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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 189, issue 2, 2015

Frontiers in Time Series and Financial Econometrics: An overview pp. 245-250 Downloads
Shiqing Ling, Michael McAleer and Howell Tong
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance pp. 251-262 Downloads
Manabu Asai and Michael McAleer
Prediction of Lévy-driven CARMA processes pp. 263-271 Downloads
Peter J. Brockwell and Alexander Lindner
Functional index coefficient models with variable selection pp. 272-284 Downloads
Zongwu Cai, Ted Juhl and Bingduo Yang
LASSO estimation of threshold autoregressive models pp. 285-296 Downloads
Ngai Hang Chan, Chun Yip Yau and Rong-Mao Zhang
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity pp. 297-312 Downloads
Jinyuan Chang, Bin Guo and Qiwei Yao
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations pp. 313-320 Downloads
Min Chen and Ke Zhu
Toward optimal model averaging in regression models with time series errors pp. 321-334 Downloads
Tzu-Chang F. Cheng, Ching-Kang Ing and Shu-Hui Yu
High dimensional dynamic stochastic copula models pp. 335-345 Downloads
Drew Creal and Ruey S. Tsay
A misspecification test for multiplicative error models of non-negative time series processes pp. 346-359 Downloads
Jiti Gao, Nam Hyun Kim and Patrick W. Saart
Sample quantile analysis for long-memory stochastic volatility models pp. 360-370 Downloads
Hwai-Chung Ho
Testing for independence between functional time series pp. 371-382 Downloads
Lajos Horvath and Gregory Rice
Statistical inference for panel dynamic simultaneous equations models pp. 383-396 Downloads
Cheng Hsiao and Qiankun Zhou
Specification tests of calibrated option pricing models pp. 397-414 Downloads
Robert Jarrow and Simon Sai Man Kwok
Asymptotic inference in multiple-threshold double autoregressive models pp. 415-427 Downloads
Dong Li, Shiqing Ling and Jean-Michel Zakoian
A new hyperbolic GARCH model pp. 428-436 Downloads
Muyi Li, Wai Keung Li and Guodong Li
Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach pp. 437-446 Downloads
Shouwei Liu and Yiu-Kuen Tse
Refinements in maximum likelihood inference on spatial autocorrelation in panel data pp. 447-456 Downloads
Peter M. Robinson and Francesca Rossi
Statistical inference for conditional quantiles in nonlinear time series models pp. 457-472 Downloads
Mike K.P. So and Ray S.W. Chung
Quasi-likelihood estimation of a threshold diffusion process pp. 473-484 Downloads
Fei Su and Kung-Sik Chan
Threshold models in time series analysis—Some reflections pp. 485-491 Downloads
Howell Tong
Generalized ARMA models with martingale difference errors pp. 492-506 Downloads
Tingguo Zheng, Han Xiao and Rong Chen

Volume 189, issue 1, 2015

Robust inference on average treatment effects with possibly more covariates than observations pp. 1-23 Downloads
Max H. Farrell
Binary quantile regression with local polynomial smoothing pp. 24-40 Downloads
Songnian Chen and Hanghui Zhang
Identification and shape restrictions in nonparametric instrumental variables estimation pp. 41-53 Downloads
Joachim Freyberger and Joel L. Horowitz
A Bayesian chi-squared test for hypothesis testing pp. 54-69 Downloads
Yong Li, Xiao-Bin Liu and Jun Yu
Identification of mixture models using support variations pp. 70-82 Downloads
D’Haultfœuille, Xavier and Philippe Février
Adaptive estimation of the threshold point in threshold regression pp. 83-100 Downloads
Ping Yu
Unexplained factors and their effects on second pass R-squared’s pp. 101-116 Downloads
Frank Kleibergen and Zhaoguo Zhan
Identification of complete information games pp. 117-131 Downloads
Brendan Kline
Regression discontinuity designs with unknown discontinuity points: Testing and estimation pp. 132-147 Downloads
Jack Porter and Ping Yu
Smooth coefficient estimation of a seemingly unrelated regression pp. 148-162 Downloads
Daniel Henderson, Subal C. Kumbhakar, Qi Li and Christopher Parmeter
Sieve semiparametric two-step GMM under weak dependence pp. 163-186 Downloads
Xiaohong Chen and Zhipeng Liao
Testing for factor loading structural change under common breaks pp. 187-206 Downloads
Yohei Yamamoto and Shinya Tanaka
Robust inference in nonlinear models with mixed identification strength pp. 207-228 Downloads
Xu Cheng
Identification and estimation of games with incomplete information using excluded regressors pp. 229-244 Downloads
Arthur Lewbel and Xun Tang

