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 197, issue 2, 2017

QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices pp. 173-201

Xi Qu, Lung-Fei Lee and Jihai Yu

Testing identifying assumptions in nonseparable panel data models pp. 202-217

Dalia Ghanem

Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination pp. 218-244

Bent Jesper Christensen and Rasmus Tangsgaard Varneskov

Inference from high-frequency data: A subsampling approach pp. 245-272

K. Christensen, M. Podolskij, N. Thamrongrat and Bezirgen Veliyev

Bayesian mode regression using mixtures of triangular densities pp. 273-283

Chi-san Ho, Paul Damien and Stephen Walker

Testing for non-correlation between price and volatility jumps pp. 284-297

Jean Jacod, Claudia Klüppelberg and Gernot Müller

A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data pp. 298-322

Min Seong Kim, Yixiao Sun and Jingjing Yang

Spatial dynamic panel data models with interactive fixed effects pp. 323-347

Wei Shi and Lung-Fei Lee

Fitting a two phase threshold multiplicative error model pp. 348-367

Indeewara Perera and Hira L. Koul

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models pp. 368-381

Yaxing Yang and Shiqing Ling

Volume 197, issue 1, 2017

Resurrecting weighted least squares pp. 1-19

Joseph P. Romano and Michael Wolf

Estimation of integrated quadratic covariation with endogenous sampling times pp. 20-41

Yoann Potiron and Per A. Mykland

Partial identification of functionals of the joint distribution of “potential outcomes” pp. 42-59

Yanqin Fan, Emmanuel Guerre and Dongming Zhu

On the role of the rank condition in CCE estimation of factor-augmented panel regressions pp. 60-64

Hande Karabiyik, Simon Reese and Joakim Westerlund

Estimation of average treatment effects with panel data: Asymptotic theory and implementation pp. 65-75

Kathleen T. Li and David R. Bell

Determining the number of factors when the number of factors can increase with sample size pp. 76-86

Hongjun Li, Qi Li and Yutang Shi

Identification and estimation of a large factor model with structural instability pp. 87-100

Badi Baltagi, Chihwa Kao and Fa Wang

Least squares estimation of large dimensional threshold factor models pp. 101-129

Daniele Massacci

Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading pp. 130-152

Ulrich Hounyo

Testing rationality without restricting heterogeneity pp. 153-171

Kohei Kawaguchi

Volume 196, issue 2, 2017

R-estimation in semiparametric dynamic location-scale models pp. 233-247

Marc Hallin and Davide La Vecchia

Estimation of fractionally integrated panels with fixed effects and cross-section dependence pp. 248-258

Yunus Emre Ergemen and Carlos Velasco

Inference and testing breaks in large dynamic panels with strong cross sectional dependence pp. 259-274

Javier Hidalgo and Marcia Schafgans

Inference based on many conditional moment inequalities pp. 275-287

Donald Andrews and Xiaoxia Shi

Identification and estimation of non-Gaussian structural vector autoregressions pp. 288-304

Markku Lanne, Mika Meitz and Pentti Saikkonen

Tests for conditional ellipticity in multivariate GARCH models pp. 305-319

Christian Francq, M.D. Jiménez-Gamero and S.G. Meintanis

Unequal spacing in dynamic panel data: Identification and estimation pp. 320-330

Yuya Sasaki and Yi Xin

Fractional order statistic approximation for nonparametric conditional quantile inference pp. 331-346

Matt Goldman and David Kaplan

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity pp. 347-367

Kris Boudt, Sébastien Laurent, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri

Testing for central dominance: Method and application pp. 368-378

O-Chia Chuang, Chung-Ming Kuan and Larry Y. Tzeng

Volume 196, issue 1, 2017

Efficient estimation in models with independence restrictions pp. 1-22

Alexandre Poirier

Inference and testing on the boundary in extended constant conditional correlation GARCH models pp. 23-36

Rasmus Pedersen

Asymptotics for recurrent diffusions with application to high frequency regression pp. 37-54

Jihyun Kim and Joon Y. Park

Rolling window selection for out-of-sample forecasting with time-varying parameters pp. 55-67

Atsushi Inoue, Lu Jin and Barbara Rossi

A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks pp. 68-82

Guohua Feng, Jiti Gao, Bin Peng and Xiaohui Zhang

Forecasting cointegrated nonstationary time series with time-varying variance pp. 83-98

Yundong Tu and Yanping Yi

A multivariate stochastic unit root model with an application to derivative pricing pp. 99-110

Offer Lieberman and Peter Phillips

Statistical inference for independent component analysis: Application to structural VAR models pp. 111-126

Christian Gourieroux, Alain Monfort and Jean-Paul Renne

A new approach to model regime switching pp. 127-143

Yoosoon Chang, Yongok Choi and Joon Y. Park

Impulse response matching estimators for DSGE models pp. 144-155

Pablo Guerron, Atsushi Inoue and Lutz Kilian

Inference in semiparametric conditional moment models with partial identification pp. 156-179

Shengjie Hong

Estimating smooth structural change in cointegration models pp. 180-195

Peter Phillips, Degui Li and Jiti Gao

Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models pp. 196-214

Kai Yang and Lung-Fei Lee

Data revisions and DSGE models pp. 215-232

Ana Galvão

Volume 195, issue 2, 2016

Dynamic panels with threshold effect and endogeneity pp. 169-186

Myung Hwan Seo and Yongcheol Shin

Using invalid instruments on purpose: Focused moment selection and averaging for GMM pp. 187-208

Francis DiTraglia

Variance of the truncated negative binomial distribution pp. 209-210

J Shonkwiler

Spillover dynamics for systemic risk measurement using spatial financial time series models pp. 211-223

Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg

Structural estimation of pairwise stable networks with nonnegative externality pp. 224-235

Yuhei Miyauchi

A simple nonparametric approach to estimating the distribution of random coefficients in structural models pp. 236-254

Jeremy Fox, Kyoo il Kim and Chenyu Yang

Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model pp. 255-270

Heng Chen, Yanqin Fan and Ruixuan Liu

Volume 195, issue 1, 2016

Identifying the average treatment effect in ordered treatment models without unconfoundedness pp. 1-22

Arthur Lewbel and Thomas Tao Yang

Four decades of the Journal of Econometrics: Coauthorship patterns and networks pp. 23-32

Andreas Andrikopoulos, Aristeidis Samitas and Konstantinos Kostaris

Efficient estimation of integrated volatility incorporating trading information pp. 33-50

Yingying Li, Shangyu Xie and Xinghua Zheng

Estimating jump–diffusions using closed-form likelihood expansions pp. 51-70

Chenxu Li and Dachuan Chen

Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models pp. 71-85

Anders Kock

Conditional Value-at-Risk: Semiparametric estimation and inference pp. 86-103

Chuan-Sheng Wang and Zhibiao Zhao

Econometric estimation with high-dimensional moment equalities pp. 104-119

Zhentao Shi

An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions pp. 120-133

Jonathan Eggleston

Functional-coefficient spatial autoregressive models with nonparametric spatial weights pp. 134-153

Yiguo Sun

Testing a single regression coefficient in high dimensional linear models pp. 154-168

Wei Lan, Ping-Shou Zhong, Runze Li, Hansheng Wang and Chih-Ling Tsai