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Journal of Econometrics

1973 - 2015

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

from Elsevier
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Volume 181, issue 2, 2014

Consistent estimation of the fixed effects stochastic frontier model pp. 65-76 Downloads
Yi-Yi Chen, Peter Schmidt and Hung-Jen Wang
A flexible parametric approach for estimating switching regime models and treatment effect parameters pp. 77-91 Downloads
Heng Chen, Yanqin Fan and Jisong Wu
Weighted KS statistics for inference on conditional moment inequalities pp. 92-116 Downloads
Timothy B. Armstrong
Estimating spot volatility with high-frequency financial data pp. 117-135 Downloads
Yang Zu and H. Peter Boswijk
Misreported schooling, multiple measures and returns to educational qualifications pp. 136-150 Downloads
Erich Battistin, Michele De Nadai and Barbara Sianesi
Non parametric analysis of panel data models with endogenous variables pp. 151-164 Downloads
Frédérique Fève and Jean-Pierre Florens
Design-free estimation of variance matrices pp. 165-180 Downloads
Karim Abadir, Walter Distaso and Filip Žikeš
Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix pp. 181-193 Downloads
Wei-Ming Lee, Chung-Ming Kuan and Yu-Chin Hsu

Volume 181, issue 1, 2014

Exact confidence sets and goodness-of-fit methods for stable distributions pp. 3-14 Downloads
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
On the properties of the coefficient of determination in regression models with infinite variance variables pp. 15-24 Downloads
Jeong-Ryeol Kurz-Kim and Mico Loretan
On the robustness of location estimators in models of firm growth under heavy-tailedness pp. 25-33 Downloads
Rustam Ibragimov
The asymptotic codifference and covariation of log-fractional stable noise pp. 34-43 Downloads
Joshua B. Levy and Murad S. Taqqu
Extreme-quantile tracking for financial time series pp. 44-52 Downloads
V. Chavez-Demoulin, P. Embrechts and S. Sardy
Exponential stock models driven by tempered stable processes pp. 53-63 Downloads
Uwe Küchler and Stefan Tappe

Volume 180, issue 2, 2014

Nonparametric tests for tail monotonicity pp. 117-126 Downloads
Betina Berghaus and Axel Bücher
Generalized dynamic panel data models with random effects for cross-section and time pp. 127-140 Downloads
Geert Mesters and Siem Jan Koopman
Pre and post break parameter inference pp. 141-157 Downloads
Graham Elliott and Ulrich K. Müller
Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter pp. 158-173 Downloads
Joel L. Horowitz
Efficient GMM estimation of spatial dynamic panel data models with fixed effects pp. 174-197 Downloads
Lung-fei Lee and Jihai Yu
Inference of bidders’ risk attitudes in ascending auctions with endogenous entry pp. 198-216 Downloads
Hanming Fang and Xun Tang
A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data pp. 217-232 Downloads
Cheng Liu and Cheng Yong Tang
The dynamic mixed hitting-time model for multiple transaction prices and times pp. 233-250 Downloads
Eric Renault, Thijs van der Heijden and Bas J.M. Werker
Nonparametric estimation and inference for conditional density based Granger causality measures pp. 251-264 Downloads
Abderrahim Taamouti, Taoufik Bouezmarni and Anouar El Ghouch

Volume 180, issue 1, 2014

Property taxes and home prices: A tale of two cities pp. 1-15 Downloads
Chong-En Bai, Qi Li and Min Ouyang
A score-test on measurement errors in rating transition times pp. 16-29 Downloads
Sebastian Voß and Rafael Weißbach
Detecting big structural breaks in large factor models pp. 30-48 Downloads
Liang Chen, Juan Dolado and Jesus Gonzalo
Beta-product dependent Pitman–Yor processes for Bayesian inference pp. 49-72 Downloads
Federico Bassetti, Roberto Casarin and Fabrizio Leisen
Maximum likelihood estimation of partially observed diffusion models pp. 73-80 Downloads
Tore Kleppe, Jun Yu and Hans J. Skaug
Variance trading and market price of variance risk pp. 81-97 Downloads
Oleg Bondarenko
Adaptive dynamic Nelson–Siegel term structure model with applications pp. 98-115 Downloads
Ying Chen and Linlin Niu

