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Journal of Econometrics

1973 - 2017

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

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Volume 191, issue 2, 2016

Dynamic treatment effects pp. 276-292 Downloads
James Heckman, John Humphries and Gregory Veramendi
Credible interval estimates for official statistics with survey nonresponse pp. 293-301 Downloads
Charles Manski
On independence conditions in nonseparable models: Observable and unobservable instruments pp. 302-311 Downloads
Rosa L. Matzkin
Real-time nowcasting of nominal GDP with structural breaks pp. 312-324 Downloads
William Barnett, Marcelle Chauvet and Danilo Leiva-Leon
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error pp. 325-347 Downloads
Sujin Park, Seok Young Hong and Oliver Linton
A new approach to measuring and studying the characteristics of class membership: Examining poverty, inequality and polarization in urban China pp. 348-359 Downloads
Gordon Anderson, Alessio Farcomeni, M. Grazia Pittau and Roberto Zelli
Consistent tests for poverty dominance relations pp. 360-373 Downloads
Garry Barrett, Stephen G. Donald and Yu-Chin Hsu
A solution to aggregation and an application to multidimensional ‘well-being’ frontiers pp. 374-383 Downloads
Esfandiar Maasoumi and Jeffrey Racine
Improving GDP measurement: A measurement-error perspective pp. 384-397 Downloads
S. Boragan Aruoba, Francis Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
Price discounts and the measurement of inflation pp. 398-406 Downloads
Kevin Fox and Iqbal Syed
A least squares approach to imposing within-region fixity in the International Comparisons Program pp. 407-413 Downloads
Robert Hill
Stochastic approach to computation of purchasing power parities in the International Comparison Program (ICP) pp. 414-425 Downloads
D.S. Prasada Rao and Gholamreza Hajargasht
Measuring industry productivity and cross-country convergence pp. 426-433 Downloads
Robert Inklaar and Walter Diewert

Volume 191, issue 1, 2016

Efficient estimation of approximate factor models via penalized maximum likelihood pp. 1-18 Downloads
Jushan Bai and Yuan Liao
Nonparametric errors in variables models with measurement errors on both sides of the equation pp. 19-32 Downloads
Michele De Nadai and Arthur Lewbel
Long memory affine term structure models pp. 33-56 Downloads
Adam Golinski and Paolo Zaffaroni
Testing for (in)finite moments pp. 57-68 Downloads
Lorenzo Trapani
Inference in VARs with conditional heteroskedasticity of unknown form pp. 69-85 Downloads
Ralf Brüggemann, Carsten Jentsch and Carsten Trenkler
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso pp. 86-109 Downloads
Junhui Qian and Liangjun Su
Information theory for maximum likelihood estimation of diffusion models pp. 110-128 Downloads
Hwan-sik Choi
Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness pp. 129-144 Downloads
Holger Dette, Stefan Hoderlein and Natalie Neumeyer
Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers pp. 145-163 Downloads
Szabolcs Blazsek and Alvaro Escribano
Intergenerational long-term effects of preschool-structural estimates from a discrete dynamic programming model pp. 164-175 Downloads
James Heckman and Lakshmi K. Raut
Estimation of heterogeneous panels with structural breaks pp. 176-195 Downloads
Badi Baltagi, Qu Feng and Chihwa Kao
A direct approach to inference in nonparametric and semiparametric quantile models pp. 196-216 Downloads
Yanqin Fan and Ruixuan Liu
Variation-based tests for volatility misspecification pp. 217-230 Downloads
Alex Papanicolaou and Kay Giesecke
Sieve instrumental variable quantile regression estimation of functional coefficient models pp. 231-254 Downloads
Liangjun Su and Tadao Hoshino
ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors pp. 255-271 Downloads
Marcelo Medeiros and Eduardo F. Mendes

Volume 190, issue 2, 2016

A weak instrument F-test in linear IV models with multiple endogenous variables pp. 212-221 Downloads
Eleanor Sanderson and Frank Windmeijer
Endogenous network production functions with selectivity pp. 222-232 Downloads
William Horrace, Xiaodong Liu and Eleonora Patacchini
Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects pp. 233-251 Downloads
Emir Malikov, Subal Kumbhakar and Yiguo Sun
A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching pp. 252-266 Downloads
Irina Murtazashvili and Jeffrey M. Wooldridge
Estimating production functions with control functions when capital is measured with error pp. 267-279 Downloads
Kyoo il Kim, Amil Petrin and Suyong Song
Endogeneity in stochastic frontier models pp. 280-288 Downloads
Christine Amsler, Artem Prokhorov and Peter Schmidt
A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers pp. 289-300 Downloads
Anthony J. Glass, Karligash Kenjegalieva and Robin C. Sickles
Directional distance functions: Optimal endogenous directions pp. 301-314 Downloads
Scott E. Atkinson and Mike Tsionas
The good, the bad and the technology: Endogeneity in environmental production models pp. 315-327 Downloads
Subal Kumbhakar and Mike Tsionas
Using information about technologies, markets and firm behaviour to decompose a proper productivity index pp. 328-340 Downloads
O’Donnell, C.J.
Some models for stochastic frontiers with endogeneity pp. 341-348 Downloads
William E. Griffiths and Gholamreza Hajargasht
Nonparametric instrumental variables estimation for efficiency frontier pp. 349-359 Downloads
Catherine Cazals, Frédérique Feve, Jean-Pierre Florens and Leopold Simar
Unobserved heterogeneity and endogeneity in nonparametric frontier estimation pp. 360-373 Downloads
Leopold Simar, Anne Vanhems and Ingrid Van Keilegom

Volume 190, issue 1, 2016

Series estimation under cross-sectional dependence pp. 1-17 Downloads
Jungyoon Lee and Peter M. Robinson
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference pp. 18-45 Downloads
Jonathan B. Hill and Artem Prokhorov
Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank pp. 46-61 Downloads
Marc Hallin, Ramon van den Akker and Bas J.M. Werker
Adverse selection, moral hazard and the demand for Medigap insurance pp. 62-78 Downloads
Michael Keane and Olena Stavrunova
Methods for measuring expectations and uncertainty in Markov-switching models pp. 79-99 Downloads
Francesco Bianchi
Testing for monotonicity under endogeneity pp. 100-114 Downloads
Daniel Gutknecht
Efficient shrinkage in parametric models pp. 115-132 Downloads
Bruce Hansen
Particle efficient importance sampling pp. 133-147 Downloads
Marcel Scharth and Robert Kohn
Shrinkage estimation of dynamic panel data models with interactive fixed effects pp. 148-175 Downloads
Xun Lu and Liangjun Su
A tale of two option markets: Pricing kernels and volatility risk pp. 176-196 Downloads
Zhaogang Song and Dacheng Xiu
Grouped effects estimators in fixed effects models pp. 197-208 Downloads
C. Alan Bester and Christian B. Hansen
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