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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 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 C. 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 C. 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

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
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