Volume 179, issue 2, 2014

Bayesian inference for nonlinear structural time series models pp. 99-111 Downloads
Jamie Hall, Michael K. Pitt and Robert Kohn
Bounding quantile demand functions using revealed preference inequalities pp. 112-127 Downloads
Richard Blundell, Dennis Kristensen and Rosa Matzkin
A fast resample method for parametric and semiparametric models pp. 128-133 Downloads
Timothy B. Armstrong, Marinho Bertanha and Han Hong
A nonlinear panel data model of cross-sectional dependence pp. 134-157 Downloads
George Kapetanios, James Mitchell and Yongcheol Shin
Hermite polynomial based expansion of European option prices pp. 158-177 Downloads
Dacheng Xiu

Volume 179, issue 1, 2014

On implied volatility for options—Some reasons to smile and more to correct pp. 1-15 Downloads
Song Chen and Zheng Xu
Multivariate rotated ARCH models pp. 16-30 Downloads
Diaa Noureldin, Neil Shephard and Kevin Sheppard
Nonparametric inference based on conditional moment inequalities pp. 31-45 Downloads
Donald Andrews and Xiaoxia Shi
Inference on stochastic time-varying coefficient models pp. 46-65 Downloads
L. Giraitis, G. Kapetanios and Anthony Yates
Testing stationarity of functional time series pp. 66-82 Downloads
Lajos Horvath, Piotr Kokoszka and Gregory Rice
Improving the performance of random coefficients demand models: The role of optimal instruments pp. 83-98 Downloads
Mathias Reynaert and Frank Verboven

Volume 178, issue P3, 2014

Estimation and inference for distribution functions and quantile functions in treatment effect models pp. 383-397 Downloads
Stephen G. Donald and Yu-Chin Hsu
Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators pp. 398-413 Downloads
Seojeong Lee
Model equivalence tests in a parametric framework pp. 414-425 Downloads
Pascal Lavergne
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing pp. 426-443 Downloads
Juan Carlos Escanciano, David Jacho-Chávez and Arthur Lewbel
Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression pp. 444-455 Downloads
Fabian Dunker, Jean-Pierre Florens, Thorsten Hohage, Jan Johannes and Enno Mammen
Frontier estimation in nonparametric location-scale models pp. 456-470 Downloads
Jean-Pierre Florens, Leopold Simar and Ingrid Van Keilegom
Semiparametric models with single-index nuisance parameters pp. 471-483 Downloads
Kyungchul Song
Testing for heteroskedasticity in fixed effects models pp. 484-494 Downloads
Ted Juhl and Walter Sosa-Escudero
Specification analysis of linear quantile models pp. 495-507 Downloads
Juan Carlos Escanciano and Chuan Goh
Marginal likelihood for Markov-switching and change-point GARCH models pp. 508-522 Downloads
Luc Bauwens, Arnaud Dufays and Jeroen V.K. Rombouts
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture pp. 523-538 Downloads
Mark Jensen and John Maheu
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data pp. 539-557 Downloads
Hwan-sik Choi, Minsoo Jeong and Joon Y. Park
Geometric and long run aspects of Granger causality pp. 558-568 Downloads
Majid Al-Sadoon
Moment-based tests for individual and time effects in panel data models pp. 569-581 Downloads
Jianhong Wu and Guodong Li
Longevity, life-cycle behavior and pension reform pp. 582-601 Downloads
Peter Haan and Victoria Prowse
A new approach to Bayesian hypothesis testing pp. 602-612 Downloads
Yong Li, Tao Zeng and Jun Yu
On empirical likelihood statistical functions pp. 613-623 Downloads
Ao Yuan, Jinfeng Xu and Gang Zheng
Bayesian regression with heteroscedastic error density and parametric mean function pp. 624-638 Downloads
Justinas Pelenis
Sieve inference on possibly misspecified semi-nonparametric time series models pp. 639-658 Downloads
Xiaohong Chen, Zhipeng Liao and Yixiao Sun
Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference pp. 659-677 Downloads
Yixiao Sun
Testing multiple inequality hypotheses: A smoothed indicator approach pp. 678-693 Downloads
Le-Yu Chen and Jerzy Szroeter
The delta expansion for the transition density of diffusion models pp. 694-705 Downloads
Yoon Dong Lee, Seongjoo Song and Eun-Kyung Lee

