EconPapers    
Economics at your fingertips  
 

Journal of Econometrics

1973 - 2017

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

From Elsevier
Series data maintained by Dana Niculescu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 201, issue 2, 2017

Double instrumental variable estimation of interaction models with big data pp. 176-197 Downloads
Patrick Gagliardini and Christian Gouriéroux
Bayesian estimation of state space models using moment conditions pp. 198-211 Downloads
A. Ronald Gallant, Raffaella Giacomini and Giuseppe Ragusa
Efficient two-step estimation via targeting pp. 212-227 Downloads
David T. Frazier and Eric Renault
A discrete model for bootstrap iteration pp. 228-236 Downloads
Russell Davidson
Nonparametric estimation of non-exchangeable latent-variable models pp. 237-248 Downloads
Stéphane Bonhomme, Koen Jochmans and Jean-Marc Robin
Rationalization and identification of binary games with correlated types pp. 249-268 Downloads
Nianqing Liu, Quang Vuong and Haiqing Xu
Functional linear regression with functional response pp. 269-291 Downloads
David Benatia, Marine Carrasco and Jean-Pierre Florens
Sufficient forecasting using factor models pp. 292-306 Downloads
Jianqing Fan, Lingzhou Xue and Jiawei Yao
Generalized dynamic factor models and volatilities: estimation and forecasting pp. 307-321 Downloads
Matteo Barigozzi and Marc Hallin
Real-time forecast evaluation of DSGE models with stochastic volatility pp. 322-332 Downloads
Francis X. Diebold, Frank Schorfheide and Minchul Shin
Scenario generation for long run interest rate risk assessment pp. 333-347 Downloads
Robert Engle, Guillaume Roussellet and Emil Siriwardane
Staying at zero with affine processes: An application to term structure modelling pp. 348-366 Downloads
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows pp. 367-383 Downloads
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Using principal component analysis to estimate a high dimensional factor model with high-frequency data pp. 384-399 Downloads
Yacine Aït-Sahalia and Dacheng Xiu
Inference in continuous systems with mildly explosive regressors pp. 400-416 Downloads
Ye Chen, Peter Phillips and Jun Yu
Mixed-scale jump regressions with bootstrap inference pp. 417-432 Downloads
Jia Li, Viktor Todorov, George Tauchen and Rui Chen

Volume 201, issue 1, 2017

Regression discontinuity with categorical outcomes pp. 1-18 Downloads
Ke-Li Xu
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading pp. 19-42 Downloads
Neil Shephard and Dacheng Xiu
Bootstrapping the GMM overidentification test under first-order underidentification pp. 43-71 Downloads
Prosper Dovonon and Sílvia Gonçalves
Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach pp. 72-94 Downloads
Jeffrey Racine and Kevin Li
Direct instrumental nonparametric estimation of inverse regression functions pp. 95-107 Downloads
Jerome M. Krief
Nonparametric estimation and inference under shape restrictions pp. 108-126 Downloads
Joel L. Horowitz and Sokbae Lee
On high frequency estimation of the frictionless price: The use of observed liquidity variables pp. 127-143 Downloads
Selma Chaker
The triangular model with random coefficients pp. 144-169 Downloads
Stefan Hoderlein, Hajo Holzmann and Alexander Meister

Volume 200, issue 2, 2017

The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics pp. 154-168 Downloads
Yingyao Hu
Consistent estimation of linear panel data models with measurement error pp. 169-180 Downloads
Erik Meijer, Laura Spierdijk and Tom Wansbeek
Simulated minimum distance estimation of dynamic models with errors-in-variables pp. 181-193 Downloads
Nikolay Gospodinov, Ivana Komunjer and Serena Ng
Simultaneous treatment of unspecified heteroskedastic model error distribution and mismeasured covariates for restricted moment models pp. 194-206 Downloads
Tanya P. Garcia and Yanyuan Ma
Identification of additive and polynomial models of mismeasured regressors without instruments pp. 207-222 Downloads
Dan Ben-Moshe, D’Haultfœuille, Xavier and Arthur Lewbel
Understanding the effect of measurement error on quantile regressions pp. 223-237 Downloads
Andrew Chesher
Instrumental variable estimation of nonlinear models with nonclassical measurement error using control variables pp. 238-250 Downloads
Jinyong Hahn and Geert Ridder
Many IVs estimation of dynamic panel regression models with measurement error pp. 251-259 Downloads
Nayoung Lee, Hyungsik Roger Moon and Qiankun Zhou
Regression discontinuity design with continuous measurement error in the running variable pp. 260-281 Downloads
Laurent Davezies and Thomas Le Barbanchon
Bayesian moment-based inference in a regression model with misclassification error pp. 282-294 Downloads
Christopher R. Bollinger and Martijn van Hasselt
Misclassification in binary choice models pp. 295-311 Downloads
Bruce D. Meyer and Nikolas Mittag
Semiparametric identification of the bid–ask spread in extended Roll models pp. 312-325 Downloads
Xiaohong Chen, Oliver Linton and Yanping Yi
Identification of first-price auctions with non-equilibrium beliefs: A measurement error approach pp. 326-343 Downloads
Yonghong An
Counting rotten apples: Student achievement and score manipulation in Italian elementary Schools pp. 344-362 Downloads
Erich Battistin, Michele De Nadai and Daniela Vuri
Modeling heaped duration data: An application to neonatal mortality pp. 363-377 Downloads
Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht
The precision of subjective data and the explanatory power of economic models pp. 378-389 Downloads
Tilman Drerup, Benjamin Enke and Hans-Martin von Gaudecker

