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Journal of Econometrics

1973 - 2012

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

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Volume 159, issue 2, 2010

Characterization of the asymptotic distribution of semiparametric M-estimators pp. 252-266 Downloads
Hidehiko Ichimura and Lee, Sokbae (Simon)
Semiparametric bounds on treatment effects pp. 267-275 Downloads
Richard C. Chiburis
Threshold bipower variation and the impact of jumps on volatility forecasting pp. 276-288 Downloads
Fulvio Corsi, Davide Pirino and Roberto Renò
Dominating estimators for minimum-variance portfolios pp. 289-302 Downloads
Gabriel Frahm and Christoph Memmel
An efficient GMM estimator of spatial autoregressive models pp. 303-319 Downloads
Xiaodong Liu, Lung-Fei Lee and Christopher R. Bollinger
A primal Divisia technical change index based on the output distance function pp. 320-330 Downloads
Guohua Feng and Apostolos Serletis

Volume 159, issue 1, 2010

The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study pp. 1-13 Downloads
Cheti Nicoletti and Concetta Rondinelli
Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors pp. 14-32 Downloads
Szabolcs Blazsek and Alvaro Escribano
A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model pp. 33-45 Downloads
Arnold Zellner and Tomohiro Ando
A consistent nonparametric test of affiliation in auction models pp. 46-54 Downloads
Sung Jae Jun, Joris Pinkse and Yuanyuan Wan
Efficient estimation of a multivariate multiplicative volatility model pp. 55-73 Downloads
Christian Matthias Hafner and Oliver Bruce Linton
Realised quantile-based estimation of the integrated variance pp. 74-98 Downloads
Kim Christensen, Roel Oomen and Mark Podolskij
GMM estimation of social interaction models with centrality pp. 99-115 Downloads
Xiaodong Liu and Lung-Fei Lee
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data pp. 116-133 Downloads
Kim Christensen, Silja Kinnebrock and Mark Podolskij
A flexible approach to parametric inference in nonlinear and time varying time series models pp. 134-150 Downloads
Gary Koop and Simon Potter
Inconsistency of the MLE and inference based on weighted LS for LARCH models pp. 151-165 Downloads
Christian Francq and Jean-Michel Zakoian
No-arbitrage macroeconomic determinants of the yield curve pp. 166-182 Downloads
Ruslan Bikbov and Mikhail Chernov
Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance pp. 183-201 Downloads
Yong Zhou, Alan T.K. Wan, Shangyu Xie and Xiaojing Wang
The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results pp. 202-208 Downloads
Kazuhiko Hayakawa
Specification tests of parametric dynamic conditional quantiles pp. 209-221 Downloads
Juan Carlos Escanciano and Carlos Velasco
Root-N-consistent estimation of fixed-effect panel data transformation models with censoring pp. 222-234 Downloads
Songnian Chen
Quasi-maximum likelihood estimation of volatility with high frequency data pp. 235-250 Downloads
Dacheng Xiu

Volume 158, issue 2, 2010

Editorial introduction pp. 175-176 Downloads
Steven N. Durlauf and Aris Spanos
Testing the correlated random coefficient model pp. 177-203 Downloads
James J. Heckman, Daniel Schmierer and Sergio Urzua
Akaike-type criteria and the reliability of inference: Model selection versus statistical model specification pp. 204-220 Downloads
Aris Spanos
The Bierens test for certain nonstationary models pp. 221-230 Downloads
Ioannis Kasparis
A low-dimension portmanteau test for non-linearity pp. 231-245 Downloads
Jennifer L. Castle and David F. Hendry
Regression models with mixed sampling frequencies pp. 246-261 Downloads
Elena Andreou, Eric Ghysels and Andros Kourtellos
Some identification problems in the cointegrated vector autoregressive model pp. 262-273 Downloads
Soren Johansen
Smoothing local-to-moderate unit root theory pp. 274-279 Downloads
Peter C. B. Phillips, Tassos Magdalinos and Liudas Giraitis
Bootstrapping I(1) data pp. 280-284 Downloads
Peter C. B. Phillips
Applications of subsampling, hybrid, and size-correction methods pp. 285-305 Downloads
Donald W. K. Andrews and Patrik Guggenberger
Understanding aggregate crime regressions pp. 306-317 Downloads
Steven N. Durlauf, Salvador Navarro and David A. Rivers

