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 180, issue 2, 2014

Nonparametric tests for tail monotonicity pp. 117-126

Betina Berghaus and Axel Bücher

Generalized dynamic panel data models with random effects for cross-section and time pp. 127-140

Geert Mesters and Siem Jan Koopman

Pre and post break parameter inference pp. 141-157

Graham Elliott and Ulrich K. Müller

Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter pp. 158-173

Joel L. Horowitz

Efficient GMM estimation of spatial dynamic panel data models with fixed effects pp. 174-197

Lung-Fei Lee and Jihai Yu

Inference of bidders’ risk attitudes in ascending auctions with endogenous entry pp. 198-216

Hanming Fang and Xun Tang

A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data pp. 217-232

Cheng Liu and Cheng Yong Tang

The dynamic mixed hitting-time model for multiple transaction prices and times pp. 233-250

Eric Renault, Thijs van der Heijden and Bas J.M. Werker

Nonparametric estimation and inference for conditional density based Granger causality measures pp. 251-264

Abderrahim Taamouti, Taoufik Bouezmarni and Anouar El Ghouch

Volume 180, issue 1, 2014

Property taxes and home prices: A tale of two cities pp. 1-15

Chong-En Bai, Qi Li and Min Ouyang

A score-test on measurement errors in rating transition times pp. 16-29

Sebastian Voß and Rafael Weißbach

Detecting big structural breaks in large factor models pp. 30-48

Liang Chen, Juan Dolado and Jesus Gonzalo

Beta-product dependent Pitman–Yor processes for Bayesian inference pp. 49-72

Federico Bassetti, Roberto Casarin and Fabrizio Leisen

Maximum likelihood estimation of partially observed diffusion models pp. 73-80

Tore Kleppe, Jun Yu and Hans J. Skaug

Variance trading and market price of variance risk pp. 81-97

Oleg Bondarenko

Adaptive dynamic Nelson–Siegel term structure model with applications pp. 98-115

Ying Chen and Linlin Niu

Volume 179, issue 2, 2014

Bayesian inference for nonlinear structural time series models pp. 99-111

Jamie Hall, Michael K. Pitt and Robert Kohn

Bounding quantile demand functions using revealed preference inequalities pp. 112-127

Richard Blundell, Dennis Kristensen and Rosa Matzkin

A fast resample method for parametric and semiparametric models pp. 128-133

Timothy Armstrong, Marinho Bertanha and Han Hong

A nonlinear panel data model of cross-sectional dependence pp. 134-157

George Kapetanios, James Mitchell and Yongcheol Shin

Hermite polynomial based expansion of European option prices pp. 158-177

Dacheng Xiu

Volume 179, issue 1, 2014

On implied volatility for options—Some reasons to smile and more to correct pp. 1-15

Song Chen and Zheng Xu

Multivariate rotated ARCH models pp. 16-30

Diaa Noureldin, Neil Shephard and Kevin Sheppard

Nonparametric inference based on conditional moment inequalities pp. 31-45

Donald Andrews and Xiaoxia Shi

Inference on stochastic time-varying coefficient models pp. 46-65

L. Giraitis, George Kapetanios and Anthony Yates

Testing stationarity of functional time series pp. 66-82

Lajos Horvath, Piotr Kokoszka and Gregory Rice

Improving the performance of random coefficients demand models: The role of optimal instruments pp. 83-98

Mathias Reynaert and Frank Verboven

Volume 178, issue P3, 2014

Estimation and inference for distribution functions and quantile functions in treatment effect models pp. 383-397

Stephen G. Donald and Yu-Chin Hsu

Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators pp. 398-413

Seojeong Lee

Model equivalence tests in a parametric framework pp. 414-425

Pascal Lavergne

Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing pp. 426-443

Juan Carlos Escanciano, David Jacho-Chávez and Arthur Lewbel

Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression pp. 444-455

Fabian Dunker, Jean-Pierre Florens, Thorsten Hohage, Jan Johannes and Enno Mammen

Frontier estimation in nonparametric location-scale models pp. 456-470

Jean-Pierre Florens, Leopold Simar and Ingrid Van Keilegom

Semiparametric models with single-index nuisance parameters pp. 471-483

Kyungchul Song

Testing for heteroskedasticity in fixed effects models pp. 484-494

Ted Juhl and Walter Sosa-Escudero

Specification analysis of linear quantile models pp. 495-507

Juan Carlos Escanciano and Chuan Goh

Marginal likelihood for Markov-switching and change-point GARCH models pp. 508-522

Luc Bauwens, Arnaud Dufays and Jeroen V.K. Rombouts

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture pp. 523-538

Mark Jensen and John Maheu

An asymptotic analysis of likelihood-based diffusion model selection using high frequency data pp. 539-557

Hwan-sik Choi, Minsoo Jeong and Joon Y. Park

Geometric and long run aspects of Granger causality pp. 558-568

Majid Al-Sadoon

Moment-based tests for individual and time effects in panel data models pp. 569-581