Volume 178, issue P2, 2014

Optimal estimation of cointegrated systems with irrelevant instruments pp. 210-224 Downloads
Peter Phillips
The estimation of misspecified long memory models pp. 225-230 Downloads
Peter M. Robinson
Testable implications of affine term structure models pp. 231-242 Downloads
James D. Hamilton and Jing Cynthia Wu
Testing for seasonal unit roots by frequency domain regression pp. 243-258 Downloads
Marcus Chambers, Joanne S. Ercolani and Robert Taylor
Testing for unit roots in bounded time series pp. 259-272 Downloads
Giuseppe Cavaliere and Fang Xu
Aggregation in large dynamic panels pp. 273-285 Downloads
M Pesaran and Alexander Chudik
Model selection in under-specified equations facing breaks pp. 286-293 Downloads
Jennifer Castle and David Hendry
Is there an optimal forecast combination? pp. 294-309 Downloads
Cheng Hsiao and Shui Ki Wan
An asymptotic invariance property of the common trends under linear transformations of the data pp. 310-315 Downloads
Soren Johansen and Katarina Juselius
Granger causality, exogeneity, cointegration, and economic policy analysis pp. 316-330 Downloads
Halbert White and Davide Pettenuzzo
Summability of stochastic processes—A generalization of integration for non-linear processes pp. 331-341 Downloads
Vanessa Berenguer-Rico and Jesus Gonzalo
The aggregation of dynamic relationships caused by incomplete information pp. 342-351 Downloads
Michael Thornton
Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence pp. 352-367 Downloads
Hyun Hak Kim and Norman Swanson
Estimating turning points using large data sets pp. 368-381 Downloads
James H. Stock and Mark Watson

Volume 178, issue P1, 2014

Testing predictive regression models with nonstationary regressors pp. 4-14 Downloads
Zongwu Cai and Yunfei Wang
Testing overidentifying restrictions with many instruments and heteroskedasticity pp. 15-21 Downloads
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman Swanson and Tiemen Woutersen
A unified approach to validating univariate and multivariate conditional distribution models in time series pp. 22-44 Downloads
Bin Chen and Yongmiao Hong
Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV pp. 45-56 Downloads
Yanqin Fan and Sang Soo Park
Testing cointegration relationship in a semiparametric varying coefficient model pp. 57-70 Downloads
Jingping Gu and Zhongwen Liang
Constructing smooth tests without estimating the eigenpairs of the limiting process pp. 71-79 Downloads
Shih-Hsun Hsu and Chung-Ming Kuan
Model specification test with correlated but not cointegrated variables pp. 80-85 Downloads
Li Gan, Cheng Hsiao and Shu Xu
Neglected heterogeneity in moment condition models pp. 86-100 Downloads
Jinyong Hahn, Whitney K. Newey and Richard Smith
Estimating and testing a quantile regression model with interactive effects pp. 101-113 Downloads
Matthew Harding and Carlos Lamarche
Estimating a semi-parametric duration model without specifying heterogeneity pp. 114-131 Downloads
Jerry A. Hausman and Tiemen Woutersen
An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification pp. 132-145 Downloads
Jae-Young Kim
Testing a linear dynamic panel data model against nonlinear alternatives pp. 146-166 Downloads
Yoon-Jin Lee
A consistent nonparametric test of parametric regression functional form in fixed effects panel data models pp. 167-179 Downloads
Zhongjian Lin, Qi Li and Yiguo Sun
Volatility activity: Specification and estimation pp. 180-193 Downloads
Viktor Todorov, George Tauchen and Iaryna Grynkiv
Robustness checks and robustness tests in applied economics pp. 194-206 Downloads
Xun Lu and Halbert White

Volume 178, issue 2, 2014

Treatment effect estimation with covariate measurement error pp. 707-715 Downloads
Erich Battistin and Andrew Chesher
Estimation of finite sequential games pp. 716-726 Downloads
Shiko Maruyama
A Γ-moment approach to monotonic boundary estimation pp. 727-740 Downloads
Abdelaati Daouia, Stéphane Girard and Armelle Guillou
Integrated modified OLS estimation and fixed-b inference for cointegrating regressions pp. 741-760 Downloads
Timothy J. Vogelsang and Martin Wagner
Estimation of long-run parameters in unbalanced cointegration pp. 761-778 Downloads
Javier Hualde
Time-varying sparsity in dynamic regression models pp. 779-793 Downloads
Maria Kalli and Jim Griffin
Identification theory for high dimensional static and dynamic factor models pp. 794-804 Downloads
Jushan Bai and Peng Wang
Dynamic binary outcome models with maximal heterogeneity pp. 805-823 Downloads
Martin Browning and Jesus Carro
Page updated 2015-05-28