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 189, issue 2, 2015

Frontiers in Time Series and Financial Econometrics: An overview pp. 245-250

Shiqing Ling, Michael McAleer and Howell Tong

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance pp. 251-262

Manabu Asai and Michael McAleer

Prediction of Lévy-driven CARMA processes pp. 263-271

Peter J. Brockwell and Alexander Lindner

Functional index coefficient models with variable selection pp. 272-284

Zongwu Cai, Ted Juhl and Bingduo Yang

LASSO estimation of threshold autoregressive models pp. 285-296

Ngai Hang Chan, Chun Yip Yau and Rong-Mao Zhang

High dimensional stochastic regression with latent factors, endogeneity and nonlinearity pp. 297-312

Jinyuan Chang, Bin Guo and Qiwei Yao

Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations pp. 313-320

Min Chen and Ke Zhu

Toward optimal model averaging in regression models with time series errors pp. 321-334

Tzu-Chang F. Cheng, Ching-Kang Ing and Shu-Hui Yu

High dimensional dynamic stochastic copula models pp. 335-345

Drew Creal and Ruey S. Tsay

A misspecification test for multiplicative error models of non-negative time series processes pp. 346-359

Jiti Gao, Nam Hyun Kim and Patrick W. Saart

Sample quantile analysis for long-memory stochastic volatility models pp. 360-370

Hwai-Chung Ho

Testing for independence between functional time series pp. 371-382

Lajos Horvath and Gregory Rice

Statistical inference for panel dynamic simultaneous equations models pp. 383-396

Cheng Hsiao and Qiankun Zhou

Specification tests of calibrated option pricing models pp. 397-414

Robert Jarrow and Simon Sai Man Kwok

Asymptotic inference in multiple-threshold double autoregressive models pp. 415-427

Dong Li, Shiqing Ling and Jean-Michel Zakoian

A new hyperbolic GARCH model pp. 428-436

Muyi Li, Wai Keung Li and Guodong Li

Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach pp. 437-446

Shouwei Liu and Yiu-Kuen Tse

Refinements in maximum likelihood inference on spatial autocorrelation in panel data pp. 447-456

Peter M. Robinson and Francesca Rossi

Statistical inference for conditional quantiles in nonlinear time series models pp. 457-472

Mike K.P. So and Ray S.W. Chung

Quasi-likelihood estimation of a threshold diffusion process pp. 473-484

Fei Su and Kung-Sik Chan

Threshold models in time series analysis—Some reflections pp. 485-491

Howell Tong

Generalized ARMA models with martingale difference errors pp. 492-506

Tingguo Zheng, Han Xiao and Rong Chen

Volume 189, issue 1, 2015

Robust inference on average treatment effects with possibly more covariates than observations pp. 1-23

Max Farrell

Binary quantile regression with local polynomial smoothing pp. 24-40

Songnian Chen and Hanghui Zhang

Identification and shape restrictions in nonparametric instrumental variables estimation pp. 41-53

Joachim Freyberger and Joel L. Horowitz

A Bayesian chi-squared test for hypothesis testing pp. 54-69

Yong Li, Xiao-Bin Liu and Jun Yu

Identification of mixture models using support variations pp. 70-82

D’Haultfœuille, Xavier and Philippe Février

Adaptive estimation of the threshold point in threshold regression pp. 83-100

Ping Yu

Unexplained factors and their effects on second pass R-squared’s pp. 101-116

Frank Kleibergen and Zhaoguo Zhan

Identification of complete information games pp. 117-131

Brendan Kline

Regression discontinuity designs with unknown discontinuity points: Testing and estimation pp. 132-147

Jack Porter and Ping Yu

Smooth coefficient estimation of a seemingly unrelated regression pp. 148-162

Daniel Henderson, Subal Kumbhakar, Qi Li and Christopher Parmeter

Sieve semiparametric two-step GMM under weak dependence pp. 163-186

Xiaohong Chen and Zhipeng Liao

Testing for factor loading structural change under common breaks pp. 187-206

Yohei Yamamoto and Shinya Tanaka

Robust inference in nonlinear models with mixed identification strength pp. 207-228

Xu Cheng

Identification and estimation of games with incomplete information using excluded regressors pp. 229-244

Arthur Lewbel and Xun Tang

Volume 188, issue 2, 2015

Estimation of panel data partly specified Tobit regression with fixed effects pp. 316-326

