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Journal of Econometrics

1973 - 2018

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

From Elsevier
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Volume 205, issue 2, 2018

Nonparametric estimation of first-price auctions with risk-averse bidders pp. 303-335 Downloads
Federico Zincenko
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment pp. 336-362 Downloads
Kim Christensen, Ulrich Hounyo and Mark Podolskij
Robust and efficient estimation for the treatment effect in causal inference and missing data problems pp. 363-380 Downloads
Huazhen Lin, Fanyin Zhou, Qiuxia Wang, Ling Zhou and Jing Qin
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models pp. 381-401 Downloads
Christian Francq and Jean-Michel Zakoïan
Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference pp. 402-422 Downloads
Grant Hillier and Federico Martellosio
Unified M-estimation of fixed-effects spatial dynamic models with short panels pp. 423-447 Downloads
Zhenlin Yang
Bounds on treatment effects on transitions pp. 448-469 Downloads
Johan Vikström, Geert Ridder and Martin Weidner
Stochastic tail index model for high frequency financial data with Bayesian analysis pp. 470-487 Downloads
Guangyu Mao and Zhengjun Zhang
A consistent bootstrap procedure for the maximum score estimator pp. 488-507 Downloads
Rohit Kumar Patra, Emilio Seijo and Bodhisattva Sen
Inference on the tail process with application to financial time series modeling pp. 508-525 Downloads
Richard A. Davis, Holger Drees, Johan Segers and Michał Warchoł

Volume 205, issue 1, 2018

A two-step indirect inference approach to estimate the long-run risk asset pricing model pp. 6-33 Downloads
Joachim Grammig and Eva-Maria Küchlin
Penalized indirect inference pp. 34-54 Downloads
Francisco Blasques and Artem Duplinskiy
Indirect Inference with endogenously missing exogenous variables pp. 55-75 Downloads
Saraswata Chaudhuri, David T. Frazier and Eric Renault
The asymptotic properties of GMM and indirect inference under second-order identification pp. 76-111 Downloads
Prosper Dovonon and Alastair R. Hall
The ABC of simulation estimation with auxiliary statistics pp. 112-139 Downloads
Jean-Jacques Forneron and Serena Ng
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale pp. 140-155 Downloads
A. Ronald Gallant and George Tauchen
New distribution theory for the estimation of structural break point in mean pp. 156-176 Downloads
Liang Jiang, Xiaohu Wang and Jun Yu
Generalized indirect inference for discrete choice models pp. 177-203 Downloads
Marianne Bruins, James A. Duffy, Michael Keane and Anthony A. Smith
Exit dynamics of start-up firms: Structural estimation using indirect inference pp. 204-225 Downloads
Rolf Golombek and Arvid Raknerud
Misspecification of noncausal order in autoregressive processes pp. 226-248 Downloads
Christian Gourieroux and Joann Jasiak
A spectral EM algorithm for dynamic factor models pp. 249-279 Downloads
Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
Estimating stable latent factor models by indirect inference pp. 280-301 Downloads
Giorgio Calzolari and Roxana Halbleib

Volume 204, issue 2, 2018

Statistical inference in efficient production with bad inputs and outputs using latent prices and optimal directions pp. 131-146 Downloads
Scott E. Atkinson, Daniel Primont and Mike G. Tsionas
Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes pp. 147-158 Downloads
Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani
Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach pp. 159-188 Downloads
Soohun Kim and Georgios Skoulakis
Empirical relevance of ambiguity in first-price auctions pp. 189-206 Downloads
Gaurab Aryal, Serafin Grundl, Dong-Hyuk Kim and Yu Zhu
Efficient propensity score regression estimators of multivalued treatment effects for the treated pp. 207-222 Downloads
Ying-Ying Lee
Asymptotics of Cholesky GARCH models and time-varying conditional betas pp. 223-247 Downloads
Serge Darolles, Christian Francq and Sébastien Laurent
Testing for jumps and jump intensity path dependence pp. 248-267 Downloads
Valentina Corradi, Mervyn J. Silvapulle and Norman R. Swanson
Efficient estimation with time-varying information and the New Keynesian Phillips Curve pp. 268-300 Downloads
Bertille Antoine and Otilia Boldea
Testing against constant factor loading matrix with large panel high-frequency data pp. 301-319 Downloads
Xin-Bing Kong and Cheng Liu

