. 99-103

Offer Lieberman and Peter C. B. Phillips

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries pp. 104-119

Michael McAleer and Marcelo C. Medeiros

Nonparametric estimation of conditional VaR and expected shortfall pp. 120-130

Zongwu Cai and Xian Wang

Specification testing in discretized diffusion models: Theory and practice pp. 131-140

Jiti GAO and Isabel Casas

Fiscal policy and asset markets: A semiparametric analysis pp. 141-150

Dennis W. Jansen, Qi Li, Zijun Wang and Jian Yang

Testing for multivariate volatility functions using minimum volume sets and inverse regression pp. 151-162

Wolfgang Polonik and Qiwei Yao

Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks pp. 163-185

David Edmund Allen, Felix Chan, Michael McAleer and Shelton Peiris

High dimensional covariance matrix estimation using a factor model pp. 186-197

Jianqing Fan, Yingying Fan and Jinchi Lv

Dynamic quantile models pp. 198-205

Christian S. Gourieroux and Joann Jasiak