Jianhong Wu and Guodong Li

Longevity, life-cycle behavior and pension reform pp. 582-601

Peter Haan and Victoria Prowse

A new approach to Bayesian hypothesis testing pp. 602-612

Yong Li, Tao Zeng and Jun Yu

On empirical likelihood statistical functions pp. 613-623

Ao Yuan, Jinfeng Xu and Gang Zheng

Bayesian regression with heteroscedastic error density and parametric mean function pp. 624-638

Justinas Pelenis

Sieve inference on possibly misspecified semi-nonparametric time series models pp. 639-658

Xiaohong Chen, Zhipeng Liao and Yixiao Sun

Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference pp. 659-677

Yixiao Sun

Testing multiple inequality hypotheses: A smoothed indicator approach pp. 678-693

Le-Yu Chen and Jerzy Szroeter

The delta expansion for the transition density of diffusion models pp. 694-705

Yoon Dong Lee, Seongjoo Song and Eun-Kyung Lee

Volume 178, issue P2, 2014

Optimal estimation of cointegrated systems with irrelevant instruments pp. 210-224

Peter Phillips

The estimation of misspecified long memory models pp. 225-230

Peter M. Robinson

Testable implications of affine term structure models pp. 231-242

James Hamilton and Jing Cynthia Wu

Testing for seasonal unit roots by frequency domain regression pp. 243-258

Marcus Chambers, Joanne S. Ercolani and Robert Taylor

Testing for unit roots in bounded time series pp. 259-272

Giuseppe Cavaliere and Fang Xu

Aggregation in large dynamic panels pp. 273-285

Mohammad Pesaran and Alexander Chudik

Model selection in under-specified equations facing breaks pp. 286-293

Jennifer Castle and David Hendry

Is there an optimal forecast combination? pp. 294-309

Cheng Hsiao and Shui Ki Wan

An asymptotic invariance property of the common trends under linear transformations of the data pp. 310-315

Soren Johansen and Katarina Juselius

Granger causality, exogeneity, cointegration, and economic policy analysis pp. 316-330

Halbert White and Davide Pettenuzzo

Summability of stochastic processes—A generalization of integration for non-linear processes pp. 331-341

Vanessa Berenguer-Rico and Jesus Gonzalo

The aggregation of dynamic relationships caused by incomplete information pp. 342-351

Michael Thornton

Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence pp. 352-367

Hyun Hak Kim and Norman Swanson

Estimating turning points using large data sets pp. 368-381

James H. Stock and Mark Watson

Volume 178, issue P1, 2014

Testing predictive regression models with nonstationary regressors pp. 4-14

Zongwu Cai and Yunfei Wang

Testing overidentifying restrictions with many instruments and heteroskedasticity pp. 15-21

John Chao, Jerry A. Hausman, Whitney Newey, Norman Swanson and Tiemen Woutersen

A unified approach to validating univariate and multivariate conditional distribution models in time series pp. 22-44

Bin Chen and Yongmiao Hong

Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV pp. 45-56

Yanqin Fan and Sang Soo Park

Testing cointegration relationship in a semiparametric varying coefficient model pp. 57-70

Jingping Gu and Zhongwen Liang

Constructing smooth tests without estimating the eigenpairs of the limiting process pp. 71-79

Shih-Hsun Hsu and Chung-Ming Kuan

Model specification test with correlated but not cointegrated variables pp. 80-85

Li Gan, Cheng Hsiao and Shu Xu

Neglected heterogeneity in moment condition models pp. 86-100

Jinyong Hahn, Whitney Newey and Richard Smith

Estimating and testing a quantile regression model with interactive effects pp. 101-113

Matthew Harding and Carlos Lamarche

Estimating a semi-parametric duration model without specifying heterogeneity pp. 114-131

Jerry A. Hausman and Tiemen Woutersen

An alternative quasi likelihood approach, Bayesian analysis and data-based inference for model specification pp. 132-145

Jae-Young Kim

Testing a linear dynamic panel data model against nonlinear alternatives pp. 146-166

Yoon-Jin Lee

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models pp. 167-179

Zhongjian Lin, Qi Li and Yiguo Sun

Volatility activity: Specification and estimation pp. 180-193

Viktor Todorov, George Tauchen and Iaryna Grynkiv

Robustness checks and robustness tests in applied economics pp. 194-206

Xun Lu and Halbert White

Volume 178, issue 2, 2014

Treatment effect estimation with covariate measurement error pp. 707-715

Erich Battistin and Andrew Chesher

Estimation of finite sequential games pp. 716-726

Shiko Maruyama

A Γ-moment approach to monotonic boundary estimation pp. 727-740

Abdelaati Daouia, Stéphane Girard and Armelle Guillou

Integrated modified OLS estimation and fixed-b inference for cointegrating regressions pp. 741-760

Timothy Vogelsang and Martin Wagner

Estimation of long-run parameters in unbalanced cointegration pp. 761-778

Javier Hualde

Time-varying sparsity in dynamic regression models pp. 779-793

Maria Kalli and Jim Griffin

Identification theory for high dimensional static and dynamic factor models pp. 794-804

Jushan Bai and Peng Wang

Dynamic binary outcome models with maximal heterogeneity pp. 805-823

Martin Browning and Jesus Carro