Volume 158, issue 1, 2010

Twenty years of cointegration pp. 1-2 Downloads
H. Peter Boswijk, Philip Hans Franses and Dick van Dijk
Some thoughts on the development of cointegration pp. 3-6 Downloads
Clive W. J. Granger
Testing for co-integration in vector autoregressions with non-stationary volatility pp. 7-24 Downloads
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
Forecasting with equilibrium-correction models during structural breaks pp. 25-36 Downloads
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 Downloads
Iliyan Georgiev
Likelihood inference for a nonstationary fractional autoregressive model pp. 51-66 Downloads
Soren Johansen and Morten Ørregaard Nielsen
Likelihood based testing for no fractional cointegration pp. 67-77 Downloads
Katarzyna Łasak
Likelihood-based inference for cointegration with nonlinear error-correction pp. 78-94 Downloads
Dennis Kristensen and Anders Rahbek
Modelling and measuring price discovery in commodity markets pp. 95-107 Downloads
Isabel Figuerola-Ferretti and Jesus Gonzalo
Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy pp. 108-116 Downloads
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 Downloads
Soren Johansen, Katarina Juselius, Roman Frydman and Michael Goldberg
Speed of adjustment in cointegrated systems pp. 130-141 Downloads
Luca Fanelli and Paolo Paruolo
Averaging estimators for autoregressions with a near unit root pp. 142-155 Downloads
Bruce E. Hansen
Cointegration in a historical perspective pp. 156-159 Downloads
H. Peter Boswijk, Philip Hans Franses and Dick van Dijk
A spatio-temporal model of house prices in the USA pp. 160-173 Downloads
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 Downloads
T.W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita
Econometric modeling of technical change pp. 205-219 Downloads
Hui Jin and Dale W. Jorgenson
Jumps and betas: A new framework for disentangling and estimating systematic risks pp. 220-235 Downloads
Viktor Todorov and Tim Bollerslev
Robust confidence sets in the presence of weak instruments pp. 236-247 Downloads
Anna Mikusheva
On Bahadur efficiency of empirical likelihood pp. 248-256 Downloads
Taisuke Otsu
Nonparametric estimation for a class of Lévy processes pp. 257-271 Downloads
Song X. Chen, Aurore Delaigle and Peter Hall
Efficient estimation in dynamic conditional quantile models pp. 272-285 Downloads
Ivana Komunjer and Quang Vuong
Estimating fixed-effect panel stochastic frontier models by model transformation pp. 286-296 Downloads
Hung-Jen Wang and Chia-Wen Ho
A generalized asymmetric Student-t distribution with application to financial econometrics pp. 297-305 Downloads
Dongming Zhu and John W. Galbraith
Bayesian semiparametric stochastic volatility modeling pp. 306-316 Downloads
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 Downloads
Denis Bolduc, Lynda Khalaf and Clement Yelou
Estimating first-price auctions with an unknown number of bidders: A misclassification approach pp. 328-341 Downloads
Yonghong An, Yingyao Hu and Matthew Shum
Robust methods for detecting multiple level breaks in autocorrelated time series pp. 342-358 Downloads
David . Harvey, Stephen J. Leybourne and Robert Taylor
The LIML estimator has finite moments! pp. 359-361 Downloads
T.W. Anderson
Nonparametric least squares estimation in derivative families pp. 362-374 Downloads
Peter Hall and Adonis Yatchew
Estimating panel data models in the presence of endogeneity and selection pp. 375-380 Downloads
Anastasia Semykina and Jeffrey Marc Wooldridge
Bayesian non-parametric signal extraction for Gaussian time series pp. 381-395 Downloads
Christian Macaro
Robust penalized quantile regression estimation for panel data pp. 396-408 Downloads
Carlos Lamarche
Semiparametric estimation of a simultaneous game with incomplete information pp. 409-431 Downloads
Andres Aradillas-Lopez
Structural measurement errors in nonseparable models pp. 432-440 Downloads
Stefan G.N. Hoderlein and Joachim Klaus Winter
Non-negativity conditions for the hyperbolic GARCH model pp. 441-457 Downloads
Christian Conrad
Testing for unobserved heterogeneity in exponential and Weibull duration models pp. 458-480 Downloads
Jin Seo Cho and Halbert White
Intelligible factors for the yield curve pp. 481-491 Downloads
Yvan Lengwiler and Carlos Lenz
Semiparametric inference in multivariate fractionally cointegrated systems pp. 492-511 Downloads
Javier Hualde and P.M. Robinson

Volume 157, issue 1, 2010

Annals Journal of Econometrics: Nonlinear and Nonparametric Methods in Econometrics pp. 3-5 Downloads
Songnian Chen and Qi Li
Efficient estimation of the semiparametric spatial autoregressive model pp. 6-17 Downloads
P.M. Robinson
Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models pp. 18-33 Downloads
Liangjun Su and Sainan Jin
GMM estimation of spatial autoregressive models with unknown heteroskedasticity pp. 34-52 Downloads
Xu Lin and Lung-Fei Lee
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances pp. 53-67 Downloads
Harry H. Kelejian and Ingmar R. Prucha
Indirect inference for dynamic panel models pp. 68-77 Downloads
Christian S. Gourieroux, Peter C. B. Phillips and Jun Yu
Common breaks in means and variances for panel data pp. 78-92 Downloads
Jushan Bai
An alternative root-n consistent estimator for panel data binary choice models pp. 93-100 Downloads
Chunrong Ai and Li Gan
A generalized nonlinear IV unit root test for panel data with cross-sectional dependence pp. 101-109 Downloads
Shaoping Wang, Peng Wang, Jisheng Yang and Zinai Li
The construction of empirical credit scoring rules based on maximization principles pp. 110-119 Downloads
Robert P. Lieli and Halbert White
Indirect inference in structural econometric models pp. 120-128 Downloads
Tong Li
Estimation and model selection of semiparametric multivariate survival functions under general censorship pp. 129-142 Downloads
Xiaohong Chen, Yanqin Fan, Demian Pouzo and Zhiliang Ying
Semiparametric and nonparametric estimation of sample selection models under symmetry pp. 143-150 Downloads
Songnian Chen and Yahong Zhou
Nonparametric transfer function models pp. 151-164 Downloads
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 Downloads
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 Downloads
Dong Li and Qi Li
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