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Journal of Econometrics

1973 - 2017

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
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Volume 192, issue 2, 2016

Structural analysis with Multivariate Autoregressive Index models pp. 332-348 Downloads
Andrea Carriero, George Kapetanios and Massimiliano Marcellino
A multi-country approach to forecasting output growth using PMIs pp. 349-365 Downloads
Alexander Chudik, Valerie Grossman and M Pesaran
The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case pp. 366-373 Downloads
Brian D.O. Anderson, Manfred Deistler, Elisabeth Felsenstein and Lukas Koelbl
Large Bayesian VARMAs pp. 374-390 Downloads
Joshua Chan, Eric Eisenstat and Gary Koop
Dynamic prediction pools: An investigation of financial frictions and forecasting performance pp. 391-405 Downloads
Marco Del Negro, Raiden B. Hasegawa and Frank Schorfheide
Striated Metropolis–Hastings sampler for high-dimensional models pp. 406-420 Downloads
Daniel Waggoner, Hongwei Wu and Tao Zha
Joint confidence sets for structural impulse responses pp. 421-432 Downloads
Atsushi Inoue and Lutz Kilian
Robust econometric inference with mixed integrated and mildly explosive regressors pp. 433-450 Downloads
Peter Phillips and Ji Hyung Lee
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point pp. 451-467 Downloads
David Harris, Stephen J. Leybourne and Robert Taylor
Vector autoregressive moving average identification for macroeconomic modeling: A new methodology pp. 468-484 Downloads
Donald Poskitt
Gaussian mixture vector autoregression pp. 485-498 Downloads
Leena Kalliovirta, Mika Meitz and Pentti Saikkonen
TENET: Tail-Event driven NETwork risk pp. 499-513 Downloads
Wolfgang Härdle, Weining Wang and Lining Yu

Volume 192, issue 1, 2016

Exploiting the errors: A simple approach for improved volatility forecasting pp. 1-18 Downloads
Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg
Bayesian semiparametric modeling of realized covariance matrices pp. 19-39 Downloads
Xin Jin and John Maheu
Efficiency of thin and thick markets pp. 40-54 Downloads
Li Gan and Qi Li
Root-T consistent density estimation in GARCH models pp. 55-63 Downloads
Aurore Delaigle, Alexander Meister and Jeroen Rombouts
Inference on co-integration parameters in heteroskedastic vector autoregressions pp. 64-85 Downloads
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators pp. 86-104 Downloads
Seojeong Lee
Predictive quantile regression with persistent covariates: IVX-QR approach pp. 105-118 Downloads
Ji Hyung Lee
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models pp. 119-138 Downloads
Yacine Aït-Sahalia and Joon Y. Park
Model averaging based on leave-subject-out cross-validation pp. 139-151 Downloads
Yan Gao, Xinyu Zhang, Shouyang Wang and Guohua Zou
Nonstationarity in time series of state densities pp. 152-167 Downloads
Yoosoon Chang, Chang Sik Kim and Joon Y. Park
A reexamination of stock return predictability pp. 168-189 Downloads
Yongok Choi, Stefan Jacewitz and Joon Y. Park
Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem pp. 190-206 Downloads
Christian Aßmann, Jens Boysen-Hogrefe and Markus Pape
Testing for Granger causality with mixed frequency data pp. 207-230 Downloads
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
Bootstrap inference for instrumental variable models with many weak instruments pp. 231-268 Downloads
Wenjie Wang and Maximilien Kaffo
A dual approach to inference for partially identified econometric models pp. 269-290 Downloads
Hiroaki Kaido
Individual and time effects in nonlinear panel models with large N, T pp. 291-312 Downloads
Ivan Fernandez-Val and Martin Weidner
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives pp. 313-328 Downloads
Yang-Ho Park

Volume 191, issue 2, 2016

Dynamic treatment effects pp. 276-292 Downloads
James Heckman, John Humphries and Gregory Veramendi
Credible interval estimates for official statistics with survey nonresponse pp. 293-301 Downloads
Charles Manski
On independence conditions in nonseparable models: Observable and unobservable instruments pp. 302-311 Downloads
Rosa L. Matzkin
Real-time nowcasting of nominal GDP with structural breaks pp. 312-324 Downloads
William Barnett, Marcelle Chauvet and Danilo Leiva-Leon
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error pp. 325-347 Downloads
Sujin Park, Seok Young Hong and Oliver Linton
A new approach to measuring and studying the characteristics of class membership: Examining poverty, inequality and polarization in urban China pp. 348-359 Downloads
Gordon Anderson, Alessio Farcomeni, M. Grazia Pittau and Roberto Zelli
Consistent tests for poverty dominance relations pp. 360-373 Downloads
Garry Barrett, Stephen G. Donald and Yu-Chin Hsu
A solution to aggregation and an application to multidimensional ‘well-being’ frontiers pp. 374-383 Downloads
Esfandiar Maasoumi and Jeffrey Racine
Improving GDP measurement: A measurement-error perspective pp. 384-397 Downloads
S. Boragan Aruoba, Francis Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
Price discounts and the measurement of inflation pp. 398-406 Downloads
Kevin Fox and Iqbal Syed
A least squares approach to imposing within-region fixity in the International Comparisons Program pp. 407-413 Downloads
Robert Hill
Stochastic approach to computation of purchasing power parities in the International Comparison Program (ICP) pp. 414-425 Downloads
D.S. Prasada Rao and Gholamreza Hajargasht
Measuring industry productivity and cross-country convergence pp. 426-433 Downloads
Robert Inklaar and Walter Diewert

Volume 191, issue 1, 2016

Efficient estimation of approximate factor models via penalized maximum likelihood pp. 1-18 Downloads
Jushan Bai and Yuan Liao
Nonparametric errors in variables models with measurement errors on both sides of the equation pp. 19-32 Downloads
Michele De Nadai and Arthur Lewbel
Long memory affine term structure models pp. 33-56 Downloads
Adam Golinski and Paolo Zaffaroni
Testing for (in)finite moments pp. 57-68 Downloads
Lorenzo Trapani
Inference in VARs with conditional heteroskedasticity of unknown form pp. 69-85 Downloads
Ralf Brüggemann, Carsten Jentsch and Carsten Trenkler
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso pp. 86-109 Downloads
Junhui Qian and Liangjun Su
Information theory for maximum likelihood estimation of diffusion models pp. 110-128 Downloads
Hwan-sik Choi
Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness pp. 129-144 Downloads
Holger Dette, Stefan Hoderlein and Natalie Neumeyer
Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers pp. 145-163 Downloads
Szabolcs Blazsek and Alvaro Escribano
Intergenerational long-term effects of preschool-structural estimates from a discrete dynamic programming model pp. 164-175 Downloads
James Heckman and Lakshmi K. Raut
Estimation of heterogeneous panels with structural breaks pp. 176-195 Downloads
Badi Baltagi, Qu Feng and Chihwa Kao
A direct approach to inference in nonparametric and semiparametric quantile models pp. 196-216 Downloads
Yanqin Fan and Ruixuan Liu
Variation-based tests for volatility misspecification pp. 217-230 Downloads
Alex Papanicolaou and Kay Giesecke
Sieve instrumental variable quantile regression estimation of functional coefficient models pp. 231-254 Downloads
Liangjun Su and Tadao Hoshino
ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors pp. 255-271 Downloads
Marcelo Medeiros and Eduardo F. Mendes
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