Journal of Econometrics

1973 - 2019

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

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Volume 211, issue 2, 2019

Strict stationarity testing and GLAD estimation of double autoregressive models pp. 319-337

Shaojun Guo, Dong Li and Muyi Li

Bayesian inference for partially identified smooth convex models pp. 338-360

Yuan Liao and Anna Simoni

Applied welfare analysis for discrete choice with interval-data on income pp. 361-387

Ying-Ying Lee and Debopam Bhattacharya

Dynamic semiparametric models for expected shortfall (and Value-at-Risk) pp. 388-413

Andrew J. Patton, Johanna F. Ziegel and Rui Chen

Semiparametric estimation of the random utility model with rank-ordered choice data pp. 414-438

Jin Yan and Hong Il Yoo

A rank test for the number of factors with high-frequency data pp. 439-460

Xin-Bing Kong, Zhi Liu and Wang Zhou

Combining p-values to test for multiple structural breaks in cointegrated regressions pp. 461-482

Michele Bergamelli, Annamaria Bianchi, Lynda Khalaf and Giovanni Urga

Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures pp. 483-506

Laurens Cherchye, Thomas Demuynck and Bram De Rock

Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator pp. 507-538

Jun Ma, Vadim Marmer and Artyom Shneyerov

A time-varying true individual effects model with endogenous regressors pp. 539-559

Levent Kutlu, Kien Tran and Mike G. Tsionas

Inference on Difference-in-Differences average treatment effects: A fixed-b approach pp. 560-588

Yu Sun and Karen X. Yan

Robust uniform inference for quantile treatment effects in regression discontinuity designs pp. 589-618

Harold D. Chiang, Yu-Chin Hsu and Yuya Sasaki

Volume 211, issue 1, 2019

An Econometric Life pp. 4-10

Jerry Hausman

Jerry Hausman pp. 11-15

Paul Joskow

Labour supply and taxation with restricted choices pp. 16-46

Magali Beffy, Richard Blundell, Antoine Bozio, Guy Laroque and Maxime Tô

Marginal deadweight loss when the income tax is nonlinear pp. 47-60

Sören Blomquist and Laurent Simula

A panel quantile approach to attrition bias in Big Data: Evidence from a randomized experiment pp. 61-82

Matthew Harding and Carlos Lamarche

Constructive identification in some nonseparable discrete choice models pp. 83-103

Rosa L. Matzkin

Nonseparable multinomial choice models in cross-section and panel data pp. 104-116

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

Leah Isakov, Andrew W. Lo and Vahid Montazerhodjat

Correlated random effects models with unbalanced panels pp. 137-150

Jeffrey Wooldridge

Missing dependent variables in fixed-effects models pp. 151-165

Jason Abrevaya

Increasing the power of specification tests pp. 166-175

Tiemen Woutersen and Jerry A. Hausman

A Hausman test for the presence of market microstructure noise in high frequency data pp. 176-205

Aït-Sahalia, Yacine and Dacheng Xiu

A model-free consistent test for structural change in regression possibly with endogeneity pp. 206-242

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

Guido M. Kuersteiner

Three-stage semi-parametric inference: Control variables and differentiability pp. 262-293

Jinyong Hahn and Geert Ridder

On the structure of IV estimands pp. 294-307

Isaiah Andrews

Convolution without independence pp. 308-318

Susanne Schennach

Volume 210, issue 2, 2019

A closed-form estimator for quantile treatment effects with endogeneity pp. 219-235

Kaspar Wüthrich

Estimation of longrun variance of continuous time stochastic process using discrete sample pp. 236-267

Ye Lu and Joon Y. Park

Asymptotic theory for clustered samples pp. 268-290

Bruce E. Hansen and Seojeong Lee

Robust inference for threshold regression models pp. 291-309

Javier Hidalgo, Jungyoon Lee and Myung Hwan Seo

A weak law for moments of pairwise stable networks pp. 310-326

Michael P. Leung

A simple and trustworthy asymptotic t test in difference-in-differences regressions pp. 327-362

Cheng Liu and Yixiao Sun

Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity pp. 363-378

Serafin Grundl and Yu Zhu

Specification tests for the propensity score pp. 379-404

Sant’Anna, Pedro H.C. and Xiaojun Song

Causal inference by quantile regression kink designs pp. 405-433

Harold D. Chiang and Yuya Sasaki

Identification and estimation of linear social interaction models pp. 434-458

Hon Ho Kwok

Inference on functionals under first order degeneracy pp. 459-481

Qihui Chen and Zheng Fang

Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models pp. 482-497

Le-Yu Chen and Sokbae (Simon) Lee

Volume 210, issue 1, 2019

Sequentially adaptive Bayesian learning algorithms for inference and optimization pp. 4-25

John Geweke and Garland Durham

Tempered particle filtering pp. 26-44

Edward Herbst and Frank Schorfheide

Importance sampling from posterior distributions using copula-like approximations pp. 45-57

Petros Dellaportas and Mike Tsionas

Modeling systemic risk with Markov Switching Graphical SUR models pp. 58-74

Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin

Achieving shrinkage in a time-varying parameter model framework pp. 75-97

Angela Bitto and Frühwirth-Schnatter, Sylvia

Sparse Bayesian time-varying covariance estimation in many dimensions pp. 98-115

Gregor Kastner

Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification pp. 116-134

Sylvia Kaufmann and Christian Schumacher

Bayesian compressed vector autoregressions pp. 135-154

Gary Koop, Dimitris Korobilis and Davide Pettenuzzo

Dynamic Bayesian predictive synthesis in time series forecasting pp. 155-169

Kenichiro McAlinn and Mike West

Forecast density combinations of dynamic models and data driven portfolio strategies pp. 170-186

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

Mark Fisher and Mark Jensen

The value of news for economic developments pp. 203-218

Vegard Larsen and Leif Thorsrud