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 170, issue 2, 2012

Underidentification? pp. 256-280

Manuel Arellano, Lars Hansen and Enrique Sentana

Inference regarding multiple structural changes in linear models with endogenous regressors pp. 281-302

Alastair Hall, Sanggohn Han and Otilia Boldea

Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach pp. 303-324

Francisco Peñaranda and Enrique Sentana

Proofs for large sample properties of generalized method of moments estimators pp. 325-330

Lars Hansen

GEL statistics under weak identification pp. 331-349

Patrik Guggenberger, Joaquim Ramalho and Richard Smith

Efficient minimum distance estimation with multiple rates of convergence pp. 350-367

Bertille Antoine and Eric Renault

Inference in regression models with many regressors pp. 368-382

Stanislav Anatolyev

A regularization approach to the many instruments problem pp. 383-398

Marine Carrasco

Kernel-weighted GMM estimators for linear time series models pp. 399-421

Guido Kuersteiner

CUE with many weak instruments and nearly singular design pp. 422-441

Mehmet Caner and Neşe Yıldız

The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions pp. 442-457

Chunrong Ai and Xiaohong Chen

Nonparametric estimation of an instrumental regression: A quasi-Bayesian approach based on regularized posterior pp. 458-475

Jean-Pierre Florens and Anna Simoni

Local GMM estimation of time series models with conditional moment restrictions pp. 476-490

Nikolay Gospodinov and Taisuke Otsu

Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors pp. 491-498

Thomas A. Severini and Gautam Tripathi

Information criteria for impulse response function matching estimation of DSGE models pp. 499-518

Alastair Hall, Atsushi Inoue, James Nason and Barbara Rossi

Assessing misspecified asset pricing models with empirical likelihood estimators pp. 519-537

Caio Almeida and René Garcia

Optimal comparison of misspecified moment restriction models under a chosen measure of fit pp. 538-550

Vadim Marmer and Taisuke Otsu

Volume 170, issue 1, 2012

In-sample tests of predictive ability: A new approach pp. 1-14

Todd Clark and Michael McCracken

Functional coefficient regression models with time trend pp. 15-31

Zhongwen Liang and Qi Li

Term structure models and the zero bound: An empirical investigation of Japanese yields pp. 32-49

Don H. Kim and Kenneth Singleton

Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels pp. 50-67

Nezar Bennala, Marc Hallin and Davy Paindaveine

Distribution-free tests of stochastic monotonicity pp. 68-75

Miguel Delgado and Juan Carlos Escanciano

Asymptotics for panel quantile regression models with individual effects pp. 76-91

Kengo Kato, Antonio Galvao and Gabriel Montes-Rojas

Regression towards the mode pp. 92-101

Gordon Kemp and João Santos Silva

Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data pp. 102-116

Francesco Bartolucci and Valentina Nigro

International market links and volatility transmission pp. 117-141

Valentina Corradi, Walter Distaso and Marcelo Fernandes

Towards estimating extremal serial dependence via the bootstrapped extremogram pp. 142-152

Richard A. Davis, Thomas Mikosch and Ivor Cribben

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models pp. 153-163

Luca Fanelli

A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model pp. 164-177

Badi Baltagi, Qu Feng and Chihwa Kao

On spatial processes and asymptotic inference under near-epoch dependence pp. 178-190

Nazgul Jenish and Ingmar Prucha

Multiperiod corporate default prediction—A forward intensity approach pp. 191-209

Jin-Chuan Duan, Jie Sun and Tao Wang

Estimation of semiparametric locally stationary diffusion models pp. 210-233

Bonsoo Koo and Oliver Linton

Maximum likelihood estimation of stochastic frontier models by the Fourier transform pp. 234-248

Mike Tsionas

Volume 169, issue 2, 2012

Useful conclusions from surprising results pp. 142-146

Clive Granger

Robustifying multivariate trend tests to nonstationary volatility pp. 147-154

Ke-Li Xu

Cointegrating rank selection in models with time-varying variance pp. 155-165

Xu Cheng and Peter Phillips

Mean and autocovariance function estimation near the boundary of stationarity pp. 166-178

Liudas Giraitis and Peter Phillips

Mildly explosive autoregression under weak and strong dependence pp. 179-187

Tassos Magdalinos

Testing for unit roots in the presence of uncertainty over both the trend and initial condition pp. 188-195

David Harvey, Stephen Leybourne and Robert Taylor

Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity pp. 196-210

Donald Andrews and Patrik Guggenberger

Robust inference in nonstationary time series models pp. 211-223

Zhijie Xiao

Model selection criteria for the leads-and-lags cointegrating regression pp. 224-238

In Choi and Eiji Kurozumi

Model selection when there are multiple breaks pp. 239-246

Jennifer Castle, Jurgen Doornik and David Hendry

Model selection in the presence of nonstationarity pp. 247-257

Jae-Young Kim

Optimal estimation under nonstandard conditions pp. 258-265

Werner Ploberger and Peter Phillips

Exact local Whittle estimation of fractionally cointegrated systems pp. 266-278

Katsumi Shimotsu

Stationarity-based specification tests for diffusions when the process is nonstationary pp. 279-292

Yacine Ait-Sahalia and Joon Y. Park

Persistence-robust surplus-lag Granger causality testing pp. 293-300

Dietmar Bauer and Alex Maynard

Spurious regressions in technical trading pp. 301-309

Mototsugu Shintani, Tomoyoshi Yabu and Daisuke Nagakura

Volume 169, issue 1, 2012

Nonparametric trending regression with cross-sectional dependence pp. 4-14

Peter M. Robinson

Taking a new contour: A novel approach to panel unit root tests pp. 15-28

Yoosoon Chang

Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel pp. 29-33

Hyungsik Moon and Benoit Perron

Sieve estimation of panel data models with cross section dependence pp. 34-47

Liangjun Su and Sainan Jin

Asymptotic distribution of factor augmented estimators for panel regression pp. 48-53

Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul

Bias in dynamic panel models under time series misspecification pp. 54-60

Yoonseok Lee

Random walk or chaos: A formal test on the Lyapunov exponent pp. 61-74

Joon Y. Park and Yoon-Jae Whang

Jump-robust volatility estimation using nearest neighbor truncation pp. 75-93

Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg

Time-varying leverage effects pp. 94-113

Federico M. Bandi and Roberto Renò

Bias in the estimation of the mean reversion parameter in continuous time models pp. 114-122

Jun Yu

Statistical tests for multiple forecast comparison pp. 123-130

Roberto Mariano and Daniel Preve

Comparison of misspecified calibrated models: The minimum distance approach pp. 131-138

Viktoria Hnatkovska, Vadim Marmer and Yao Tang