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Journal of Econometrics

1973 - 2019

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

From Elsevier
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Volume 211, issue 2, 2019

Strict stationarity testing and GLAD estimation of double autoregressive models pp. 319-337 Downloads
Shaojun Guo, Dong Li and Muyi Li
Bayesian inference for partially identified smooth convex models pp. 338-360 Downloads
Yuan Liao and Anna Simoni
Applied welfare analysis for discrete choice with interval-data on income pp. 361-387 Downloads
Ying-Ying Lee and Debopam Bhattacharya
Dynamic semiparametric models for expected shortfall (and Value-at-Risk) pp. 388-413 Downloads
Andrew J. Patton, Johanna F. Ziegel and Rui Chen
Semiparametric estimation of the random utility model with rank-ordered choice data pp. 414-438 Downloads
Jin Yan and Hong Il Yoo
A rank test for the number of factors with high-frequency data pp. 439-460 Downloads
Xin-Bing Kong, Zhi Liu and Wang Zhou
Combining p-values to test for multiple structural breaks in cointegrated regressions pp. 461-482 Downloads
Michele Bergamelli, Annamaria Bianchi, Lynda Khalaf and Giovanni Urga
Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures pp. 483-506 Downloads
Laurens Cherchye, Thomas Demuynck and Bram De Rock
Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator pp. 507-538 Downloads
Jun Ma, Vadim Marmer and Artyom Shneyerov
A time-varying true individual effects model with endogenous regressors pp. 539-559 Downloads
Levent Kutlu, Kien Tran and Mike G. Tsionas
Inference on Difference-in-Differences average treatment effects: A fixed-b approach pp. 560-588 Downloads
Yu Sun and Karen X. Yan
Robust uniform inference for quantile treatment effects in regression discontinuity designs pp. 589-618 Downloads
Harold D. Chiang, Yu-Chin Hsu and Yuya Sasaki

Volume 211, issue 1, 2019

An Econometric Life pp. 4-10 Downloads
Jerry Hausman
Jerry Hausman pp. 11-15 Downloads
Paul Joskow
Labour supply and taxation with restricted choices pp. 16-46 Downloads
Magali Beffy, Richard Blundell, Antoine Bozio, Guy Laroque and Maxime Tô
Marginal deadweight loss when the income tax is nonlinear pp. 47-60 Downloads
Sören Blomquist and Laurent Simula
A panel quantile approach to attrition bias in Big Data: Evidence from a randomized experiment pp. 61-82 Downloads
Matthew Harding and Carlos Lamarche
Constructive identification in some nonseparable discrete choice models pp. 83-103 Downloads
Rosa L. Matzkin
Nonseparable multinomial choice models in cross-section and panel data pp. 104-116 Downloads
Victor Chernozhukov, Ivan Fernandez-Val and Whitney K. Newey
Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design pp. 117-136 Downloads
Leah Isakov, Andrew W. Lo and Vahid Montazerhodjat
Correlated random effects models with unbalanced panels pp. 137-150 Downloads
Jeffrey Wooldridge
Missing dependent variables in fixed-effects models pp. 151-165 Downloads
Jason Abrevaya
Increasing the power of specification tests pp. 166-175 Downloads
Tiemen Woutersen and Jerry A. Hausman
A Hausman test for the presence of market microstructure noise in high frequency data pp. 176-205 Downloads
Aït-Sahalia, Yacine and Dacheng Xiu
A model-free consistent test for structural change in regression possibly with endogeneity pp. 206-242 Downloads
Zhonghao Fu and Yongmiao Hong
Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity pp. 243-261 Downloads
Guido M. Kuersteiner
Three-stage semi-parametric inference: Control variables and differentiability pp. 262-293 Downloads
Jinyong Hahn and Geert Ridder
On the structure of IV estimands pp. 294-307 Downloads
Isaiah Andrews
Convolution without independence pp. 308-318 Downloads
Susanne Schennach

Volume 210, issue 2, 2019

A closed-form estimator for quantile treatment effects with endogeneity pp. 219-235 Downloads
Kaspar Wüthrich
Estimation of longrun variance of continuous time stochastic process using discrete sample pp. 236-267 Downloads
Ye Lu and Joon Y. Park
Asymptotic theory for clustered samples pp. 268-290 Downloads
Bruce E. Hansen and Seojeong Lee
Robust inference for threshold regression models pp. 291-309 Downloads
Javier Hidalgo, Jungyoon Lee and Myung Hwan Seo
A weak law for moments of pairwise stable networks pp. 310-326 Downloads
Michael P. Leung
A simple and trustworthy asymptotic t test in difference-in-differences regressions pp. 327-362 Downloads
Cheng Liu and Yixiao Sun
Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity pp. 363-378 Downloads
Serafin Grundl and Yu Zhu
Specification tests for the propensity score pp. 379-404 Downloads
Sant’Anna, Pedro H.C. and Xiaojun Song
Causal inference by quantile regression kink designs pp. 405-433 Downloads
Harold D. Chiang and Yuya Sasaki
Identification and estimation of linear social interaction models pp. 434-458 Downloads
Hon Ho Kwok
Inference on functionals under first order degeneracy pp. 459-481 Downloads
Qihui Chen and Zheng Fang
Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models pp. 482-497 Downloads
Le-Yu Chen and Sokbae (Simon) Lee

Volume 210, issue 1, 2019

Sequentially adaptive Bayesian learning algorithms for inference and optimization pp. 4-25 Downloads
John Geweke and Garland Durham
Tempered particle filtering pp. 26-44 Downloads
Edward Herbst and Frank Schorfheide
Importance sampling from posterior distributions using copula-like approximations pp. 45-57 Downloads
Petros Dellaportas and Mike Tsionas
Modeling systemic risk with Markov Switching Graphical SUR models pp. 58-74 Downloads
Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin
Achieving shrinkage in a time-varying parameter model framework pp. 75-97 Downloads
Angela Bitto and Frühwirth-Schnatter, Sylvia
Sparse Bayesian time-varying covariance estimation in many dimensions pp. 98-115 Downloads
Gregor Kastner
Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification pp. 116-134 Downloads
Sylvia Kaufmann and Christian Schumacher
Bayesian compressed vector autoregressions pp. 135-154 Downloads
Gary Koop, Dimitris Korobilis and Davide Pettenuzzo
Dynamic Bayesian predictive synthesis in time series forecasting pp. 155-169 Downloads
Kenichiro McAlinn and Mike West
Forecast density combinations of dynamic models and data driven portfolio strategies pp. 170-186 Downloads
N. Baştürk, A. Borowska, S. Grassi, L. Hoogerheide and Herman van Dijk
Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors pp. 187-202 Downloads
Mark Fisher and Mark Jensen
The value of news for economic developments pp. 203-218 Downloads
Vegard Larsen and Leif Thorsrud
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