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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

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Volume 202, issue 1, 2018

The ZD-GARCH model: A new way to study heteroscedasticity pp. 1-17 Downloads
Dong Li, Xingfa Zhang, Ke Zhu and Shiqing Ling
Testing for mutually exciting jumps and financial flights in high frequency data pp. 18-44 Downloads
Mardi Dungey, Deniz Erdemlioglu, Marius Matei and Xiye Yang
Pythagorean generalization of testing the equality of two symmetric positive definite matrices pp. 45-56 Downloads
Jin Seo Cho and Peter C.B. Phillips
Exponentially tilted likelihood inference on growing dimensional unconditional moment models pp. 57-74 Downloads
Niansheng Tang, Xiaodong Yan and Puying Zhao
Estimation and forecasting in vector autoregressive moving average models for rich datasets pp. 75-91 Downloads
Gustavo Fruet Dias and George Kapetanios
Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension pp. 92-107 Downloads
Abhimanyu Gupta and Peter M. Robinson
Robust linear static panel data models using ε-contamination pp. 108-123 Downloads
Badi H. Baltagi, Georges Bresson, Anoop Chaturvedi and Guy Lacroix

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, Gaelle 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 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
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