Chunrong Ai, Hongjun Li, Zhongjian Lin and Meixia Meng

A semiparametric model for heterogeneous panel data with fixed effects pp. 327-345

Lena Boneva, Oliver Linton and Michael Vogt

Panel nonparametric regression with fixed effects pp. 346-362

Jungyoon Lee and Peter M. Robinson

Set identification of the censored quantile regression model for short panels with fixed effects pp. 363-377

Tong Li and Tatsushi Oka

Nonparametric identification in panels using quantiles pp. 378-392

Victor Chernozhukov, Ivan Fernandez-Val, Stefan Hoderlein, Hajo Holzmann and Whitney Newey

Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors pp. 393-420

Alexander Chudik and Mohammad Pesaran

Binary response correlated random coefficient panel data models pp. 421-434

Yichen Gao, Cong Li and Zhongwen Liang

Estimation of dynamic discrete models from time aggregated data pp. 435-446

Han Hong, Weiming Li and Boyu Wang

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions pp. 447-465

Xiaohong Chen and Timothy M. Christensen

Testing error serial correlation in fixed effects nonparametric panel data models pp. 466-473

Carl Green, Wei Long and Cheng Hsiao

Model selection in the presence of incidental parameters pp. 474-489

Yoonseok Lee and Peter Phillips

A data-driven smooth test of symmetry pp. 490-501

Ying Fang, Qi Li, Ximing Wu and Daiqiang Zhang

Optimal smoothing in nonparametric conditional quantile derivative function estimation pp. 502-513

Wei Lin, Zongwu Cai, Zheng Li and Li Su

Subjective mortality risk and bequests pp. 514-525

Li Gan, Guan Gong, Michael Hurd and Daniel McFadden

Nonparametric estimation of structural labor supply and exact welfare change under nonconvex piecewise-linear budget sets pp. 526-544

Li Gan, Gaosheng Ju and Xi Zhu

The treatment-effect estimation: A case study of the 2008 economic stimulus package of China pp. 545-557

Min Ouyang and Yulei Peng

Home-purchase restriction, property tax and housing price in China: A counterfactual analysis pp. 558-568

Zaichao Du and Lin Zhang

Volume 188, issue 1, 2015

Large sample properties of the matrix exponential spatial specification with an application to FDI pp. 1-21

Nicolas Debarsy, Fei Jin and Lung-Fei Lee

Nonparametric identification and estimation of transformation models pp. 22-39

Pierre-André Chiappori, Ivana Komunjer and Dennis Kristensen

Jackknife model averaging for quantile regressions pp. 40-58

Xun Lu and Liangjun Su

New tools for understanding the local asymptotic power of panel unit root tests pp. 59-93

Joakim Westerlund and Rolf Larsson

Higher-order improvements of the sieve bootstrap for fractionally integrated processes pp. 94-110

Donald Poskitt, Simone D. Grose and Gael M. Martin

Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity pp. 111-134

Kazuhiko Hayakawa and Mohammad Pesaran

Identification and estimation in a correlated random coefficients binary response model pp. 135-149

Stefan Hoderlein and Robert Sherman

Generalised density forecast combinations pp. 150-165

George Kapetanios, James Mitchell, Simon Price and Nicholas Fawcett

Structural-break models under mis-specification: Implications for forecasting pp. 166-181

Bonsoo Koo and Myung Hwan Seo

Two-step estimation of network-formation models with incomplete information pp. 182-195

Michael Leung

Specification and structural break tests for additive models with applications to realized variance data pp. 196-218

Matthias Fengler, E. Mammen and M. Vogt

Estimation of heterogeneous autoregressive parameters with short panel data pp. 219-235

Sophocles Mavroeidis, Yuya Sasaki and Ivo Welch

Heterogeneity and selection in dynamic panel data pp. 236-249

Yuya Sasaki

Extremum estimation and numerical derivatives pp. 250-263

Han Hong, Aprajit Mahajan and Denis Nekipelov

Maximum likelihood estimation of a spatial autoregressive Tobit model pp. 264-280

Xingbai Xu and Lung-Fei Lee

Quantile cointegration in the autoregressive distributed-lag modeling framework pp. 281-300

Jin Seo Cho, Tae-Hwan Kim and Yongcheol Shin

Semiparametric single-index panel data models with cross-sectional dependence pp. 301-312

Chaohua Dong, Jiti Gao and Bin Peng