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 200, issue 2, 2017

The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics pp. 154-168

Yingyao Hu

Consistent estimation of linear panel data models with measurement error pp. 169-180

Erik Meijer, Laura Spierdijk and Tom Wansbeek

Simulated minimum distance estimation of dynamic models with errors-in-variables pp. 181-193

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

Tanya P. Garcia and Yanyuan Ma

Identification of additive and polynomial models of mismeasured regressors without instruments pp. 207-222

Dan Ben-Moshe, D’Haultfœuille, Xavier and Arthur Lewbel

Understanding the effect of measurement error on quantile regressions pp. 223-237

Andrew Chesher

Instrumental variable estimation of nonlinear models with nonclassical measurement error using control variables pp. 238-250

Jinyong Hahn and Geert Ridder

Many IVs estimation of dynamic panel regression models with measurement error pp. 251-259

Nayoung Lee, Hyungsik Moon and Qiankun Zhou

Regression discontinuity design with continuous measurement error in the running variable pp. 260-281

Laurent Davezies and Thomas Le Barbanchon

Bayesian moment-based inference in a regression model with misclassification error pp. 282-294

Christopher Bollinger and Martijn van Hasselt

Misclassification in binary choice models pp. 295-311

Bruce D. Meyer and Nikolas Mittag

Semiparametric identification of the bid–ask spread in extended Roll models pp. 312-325

Xiaohong Chen, Oliver Linton and Yanping Yi

Identification of first-price auctions with non-equilibrium beliefs: A measurement error approach pp. 326-343

Yonghong An

Counting rotten apples: Student achievement and score manipulation in Italian elementary Schools pp. 344-362

Erich Battistin, Michele De Nadai and Daniela Vuri

Modeling heaped duration data: An application to neonatal mortality pp. 363-377

Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht

The precision of subjective data and the explanatory power of economic models pp. 378-389

Tilman Drerup, Benjamin Enke and Hans-Martin von Gaudecker

Volume 200, issue 1, 2017

Tests of additional conditional moment restrictions pp. 1-16

Paulo Parente and Richard J. Smith

Bonferroni-based size-correction for nonstandard testing problems pp. 17-35

Adam McCloskey

Adaptive estimation of continuous-time regression models using high-frequency data pp. 36-47

Jia Li, Viktor Todorov and George Tauchen

Injectivity of a class of integral operators with compactly supported kernels pp. 48-58

Yingyao Hu, Susanne Schennach and Ji-Liang Shiu

Inferences in panel data with interactive effects using large covariance matrices pp. 59-78

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

Richard Y. Chen and Per A. Mykland

Specification testing for nonlinear multivariate cointegrating regressions pp. 104-117

Chaohua Dong, Jiti Gao, Dag Tjøstheim and Jiying Yin

Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation pp. 118-134

Christian Gourieroux and Joann Jasiak

New goodness-of-fit diagnostics for conditional discrete response models pp. 135-149

Igor Kheifets and Carlos Velasco

Volume 199, issue 2, 2017

Structural inference from reduced forms with many instruments pp. 96-116

Peter Phillips and Wayne Gao

What can we learn about the racial gap in the presence of sample selection? pp. 117-130

Esfandiar Maasoumi and Le Wang

Endogenous environmental variables in stochastic frontier models pp. 131-140

Christine Amsler, Artem Prokhorov and Peter Schmidt

Missing data, imputation, and endogeneity pp. 141-155

Ian McDonough and Daniel Millimet

Estimating labor force joiners and leavers using a heterogeneity augmented two-tier stochastic frontier pp. 156-172

Tirthatanmoy Das and Solomon 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

Joseph Hirschberg and Jeanette Lye

Determinants of firm-level domestic sales and exports with spillovers: Evidence from China pp. 184-201

Badi Baltagi, Peter Egger and Michaela Kesina

Realized stochastic volatility with general asymmetry and long memory pp. 202-212

Manabu Asai, Chia-Lin Chang and Michael McAleer

Examples of L2-complete and boundedly-complete distributions pp. 213-220

Donald Andrews

Maximum entropy estimation of income distributions from Basmann’s weighted geometric mean measure pp. 221-231

Hang K. Ryu and Daniel Slottje

Volume 199, issue 1, 2017

Long memory, fractional integration, and cross-sectional aggregation pp. 1-11

Niels Haldrup and J. Eduardo Vera Valdés

Semiparametric estimation and testing of smooth coefficient spatial autoregressive models pp. 12-34

Emir Malikov and Yiguo Sun

Minimum distance from independence estimation of nonseparable instrumental variables models pp. 35-48

Alexander Torgovitsky

A unifying theory of tests of rank pp. 49-62

Majid Al-Sadoon

Identification in a generalization of bivariate probit models with dummy endogenous regressors pp. 63-73

Sukjin Han and Edward J. Vytlacil

Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis pp. 74-92

Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni

Volume 198, issue 2, 2017

Higher-order properties of approximate estimators pp. 189-208

Dennis Kristensen and Bernard Salanié

A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models pp. 209-230

Andreea Halunga, Chris Orme and Takashi Yamagata

Tests of equal accuracy for nested models with estimated factors pp. 231-252

Silvia Goncalves, Michael McCracken and Benoit Perron

Testing for prospect and Markowitz stochastic dominance efficiency pp. 253-270

Stelios Arvanitis and Nikolas Topaloglou

Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order pp. 271-276

Rocco Mosconi and Paolo Paruolo

Asymptotic F and t tests in an efficient GMM setting pp. 277-295

Jungbin Hwang and Yixiao Sun

Volume 198, issue 1, 2017

Learning can generate long memory pp. 1-9

Guillaume Chevillon and Sophocles Mavroeidis

A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation pp. 10-28

Ulrich Hounyo and Rasmus T. Varneskov

A simple consistent test of conditional symmetry in symmetrically trimmed tobit models pp. 29-40

Tao Chen and Gautam Tripathi

Evidence of randomisation bias in a large-scale social experiment: The case of ERA pp. 41-64

Barbara Sianesi

Social interactions under incomplete information with heterogeneous expectations pp. 65-83

Chao Yang and Lung-Fei Lee

On time-varying factor models: Estimation and testing pp. 84-101

Liangjun Su and Xia Wang

Fixed-effects dynamic spatial panel data models and impulse response analysis pp. 102-121

Kunpeng Li

Chasing volatility pp. 122-145

Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

Measurement errors in quantile regression models pp. 146-164

Sergio Firpo, Antonio Galvao and Suyong Song

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form pp. 165-188

Giuseppe Cavaliere, Morten Nielsen and Robert Taylor