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 168, issue 2, 2012

Uniform confidence bands for functions estimated nonparametrically with instrumental variables pp. 175-188

Joel L. Horowitz and Sokbae (Simon) Lee

The HESSIAN method: Highly efficient simulation smoothing, in a nutshell pp. 189-206

William McCausland

Testing for jumps in noisy high frequency data pp. 207-222

Yacine Ait-Sahalia, Jean Jacod and Jia Li

Treatment effect bounds: An application to Swan–Ganz catheterization pp. 223-243

Jay Bhattacharya, Azeem Shaikh and Edward Vytlacil

Asymptotics of the principal components estimator of large factor models with weakly influential factors pp. 244-258

Alexei Onatski

Well-posedness of measurement error models for self-reported data pp. 259-269

Yonghong An and Yingyao Hu

Dynamic misspecification in nonparametric cointegrating regression pp. 270-284

Ioannis Kasparis and Peter Phillips

Regularization of nonparametric frontier estimators pp. 285-299

Abdelaati Daouia, Jean-Pierre Florens and Leopold Simar

Nonparametric identification in nonseparable panel data models with generalized fixed effects pp. 300-314

Stefan Hoderlein and Halbert White

Identification and estimation of Gaussian affine term structure models pp. 315-331

James Hamilton and Jing Cynthia Wu

Bayesian modeling of joint and conditional distributions pp. 332-346

Andriy Norets and Justinas Pelenis

Semiparametric robust estimation of truncated and censored regression models pp. 347-366

Pavel Cizek

Segmenting mean-nonstationary time series via trending regressions pp. 367-381

Alexander Aue, Lajos Horvath and Marie Hušková

Quantile treatment effects in the regression discontinuity design pp. 382-395

Brigham R. Frandsen, Markus Frölich and Blaise Melly

Jumps in equilibrium prices and market microstructure noise pp. 396-406

Suzanne S. Lee and Per A. Mykland

Volume 168, issue 1, 2012

Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation pp. 4-16

Timothy Hubbard, Tong Li and Harry Paarsch

Empirical implementation of nonparametric first-price auction models pp. 17-28

Daniel Henderson, John List, Daniel Millimet, Christopher Parmeter and Michael Price

Information acquisition and/or bid preparation: A structural analysis of entry and bidding in timber sale auctions pp. 29-46

Tong Li and Xiaoyong Zheng

Bayesian estimation approaches to first-price auctions pp. 47-59

Subal Kumbhakar, Christopher Parmeter and Mike Tsionas

Efficient local IV estimation of an empirical auction model pp. 60-69

Han Hong and Denis Nekipelov

Strategic substitutes or complements? The game of where to fish pp. 70-80

Robert Hicks, William Horrace and Kurt Schnier

The effect of job flexibility on female labor market outcomes: Estimates from a search and bargaining model pp. 81-95

Luca Flabbi and Andrea Moro

Risk aversion and asymmetry in procurement auctions: Identification, estimation and application to construction procurements pp. 96-107

Sandra Campo

Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method pp. 108-119

Herman Bierens and Hosin Song

Pairwise-difference estimation of incomplete information games pp. 120-140

Andres Aradillas-Lopez

Estimation of market power in the presence of firm level inefficiencies pp. 141-155

Levent Kutlu and Robin Sickles

A dynamic oligopoly game of the US airline industry: Estimation and policy experiments pp. 156-173

Victor Aguirregabiria and Chun-Yu Ho

Volume 167, issue 2, 2012

Semiparametric estimation of a truncated regression model pp. 297-304

Songnian Chen and Xianbo Zhou

n-uniformly consistent density estimation in nonparametric regression models pp. 305-316

Juan Carlos Escanciano and David Jacho-Chávez

Treatment effects in sample selection models and their nonparametric estimation pp. 317-329

Myoung-jae Lee

Confidence intervals for the quantile of treatment effects in randomized experiments pp. 330-344

