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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 95, issue 2 , 2000
The econometric consequences of the ceteris paribus condition in economic theory pp. 223-253 Herman J. Bierens and Norman Rasmus Swanson Econometrics and decision theory pp. 255-283 Gary Chamberlain Cross-sectional aggregation of non-linear models pp. 285-331 Kees Jan van Garderen , Kevin Charles Lee and M Hashem Pesaran Internet-based econometric computing pp. 333-345 Wolfgang Karl Härdle and J. Horowitz Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics pp. 347-374 Roger Koenker Empirically relevant critical values for hypothesis tests: A bootstrap approach pp. 375-389 Joel L. Horowitz and N. E. Savin The incidental parameter problem since 1948 pp. 391-413 Tony Lancaster Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice pp. 415-442 Charles F. Manski Using a likelihood perspective to sharpen econometric discourse: Three examples pp. 443-462 Christopher Sims Volume 95, issue 1 , 2000
Rank estimation of a generalized fixed-effects regression model pp. 1-23 Jason Abrevaya Estimation of a censored regression panel data model using conditional moment restrictions efficiently pp. 25-56 Erwin Charlier , Bertrand Melenberg and Arthur van Soest Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach pp. 57-69 Teruo Nakatsuma Unit root tests in the presence of uncertainty about the non-stochastic trend pp. 71-96 Leila Ayat and Peter Burridge Detection of change in persistence of a linear time series pp. 97-116 Jae-Young Kim A numerically stable quadrature procedure for the one-factor random-component discrete choice model pp. 117-129 Lung-Fei Lee Estimating the density of unemployment duration based on contaminated samples or small samples pp. 131-156 Hang K. Ryu and Daniel J. Slottje On the sensitivity of the usual t- and F-tests to covariance misspecification pp. 157-176 Anurag Narayan Banerjee and Jan R. Magnus Testing for the cointegrating rank of a VAR process with a time trend pp. 177-198 Helmut Lütkepohl and Pentti Saikkonen Testing time reversibility without moment restrictions pp. 199-218 Yi-Ting Chen , Ray Yeutien Chou and Chung-Ming Kuan Volume 94, issue 1-2 , 2000
Econometric methods for derivative securities and risk management pp. 1-7 René Garcia , Eric Ghysels and Eric Michel Renault Nonparametric risk management and implied risk aversion pp. 9-51 Yacine Ait-Sahalia and Andrew W. Lo American options with stochastic dividends and volatility: A nonparametric investigation pp. 53-92 Mark Broadie , Jerome Detemple , Eric Ghysels and Olivier Torres Pricing and hedging derivative securities with neural networks and a homogeneity hint pp. 93-115 René Garcia and Ramazan Gencay Econometric specification of the risk neutral valuation model pp. 117-143 E. Clement , Christian S. Gourieroux and Alain Monfort Bayesian analysis of contingent claim model error pp. 145-180 Eric Jacquier and Robert A Jarrow Post-'87 crash fears in the S&P 500 futures option market pp. 181-238 David S. Bates Regime switching in foreign exchange rates: Evidence from currency option prices pp. 239-276 Nicolas P. B. Bollen , Stephen F. Gray and Robert E. Whaley Pricing and hedging long-term options pp. 277-318 Gurdip Bakshi , Charles Cao and Zhiwu Chen Volume 93, issue 2 , 1999
Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable pp. 203-228 Jason Abrevaya Bayesian estimation of switching ARMA models pp. 229-255 Monica Billio , Alain Monfort and C. P. Robert Testing for ARCH in the presence of a possibly misspecified conditional mean pp. 257-279 Robin L. Lumsdaine and Serena Ng Weak exogeneity in I(2) VAR systems pp. 281-308 Paolo Paruolo and Anders Rahbek How informative is the initial condition in the dynamic panel model with fixed effects? pp. 309-326 Jinyong Hahn GMM inference when the number of moment conditions is large pp. 327-344 Roger Koenker and José António Ferreira Machado Threshold effects in non-dynamic panels: Estimation, testing, and inference pp. 345-368 Bruce E. Hansen The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors pp. 369-401 Leo Michelis Volume 93, issue 1 , 1999
I(0) In, integration and cointegration out:: Time series properties of endogenous growth models pp. 1-24 Sau-Him Paul Lau On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components pp. 25-47 John W. Galbraith and Victoria Zinde-Walsh A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco pp. 49-72 Jose M. Labeaga Testing exact rational expectations in cointegrated vector autoregressive models pp. 73-91 Soren Johansen and Anders Rygh Swensen Efficiency comparisons of maximum-likelihood-based estimators in GARCH models pp. 93-111 Gloria Gonzalez-Rivera and Feike C. Drost Finite sample properties of tests of the Epstein-Zin asset pricing model pp. 113-148 David C. Smith Indirect estimation of ARFIMA and VARFIMA models pp. 149-175 Vance Lindsay Martin and Nigel P. Wilkins Efficient estimation of panel data models with strictly exogenous explanatory variables pp. 177-201 Kyung So Im , Seung C. Ahn , Peter Schmidt and Jeffrey Marc Wooldridge Volume 92, issue 2 , 1999
Stratified partial likelihood estimation pp. 193-232 Geert Ridder and Insan Tunali Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome pp. 233-274 Thomas A. Mroz A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models pp. 275-294 Christopher Lachlan Skeels and Francis Vella The sensitivity of OLS when the variance matrix is (partially) unknown pp. 295-323 Anurag Narayan Banerjee and Jan R. Magnus Estimation error and the specification of unobserved component models pp. 325-353 Agustin Maravall and Christophe Planas Estimation of dynamic and ARCH Tobit models pp. 355-390 Lung-Fei Lee Volume 92, issue 1 , 1999
GMM estimation with cross sectional dependence pp. 1-45 Timothy Guy Conley Infrastructure and productivity: a nonlinear approach pp. 47-74 Vijaya G. Duggal , Cynthia Saltzman and Lawrence R. Klein Long-term equity anticipation securities and stock market volatility dynamics pp. 75-99 Tim Bollerslev and Hans Ole Mikkelsen Consistent model specification tests for time series econometric models pp. 101-147 Qi Li The relative efficiency of method of moments estimators1 pp. 149-172 A. Ronald Gallant and George Tauchen Properties of moments of a family of GARCH processes pp. 173-192 Changli He and Timo Teräsvirta
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