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