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 185, issue 2, 2015

Residual-based rank specification tests for AR–GARCH type models pp. 305-331

Elena Andreou and Bas J.M. Werker

Jackknife instrumental variable estimation with heteroskedasticity pp. 332-342

Paul A. Bekker and Federico Crudu

Through the looking glass: Indirect inference via simple equilibria pp. 343-358

Laurent Calvet and Veronika Czellar

Dynamic factor models with infinite-dimensional factor spaces: One-sided representations pp. 359-371

Mario Forni, Marc Hallin, Marco Lippi and Paolo Zaffaroni

Cross-sectional averages versus principal components pp. 372-377

Joakim Westerlund and Jean-Pierre Urbain

Nonparametric rank tests for non-stationary panels pp. 378-391

Peter Pedroni, Timothy Vogelsang, Martin Wagner and Joakim Westerlund

Closed-form estimation of nonparametric models with non-classical measurement errors pp. 392-408

Yingyao Hu and Yuya Sasaki

Bayesian regression with nonparametric heteroskedasticity pp. 409-419

Andriy Norets

Asymptotics for nonparametric and semiparametric fixed effects panel models pp. 420-434

Cong Li and Zhongwen Liang

Efficient inference on fractionally integrated panel data models with fixed effects pp. 435-452

Peter M. Robinson and Carlos Velasco

The effect of recursive detrending on panel unit root tests pp. 453-467

Joakim Westerlund

Nonparametric predictive regression pp. 468-494

Ioannis Kasparis, Elena Andreou and Peter Phillips

The power of PANIC pp. 495-509

Joakim Westerlund

Infinite order cross-validated local polynomial regression pp. 510-525

Peter G. Hall and Jeffrey Racine

IV estimation of panels with factor residuals pp. 526-541

Donald Robertson and Vasilis Sarafidis

Volume 185, issue 1, 2015

Nonparametric estimation and inference on conditional quantile processes pp. 1-19

Zhongjun Qu and Jungmo Yoon

Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion pp. 20-32

David Kaplan

LM tests of spatial dependence based on bootstrap critical values pp. 33-59

Zhenlin Yang

Estimation of affine term structure models with spanned or unspanned stochastic volatility pp. 60-81

Drew Creal and Jing Cynthia Wu

Estimation of marginal effects in semiparametric selection models with binary outcomes pp. 82-94

Roger Klein, Chan Shen and Francis Vella

Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors pp. 95-109

Suyong Song

Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes pp. 110-123

Sylvain Chabé-Ferret

A test for second order stationarity of a multivariate time series pp. 124-161

Carsten Jentsch and Suhasini Subba Rao

Asymptotic theory for differentiated products demand models with many markets pp. 162-181

Joachim Freyberger

Nonlinear regressions with nonstationary time series pp. 182-195

Nigel Chan and Qiying Wang

Modeling and testing smooth structural changes with endogenous regressors pp. 196-215

Bin Chen

Estimating dynamic equilibrium models with stochastic volatility pp. 216-229

Jesus Fernandez-Villaverde, Pablo Guerron and Juan F Rubio-Ramirez

QML estimation of dynamic panel data models with spatial errors pp. 230-258

Liangjun Su and Zhenlin Yang

Specification tests for partially identified models defined by moment inequalities pp. 259-282

Federico Bugni, Ivan Canay and Xiaoxia Shi

High dimensional generalized empirical likelihood for moment restrictions with dependent data pp. 283-304

Jinyuan Chang, Song Chen and Xiaohong Chen

Volume 184, issue 2, 2015

Estimating a spatial autoregressive model with an endogenous spatial weight matrix pp. 209-232

Xi Qu and Lung-Fei Lee

Gradient-based smoothing parameter selection for nonparametric regression estimation pp. 233-241

Daniel Henderson, Qi Li, Christopher Parmeter and Shuang Yao

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints pp. 242-261

Matthias Fengler and Lin-Yee Hin

Confidence sets for the date of a break in level and trend when the order of integration is unknown pp. 262-279

David Harvey and Stephen Leybourne

A residual-based ADF test for stationary cointegration in I(2) settings pp. 280-294

Javier Gomez-Biscarri and Javier Hualde

On the bootstrap for Moran’s I test for spatial dependence pp. 295-314

Fei Jin and Lung-Fei Lee

Multiplicative-error models with sample selection pp. 315-327

Koen Jochmans

Goodness-of-fit tests based on series estimators in nonparametric instrumental regression pp. 328-346

Christoph Breunig

Inference in semiparametric binary response models with interval data pp. 347-360

Yuanyuan Wan and Haiqing Xu

Econometrics of co-jumps in high-frequency data with noise pp. 361-378

Markus Bibinger and Lars Winkelmann

Frontier estimation in the presence of measurement error with unknown variance pp. 379-393

Alois Kneip, Leopold Simar and Ingrid Van Keilegom

Tests for overidentifying restrictions in Factor-Augmented VAR models pp. 394-419

Xu Han

The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models pp. 420-451

Martin M. Andreasen and Bent Jesper Christensen

Model averaging estimation of generalized linear models with imputed covariates pp. 452-463

Valentino Dardanoni, Giuseppe De Luca, Salvatore Modica and Franco Peracchi

Volume 184, issue 1, 2015

Reinforced urn processes for credit risk models pp. 1-12

Stefano Peluso, Antonietta Mira and Pietro Muliere

A semiparametric single index model with heterogeneous impacts on an unobserved variable pp. 13-36

Jiyon Lee

Robust score and portmanteau tests of volatility spillover pp. 37-61

Mike Aguilar and Jonathan B. Hill

Multi-scale tests for serial correlation pp. 62-80

Ramazan Gencay and Daniele Signori

Specification testing for transformation models with an application to generalized accelerated failure-time models pp. 81-96

Arthur Lewbel, Xun Lu and Liangjun Su

Improved likelihood ratio tests for cointegration rank in the VAR model pp. 97-110

H. Peter Boswijk, Michael Jansson and Morten Nielsen

Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data pp. 111-123

Francesco Bartolucci, Federico Belotti and Franco Peracchi

Asymptotically distribution-free tests for the volatility function of a diffusion pp. 124-144

Qiang Chen, Xu Zheng and Zhiyuan Pan

Inference on factor structures in heterogeneous panels pp. 145-157

Carolina Castagnetti, Eduardo Rossi and Lorenzo Trapani

Risk-parameter estimation in volatility models pp. 158-173

Christian Francq and Jean-Michel Zakoian

Estimation of fixed effects panel regression models with separable and nonseparable space–time filters pp. 174-192

Lung-Fei Lee and Jihai Yu

Is there a stepping stone effect in drug use? Separating state dependence from unobserved heterogeneity within and between illicit drugs pp. 193-207

Monica Deza