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Journal of Econometrics
1973 - 2013
Edited by T. Amemiya , A. R. Gallant , J. F. Geweke , C. Hsiao and P. M. Robinson
from Elsevier
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Volume 158, issue 2 , 2010
Editorial introduction pp. 175-176 Steven N. Durlauf and Aris Spanos Testing the correlated random coefficient model pp. 177-203 James J. Heckman , Daniel Schmierer and Sergio S Urzua Akaike-type criteria and the reliability of inference: Model selection versus statistical model specification pp. 204-220 Aris Spanos The Bierens test for certain nonstationary models pp. 221-230 Ioannis Kasparis A low-dimension portmanteau test for non-linearity pp. 231-245 Jennifer L. Castle and David F. Hendry Regression models with mixed sampling frequencies pp. 246-261 Elena Andreou , Eric Ghysels and Andros Kourtellos Some identification problems in the cointegrated vector autoregressive model pp. 262-273 Soren Johansen Smoothing local-to-moderate unit root theory pp. 274-279 Peter C. B. Phillips , Tassos Magdalinos and Liudas Giraitis Bootstrapping I(1) data pp. 280-284 Peter C. B. Phillips Applications of subsampling, hybrid, and size-correction methods pp. 285-305 Donald W. K. Andrews and Patrik Guggenberger Understanding aggregate crime regressions pp. 306-317 Steven N. Durlauf , Salvador Navarro and David A. Rivers Volume 158, issue 1 , 2010
Twenty years of cointegration pp. 1-2 H. Peter Boswijk , Philip Hans Franses and Dick van Dijk Some thoughts on the development of cointegration pp. 3-6 Clive W. J. Granger Testing for co-integration in vector autoregressions with non-stationary volatility pp. 7-24 Giuseppe Cavaliere , Anders Rahbek and Robert Taylor Forecasting with equilibrium-correction models during structural breaks pp. 25-36 Jennifer L. Castle , Nicholas Fawcett and David F. Hendry Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables pp. 37-50 Iliyan Georgiev Likelihood inference for a nonstationary fractional autoregressive model pp. 51-66 Soren Johansen and Morten Ørregaard Nielsen Likelihood based testing for no fractional cointegration pp. 67-77 Katarzyna Łasak Likelihood-based inference for cointegration with nonlinear error-correction pp. 78-94 Dennis Kristensen and Anders Rahbek Modelling and measuring price discovery in commodity markets pp. 95-107 Isabel Figuerola-Ferretti and Jesus Gonzalo Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy pp. 108-116 Jan Jacobs and Kenneth Frank Wallis Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate pp. 117-129 Soren Johansen , Katarina Juselius , Roman Frydman and Michael Goldberg Speed of adjustment in cointegrated systems pp. 130-141 Luca Fanelli and Paolo Paruolo Averaging estimators for autoregressions with a near unit root pp. 142-155 Bruce E. Hansen Cointegration in a historical perspective pp. 156-159 H. Peter Boswijk , Philip Hans Franses and Dick van Dijk A spatio-temporal model of house prices in the USA pp. 160-173 Sean Holly , M Hashem Pesaran and Takashi Yamagata Volume 157, issue 2 , 2010
On the asymptotic optimality of the LIML estimator with possibly many instruments pp. 191-204 T.W. Anderson , Naoto Kunitomo and Yukitoshi Matsushita Econometric modeling of technical change pp. 205-219 Hui Jin and Dale W. Jorgenson Jumps and betas: A new framework for disentangling and estimating systematic risks pp. 220-235 Viktor Todorov and Tim Bollerslev Robust confidence sets in the presence of weak instruments pp. 236-247 Anna Mikusheva On Bahadur efficiency of empirical likelihood pp. 248-256 Taisuke Otsu Nonparametric estimation for a class of Lévy processes pp. 257-271 Song Xi Chen , Aurore Delaigle and Peter Hall Efficient estimation in dynamic conditional quantile models pp. 272-285 Ivana Komunjer and Quang Vuong Estimating fixed-effect panel stochastic frontier models by model transformation pp. 286-296 Hung-Jen Wang and Chia-Wen Ho A generalized asymmetric Student-t distribution with application to financial econometrics pp. 297-305 Dongming Zhu and John W. Galbraith Bayesian semiparametric stochastic volatility modeling pp. 306-316 Mark J. Jensen and John M. Maheu Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models pp. 317-327 Denis Bolduc , Lynda Khalaf and Clement Yelou Estimating first-price auctions with an unknown number of bidders: A misclassification approach pp. 328-341 Yonghong An , Yingyao Hu and Matthew Shum Robust methods for detecting multiple level breaks in autocorrelated time series pp. 342-358 David . Harvey , Stephen J. Leybourne and Robert Taylor The LIML estimator has finite moments! pp. 359-361 T.W. Anderson Nonparametric least squares estimation in derivative families pp. 362-374 Peter Hall and Adonis Yatchew Estimating panel data models in the presence of endogeneity and selection pp. 375-380 Anastasia Semykina and Jeffrey Marc Wooldridge Bayesian non-parametric signal extraction for Gaussian time series pp. 381-395 Christian Macaro Robust penalized quantile regression estimation for panel data pp. 396-408 Carlos Lamarche Semiparametric estimation of a simultaneous game with incomplete information pp. 409-431 Andres Aradillas-Lopez Structural measurement errors in nonseparable models pp. 432-440 Stefan G.N. Hoderlein and Joachim Klaus Winter Non-negativity conditions for the hyperbolic GARCH model pp. 441-457 Christian Conrad Testing for unobserved heterogeneity in exponential and Weibull duration models pp. 458-480 Jin Seo Cho and Halbert White Intelligible factors for the yield curve pp. 481-491 Yvan Lengwiler and Carlos Lenz Semiparametric inference in multivariate fractionally cointegrated systems pp. 492-511 Javier Hualde and P.M. Robinson Volume 157, issue 1 , 2010
Annals Journal of Econometrics: Nonlinear and Nonparametric Methods in Econometrics pp. 3-5 Songnian Chen and Qi Li Efficient estimation of the semiparametric spatial autoregressive model pp. 6-17 P.M. Robinson Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models pp. 18-33 Liangjun Su and Sainan Jin GMM estimation of spatial autoregressive models with unknown heteroskedasticity pp. 34-52 Xu Lin and Lung-Fei Lee Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances pp. 53-67 Harry H. Kelejian and Ingmar R. Prucha Indirect inference for dynamic panel models pp. 68-77 Christian S. Gourieroux , Peter C. B. Phillips and Jun Yu Common breaks in means and variances for panel data pp. 78-92 Jushan Bai An alternative root-n consistent estimator for panel data binary choice models pp. 93-100 Chunrong Ai and Li Gan A generalized nonlinear IV unit root test for panel data with cross-sectional dependence pp. 101-109 Shaoping Wang , Peng Wang , Jisheng Yang and Zinai Li The construction of empirical credit scoring rules based on maximization principles pp. 110-119 Robert Pal Lieli and Halbert White Indirect inference in structural econometric models pp. 120-128 Tong Li Estimation and model selection of semiparametric multivariate survival functions under general censorship pp. 129-142 Xiaohong Chen , Yanqin Fan , Demian Pouzo and Zhiliang Ying Semiparametric and nonparametric estimation of sample selection models under symmetry pp. 143-150 Songnian Chen and Yahong Zhou Nonparametric transfer function models pp. 151-164 Jun M. Liu , Rong Chen and Qiwei Yao A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving pp. 165-178 Joon Y. Park , Kwanho Shin and Yoon-Jae Whang Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters pp. 179-190 Dong Li and Qi Li
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