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Journal of Econometrics

1973 - 2017

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

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Volume 195, issue 2, 2016

Dynamic panels with threshold effect and endogeneity pp. 169-186 Downloads
Myung Hwan Seo and Yongcheol Shin
Using invalid instruments on purpose: Focused moment selection and averaging for GMM pp. 187-208 Downloads
Francis DiTraglia
Variance of the truncated negative binomial distribution pp. 209-210 Downloads
J Shonkwiler
Spillover dynamics for systemic risk measurement using spatial financial time series models pp. 211-223 Downloads
Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg
Structural estimation of pairwise stable networks with nonnegative externality pp. 224-235 Downloads
Yuhei Miyauchi
A simple nonparametric approach to estimating the distribution of random coefficients in structural models pp. 236-254 Downloads
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 Downloads
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 Downloads
Arthur Lewbel and Thomas Tao Yang
Four decades of the Journal of Econometrics: Coauthorship patterns and networks pp. 23-32 Downloads
Andreas Andrikopoulos, Aristeidis Samitas and Konstantinos Kostaris
Efficient estimation of integrated volatility incorporating trading information pp. 33-50 Downloads
Yingying Li, Shangyu Xie and Xinghua Zheng
Estimating jump–diffusions using closed-form likelihood expansions pp. 51-70 Downloads
Chenxu Li and Dachuan Chen
Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models pp. 71-85 Downloads
Anders Bredahl Kock
Conditional Value-at-Risk: Semiparametric estimation and inference pp. 86-103 Downloads
Chuan-Sheng Wang and Zhibiao Zhao
Econometric estimation with high-dimensional moment equalities pp. 104-119 Downloads
Zhentao Shi
An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions pp. 120-133 Downloads
Jonathan Eggleston
Functional-coefficient spatial autoregressive models with nonparametric spatial weights pp. 134-153 Downloads
Yiguo Sun
Testing a single regression coefficient in high dimensional linear models pp. 154-168 Downloads
Wei Lan, Ping-Shou Zhong, Runze Li, Hansheng Wang and Chih-Ling Tsai

Volume 194, issue 2, 2016

Increased correlation among asset classes: Are volatility or jumps to blame, or both? pp. 205-219 Downloads
Yacine Aït-Sahalia and Dacheng Xiu
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data pp. 220-230 Downloads
Donggyu Kim and Yazhen Wang
Copula structured M4 processes with application to high-frequency financial data pp. 231-241 Downloads
Zhengjun Zhang and Bin Zhu
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price pp. 242-262 Downloads
Per A. Mykland and Lan Zhang
Convolutional autoregressive models for functional time series pp. 263-282 Downloads
Xialu Liu, Han Xiao and Rong Chen
Testing super-diagonal structure in high dimensional covariance matrices pp. 283-297 Downloads
Jing He and Song Chen
Robust inference of risks of large portfolios pp. 298-308 Downloads
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
Semiparametric dynamic portfolio choice with multiple conditioning variables pp. 309-318 Downloads
Jia Chen, Degui Li, Oliver Linton and Zudi Lu
Asymptotics for parametric GARCH-in-Mean models pp. 319-329 Downloads
Christian Conrad and Enno Mammen
Tail dependence measure for examining financial extreme co-movements pp. 330-348 Downloads
Alexandru V. Asimit, Russell Gerrard, Yanxi Hou and Liang Peng
Local-momentum autoregression and the modeling of interest rate term structure pp. 349-359 Downloads
Jin-Chuan Duan
On consistency of minimum description length model selection for piecewise autoregressions pp. 360-368 Downloads
Richard A. Davis, Stacey A. Hancock and Yi-Ching Yao
Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients pp. 369-382 Downloads
Baojun Dou, Maria Lucia Parrella and Qiwei Yao

