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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

From Elsevier
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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 P. 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

Volume 187, issue 2, 2015

Econometric analysis of financial derivatives: An overview pp. 403-407 Downloads
Chia-Lin Chang and Michael McAleer
Pricing with finite dimensional dependence pp. 408-417 Downloads
C. Gourieroux and Alain Monfort
Market-based estimation of stochastic volatility models pp. 418-435 Downloads
Yacine Aït-Sahalia, Dante Amengual and Elena Manresa
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing pp. 436-446 Downloads
Manabu Asai and Michael McAleer
Model-based pricing for financial derivatives pp. 447-457 Downloads
Ke Zhu and Shiqing Ling
Stock return and cash flow predictability: The role of volatility risk pp. 458-471 Downloads
Tim Bollerslev, Lai Xu and Hao Zhou
A stochastic dominance approach to financial risk management strategies pp. 472-485 Downloads
Chia-Lin Chang, Juan Jimenez-Martin, Esfandiar Maasoumi and Teodosio Pérez-Amaral
Option pricing with non-Gaussian scaling and infinite-state switching volatility pp. 486-497 Downloads
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella and Marco Zamparo
What is beneath the surface? Option pricing with multifrequency latent states pp. 498-511 Downloads
Laurent Calvet, Marcus Fearnley, Adlai J. Fisher and Markus Leippold
Quanto option pricing in the presence of fat tails and asymmetric dependence pp. 512-520 Downloads
Young Shin Kim, Jaesung Lee, Stefan Mittnik and Jiho Park
Smile from the past: A general option pricing framework with multiple volatility and leverage components pp. 521-531 Downloads
Adam A. Majewski, Giacomo Bormetti and Fulvio Corsi
The fine structure of equity-index option dynamics pp. 532-546 Downloads
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen
A non-linear dynamic model of the variance risk premium pp. 547-556 Downloads
Bjørn Eraker and Jiakou Wang
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets pp. 557-579 Downloads
Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
The long and the short of the risk-return trade-off pp. 580-592 Downloads
Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap
COMFORT: A common market factor non-Gaussian returns model pp. 593-605 Downloads
Marc S. Paolella and Paweł Polak
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction pp. 606-621 Downloads
Diep Duong and Norman Swanson
Divided governments and futures prices pp. 622-633 Downloads
Elvira Sojli and Wing Wah Tham

Volume 187, issue 1, 2015

Model selection tests for moment inequality models pp. 1-17 Downloads
Xiaoxia Shi
Learning, confidence, and option prices pp. 18-42 Downloads
Ivan Shaliastovich
A Quadratic Kalman Filter pp. 43-56 Downloads
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
Explicit form of approximate transition probability density functions of diffusion processes pp. 57-73 Downloads
Seungmoon Choi
Sharp bounds on treatment effects in a binary triangular system pp. 74-81 Downloads
Ismael Mourifié
K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation? pp. 82-94 Downloads
Sylvia Kaufmann
Cross-validation for selecting a model selection procedure pp. 95-112 Downloads
Yongli Zhang and Yuhong Yang
A bootstrapped spectral test for adequacy in weak ARMA models pp. 113-130 Downloads
Ke Zhu and Wai Keung Li
Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies pp. 131-153 Downloads
Donghoon Lee and Kyungchul Song
Nonparametric tests for constant tail dependence with an application to energy and finance pp. 154-168 Downloads
Axel Bücher, Stefan Jäschke and Dominik Wied
VAR for VaR: Measuring tail dependence using multivariate regression quantiles pp. 169-188 Downloads
Halbert White, Tae-Hwan Kim and Simone Manganelli
Semiparametric model building for regression models with time-varying parameters pp. 189-200 Downloads
Ting Zhang
Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference pp. 201-216 Downloads
Sung Jae Jun, Joris Pinkse and Yuanyuan Wan
A test of the null of integer integration against the alternative of fractional integration pp. 217-237 Downloads
Cheol-Keun Cho, Christine Amsler and Peter Schmidt
Estimation in generalised varying-coefficient models with unspecified link functions pp. 238-255 Downloads
Wenyang Zhang, Degui Li and Yingcun Xia
Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso pp. 256-274 Downloads
Mehmet Caner and Qingliang Fan
Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study pp. 275-292 Downloads
Xianghong Li and Barry Smith
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes pp. 293-311 Downloads
Lily Y. Liu, Andrew Patton and Kevin Sheppard
IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large pp. 312-322 Downloads
Cheng Hsiao and Junwei Zhang
Nonparametric specification tests for stochastic volatility models based on volatility density pp. 323-344 Downloads
Yang Zu
A flexible semiparametric forecasting model for time series pp. 345-357 Downloads
Degui Li, Oliver Linton and Zudi Lu
Instrumental variable and variable addition based inference in predictive regressions pp. 358-375 Downloads
Jörg Breitung and Matei Demetrescu
Testing linearity using power transforms of regressors pp. 376-384 Downloads
Yae In Baek, Jin Seo Cho and Peter Phillips
Non-nested testing of spatial correlation pp. 385-401 Downloads
Miguel A. Delgado and Peter M. Robinson
Page updated 2016-07-01