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 177, issue 2, 2013

Optimal forecasts in the presence of structural breaks pp. 134-152

Mohammad Pesaran, Andreas Pick and Mikhail Pranovich

Adaptive forecasting in the presence of recent and ongoing structural change pp. 153-170

Liudas Giraitis, George Kapetanios and Simon Price

Forecasting a long memory process subject to structural breaks pp. 171-184

Cindy Shin-huei Wang, Luc Bauwens and Cheng Hsiao

Large time-varying parameter VARs pp. 185-198

Gary Koop and Dimitris Korobilis

Conditional predictive density evaluation in the presence of instabilities pp. 199-212

Barbara Rossi and Tatevik Sekhposyan

Time-varying combinations of predictive densities using nonlinear filtering pp. 213-232

Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk

Sequential estimation of shape parameters in multivariate dynamic models pp. 233-249

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

Predictive regression under various degrees of persistence and robust long-horizon regression pp. 250-264

Peter Phillips and Ji Hyung Lee

Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics pp. 265-284

David Harvey, Stephen Leybourne and Robert Taylor

Least squares estimation in a simple random coefficient autoregressive model pp. 285-288

Soren Johansen and Theis Lange

Consistent factor estimation in dynamic factor models with structural instability pp. 289-304

Brandon J. Bates, Mikkel Plagborg-Moller, James H. Stock and Mark Watson

Forecasting by factors, by variables, by both or neither? pp. 305-319

Jennifer Castle, Michael Clements and David Hendry

A Markov-switching multifractal inter-trade duration model, with application to US equities pp. 320-342

Fei Chen, Francis Diebold and Frank Schorfheide

Modelling and forecasting government bond spreads in the euro area: A GVAR model pp. 343-356

Carlo Favero

Complete subset regressions pp. 357-373

Graham Elliott, Antonio Gargano and Allan Timmermann

Volume 177, issue 1, 2013

Inference on impulse response functions in structural VAR models pp. 1-13

Atsushi Inoue and Lutz Kilian

Binary choice models with discrete regressors: Identification and misspecification pp. 14-33

Tatiana Komarova

GARCH models without positivity constraints: Exponential or log GARCH? pp. 34-46

Christian Francq, Olivier Wintenberger and Jean-Michel Zakoian

Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory pp. 47-59

Pascal Lavergne and Valentin Patilea

Distribution theory for the studentized mean for long, short, and negative memory time series pp. 60-74

Tucker McElroy and Dimitris N. Politis

Finite-sample exact tests for linear regressions with bounded dependent variables pp. 75-84

Olivier Gossner and Karl Schlag

Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects pp. 85-108

Min Seong Kim and Yixiao Sun

Dilation bootstrap pp. 109-115

Alfred Galichon and Marc Henry

Efficient semiparametric estimation for endogenously stratified regression via smoothed likelihood pp. 116-129

Stephen R. Cosslett

Volume 176, issue 2, 2013

Density approximations for multivariate affine jump-diffusion processes pp. 93-111

Damir Filipović, Eberhard Mayerhofer and Paul Schneider

Nonparametric dynamic panel data models: Kernel estimation and specification testing pp. 112-133

Liangjun Su and Xun Lu

Robust adaptive rate-optimal testing for the white noise hypothesis pp. 134-145

Alain Guay, Emmanuel Guerre and Štěpána Lazarová

Efficient learning via simulation: A marginalized resample-move approach pp. 146-161

Andras Fulop and Junye Li

Moving average stochastic volatility models with application to inflation forecast pp. 162-172

Joshua Chan

Volume 176, issue 1, 2013

Fellow’s opinion corner: Econometric information recovery pp. 1-2

George Judge

Bayesian semiparametric multivariate GARCH modeling pp. 3-17

Mark Jensen and John Maheu

Principal components estimation and identification of static factors pp. 18-29

Jushan Bai and Serena Ng

Testing for a break in trend when the order of integration is unknown pp. 30-45

Fabrizio Iacone, Stephen Leybourne and Robert Taylor

What model for entry in first-price auctions? A nonparametric approach pp. 46-58

Vadim Marmer, Artyom Shneyerov and Pai Xu

Semiparametric estimation in triangular system equations with nonstationarity pp. 59-79

Jiti Gao and Peter Phillips

Adaptively combined forecasting for discrete response time series pp. 80-91

Xinyu Zhang, Zudi Lu and Guohua Zou

Volume 175, issue 2, 2013

Determining the MSE-optimal cross section to forecast pp. 61-70

Ignacio Arbués

Identification and N-consistent estimation of a nonlinear panel data model with correlated unobserved effects pp. 71-83

Wayne-Roy Gayle

Testing for structural stability in the whole sample pp. 84-93

Javier Hidalgo and Myung Hwan Seo

Panel unit root tests in the presence of a multifactor error structure pp. 94-115

Mohammad Pesaran, L. Vanessa Smith and Takashi Yamagata

Identification and estimation of nonlinear dynamic panel data models with unobserved covariates pp. 116-131

Ji-Liang Shiu and Yingyao Hu

Methods for computing marginal data densities from the Gibbs output pp. 132-141

Cristina Fuentes-Albero and Leonardo Melosi

Modelling volatility by variance decomposition pp. 142-153

Cristina Amado and Timo Teräsvirta

Volume 175, issue 1, 2013

The performance of estimators based on the propensity score pp. 1-21

Martin Huber, Michael Lechner and Conny Wunsch

Nelson–Plosser revisited: The ACF approach pp. 22-34

Karim M. Abadir, Giovanni Caggiano and Gabriel Talmain

First difference maximum likelihood and dynamic panel estimation pp. 35-45

Chirok Han and Peter Phillips

Estimation of a nonlinear panel data model with semiparametric individual effects pp. 46-59

Wayne-Roy Gayle and Soiliou Daw Namoro

Volume 174, issue 2, 2013

Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions pp. 45-65

Seungmoon Choi

Low-frequency robust cointegration testing pp. 66-81

Ulrich K. Müller and Mark Watson

Model averaging by jackknife criterion in models with dependent data pp. 82-94

Xinyu Zhang, Alan T.K. Wan and Guohua Zou

Inference on an extended Roy model, with an application to schooling decisions in France pp. 95-106

D’Haultfœuille, Xavier and Arnaud Maurel

Limit theory for panel data models with cross sectional dependence and sequential exogeneity pp. 107-126

Guido Kuersteiner and Ingmar Prucha

Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators pp. 127-143

Matias Cattaneo and Max Farrell

Are there common values in first-price auctions? A tail-index nonparametric test pp. 144-164

Jonathan B. Hill and Artyom Shneyerov

Robust firm pricing with panel data pp. 165-185

Benjamin R. Handel, Kanishka Misra and James W. Roberts

Identification of first-price auctions with non-separable unobserved heterogeneity pp. 186-193

Yingyao Hu, David McAdams and Matthew Shum

Volume 174, issue 1, 2013

Panel data models with multiple time-varying individual effects pp. 1-14

Seung Ahn, Young Hoon Lee and Peter Schmidt

Predicting binary outcomes pp. 15-26

Graham Elliott and Robert Lieli

Monetary policy regimes and the term structure of interest rates pp. 27-43

Ruslan Bikbov and Mikhail Chernov