Volume 204, issue 1, 2018

Weighted-average least squares estimation of generalized linear models pp. 1-17 Downloads
Giuseppe De Luca, Jan R. Magnus and Franco Peracchi
Estimating the integrated volatility using high-frequency data with zero durations pp. 18-32 Downloads
Zhi Liu, Xin-Bing Kong and Bing-Yi Jing
Filtered likelihood for point processes pp. 33-53 Downloads
Kay Giesecke and Gustavo Schwenkler
Generating univariate fractional integration within a large VAR(1) pp. 54-65 Downloads
Guillaume Chevillon, Alain Hecq and Sébastien Laurent
Testing for common breaks in a multiple equations system pp. 66-85 Downloads
Tatsushi Oka and Pierre Perron
Minimum distance approach to inference with many instruments pp. 86-100 Downloads
Michal Kolesár
Testing for parameter instability in predictive regression models pp. 101-118 Downloads
Iliyan Georgiev, David I. Harvey, Stephen Leybourne and A.M. Robert Taylor
Uniform confidence bands: Characterization and optimality pp. 119-130 Downloads
Joachim Freyberger and Yoshiyasu Rai

Volume 203, issue 2, 2018

A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise pp. 187-222 Downloads
Yingying Li, Zhiyuan Zhang and Yichu Li
Asymptotic inference about predictive accuracy using high frequency data pp. 223-240 Downloads
Jia Li and Andrew J. Patton
On the choice of test statistic for conditional moment inequalities pp. 241-255 Downloads
Timothy B. Armstrong
Testing for self-excitation in jumps pp. 256-266 Downloads
H. Peter Boswijk, Roger J.A. Laeven and Xiye Yang
Bayesian nonparametric vector autoregressive models pp. 267-282 Downloads
Maria Kalli and Jim E. Griffin
Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics pp. 283-296 Downloads
Irene Botosaru and Yuya Sasaki
Resolution of policy uncertainty and sudden declines in volatility pp. 297-315 Downloads
Dante Amengual and Dacheng Xiu
Delta-method inference for a class of set-identified SVARs pp. 316-327 Downloads
Bulat Gafarov, Matthias Meier and José Luis Montiel Olea
Identification and estimation of incomplete information games with multiple equilibria pp. 328-343 Downloads
Ruli Xiao
Consistent estimation of linear regression models using matched data pp. 344-358 Downloads
Masayuki Hirukawa and Artem Prokhorov
Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects pp. 359-378 Downloads
Yiguo Sun and Emir Malikov

Volume 203, issue 1, 2018

Spatial weights matrix selection and model averaging for spatial autoregressive models pp. 1-18 Downloads
Xinyu Zhang and Jihai Yu
A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states pp. 19-32 Downloads
A. Ronald Gallant, Han Hong and Ahmed Khwaja
A multivariate test against spurious long memory pp. 33-49 Downloads
Philipp Sibbertsen, Christian Leschinski and Marie Busch
Threshold regression with endogeneity pp. 50-68 Downloads
Ping Yu and Peter C.B. Phillips
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data pp. 69-79 Downloads
Donggyu Kim, Xin-Bing Kong, Cui-Xia Li and Yazhen Wang
Autoregressive spatial spectral estimates pp. 80-95 Downloads
Abhimanyu Gupta
Sieve maximum likelihood estimation of the spatial autoregressive Tobit model pp. 96-112 Downloads
Xingbai Xu and Lung-fei Lee
Identification and estimation of nonseparable single-index models in panel data with correlated random effects pp. 113-128 Downloads
Pavel Čížek and Jinghua Lei
Extremal quantile regressions for selection models and the black–white wage gap pp. 129-142 Downloads
D’Haultfœuille, Xavier, Arnaud Maurel and Yichong Zhang
Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso pp. 143-168 Downloads
Mehmet Caner and Anders Bredahl Kock
Nonparametric specification testing via the trinity of tests pp. 169-185 Downloads
Abhimanyu Gupta
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