Journal of Econometrics

1973 - 2025

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 191, issue 2, 2016

Dynamic treatment effects pp. 276-292

James Heckman, John Humphries and Gregory Veramendi

Credible interval estimates for official statistics with survey nonresponse pp. 293-301

Charles Manski

On independence conditions in nonseparable models: Observable and unobservable instruments pp. 302-311

Rosa Matzkin

Real-time nowcasting of nominal GDP with structural breaks pp. 312-324

William Barnett, Marcelle Chauvet and Danilo Leiva-Leon

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error pp. 325-347

Sujin Park, Seok Young Hong and Oliver Linton

A new approach to measuring and studying the characteristics of class membership: Examining poverty, inequality and polarization in urban China pp. 348-359

Gordon Anderson, Alessio Farcomeni, Maria Grazia Pittau and Roberto Zelli

Consistent tests for poverty dominance relations pp. 360-373

Garry Barrett, Stephen G. Donald and Yu-Chin Hsu

A solution to aggregation and an application to multidimensional ‘well-being’ frontiers pp. 374-383

Esfandiar Maasoumi and Jeffrey Racine

Improving GDP measurement: A measurement-error perspective pp. 384-397

S. Boragan Aruoba, Francis Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

Price discounts and the measurement of inflation pp. 398-406

Kevin Fox and Iqbal Syed

A least squares approach to imposing within-region fixity in the International Comparisons Program pp. 407-413

Robert Hill

Stochastic approach to computation of purchasing power parities in the International Comparison Program (ICP) pp. 414-425

D.S. Prasada Rao and Gholamreza Hajargasht

Measuring industry productivity and cross-country convergence pp. 426-433

Robert Inklaar and Walter Diewert

Volume 191, issue 1, 2016

Efficient estimation of approximate factor models via penalized maximum likelihood pp. 1-18

Jushan Bai and Yuan Liao

Nonparametric errors in variables models with measurement errors on both sides of the equation pp. 19-32

Michele De Nadai and Arthur Lewbel

Long memory affine term structure models pp. 33-56

Adam Golinski and Paolo Zaffaroni

Testing for (in)finite moments pp. 57-68

Lorenzo Trapani

Inference in VARs with conditional heteroskedasticity of unknown form pp. 69-85

Ralf Brüggemann, Carsten Jentsch and Carsten Trenkler

Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso pp. 86-109

Junhui Qian and Liangjun Su

Information theory for maximum likelihood estimation of diffusion models pp. 110-128

Hwan-sik Choi

Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness pp. 129-144

Holger Dette, Stefan Hoderlein and Natalie Neumeyer

Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers pp. 145-163

Szabolcs Blazsek and Alvaro Escribano

Intergenerational long-term effects of preschool-structural estimates from a discrete dynamic programming model pp. 164-175

James Heckman and Lakshmi K. Raut

Estimation of heterogeneous panels with structural breaks pp. 176-195

Badi Baltagi, Qu Feng and Chihwa Kao

A direct approach to inference in nonparametric and semiparametric quantile models pp. 196-216

Yanqin Fan and Ruixuan Liu

Variation-based tests for volatility misspecification pp. 217-230

Alex Papanicolaou and Kay Giesecke

Sieve instrumental variable quantile regression estimation of functional coefficient models pp. 231-254

Liangjun Su and Tadao Hoshino

ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors pp. 255-271

Marcelo Medeiros and Eduardo F. Mendes

Volume 190, issue 2, 2016

A weak instrument F-test in linear IV models with multiple endogenous variables pp. 212-221

Eleanor Sanderson and Frank Windmeijer

Endogenous network production functions with selectivity pp. 222-232

William Horrace, Xiaodong Liu and Eleonora Patacchini

Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects pp. 233-251

Emir Malikov, Subal Kumbhakar and Yiguo Sun

A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching pp. 252-266

Irina Murtazashvili and Jeffrey Wooldridge

Estimating production functions with control functions when capital is measured with error pp. 267-279

Kyoo il Kim, Amil Petrin and Suyong Song

Endogeneity in stochastic frontier models pp. 280-288

Christine Amsler, Artem Prokhorov and Peter Schmidt

A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers pp. 289-300

Anthony J. Glass, Karligash Kenjegalieva and Robin Sickles

Directional distance functions: Optimal endogenous directions pp. 301-314

Scott Atkinson and Mike Tsionas

The good, the bad and the technology: Endogeneity in environmental production models pp. 315-327

Subal Kumbhakar and Mike Tsionas

Using information about technologies, markets and firm behaviour to decompose a proper productivity index pp. 328-340

O’Donnell, C.J.

Some models for stochastic frontiers with endogeneity pp. 341-348

William Griffiths and Gholamreza Hajargasht

Nonparametric instrumental variables estimation for efficiency frontier pp. 349-359

Catherine Cazals, Frédérique Feve, Jean-Pierre Florens and Leopold Simar

Unobserved heterogeneity and endogeneity in nonparametric frontier estimation pp. 360-373

Leopold Simar, Anne Vanhems and Ingrid Van Keilegom

Volume 190, issue 1, 2016

Series estimation under cross-sectional dependence pp. 1-17

Jungyoon Lee and Peter M. Robinson

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference pp. 18-45

Jonathan B. Hill and Artem Prokhorov

Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank pp. 46-61

Marc Hallin, Ramon van den Akker and Bas J.M. Werker

Adverse selection, moral hazard and the demand for Medigap insurance pp. 62-78

Michael Keane and Olena Stavrunova

Methods for measuring expectations and uncertainty in Markov-switching models pp. 79-99

Francesco Bianchi

Testing for monotonicity under endogeneity pp. 100-114

Daniel Gutknecht

Efficient shrinkage in parametric models pp. 115-132

Bruce Hansen

Particle efficient importance sampling pp. 133-147

Marcel Scharth and Robert Kohn

Shrinkage estimation of dynamic panel data models with interactive fixed effects pp. 148-175

Xun Lu and Liangjun Su

A tale of two option markets: Pricing kernels and volatility risk pp. 176-196

Zhaogang Song and Dacheng Xiu

Grouped effects estimators in fixed effects models pp. 197-208

C. Alan Bester and Christian Hansen