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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Tests for m-dependence based on sample splitting methods pp. 143-159: Seongman Moon and Carlos Velasco
Evaluating treatment protocols using data combination pp. 160-174: Debopam Bhattacharya
Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions pp. 175-188: Hugo Kruiniger
On the structure and estimation of hierarchical Archimedean copulas pp. 189-204: Ostap Okhrin, Yarema Okhrin and Wolfgang Schmid

On loss functions and ranking forecasting performances of multivariate volatility models pp. 1-10: Sébastien Laurent, Jeroen Rombouts and Francesco Violante
Generalized quadratic revenue functions pp. 11-21: Robert Chambers, Rolf Färe, Shawna Grosskopf and Michael Vardanyan
Estimating DSGE models using seasonally adjusted and unadjusted data pp. 22-35: Hikaru Saijo
Maximum likelihood estimation and uniform inference with sporadic identification failure pp. 36-56: Donald Andrews and Xu Cheng
Semi-parametric estimation of American option prices pp. 57-82: Patrick Gagliardini and Diego Ronchetti
Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach pp. 83-107: Bin Chen and Zhaogang Song
Chi-squared tests for evaluation and comparison of asset pricing models pp. 108-125: Nikolay Gospodinov, Raymond Kan and Cesare Robotti
Powerful tests for structural changes in volatility pp. 126-142: Ke-Li Xu

Linear and nonlinear regression with stable errors pp. 186-194: John P. Nolan and Diana Ojeda-Revah
One-step R-estimation in linear models with stable errors pp. 195-204: Marc Hallin, Yvik Swan, Thomas Verdebout and David Veredas
Heavy tails of OLS pp. 205-221: Thomas Mikosch and Casper de Vries
Model identification for infinite variance autoregressive processes pp. 222-234: Beth Andrews and Richard A. Davis
The method of simulated quantiles pp. 235-247: Yves Dominicy and David Veredas
Estimation for multivariate stable distributions with generalized empirical likelihood pp. 248-254: Hiroaki Ogata
Moment condition tests for heavy tailed time series pp. 255-274: Jonathan B. Hill and Mike Aguilar
Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions pp. 275-282: J. Huston McCulloch and E. Richard Percy
Fat tails, VaR and subadditivity pp. 283-291: Jon Danielsson, Bjørn Jørgensen, Gennady Samorodnitsky, Mandira Sarma and Casper de Vries
Stable mixture GARCH models pp. 292-306: Simon Broda, Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude
Jump tails, extreme dependencies, and the distribution of stock returns pp. 307-324: Tim Bollerslev, Viktor Todorov and Sophia Zhengzi Li
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration pp. 325-337: Vicky Fasen

Estimation in threshold autoregressive models with a stationary and a unit root regime pp. 1-13: Jiti Gao, Dag Tjøstheim and Jiying Yin
Testing functional inequalities pp. 14-32: Sokbae (Simon) Lee, Kyungchul Song and Yoon-Jae Whang
Local Gaussian correlation: A new measure of dependence pp. 33-48: Dag Tjøstheim and Karl Ove Hufthammer
Bootstrapping realized multivariate volatility measures pp. 49-65: Prosper Dovonon, Silvia Goncalves and Nour Meddahi
A zero inefficiency stochastic frontier model pp. 66-76: Subal Kumbhakar, Christopher Parmeter and Mike Tsionas
Partial maximum likelihood estimation of spatial probit models pp. 77-89: Honglin Wang, Emma Iglesias and Jeffrey Wooldridge
Rank tests for short memory stationarity pp. 90-105: Matteo Pelagatti and Pranab K. Sen
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions pp. 106-126: Stan Hurn, K.A. Lindsay and A.J. McClelland
On bootstrapping panel factor series pp. 127-141: Lorenzo Trapani
Jackknife estimation of stationary autoregressive models pp. 142-157: Marcus Chambers
Estimation and inference in unstable nonlinear least squares models pp. 158-167: Otilia Boldea and Alastair Hall
Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions pp. 168-182: Shakeeb Khan

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation pp. 101-120: Lennart Hoogerheide, Anne Opschoor and Herman van Dijk
Generalized smooth finite mixtures pp. 121-133: Mattias Villani, Robert Kohn and David J. Nott
On some properties of Markov chain Monte Carlo simulation methods based on the particle filter pp. 134-151: Michael K. Pitt, Ralph dos Santos Silva, Paolo Giordani and Robert Kohn
Evaluating DSGE model forecasts of comovements pp. 152-166: Edward Herbst and Frank Schorfheide
Confronting model misspecification in macroeconomics pp. 167-184: Daniel Waggoner and Tao Zha
Nonparametric Bayesian modelling of monotone preferences for discrete choice experiments pp. 185-204: John Geweke
A Bayesian analysis of payday loans and their regulation pp. 205-216: Mingliang Li, Kevin Mumford and Justin Tobias
Probabilistic forecasts of volatility and its risk premia pp. 217-236: Worapree Maneesoonthorn, Gael Martin, Catherine Forbes and Simone D. Grose
Bayesian model averaging in the instrumental variable regression model pp. 237-250: Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan
Mixtures of g-priors for Bayesian model averaging with economic applications pp. 251-266: Eduardo Ley and Mark Steel
Variable selection and functional form uncertainty in cross-country growth regressions pp. 267-280: Tim Salimans

Nonparametric estimation and inference about the overlap of two distributions pp. 1-23: Gordon Anderson, Oliver Linton and Yoon-Jae Whang
Ratio-based estimators for a change point in persistence pp. 24-31: Andreea Halunga and Denise Osborn
Nonparametric identification of dynamic models with unobserved state variables pp. 32-44: Yingyao Hu and Matthew Shum
Hodges–Lehmann optimality for testing moment conditions pp. 45-53: Ivan Canay and Taisuke Otsu
Higher order properties of the wild bootstrap under misspecification pp. 54-70: Patrick Kline and Andres Santos
Semiparametric trending panel data models with cross-sectional dependence pp. 71-85: Jia Chen, Jiti Gao and Degui Li
Econometric analysis of present value models when the discount factor is near one pp. 86-97: Kenneth West