Volume 188, issue 2, 2015

Estimation of panel data partly specified Tobit regression with fixed effects pp. 316-326 Downloads
Chunrong Ai, Hongjun Li, Zhongjian Lin and Meixia Meng
A semiparametric model for heterogeneous panel data with fixed effects pp. 327-345 Downloads
Lena Boneva, Oliver Linton and Michael Vogt
Panel nonparametric regression with fixed effects pp. 346-362 Downloads
Jungyoon Lee and Peter M. Robinson
Set identification of the censored quantile regression model for short panels with fixed effects pp. 363-377 Downloads
Tong Li and Tatsushi Oka
Nonparametric identification in panels using quantiles pp. 378-392 Downloads
Victor Chernozhukov, Ivan Fernandez-Val, Stefan Hoderlein, Hajo Holzmann and Whitney Newey
Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors pp. 393-420 Downloads
Alexander Chudik and M. Hashem Pesaran
Binary response correlated random coefficient panel data models pp. 421-434 Downloads
Yichen Gao, Cong Li and Zhongwen Liang
Estimation of dynamic discrete models from time aggregated data pp. 435-446 Downloads
Han Hong, Weiming Li and Boyu Wang
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions pp. 447-465 Downloads
Xiaohong Chen and Timothy M. Christensen
Testing error serial correlation in fixed effects nonparametric panel data models pp. 466-473 Downloads
Carl Green, Wei Long and Cheng Hsiao
Model selection in the presence of incidental parameters pp. 474-489 Downloads
Yoonseok Lee and Peter Phillips
A data-driven smooth test of symmetry pp. 490-501 Downloads
Ying Fang, Qi Li, Ximing Wu and Daiqiang Zhang
Optimal smoothing in nonparametric conditional quantile derivative function estimation pp. 502-513 Downloads
Wei Lin, Zongwu Cai, Zheng Li and Li Su
Subjective mortality risk and bequests pp. 514-525 Downloads
Li Gan, Guan Gong, Michael Hurd and Daniel McFadden
Nonparametric estimation of structural labor supply and exact welfare change under nonconvex piecewise-linear budget sets pp. 526-544 Downloads
Li Gan, Gaosheng Ju and Xi Zhu
The treatment-effect estimation: A case study of the 2008 economic stimulus package of China pp. 545-557 Downloads
Min Ouyang and Yulei Peng
Home-purchase restriction, property tax and housing price in China: A counterfactual analysis pp. 558-568 Downloads
Zaichao Du and Lin Zhang

Volume 188, issue 1, 2015

Large sample properties of the matrix exponential spatial specification with an application to FDI pp. 1-21 Downloads
Nicolas Debarsy, Fei Jin and Lung-Fei Lee
Nonparametric identification and estimation of transformation models pp. 22-39 Downloads
Pierre-André Chiappori, Ivana Komunjer and Dennis Kristensen
Jackknife model averaging for quantile regressions pp. 40-58 Downloads
Xun Lu and Liangjun Su
New tools for understanding the local asymptotic power of panel unit root tests pp. 59-93 Downloads
Joakim Westerlund and Rolf Larsson
Higher-order improvements of the sieve bootstrap for fractionally integrated processes pp. 94-110 Downloads
Donald Poskitt, Simone D. Grose and Gael M. Martin
Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity pp. 111-134 Downloads
Kazuhiko Hayakawa and M. Hashem Pesaran
Identification and estimation in a correlated random coefficients binary response model pp. 135-149 Downloads
Stefan Hoderlein and Robert Sherman
Generalised density forecast combinations pp. 150-165 Downloads
G. Kapetanios, James Mitchell, Simon Price and Nicholas Fawcett
Structural-break models under mis-specification: Implications for forecasting pp. 166-181 Downloads
Bonsoo Koo and Myung Hwan Seo
Two-step estimation of network-formation models with incomplete information pp. 182-195 Downloads
Michael Leung
Specification and structural break tests for additive models with applications to realized variance data pp. 196-218 Downloads
Matthias Fengler, E. Mammen and M. Vogt
Estimation of heterogeneous autoregressive parameters with short panel data pp. 219-235 Downloads
Sophocles Mavroeidis, Yuya Sasaki and Ivo Welch
Heterogeneity and selection in dynamic panel data pp. 236-249 Downloads
Yuya Sasaki
Extremum estimation and numerical derivatives pp. 250-263 Downloads
Han Hong, Aprajit Mahajan and Denis Nekipelov
Maximum likelihood estimation of a spatial autoregressive Tobit model pp. 264-280 Downloads
Xingbai Xu and Lung-Fei Lee
Quantile cointegration in the autoregressive distributed-lag modeling framework pp. 281-300 Downloads
Jin Seo Cho, Tae-Hwan Kim and Yongcheol Shin
Semiparametric single-index panel data models with cross-sectional dependence pp. 301-312 Downloads
Chaohua Dong, Jiti Gao and Bin Peng
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