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 183, issue 2, 2014

Mutual excitation in Eurozone sovereign CDS pp. 151-167

Yacine Ait-Sahalia, Roger Laeven and Loriana Pelizzon

Time-varying jump tails pp. 168-180

Tim Bollerslev and Viktor Todorov

The VIX, the variance premium and stock market volatility pp. 181-192

Geert Bekaert and Marie Hoerova

The nonlinear price dynamics of U.S. equity ETFs pp. 193-201

Gunduz Caginalp, Mark DeSantis and Akin Sayrak

Improved inference in the evaluation of mutual fund performance using panel bootstrap methods pp. 202-210

David Blake, Tristan Caulfield, Christos Ioannidis and Ian Tonks

Minimum distance estimation of the errors-in-variables model using linear cumulant equations pp. 211-221

Timothy Erickson, Colin Huan Jiang and Toni Whited

Does the information content of payout initiations and omissions influence firm risks? pp. 222-229

Henk von Eije, Abhinav Goyal and Cal B. Muckley

Methods for multicountry studies of corporate governance: Evidence from the BRIKT countries pp. 230-240

Bernard Black, Antonio Gledson de Carvalho, Vikramaditya Khanna, Woochan Kim and Burcin Yurtoglu

Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US pp. 241-250

Alok Bhargava

Volume 183, issue 1, 2014

The Barnett critique after three decades: A New Keynesian analysis pp. 5-21

Michael Belongia and Peter Ireland

Likelihood-based inference for regular functions with fractional polynomial approximations pp. 22-30

John Geweke and Lea Petrella

Bayesian exploratory factor analysis pp. 31-57

Gabriella Conti, Sylvia Frühwirth-Schnatter, James Heckman and Rémi Piatek

Decompositions of profitability change using cost functions pp. 58-66

Walter Diewert

Examining macroeconomic models through the lens of asset pricing pp. 67-90

Jaroslav Borovička and Lars Hansen

An evaluation of financial institutions: Impact on consumption and investment using panel data and the theory of risk-bearing pp. 91-103

Mauro Alem and Robert M. Townsend

Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks pp. 104-116

Helmut Herwartz and Helmut Lütkepohl

Forecasting inflation using commodity price aggregates pp. 117-134

Yu-chin Chen, Stephen J Turnovsky and Eric Zivot

Undesirable outputs and a primal Divisia productivity index based on the directional output distance function pp. 135-146

Guohua Feng and Apostolos Serletis

Volume 182, issue 2, 2014

Semiparametric identification of binary decision games of incomplete information with correlated private signals pp. 235-246

Yuanyuan Wan and Haiqing Xu

Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics pp. 247-268

Mehmet Caner

Modeling multivariate extreme events using self-exciting point processes pp. 269-289

Oliver Grothe, Volodymyr Korniichuk and Hans Manner

Instrumental variables estimation with many weak instruments using regularized JIVE pp. 290-308

Christian Hansen and Damian Kozbur

Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations pp. 309-328

Jie Hou and Pierre Perron

Consistent estimation with many moment inequalities pp. 329-350

Konrad Menzel

Tests based on t-statistics for IV regression with weak instruments pp. 351-363

Benjamin Mills, Marcelo Moreira and Lucas P. Vilela

Disentangling systematic and idiosyncratic dynamics in panels of volatility measures pp. 364-384

Matteo Barigozzi, Christian Brownlees, Giampiero Gallo and David Veredas

Identification robust inference in cointegrating regressions pp. 385-396

Lynda Khalaf and Giovanni Urga

Pricing default events: Surprise, exogeneity and contagion pp. 397-411

Christian Gourieroux, Alain Monfort and Jean-Paul Renne

Volume 182, issue 1, 2014

A two-stage procedure for partially identified models pp. 5-13

Hiroaki Kaido and Halbert White

Testing for separability in structural equations pp. 14-26

Xun Lu and Halbert White

Testing conditional independence via empirical likelihood pp. 27-44

Liangjun Su and Halbert White

Causal discourse in a game of incomplete information pp. 45-58

Halbert White, Haiqing Xu and Karim Chalak

Conditional moment models under semi-strong identification pp. 59-69

Bertille Antoine and Pascal Lavergne

Sieve M inference on irregular parameters pp. 70-86

Xiaohong Chen and Zhipeng Liao

Likelihood inference in some finite mixture models pp. 87-99

Xiaohong Chen, Maria Ponomareva and Elie Tamer

Testing for structural stability of factor augmented forecasting models pp. 100-118

Valentina Corradi and Norman Swanson

On the network topology of variance decompositions: Measuring the connectedness of financial firms pp. 119-134

Francis Diebold and Kamil Yilmaz

Priced risk and asymmetric volatility in the cross section of skewness pp. 135-144

Robert Engle and Abhishek Mistry

Theory-coherent forecasting pp. 145-155

Raffaella Giacomini and Giuseppe Ragusa

Bootstrapping factor-augmented regression models pp. 156-173

Silvia Goncalves and Benoit Perron

A predictability test for a small number of nested models pp. 174-185

Eleonora Granziera, Kirstin Hubrich and Hyungsik Moon

Unpredictability in economic analysis, econometric modeling and forecasting pp. 186-195

David Hendry and Grayham Mizon

Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting pp. 196-210

Tae Hwy Lee, Yundong Tu and Aman Ullah

Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics pp. 211-225

Tucker McElroy and Dimitris N. Politis

Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables pp. 226-234

Jeffrey Wooldridge

Volume 181, issue 2, 2014

Consistent estimation of the fixed effects stochastic frontier model pp. 65-76

Yi-Yi Chen, Peter Schmidt and Hung-Jen Wang

A flexible parametric approach for estimating switching regime models and treatment effect parameters pp. 77-91

Heng Chen, Yanqin Fan and Jisong Wu

Weighted KS statistics for inference on conditional moment inequalities pp. 92-116

Timothy Armstrong

Estimating spot volatility with high-frequency financial data pp. 117-135

Yang Zu and H. Peter Boswijk

Misreported schooling, multiple measures and returns to educational qualifications pp. 136-150

Erich Battistin, Michele De Nadai and Barbara Sianesi

Non parametric analysis of panel data models with endogenous variables pp. 151-164

Frédérique Feve and Jean-Pierre Florens

Design-free estimation of variance matrices pp. 165-180

Karim M. Abadir, Walter Distaso and Filip Žikeš

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix pp. 181-193

Wei-Ming Lee, Chung-Ming Kuan and Yu-Chin Hsu

Volume 181, issue 1, 2014

Exact confidence sets and goodness-of-fit methods for stable distributions pp. 3-14

Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf

On the properties of the coefficient of determination in regression models with infinite variance variables pp. 15-24

Jeong-Ryeol Kurz-Kim and Mico Loretan

On the robustness of location estimators in models of firm growth under heavy-tailedness pp. 25-33

Rustam Ibragimov

The asymptotic codifference and covariation of log-fractional stable noise pp. 34-43

Joshua B. Levy and Murad S. Taqqu

Extreme-quantile tracking for financial time series pp. 44-52

V. Chavez-Demoulin, P. Embrechts and S. Sardy

Exponential stock models driven by tempered stable processes pp. 53-63

Uwe Küchler and Stefan Tappe