Yanqin Fan and Sang Soo Park

Quantile-based nonparametric inference for first-price auctions pp. 345-357

Vadim Marmer and Artyom Shneyerov

Bayesian averaging, prediction and nonnested model selection pp. 358-369

Han Hong and Bruce Preston

Testing for non-nested conditional moment restrictions using unconditional empirical likelihood pp. 370-382

Taisuke Otsu, Myung Hwan Seo and Yoon-Jae Whang

Specification testing in nonparametric instrumental variable estimation pp. 383-396

Joel L. Horowitz

Functional regression of continuous state distributions pp. 397-412

Joon Y. Park and Junhui Qian

Semiparametric quantile regression estimation in dynamic models with partially varying coefficients pp. 413-425

Zongwu Cai and Zhijie Xiao

Local polynomial Whittle estimation of perturbed fractional processes pp. 426-447

Per Frederiksen, Frank S. Nielsen and Morten Nielsen

Partial parametric estimation for nonstationary nonlinear regressions pp. 448-457

Chang Sik Kim and In-Moo Kim

Semiparametric inference in a GARCH-in-mean model pp. 458-472

Bent Jesper Christensen, Christian Dahl and Emma Iglesias

A semiparametric stochastic volatility model pp. 473-482

Jun Yu

Estimating semiparametric panel data models by marginal integration pp. 483-493

Junhui Qian and Le Wang

Lock-in and unobserved preferences in server operating systems: A case of Linux vs. Windows pp. 494-503

Seung-Hyun Hong and Leonardo Rezende

Residual based tests for cointegration in dependent panels pp. 504-520

Yoosoon Chang and Chi Mai Nguyen

Statistical inference on regression with spatial dependence pp. 521-542

Peter M. Robinson and Supachoke Thawornkaiwong

Semiparametric GMM estimation of spatial autoregressive models pp. 543-560

Liangjun Su

Volume 167, issue 1, 2012

Optimal inference for instrumental variables regression with non-Gaussian errors pp. 1-15

Matias Cattaneo, Richard Crump and Michael Jansson

Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration pp. 16-37

Jihai Yu, Robert de Jong and Lung-Fei Lee

Jackknife model averaging pp. 38-46

Bruce Hansen and Jeffrey Racine

The dynamics of US inflation: Can monetary policy explain the changes? pp. 47-60

Fabio Canova and Filippo Ferroni

Tikhonov regularization for nonparametric instrumental variable estimators pp. 61-75

Patrick Gagliardini and Olivier Scaillet

Estimation of dynamic models with nonparametric simulated maximum likelihood pp. 76-94

Dennis Kristensen and Yongseok Shin

ARCH/GARCH with persistent covariate: Asymptotic theory of MLE pp. 95-112

Heejoon Han and Joon Y. Park

The econometrics of auctions with asymmetric anonymous bidders pp. 113-132

Laurent Lamy

Hahn–Hausman test as a specification test pp. 133-139

Yoonseok Lee and Ryo Okui

Unit root testing under a local break in trend pp. 140-167

David Harvey, Stephen Leybourne and Robert Taylor

Inferring welfare maximizing treatment assignment under budget constraints pp. 168-196

Debopam Bhattacharya and Pascaline Dupas

Robust subsampling pp. 197-210

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

The conditional autoregressive Wishart model for multivariate stock market volatility pp. 211-223

Vasyl Golosnoy, Bastian Gribisch and Roman Liesenfeld

Nonparametric spatial regression under near-epoch dependence pp. 224-239

Nazgul Jenish

On the least squares estimation of multiple-regime threshold autoregressive models pp. 240-253

Dong Li and Shiqing Ling

Testing for a unit root in a random coefficient panel data model pp. 254-273

Joakim Westerlund and Rolf Larsson

Likelihood estimation and inference in threshold regression pp. 274-294

Ping Yu