Volume 200, issue 1, 2017

Tests of additional conditional moment restrictions pp. 1-16 Downloads
Paulo Parente and Richard J. Smith
Bonferroni-based size-correction for nonstandard testing problems pp. 17-35 Downloads
Adam McCloskey
Adaptive estimation of continuous-time regression models using high-frequency data pp. 36-47 Downloads
Jia Li, Viktor Todorov and George Tauchen
Injectivity of a class of integral operators with compactly supported kernels pp. 48-58 Downloads
Yingyao Hu, Susanne M. Schennach and Ji-Liang Shiu
Inferences in panel data with interactive effects using large covariance matrices pp. 59-78 Downloads
Jushan Bai and Yuan Liao
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data pp. 79-103 Downloads
Richard Y. Chen and Per A. Mykland
Specification testing for nonlinear multivariate cointegrating regressions pp. 104-117 Downloads
Chaohua Dong, Jiti Gao, Dag Tjøstheim and Jiying Yin
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation pp. 118-134 Downloads
Christian Gourieroux and Joann Jasiak
New goodness-of-fit diagnostics for conditional discrete response models pp. 135-149 Downloads
Igor Kheifets and Carlos Velasco

Volume 199, issue 2, 2017

Structural inference from reduced forms with many instruments pp. 96-116 Downloads
Peter Phillips and Wayne Gao
What can we learn about the racial gap in the presence of sample selection? pp. 117-130 Downloads
Esfandiar Maasoumi and Le Wang
Endogenous environmental variables in stochastic frontier models pp. 131-140 Downloads
Christine Amsler, Artem Prokhorov and Peter Schmidt
Missing data, imputation, and endogeneity pp. 141-155 Downloads
Ian McDonough and Daniel Millimet
Estimating labor force joiners and leavers using a heterogeneity augmented two-tier stochastic frontier pp. 156-172 Downloads
Tirthatanmoy Das and Solomon W. Polachek
Inverting the indirect—The ellipse and the boomerang: Visualizing the confidence intervals of the structural coefficient from two-stage least squares pp. 173-183 Downloads
Joseph Hirschberg and Jenny Lye
Determinants of firm-level domestic sales and exports with spillovers: Evidence from China pp. 184-201 Downloads
Badi H. Baltagi, Peter H. Egger and Michaela Kesina
Realized stochastic volatility with general asymmetry and long memory pp. 202-212 Downloads
Manabu Asai, Chia-Lin Chang and Michael McAleer
Examples of L2-complete and boundedly-complete distributions pp. 213-220 Downloads
Donald W.K. Andrews
Maximum entropy estimation of income distributions from Basmann’s weighted geometric mean measure pp. 221-231 Downloads
Hang K. Ryu and Daniel J. Slottje

Volume 199, issue 1, 2017

Long memory, fractional integration, and cross-sectional aggregation pp. 1-11 Downloads
Niels Haldrup and J. Eduardo Vera Valdés
Semiparametric estimation and testing of smooth coefficient spatial autoregressive models pp. 12-34 Downloads
Emir Malikov and Yiguo Sun
Minimum distance from independence estimation of nonseparable instrumental variables models pp. 35-48 Downloads
Alexander Torgovitsky
A unifying theory of tests of rank pp. 49-62 Downloads
Majid Al-Sadoon
Identification in a generalization of bivariate probit models with dummy endogenous regressors pp. 63-73 Downloads
Sukjin Han and Edward J. Vytlacil
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis pp. 74-92 Downloads
Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni
Page updated 2017-11-23