Journal of Econometrics

1973 - 2013

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

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Volume 150, issue 2, 2009

Guest editors' introduction pp. 117-118

Chung-Ming Kuan and Yongmiao Hong

Predictive density estimators for daily volatility based on the use of realized measures pp. 119-138

Valentina Corradi, Walter Distaso and Norman Rasmus Swanson

A two-stage realized volatility approach to estimation of diffusion processes with discrete data pp. 139-150

Peter C. B. Phillips and Jun Yu

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects pp. 151-166

Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen

The Wishart Autoregressive process of multivariate stochastic volatility pp. 167-181

Christian S. Gourieroux, Joann Jasiak and R. Sufana

The structure of dynamic correlations in multivariate stochastic volatility models pp. 182-192

Manabu Asai and Michael McAleer

Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models pp. 193-206

Jean-Marie Dufour and Pascale Valéry

Copula-based multivariate GARCH model with uncorrelated dependent errors pp. 207-218

Tae-Hwy Lee and Xiangdong Long

Maximum entropy autoregressive conditional heteroskedasticity model pp. 219-230

Sung Y. Park and Anil K. Bera

Extracting a common stochastic trend: Theory with some applications pp. 231-247

Yoosoon Chang, J. Isaac Miller and Joon Y. Park

Quantile cointegrating regression pp. 248-260

Zhijie Xiao

Assessing value at risk with CARE, the Conditional Autoregressive Expectile models pp. 261-270

Chung-Ming Kuan, Jin-Huei Yeh and Yu-Chin Hsu

Granger causality in risk and detection of extreme risk spillover between financial markets pp. 271-287

Yongmiao Hong, Yanhui Liu and Shouyang Wang

Estimating the structural credit risk model when equity prices are contaminated by trading noises pp. 288-296

Jin-Chuan Duan and Andras Fulop

Forecasts of US short-term interest rates: A flexible forecast combination approach pp. 297-311

Massimo Guidolin and Allan Timmermann

Discrete choice modeling with nonstationary panels applied to exchange rate regime choice pp. 312-321

Sainan Jin

The role of beliefs in inference for rational expectations models pp. 322-331

Bruce N. Lehmann

Volume 150, issue 1, 2009

Dynamics of state price densities pp. 1-15

Wolfgang Karl Härdle and Zdenek Hlávka

Edgeworth expansions and normalizing transforms for inequality measures pp. 16-29

Christian Schluter and Kees Jan van Garderen

Reliable inference for the Gini index pp. 30-40

Russell Davidson

Identification of peer effects through social networks pp. 41-55

Yann Bramoullé, Habiba Djebbari and Bernard Fortin

Two estimators of the long-run variance: Beyond short memory pp. 56-70

Karim Maher Abadir, Walter Distaso and Liudas Giraitis

Fixed effects estimation of structural parameters and marginal effects in panel probit models pp. 71-85

Ivan Fernandez-Val

Central limit theorems and uniform laws of large numbers for arrays of random fields pp. 86-98

Nazgul Jenish and Ingmar R. Prucha

On the statistical identification of DSGE models pp. 99-115

Agostino Consolo, Carlo Favero and Alessia Paccagnini

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 Lee, Sokbae (Simon)

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 Dennis Creal

Consistent noisy independent component analysis pp. 12-25

Stéphane 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

Chang-Jin Kim

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

Aureo 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