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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

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Volume 184, issue 2, 2015

Estimating a spatial autoregressive model with an endogenous spatial weight matrix pp. 209-232 Downloads
Xi Qu and Lung-Fei Lee
Gradient-based smoothing parameter selection for nonparametric regression estimation pp. 233-241 Downloads
Daniel Henderson, Qi Li, Christopher Parmeter and Shuang Yao
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints pp. 242-261 Downloads
Matthias Fengler and Lin-Yee Hin
Confidence sets for the date of a break in level and trend when the order of integration is unknown pp. 262-279 Downloads
David . Harvey and Stephen J. Leybourne
A residual-based ADF test for stationary cointegration in I(2) settings pp. 280-294 Downloads
Javier Gomez-Biscarri and Javier Hualde
On the bootstrap for Moran’s I test for spatial dependence pp. 295-314 Downloads
Fei Jin and Lung-Fei Lee
Multiplicative-error models with sample selection pp. 315-327 Downloads
Koen Jochmans
Goodness-of-fit tests based on series estimators in nonparametric instrumental regression pp. 328-346 Downloads
Christoph Breunig
Inference in semiparametric binary response models with interval data pp. 347-360 Downloads
Yuanyuan Wan and Haiqing Xu
Econometrics of co-jumps in high-frequency data with noise pp. 361-378 Downloads
Markus Bibinger and Lars Winkelmann
Frontier estimation in the presence of measurement error with unknown variance pp. 379-393 Downloads
Alois Kneip, Leopold Simar and Ingrid Van Keilegom
Tests for overidentifying restrictions in Factor-Augmented VAR models pp. 394-419 Downloads
Xu Han
The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models pp. 420-451 Downloads
Martin M. Andreasen and Bent Jesper Christensen
Model averaging estimation of generalized linear models with imputed covariates pp. 452-463 Downloads
Valentino Dardanoni, Giuseppe De Luca, Salvatore Modica and Franco Peracchi

Volume 184, issue 1, 2015

Reinforced urn processes for credit risk models pp. 1-12 Downloads
Stefano Peluso, Antonietta Mira and Pietro Muliere
A semiparametric single index model with heterogeneous impacts on an unobserved variable pp. 13-36 Downloads
Jiyon Lee
Robust score and portmanteau tests of volatility spillover pp. 37-61 Downloads
Mike Aguilar and Jonathan Hill
Multi-scale tests for serial correlation pp. 62-80 Downloads
Ramazan Gençay and Daniele Signori
Specification testing for transformation models with an application to generalized accelerated failure-time models pp. 81-96 Downloads
Arthur Lewbel, Xun Lu and Liangjun Su
Improved likelihood ratio tests for cointegration rank in the VAR model pp. 97-110 Downloads
H. Peter Boswijk, Michael Jansson and Morten Nielsen
Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data pp. 111-123 Downloads
Francesco Bartolucci, Federico Belotti and Franco Peracchi
Asymptotically distribution-free tests for the volatility function of a diffusion pp. 124-144 Downloads
Qiang Chen, Xu Zheng and Zhiyuan Pan
Inference on factor structures in heterogeneous panels pp. 145-157 Downloads
Carolina Castagnetti, Eduardo Rossi and Lorenzo Trapani
Risk-parameter estimation in volatility models pp. 158-173 Downloads
Christian Francq and Jean-Michel Zakoian
Estimation of fixed effects panel regression models with separable and nonseparable space–time filters pp. 174-192 Downloads
Lung-Fei Lee and Jihai Yu
Is there a stepping stone effect in drug use? Separating state dependence from unobserved heterogeneity within and between illicit drugs pp. 193-207 Downloads
Monica Deza

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
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