Journal of Econometrics

1973 - 2013

Edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

from Elsevier
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Volume 91, issue 2, 1999

Inference for unit roots in dynamic panels where the time dimension is fixed pp. 201-226

Richard D. F. Harris and Elias Tzavalis

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure pp. 227-271

John C. Chao and Peter C. B. Phillips

Measurement errors: A principal investigator-agent approach pp. 273-298

Tomas J Philipson and Anup Malani

Likelihood ratio tests for multiple structural changes pp. 299-323

Jushan Bai

Non-stationary log-periodogram regression pp. 325-371

Carlos Velasco

Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series pp. 373-401

Xiaohong Chen and Yanqin Fan

Volume 91, issue 1, 1999

The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series pp. 1-42

Yoon-Jae Whang and Oliver Bruce Linton

An ordered family of Lorenz curves pp. 43-60

José María Sarabia, Enrique Castillo and Daniel J. Slottje

Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study pp. 61-87

Torben G. Andersen, Hyung-Jin Chung and Bent E. Sorensen

Redundancy of moment conditions pp. 89-111

Trevor Breusch, Hailong Qian, Peter Schmidt and Donald Wyhowski

Distribution theory for unit root tests with conditional heteroskedasticity1 pp. 113-144

Byeongseon Seo

Improved instrumental variables and generalized method of moments estimators pp. 145-169

Hailong Qian and Peter Schmidt

Distribution-free estimation of the random coefficient dummy endogenous variable model pp. 171-199

Songnian Chen

Volume 90, issue 2, 1999

Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable pp. 155-191

Tue Gorgens and Joel L. Horowitz

Testing parameter constancy in linear models against stochastic stationary parameters pp. 193-213

Chien-Fu Jeff Lin and Timo Teräsvirta

Tests of cointegrating rank with a trend-break pp. 215-237

Atsushi Inoue

Two-step estimation of panel data models with censored endogenous variables and selection bias pp. 239-263

Francis Vella and Marno Verbeek

Trend stationarity in the I(2) cointegration model pp. 265-289

Anders Rahbek, Hans Christian Kongsted and Clara Jorgensen

Block recursion and structural vector autoregressions pp. 291-316

Tao Zha

Ordering univariate distributions by entropy and variance pp. 317-336

Nader Ebrahimi, Esfandiar Maasoumi and Ehsan S. Soofi

Volume 90, issue 1, 1999

Spurious regression and residual-based tests for cointegration in panel data pp. 1-44

Chihwa Kao

The second moment and the autocovariance function of the squared errors of the GARCH model pp. 63-76

Menelaos Karanasos

Distribution-free estimation of some nonlinear panel data models pp. 77-97

Jeffrey Marc Wooldridge

Bootstrap confidence bands for shrinkage estimators pp. 99-127

Camilla Kazimi and David Brownstone

A semiparametric two-step estimator in a multivariate long memory model pp. 129-153

Ignacio N. Lobato

Volume 89, issue 1-2, 1998

Modeling survey response bias - with an analysis of the demand for an advanced electronic device pp. 15-39

Cheng Hsiao and Bao-Hong Sun

Estimating price expectations in the OTC medicine market: An application of dynamic stochastic discrete choice models to scanner panel data pp. 41-56

Fusun F. Gonul

Marketing models of consumer heterogeneity pp. 57-78

Greg M. Allenby and Peter E. Rossi

A Bayesian multidimensional scaling procedure for the spatial analysis of revealed choice data pp. 79-108

Wayne S. DeSarbo, Youngchan Kim and Duncan Fong

Forecasting new product penetration with flexible substitution patterns pp. 109-129

David Brownstone and Kenneth Train

A model of health plan choice:: Inferring preferences and perceptions from a combination of revealed preference and attitudinal data pp. 131-157

Katherine M. Harris and Michael P Keane

Econometric modeling of competition: A multi-category choice-based mapping approach pp. 159-175

Tulin Erdem and Russell S. Winer

Missing price and coupon availability data in scanner panels: Correcting for the self-selection bias in choice model parameters pp. 177-196

Tulin Erdem, Michael P Keane and Baohong Sun

Combining sources of preference data pp. 197-221

David Hensher, Jordan Louviere and Joffre Dan Swait

Markov chain Monte Carlo and models of consideration set and parameter heterogeneity pp. 223-248

Jeongwen Chiang, Siddhartha Chib and Chakravarthi Narasimhan

Varying parameter models to accommodate dynamic promotion effects pp. 249-268

Eijte W. Foekens, Peter S.H. Leeflang and Dick R. Wittink

Long-run effects of price promotions in scanner markets pp. 269-291

Marnik G. Dekimpe, Dominique M. Hanssens and Jorge M. Silva-Risso

Outlier robust analysis of long-run marketing effects for weekly scanning data pp. 293-315

Philip Hans Franses, Teun Kloek and André Lucas

Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data pp. 317-338

Ulf Bockenholt

Product line extensions and competitive market interactions: An empirical analysis pp. 339-363

Vrinda Kadiyali, Naufel Vilcassim and Pradeep K. Chintagunta

Optimal product positioning based on paired comparison data pp. 365-392

Daniel Baier and Wolfgang Gaul

Representation of measurement error in marketing variables: Review of approaches and extension to three-facet designs pp. 393-421

Richard P. Bagozzi, Youjae Yi and Kent D. Nassen

A latent structure double hurdle regression model for exploring heterogeneity in consumer search patterns pp. 423-455

Wayne S. DeSarbo and Jungwhan Choi

Volume 88, issue 2, 1998

Forecasting turning points in countries' output growth rates: A response to Milton Friedman pp. 203-206

Arnold Zellner and Chung-ki Min

Discrete and continuous time cointegration pp. 207-226

F. Comte

Conduct parameters and the measurement of market power pp. 227-250

Kenneth S. Corts

Bayes factors and nonlinearity: Evidence from economic time series1 pp. 251-281

Gary Koop and Simon Potter

Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series pp. 283-299

Timothy Vogelsang

Likelihood analysis of seasonal cointegration pp. 301-339

Soren Johansen and Ernst Schaumburg

Missing observations in ARIMA models: Skipping approach versus additive outlier approach pp. 341-363

Victor Gomez, Agustin Maravall and Daniel Pena

Monte Carlo inference in econometric models with symmetric stable disturbances pp. 365-401

Efthymios Mike Tsionas

Volume 88, issue 1, 1998

Semiparametric estimates and tests of base-independent equivalence scales pp. 1-40

Krishna Pendakur

Testing the null of stationarity for multiple time series pp. 41-77

In Choi and Byung Chul Ahn

Relative efficiency with equivalence classes of asymptotic covariances pp. 79-98

D. M. Mandy and Carlos Martins-Filho

Asymptotic Bayesian analysis based on a limited information estimator pp. 99-121

Yum K. Kwan

Semiparametric estimation of count regression models1 pp. 123-150

Shiferaw Gurmu, Paul Rilstone and Steven Stern

Testing for r versus r-1 cointegrating vectors pp. 151-191

Andy Snell

Inadmissibility of the Stein-rule estimator under the balanced loss function pp. 193-201

Kazuhiro Ohtani