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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 207, issue 2, 2018

Model checks for nonlinear cointegrating regression pp. 261-284 Downloads
Qiying Wang, Dongsheng Wu and Ke Zhu
Subvector inference when the true parameter vector may be near or at the boundary pp. 285-306 Downloads
Philipp Ketz
Portmanteau-type tests for unit-root and cointegration pp. 307-324 Downloads
Rongmao Zhang and Ngai Hang Chan
Modeling maxima with autoregressive conditional Fréchet model pp. 325-351 Downloads
Zifeng Zhao, Zhengjun Zhang and Rong Chen
ArCo: An artificial counterfactual approach for high-dimensional panel time-series data pp. 352-380 Downloads
Carlos Carvalho, Ricardo Masini and Marcelo C. Medeiros
Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework pp. 381-405 Downloads
Jungbin Hwang and Yixiao Sun
Controlling the size of autocorrelation robust tests pp. 406-431 Downloads
Benedikt M. Pötscher and David Preinerstorfer
Factor models for asset returns based on transformed factors pp. 432-448 Downloads
Jialiang Li, Wenyang Zhang and Efang Kong

Volume 207, issue 1, 2018

Estimation of large dimensional factor models with an unknown number of breaks pp. 1-29 Downloads
Shujie Ma and Liangjun Su
Sequential estimation of censored quantile regression models pp. 30-52 Downloads
Songnian Chen
Tests of stochastic monotonicity with improved power pp. 53-70 Downloads
Juwon Seo
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions pp. 71-91 Downloads
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
A robust test for network generated dependence pp. 92-113 Downloads
Xiaodong Liu and Ingmar R. Prucha
Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models pp. 114-128 Downloads
Cheng Hsiao and Qiankun Zhou
Uniform confidence bands in deconvolution with unknown error distribution pp. 129-161 Downloads
Kengo Kato and Yuya Sasaki
Linear double autoregression pp. 162-174 Downloads
Qianqian Zhu, Yao Zheng and Guodong Li
Testing endogeneity with high dimensional covariates pp. 175-187 Downloads
Zijian Guo, Hyunseung Kang, T. Tony Cai and Dylan S. Small
On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity pp. 188-211 Downloads
Wenjie Wang and Firmin Doko Tchatoka
Additive nonparametric models with time variable and both stationary and nonstationary regressors pp. 212-236 Downloads
Chaohua Dong and Oliver Linton
Specification tests based on MCMC output pp. 237-260 Downloads
Yong Li, Jun Yu and Tao Zeng

Volume 206, issue 2, 2018

Inference on trending panel data pp. 282-304 Downloads
Peter M. Robinson and Carlos Velasco
A quantile correlated random coefficients panel data model pp. 305-335 Downloads
Bryan Graham, Jinyong Hahn, Alexandre Poirier and James L. Powell
Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model pp. 336-358 Downloads
Fei Jin and Lung-fei Lee
A frequentist approach to Bayesian asymptotics pp. 359-378 Downloads
Tingting Cheng, Jiti Gao and Peter C.B. Phillips
The numerical delta method pp. 379-394 Downloads
Han Hong and Jessie Li
Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods pp. 395-413 Downloads
Brantly Callaway, Tong Li and Tatsushi Oka
Threshold autoregressive models for interval-valued time series data pp. 414-446 Downloads
Yuying Sun, Ai Han, Yongmiao Hong and Shouyang Wang
Nonparametric tests for conditional symmetry pp. 447-471 Downloads
Miguel A. Delgado and Xiaojun Song
Nonparametric regression with multiple thresholds: Estimation and inference pp. 472-514 Downloads
Yan-Yu Chiou, Mei-Yuan Chen and Jau-er Chen
Semiparametric estimation of panel data models without monotonicity or separability pp. 515-530 Downloads
Songnian Chen and Xi Wang
A semiparametric quantile panel data model with an application to estimating the growth effect of FDI pp. 531-553 Downloads
Zongwu Cai, Linna Chen and Ying Fang
Identifying latent grouped patterns in panel data models with interactive fixed effects pp. 554-573 Downloads
Liangjun Su and Gaosheng Ju
Quasi maximum likelihood analysis of high dimensional constrained factor models pp. 574-612 Downloads
Kunpeng Li, Qi Li and Lina Lu
Estimation of random coefficients logit demand models with interactive fixed effects pp. 613-644 Downloads
Hyungsik Roger Moon, Matthew Shum and Martin Weidner
Panel models with interactive effects pp. 645-673 Downloads
Cheng Hsiao

Volume 206, issue 1, 2018

Partial identification and inference in censored quantile regression pp. 1-38 Downloads
Yanqin Fan and Ruixuan Liu
Best subset binary prediction pp. 39-56 Downloads
Le-Yu Chen and Sokbae (Simon) Lee
Confidence regions for entries of a large precision matrix pp. 57-82 Downloads
Jinyuan Chang, Yumou Qiu, Qiwei Yao and Tao Zou
Nonparametric identification of the distribution of random coefficients in binary response static games of complete information pp. 83-102 Downloads
Fabian Dunker, Stefan Hoderlein, Hiroaki Kaido and Robert Sherman
Efficient asymptotic variance reduction when estimating volatility in high frequency data pp. 103-142 Downloads
Simon Clinet and Yoann Potiron
Comparing distributions by multiple testing across quantiles or CDF values pp. 143-166 Downloads
Matt Goldman and David Kaplan
Portfolio optimization based on stochastic dominance and empirical likelihood pp. 167-186 Downloads
Thierry Post, Selçuk Karabatı and Stelios Arvanitis
Simultaneous multiple change-point and factor analysis for high-dimensional time series pp. 187-225 Downloads
Matteo Barigozzi, Haeran Cho and Piotr Fryzlewicz
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data pp. 226-257 Downloads
Clifford Lam and Phoenix Feng
A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes pp. 258-278 Downloads
Ke-Li Xu

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 Zakoian
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
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