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 203, issue 2, 2018

A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise pp. 187-222

Yingying Li, Zhiyuan Zhang and Yichu Li

Asymptotic inference about predictive accuracy using high frequency data pp. 223-240

Jia Li and Andrew Patton

On the choice of test statistic for conditional moment inequalities pp. 241-255

Timothy Armstrong

Testing for self-excitation in jumps pp. 256-266

H. Peter Boswijk, Roger Laeven and Xiye Yang

Bayesian nonparametric vector autoregressive models pp. 267-282

Maria Kalli and Jim Griffin

Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics pp. 283-296

Irene Botosaru and Yuya Sasaki

Resolution of policy uncertainty and sudden declines in volatility pp. 297-315

Dante Amengual and Dacheng Xiu

Delta-method inference for a class of set-identified SVARs pp. 316-327

Bulat Gafarov, Matthias Meier and José Luis Montiel Olea

Identification and estimation of incomplete information games with multiple equilibria pp. 328-343

Ruli Xiao

Consistent estimation of linear regression models using matched data pp. 344-358

Masayuki Hirukawa and Artem Prokhorov

Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects pp. 359-378

Yiguo Sun and Emir Malikov

Volume 203, issue 1, 2018

Spatial weights matrix selection and model averaging for spatial autoregressive models pp. 1-18

Xinyu Zhang and Jihai Yu

A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states pp. 19-32

A. Ronald Gallant, Han Hong and Ahmed Khwaja

A multivariate test against spurious long memory pp. 33-49

Philipp Sibbertsen, Christian Leschinski and Marie Busch

Threshold regression with endogeneity pp. 50-68

Ping Yu and Peter Phillips

Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data pp. 69-79

Donggyu Kim, Xin-Bing Kong, Cui-Xia Li and Yazhen Wang

Autoregressive spatial spectral estimates pp. 80-95

Abhimanyu Gupta

Sieve maximum likelihood estimation of the spatial autoregressive Tobit model pp. 96-112

Xingbai Xu and Lung-Fei Lee

Identification and estimation of nonseparable single-index models in panel data with correlated random effects pp. 113-128

Pavel Cizek and Jinghua Lei

Extremal quantile regressions for selection models and the black–white wage gap pp. 129-142

D’Haultfœuille, Xavier, Arnaud Maurel and Yichong Zhang

Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso pp. 143-168

Mehmet Caner and Anders Kock

Nonparametric specification testing via the trinity of tests pp. 169-185

Abhimanyu Gupta

Volume 202, issue 2, 2018

Estimation and inference of dynamic structural factor models with over-identifying restrictions pp. 125-147

Xu Han

Nonparametric identification and estimation of sample selection models under symmetry pp. 148-160

Songnian Chen, Yahong Zhou and Yuanyuan Ji

Consistent inference in fixed-effects stochastic frontier models pp. 161-177

Federico Belotti and Giuseppe Ilardi

Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity pp. 178-195

Eunju Hwang and Dong Wan Shin

Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments pp. 196-213

Ying Zhu

The cointegrated vector autoregressive model with general deterministic terms pp. 214-229

Soren Johansen and Morten Nielsen

Efficient estimation and computation for the generalised additive models with unknown link function pp. 230-244

Huazhen Lin, Lixian Pan, Shaogao Lv and Wenyang Zhang

Nonparametric testing for smooth structural changes in panel data models pp. 245-267

Bin Chen and Liquan Huang

Nonparametric estimation in case of endogenous selection pp. 268-285

Christoph Breunig, Enno Mammen and Anna Simoni

Nonparametric fixed effects model for panel data with locally stationary regressors pp. 286-305

Youquan Pei, Tao Huang and Jinhong You

Volume 202, issue 1, 2018

The ZD-GARCH model: A new way to study heteroscedasticity pp. 1-17

Dong Li, Xingfa Zhang, Ke Zhu and Shiqing Ling

Testing for mutually exciting jumps and financial flights in high frequency data pp. 18-44

Mardi Dungey, Deniz Erdemlioglu, Marius Matei and Xiye Yang

Pythagorean generalization of testing the equality of two symmetric positive definite matrices pp. 45-56

Jin Seo Cho and Peter Phillips

Exponentially tilted likelihood inference on growing dimensional unconditional moment models pp. 57-74

Niansheng Tang, Xiaodong Yan and Puying Zhao

Estimation and forecasting in vector autoregressive moving average models for rich datasets pp. 75-91

Gustavo Fruet Dias and George Kapetanios

Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension pp. 92-107

Abhimanyu Gupta and Peter M. Robinson

Robust linear static panel data models using ε-contamination pp. 108-123

Badi 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

Patrick Gagliardini and Christian Gourieroux

Bayesian estimation of state space models using moment conditions pp. 198-211

A. Ronald Gallant, Raffaella Giacomini and Giuseppe Ragusa

Efficient two-step estimation via targeting pp. 212-227

David T. Frazier and Eric Renault

A discrete model for bootstrap iteration pp. 228-236

Russell Davidson

Nonparametric estimation of non-exchangeable latent-variable models pp. 237-248

Stéphane Bonhomme, Koen Jochmans and Jean-Marc Robin

Rationalization and identification of binary games with correlated types pp. 249-268

Nianqing Liu, Quang Vuong and Haiqing Xu

Functional linear regression with functional response pp. 269-291

David Benatia, Marine Carrasco and Jean-Pierre Florens

Sufficient forecasting using factor models pp. 292-306

Jianqing Fan, Lingzhou Xue and Jiawei Yao

Generalized dynamic factor models and volatilities: estimation and forecasting pp. 307-321

Matteo Barigozzi and Marc Hallin

Real-time forecast evaluation of DSGE models with stochastic volatility pp. 322-332

Francis Diebold, Frank Schorfheide and Minchul Shin

Scenario generation for long run interest rate risk assessment pp. 333-347

Robert Engle, Guillaume Roussellet and Emil Siriwardane

Staying at zero with affine processes: An application to term structure modelling pp. 348-366

Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet

Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows pp. 367-383

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

Yacine Ait-Sahalia and Dacheng Xiu

Inference in continuous systems with mildly explosive regressors pp. 400-416

Ye Chen, Peter Phillips and Jun Yu

Mixed-scale jump regressions with bootstrap inference pp. 417-432

Jia Li, Viktor Todorov, George Tauchen and Rui Chen

Volume 201, issue 1, 2017

Regression discontinuity with categorical outcomes pp. 1-18

Ke-Li Xu

Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading pp. 19-42

Neil Shephard and Dacheng Xiu

Bootstrapping the GMM overidentification test under first-order underidentification pp. 43-71

Prosper Dovonon and Silvia Goncalves

Nonparametric conditional quantile estimation: A locally weighted quantile kernel approach pp. 72-94

Jeffrey Racine and Kevin Li

Direct instrumental nonparametric estimation of inverse regression functions pp. 95-107

Jerome M. Krief

Nonparametric estimation and inference under shape restrictions pp. 108-126

Joel L. Horowitz and Sokbae (Simon) Lee

On high frequency estimation of the frictionless price: The use of observed liquidity variables pp. 127-143

Selma Chaker

The triangular model with random coefficients pp. 144-169

Stefan Hoderlein, Hajo Holzmann and Alexander Meister