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Journal of Econometrics

1973 - 2016

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

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Volume 186, issue 2, 2015

Forecasting with factor-augmented regression: A frequentist model averaging approach pp. 280-293 Downloads
Xu Cheng and Bruce Hansen
The three-pass regression filter: A new approach to forecasting using many predictors pp. 294-316 Downloads
Bryan Kelly and Seth Pruitt
On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property pp. 317-324 Downloads
A. Chatterjee, S. Gupta and S.N. Lahiri
Oracle inequalities for high dimensional vector autoregressions pp. 325-344 Downloads
Anders Kock and Laurent Callot
Some new asymptotic theory for least squares series: Pointwise and uniform results pp. 345-366 Downloads
Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Kengo Kato
Risks of large portfolios pp. 367-387 Downloads
Jianqing Fan, Yuan Liao and Xiaofeng Shi
Asymptotic analysis of the squared estimation error in misspecified factor models pp. 388-406 Downloads
Alexei Onatski
Bootstrap inference for linear dynamic panel data models with individual fixed effects pp. 407-426 Downloads
Silvia Goncalves and Maximilien Kaffo
Regularized LIML for many instruments pp. 427-442 Downloads
Marine Carrasco and Guy Tchuente
Select the valid and relevant moments: An information-based LASSO for GMM with many moments pp. 443-464 Downloads
Xu Cheng and Zhipeng Liao
Instrumental variable estimation in functional linear models pp. 465-476 Downloads
Jean-Pierre Florens and Sébastien Van Bellegem

Volume 186, issue 1, 2015

A spatial autoregressive model with a nonlinear transformation of the dependent variable pp. 1-18 Downloads
Xingbai Xu and Lung-Fei Lee
Inference on higher-order spatial autoregressive models with increasingly many parameters pp. 19-31 Downloads
Abhimanyu Gupta and Peter M. Robinson
Regression-based analysis of cointegration systems pp. 32-50 Downloads
Javier Gomez-Biscarri and Javier Hualde
Asymptotically exact inference in conditional moment inequality models pp. 51-65 Downloads
Timothy B. Armstrong
Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake pp. 66-73 Downloads
Hiroshi Fujiki and Cheng Hsiao
What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio pp. 74-93 Downloads
Jessica A. Wachter and Missaka Warusawitharana
Empirical likelihood for regression discontinuity design pp. 94-112 Downloads
Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita
Asset-pricing anomalies at the firm level pp. 113-128 Downloads
Scott Cederburg and O’Doherty, Michael S.
Revealed preference tests for weak separability: An integer programming approach pp. 129-141 Downloads
Laurens Cherchye, Thomas Demuynck, Bram De Rock and Per Hjertstrand
Distribution theory of the least squares averaging estimator pp. 142-159 Downloads
Chu-An Liu
Nested forecast model comparisons: A new approach to testing equal accuracy pp. 160-177 Downloads
Todd Clark and Michael McCracken
A general method for third-order bias and variance corrections on a nonlinear estimator pp. 178-200 Downloads
Zhenlin Yang
Quantile regression with censoring and endogeneity pp. 201-221 Downloads
Victor Chernozhukov, Ivan Fernandez-Val and Amanda Kowalski
Specification test for panel data models with interactive fixed effects pp. 222-244 Downloads
Liangjun Su, Sainan Jin and Yonghui Zhang
The generalised autocovariance function pp. 245-257 Downloads
Tommaso Proietti and Alessandra Luati
Bad environments, good environments: A non-Gaussian asymmetric volatility model pp. 258-275 Downloads
Geert Bekaert, Eric Engstrom and Andrey Ermolov

Volume 185, issue 2, 2015

Residual-based rank specification tests for AR–GARCH type models pp. 305-331 Downloads
Elena Andreou and Bas J.M. Werker
Jackknife instrumental variable estimation with heteroskedasticity pp. 332-342 Downloads
Paul A. Bekker and Federico Crudu
Through the looking glass: Indirect inference via simple equilibria pp. 343-358 Downloads
Laurent Calvet and Veronika Czellar
Dynamic factor models with infinite-dimensional factor spaces: One-sided representations pp. 359-371 Downloads
Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni
Cross-sectional averages versus principal components pp. 372-377 Downloads
Joakim Westerlund and Jean-Pierre Urbain
Nonparametric rank tests for non-stationary panels pp. 378-391 Downloads
Peter Pedroni, Timothy Vogelsang, Martin Wagner and Joakim Westerlund
Closed-form estimation of nonparametric models with non-classical measurement errors pp. 392-408 Downloads
Yingyao Hu and Yuya Sasaki
Bayesian regression with nonparametric heteroskedasticity pp. 409-419 Downloads
Andriy Norets
Asymptotics for nonparametric and semiparametric fixed effects panel models pp. 420-434 Downloads
Cong Li and Zhongwen Liang
Efficient inference on fractionally integrated panel data models with fixed effects pp. 435-452 Downloads
Peter M. Robinson and Carlos Velasco
The effect of recursive detrending on panel unit root tests pp. 453-467 Downloads
Joakim Westerlund
Nonparametric predictive regression pp. 468-494 Downloads
Ioannis Kasparis, Elena Andreou and Peter Phillips
The power of PANIC pp. 495-509 Downloads
Joakim Westerlund
Infinite order cross-validated local polynomial regression pp. 510-525 Downloads
Peter G. Hall and Jeffrey Racine
IV estimation of panels with factor residuals pp. 526-541 Downloads
Donald Robertson and Vasilis Sarafidis

Volume 185, issue 1, 2015

Nonparametric estimation and inference on conditional quantile processes pp. 1-19 Downloads
Zhongjun Qu and Jungmo Yoon
Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion pp. 20-32 Downloads
David Kaplan
LM tests of spatial dependence based on bootstrap critical values pp. 33-59 Downloads
Zhenlin Yang
Estimation of affine term structure models with spanned or unspanned stochastic volatility pp. 60-81 Downloads
Drew Creal and Jing Cynthia Wu
Estimation of marginal effects in semiparametric selection models with binary outcomes pp. 82-94 Downloads
Roger Klein, Chan Shen and Francis Vella
Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors pp. 95-109 Downloads
Suyong Song
Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes pp. 110-123 Downloads
Sylvain Chabé-Ferret
A test for second order stationarity of a multivariate time series pp. 124-161 Downloads
Carsten Jentsch and Suhasini Subba Rao
Asymptotic theory for differentiated products demand models with many markets pp. 162-181 Downloads
Joachim Freyberger
Nonlinear regressions with nonstationary time series pp. 182-195 Downloads
Nigel Chan and Qiying Wang
Modeling and testing smooth structural changes with endogenous regressors pp. 196-215 Downloads
Bin Chen
Estimating dynamic equilibrium models with stochastic volatility pp. 216-229 Downloads
Jesus Fernandez-Villaverde, Pablo Guerrón-Quintana and Juan F. Rubio-Ramírez
QML estimation of dynamic panel data models with spatial errors pp. 230-258 Downloads
Liangjun Su and Zhenlin Yang
Specification tests for partially identified models defined by moment inequalities pp. 259-282 Downloads
Federico Bugni, Ivan A. Canay and Xiaoxia Shi
High dimensional generalized empirical likelihood for moment restrictions with dependent data pp. 283-304 Downloads
Jinyuan Chang, Song Chen and Xiaohong Chen
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