Journal of Econometrics

1973 - 2025

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

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Volume 206, issue 2, 2018

Inference on trending panel data pp. 282-304

Peter M. Robinson and Carlos Velasco

A quantile correlated random coefficients panel data model pp. 305-335

Bryan Graham, Jinyong Hahn, Alexandre Poirier and James Powell

Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model pp. 336-358

Fei Jin and Lung-Fei Lee

A frequentist approach to Bayesian asymptotics pp. 359-378

Tingting Cheng, Jiti Gao and Peter Phillips

The numerical delta method pp. 379-394

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

Brantly Callaway, Tong Li and Tatsushi Oka

Threshold autoregressive models for interval-valued time series data pp. 414-446

Yuying Sun, Ai Han, Yongmiao Hong and Shouyang Wang

Nonparametric tests for conditional symmetry pp. 447-471

Miguel Delgado and Xiaojun Song

Nonparametric regression with multiple thresholds: Estimation and inference pp. 472-514

Yan-Yu Chiou, Mei-Yuan Chen and Jau-er Chen

Semiparametric estimation of panel data models without monotonicity or separability pp. 515-530

Songnian Chen and Xi Wang

A semiparametric quantile panel data model with an application to estimating the growth effect of FDI pp. 531-553

Zongwu Cai, Linna Chen and Ying Fang

Identifying latent grouped patterns in panel data models with interactive fixed effects pp. 554-573

Liangjun Su and Gaosheng Ju

Quasi maximum likelihood analysis of high dimensional constrained factor models pp. 574-612

Kunpeng Li, Qi Li and Lina Lu

Estimation of random coefficients logit demand models with interactive fixed effects pp. 613-644

Hyungsik Moon, Matthew Shum and Martin Weidner

Panel models with interactive effects pp. 645-673

Cheng Hsiao

Volume 206, issue 1, 2018

Partial identification and inference in censored quantile regression pp. 1-38

Yanqin Fan and Ruixuan Liu

Best subset binary prediction pp. 39-56

Le-Yu Chen and Sokbae (Simon) Lee

Confidence regions for entries of a large precision matrix pp. 57-82

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

Fabian Dunker, Stefan Hoderlein, Hiroaki Kaido and Robert Sherman

Efficient asymptotic variance reduction when estimating volatility in high frequency data pp. 103-142

Simon Clinet and Yoann Potiron

Comparing distributions by multiple testing across quantiles or CDF values pp. 143-166

Matt Goldman and David Kaplan

Portfolio optimization based on stochastic dominance and empirical likelihood pp. 167-186

Thierry Post, Selçuk Karabatı and Stelios Arvanitis

Simultaneous multiple change-point and factor analysis for high-dimensional time series pp. 187-225

Matteo Barigozzi, Haeran Cho and Piotr Fryzlewicz

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data pp. 226-257

Clifford Lam and Phoenix Feng

A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes pp. 258-278

Ke-Li Xu

Volume 205, issue 2, 2018

Nonparametric estimation of first-price auctions with risk-averse bidders pp. 303-335

Federico Zincenko

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment pp. 336-362

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

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

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

Grant Hillier and Federico Martellosio

Unified M-estimation of fixed-effects spatial dynamic models with short panels pp. 423-447

Zhenlin Yang

Bounds on treatment effects on transitions pp. 448-469

Johan Vikström, Geert Ridder and Martin Weidner

Stochastic tail index model for high frequency financial data with Bayesian analysis pp. 470-487

Guangyu Mao and Zhengjun Zhang

A consistent bootstrap procedure for the maximum score estimator pp. 488-507

Rohit Kumar Patra, Emilio Seijo and Bodhisattva Sen

Inference on the tail process with application to financial time series modeling pp. 508-525

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

Joachim Grammig and Eva-Maria Küchlin

Penalized indirect inference pp. 34-54

Francisco Blasques and Artem Duplinskiy

Indirect Inference with endogenously missing exogenous variables pp. 55-75

Saraswata Chaudhuri, David T. Frazier and Eric Renault

The asymptotic properties of GMM and indirect inference under second-order identification pp. 76-111

Prosper Dovonon and Alastair R. Hall

The ABC of simulation estimation with auxiliary statistics pp. 112-139

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

A. Ronald Gallant and George Tauchen

New distribution theory for the estimation of structural break point in mean pp. 156-176

Liang Jiang, Xiaohu Wang and Jun Yu

Generalized indirect inference for discrete choice models pp. 177-203

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

Rolf Golombek and Arvid Raknerud

Misspecification of noncausal order in autoregressive processes pp. 226-248

Christian Gourieroux and Joann Jasiak

A spectral EM algorithm for dynamic factor models pp. 249-279

Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana

Estimating stable latent factor models by indirect inference pp. 280-301

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

Scott E. Atkinson, Daniel Primont and Mike Tsionas

Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes pp. 147-158

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

Soohun Kim and Georgios Skoulakis

Empirical relevance of ambiguity in first-price auctions pp. 189-206

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

Ying-Ying Lee

Asymptotics of Cholesky GARCH models and time-varying conditional betas pp. 223-247

Serge Darolles, Christian Francq and Sébastien Laurent

Testing for jumps and jump intensity path dependence pp. 248-267

Valentina Corradi, Mervyn J. Silvapulle and Norman Swanson

Efficient estimation with time-varying information and the New Keynesian Phillips Curve pp. 268-300

Bertille Antoine and Otilia Boldea

Testing against constant factor loading matrix with large panel high-frequency data pp. 301-319

Xin-Bing Kong and Cheng Liu

Volume 204, issue 1, 2018

Weighted-average least squares estimation of generalized linear models pp. 1-17

Giuseppe De Luca, Jan Magnus and Franco Peracchi

Estimating the integrated volatility using high-frequency data with zero durations pp. 18-32

Zhi Liu, Xin-Bing Kong and Bing-Yi Jing

Filtered likelihood for point processes pp. 33-53

Kay Giesecke and Gustavo Schwenkler

Generating univariate fractional integration within a large VAR(1) pp. 54-65

Guillaume Chevillon, Alain Hecq and Sébastien Laurent

Testing for common breaks in a multiple equations system pp. 66-85

Tatsushi Oka and Pierre Perron

Minimum distance approach to inference with many instruments pp. 86-100

Michal Kolesár

Testing for parameter instability in predictive regression models pp. 101-118

Iliyan Georgiev, David Harvey, Stephen Leybourne and Robert Taylor

Uniform confidence bands: Characterization and optimality pp. 119-130

Joachim Freyberger and Yoshiyasu Rai