Economics at your fingertips  

Journal of Econometrics

1973 - 2015

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

from Elsevier
Series data maintained by Zhang, Lei ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 183, issue 2, 2014

Mutual excitation in Eurozone sovereign CDS pp. 151-167 Downloads
Yacine Aït-Sahalia, Roger Laeven and Loriana Pelizzon
Time-varying jump tails pp. 168-180 Downloads
Tim Bollerslev and Viktor Todorov
The VIX, the variance premium and stock market volatility pp. 181-192 Downloads
Geert Bekaert and Marie Hoerova
The nonlinear price dynamics of U.S. equity ETFs pp. 193-201 Downloads
Gunduz Caginalp, Mark DeSantis and Akin Sayrak
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods pp. 202-210 Downloads
David Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks
Minimum distance estimation of the errors-in-variables model using linear cumulant equations pp. 211-221 Downloads
Timothy Erickson, Colin Huan Jiang and Toni Whited
Does the information content of payout initiations and omissions influence firm risks? pp. 222-229 Downloads
Henk von Eije, Abhinav Goyal and Cal B. Muckley
Methods for multicountry studies of corporate governance: Evidence from the BRIKT countries pp. 230-240 Downloads
Bernard Black, Antonio Gledson de Carvalho, Vikramaditya Khanna, Woochan Kim and Burcin Yurtoglu
Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US pp. 241-250 Downloads
Alok Bhargava

Volume 183, issue 1, 2014

The Barnett critique after three decades: A New Keynesian analysis pp. 5-21 Downloads
Michael Belongia and Peter Ireland
Likelihood-based inference for regular functions with fractional polynomial approximations pp. 22-30 Downloads
John Geweke and Lea Petrella
Bayesian exploratory factor analysis pp. 31-57 Downloads
Gabriella Conti, Sylvia Frühwirth-Schnatter, James Heckman and Rémi Piatek
Decompositions of profitability change using cost functions pp. 58-66 Downloads
Walter Diewert
Examining macroeconomic models through the lens of asset pricing pp. 67-90 Downloads
Jaroslav Borovička and Lars Hansen
An evaluation of financial institutions: Impact on consumption and investment using panel data and the theory of risk-bearing pp. 91-103 Downloads
Mauro Alem and Robert M. Townsend
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks pp. 104-116 Downloads
Helmut Herwartz and Helmut Lütkepohl
Forecasting inflation using commodity price aggregates pp. 117-134 Downloads
Yu-chin Chen, Stephen J Turnovsky and Eric Zivot
Undesirable outputs and a primal Divisia productivity index based on the directional output distance function pp. 135-146 Downloads
Guohua Feng and Apostolos Serletis

Volume 182, issue 2, 2014

Semiparametric identification of binary decision games of incomplete information with correlated private signals pp. 235-246 Downloads
Yuanyuan Wan and Haiqing Xu
Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics pp. 247-268 Downloads
Mehmet Caner
Modeling multivariate extreme events using self-exciting point processes pp. 269-289 Downloads
Oliver Grothe, Volodymyr Korniichuk and Hans Manner
Instrumental variables estimation with many weak instruments using regularized JIVE pp. 290-308 Downloads
Christian Hansen and Damian Kozbur
Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations pp. 309-328 Downloads
Jie Hou and Pierre Perron
Consistent estimation with many moment inequalities pp. 329-350 Downloads
Konrad Menzel
Tests based on t-statistics for IV regression with weak instruments pp. 351-363 Downloads
Benjamin Mills, Marcelo Moreira and Lucas P. Vilela
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures pp. 364-384 Downloads
Matteo Barigozzi, Christian Brownlees, Giampiero Gallo and David Veredas
Identification robust inference in cointegrating regressions pp. 385-396 Downloads
Lynda Khalaf and Giovanni Urga
Pricing default events: Surprise, exogeneity and contagion pp. 397-411 Downloads
C. Gouriéroux, Alain Monfort and Jean-Paul Renne

Volume 182, issue 1, 2014

A two-stage procedure for partially identified models pp. 5-13 Downloads
Hiroaki Kaido and Halbert White
Testing for separability in structural equations pp. 14-26 Downloads
Xun Lu and Halbert White
Testing conditional independence via empirical likelihood pp. 27-44 Downloads
Liangjun Su and Halbert White
Causal discourse in a game of incomplete information pp. 45-58 Downloads
Halbert White, Haiqing Xu and Karim Chalak
Conditional moment models under semi-strong identification pp. 59-69 Downloads
Bertille Antoine and Pascal Lavergne
Sieve M inference on irregular parameters pp. 70-86 Downloads
Xiaohong Chen and Zhipeng Liao
Likelihood inference in some finite mixture models pp. 87-99 Downloads
Xiaohong Chen, Maria Ponomareva and Elie Tamer
Testing for structural stability of factor augmented forecasting models pp. 100-118 Downloads
Valentina Corradi and Norman Swanson
On the network topology of variance decompositions: Measuring the connectedness of financial firms pp. 119-134 Downloads
Francis Diebold and Kamil Yilmaz
Priced risk and asymmetric volatility in the cross section of skewness pp. 135-144 Downloads
Robert Engle and Abhishek Mistry
Theory-coherent forecasting pp. 145-155 Downloads
Raffaella Giacomini and Giuseppe Ragusa
Bootstrapping factor-augmented regression models pp. 156-173 Downloads
Silvia Goncalves and Benoit Perron
A predictability test for a small number of nested models pp. 174-185 Downloads
Eleonora Granziera, Kirstin Hubrich and Hyungsik Roger Moon
Unpredictability in economic analysis, econometric modeling and forecasting pp. 186-195 Downloads
David Hendry and Grayham Mizon
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting pp. 196-210 Downloads
Tae Hwy Lee, Yundong Tu and Aman Ullah
Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics pp. 211-225 Downloads
Tucker McElroy and Dimitris N. Politis
Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables pp. 226-234 Downloads
Jeffrey Wooldridge

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 M. 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
Page updated 2015-09-01