Volume 194, issue 1, 2016

Modeling covariance breakdowns in multivariate GARCH pp. 1-23 Downloads
Xin Jin and John Maheu
Multiscale adaptive inference on conditional moment inequalities pp. 24-43 Downloads
Timothy B. Armstrong and Hock Peng Chan
Local composite quantile regression smoothing for Harris recurrent Markov processes pp. 44-56 Downloads
Degui Li and Runze Li
Identification of panel data models with endogenous censoring pp. 57-75 Downloads
Shakeeb Khan, Maria Ponomareva and Elie Tamer
White noise testing and model diagnostic checking for functional time series pp. 76-95 Downloads
Xianyang Zhang
A simple test for moment inequality models with an application to English auctions pp. 96-115 Downloads
Andres Aradillas-Lopez, Amit Gandhi and Daniel Quint
Estimating dynamic equilibrium models using mixed frequency macro and financial data pp. 116-137 Downloads
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
The large-sample distribution of the maximum Sharpe ratio with and without short sales pp. 138-152 Downloads
Ross Maller, Steven Roberts and Rabee Tourky
A nonparametric test of a strong leverage hypothesis pp. 153-186 Downloads
Oliver Linton, Yoon-Jae Whang and Yu-Min Yen
Consistent model specification tests based on k-nearest-neighbor estimation method pp. 187-202 Downloads
Hongjun Li, Qi Li and Ruixuan Liu

Volume 193, issue 2, 2016

Macroeconomics and the reality of mixed frequency data pp. 294-314 Downloads
Eric Ghysels
A MIDAS approach to modeling first and second moment dynamics pp. 315-334 Downloads
Davide Pettenuzzo, Allan Timmermann and Rossen Valkanov
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs pp. 335-348 Downloads
Massimiliano Marcellino and Vasja Sivec
High-dimensional copula-based distributions with mixed frequency data pp. 349-366 Downloads
Dong Hwan Oh and Andrew Patton
On the use of high frequency measures of volatility in MIDAS regressions pp. 367-389 Downloads
Elena Andreou
The estimation of continuous time models with mixed frequency data pp. 390-404 Downloads
Marcus Chambers
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data pp. 405-417 Downloads
Francisco Blasques, Siem Jan Koopman, M. Mallee and Zhaoyong Zhang
Testing for Granger causality in large mixed-frequency VARs pp. 418-432 Downloads
Thomas Götz, Alain Hecq and Stephan Smeekes
A computationally efficient method for vector autoregression with mixed frequency data pp. 433-437 Downloads
Hang Qian
Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data pp. 438-446 Downloads
Peter Zadrozny

Volume 193, issue 1, 2016

Kernel estimation of hazard functions when observations have dependent and common covariates pp. 1-16 Downloads
James Lewis Wolter
Inference theory for volatility functional dependencies pp. 17-34 Downloads
Jia Li, Viktor Todorov and George Tauchen
Double asymptotics for explosive continuous time models pp. 35-53 Downloads
Xiaohu Wang and Jun Yu
Statistical inference in a random coefficient panel model pp. 54-75 Downloads
Lajos Horvath and Lorenzo Trapani
Multivariate and multiple permutation tests pp. 76-91 Downloads
EunYi Chung and Joseph P. Romano
Smoothed quantile regression for panel data pp. 92-112 Downloads
Antonio F. Galvao and Kengo Kato
A discontinuity test for identification in triangular nonseparable models pp. 113-122 Downloads
Carolina Caetano, Christoph Rothe and Neşe Yıldız
Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework pp. 123-146 Downloads
Xianyang Zhang
S-values: Conventional context-minimal measures of the sturdiness of regression coefficients pp. 147-161 Downloads
Edward Leamer
Informational content of special regressors in heteroskedastic binary response models pp. 162-182 Downloads
Songnian Chen, Shakeeb Khan and Xun Tang
Testing for monotonicity in unobservables under unconfoundedness pp. 183-202 Downloads
Stefan Hoderlein, Liangjun Su, Halbert White and Thomas Tao Yang
A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous pp. 203-214 Downloads
Shin Ikeda
Goodness-of-fit test for specification of semiparametric copula dependence models pp. 215-233 Downloads
Shulin Zhang, Ostap Okhrin, Qian M. Zhou and Peter X.-K. Song
Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave pp. 234-250 Downloads
Liana Jacobi, Helga Wagner and Sylvia Frühwirth-Schnatter
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series pp. 251-270 Downloads
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
Model averaging in semiparametric estimation of treatment effects pp. 271-289 Downloads
Toru Kitagawa and Chris Muris
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