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 166, issue 2, 2012

Some properties of the LIML estimator in a dynamic panel structural equation pp. 167-183

Kentaro Akashi and Naoto Kunitomo

A Poisson mixture model of discrete choice pp. 184-203

Martin Burda, Matthew Harding and Jerry Hausman

The random coefficients logit model is identified pp. 204-212

Jeremy Fox, Kyoo il Kim, Stephen Ryan and Patrick Bajari

On the jump activity index for semimartingales pp. 213-223

Bing-Yi Jing, Xin-Bing Kong, Zhi Liu and Per Mykland

Robust forecast combinations pp. 224-236

Xiaoqiao Wei and Yuhong Yang

Bayesian hypothesis testing in latent variable models pp. 237-246

Yong Li and Jun Yu

A simple test for regression specification with non-nested alternatives pp. 247-254

Andreas Hagemann

The validity of instruments revisited pp. 255-266

Daniel Berkowitz, Mehmet Caner and Ying Fang

Simple and powerful GMM over-identification tests with accurate size pp. 267-281

Yixiao Sun and Min Seong Kim

Local indirect least squares and average marginal effects in nonseparable structural systems pp. 282-302

Susanne Schennach, Halbert White and Karim Chalak

Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects pp. 303-319

Timothy Vogelsang

Semiparametric estimation of Markov decision processes with continuous state space pp. 320-341

Sorawoot Srisuma and Oliver Linton

Probabilistic characterization of directional distances and their robust versions pp. 342-354

Leopold Simar and Anne Vanhems

Volume 166, issue 1, 2012

Modeling college major choices using elicited measures of expectations and counterfactuals pp. 3-16

Peter Arcidiacono, V. Joseph Hotz and Songman Kang

Partial identification using random set theory pp. 17-32

Arie Beresteanu, Ilya Molchanov and Francesca Molinari

IV models of ordered choice pp. 33-48

Andrew Chesher and Konrad Smolinski

Endogenous household interaction pp. 49-65

Daniela Del Boca and Christopher Flinn

On the observational implications of taste-based discrimination in racial profiling pp. 66-78

William Brock, Jane Cooley, Steven Durlauf and Salvador Navarro

The impact of the National School Lunch Program on child health: A nonparametric bounds analysis pp. 79-91

Craig Gundersen, Brent Kreider and John Pepper

Bounds for best response functions in binary games pp. 92-105

Brendan Kline and Elie Tamer

Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity pp. 106-115

Rosa Matzkin

Economic juries and public project provision pp. 116-126

Daniel McFadden

Set identification via quantile restrictions in short panels pp. 127-137

Adam Rosen

Minimax regret treatment choice with covariates or with limited validity of experiments pp. 138-156

Jörg Stoye

Statistical treatment choice based on asymmetric minimax regret criteria pp. 157-165

Aleksey Tetenov

Volume 165, issue 2, 2011

Inference with dependent data using cluster covariance estimators pp. 137-151

Alan Bester, Timothy Conley and Christian Hansen

A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables pp. 152-162

Anders Rygh Swensen

Hypothesis testing in linear regression when k/n is large pp. 163-174

Gray Calhoun

Volatility contagion: A range-based volatility approach pp. 175-189

Min-Hsien Chiang and Li-Min Wang

Particle filters for continuous likelihood evaluation and maximisation pp. 190-209

Sheheryar Malik and Michael K. Pitt

Bayesian inference in a time varying cointegration model pp. 210-220

Gary Koop, Roberto Leon-Gonzalez and Rodney Strachan

Bayesian inference in a sample selection model pp. 221-232

Martijn van Hasselt

Functional data analysis for volatility pp. 233-245

Hans-Georg Müller, Rituparna Sen and Ulrich Stadtmüller

Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE pp. 246-257

Christian Francq, Guillaume Lepage and Jean-Michel Zakoian

Generalized method of moments (GMM) based inference with stratified samples when the aggregate shares are known pp. 258-265

Gautam Tripathi

Semiparametric estimation of a bivariate Tobit model pp. 266-274

Songnian Chen and Xianbo Zhou

Volume 165, issue 1, 2011

Asymptotic theory for nonparametric regression with spatial data pp. 5-19

P.M. Robinson

Control variate method for stationary processes pp. 20-29

Tomoyuki Amano and Masanobu Taniguchi

Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models pp. 30-44

Liqun Wang and Cheng Hsiao

Properties of the CUE estimator and a modification with moments pp. 45-57

Jerry Hausman, Randall Lewis, Konrad Menzel and Whitney Newey

On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments pp. 58-69

T.W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita

Instrumental variable estimation in the presence of many moment conditions pp. 70-86

Ryo Okui

Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments pp. 87-99

Shih-Hsun Hsu and Chung-Ming Kuan

Moment-based estimation of smooth transition regression models with endogenous variables pp. 100-111

Waldyr Areosa, Michael McAleer and Marcelo Medeiros

A consistent nonparametric test for nonlinear causality—Specification in time series regression pp. 112-127

Yoshihiko Nishiyama, Kohtaro Hitomi, Yoshinori Kawasaki and Kiho Jeong

Linear programming-based estimators in simple linear regression pp. 128-136

Daniel Preve and Marcelo Medeiros

Volume 164, issue 2, 2011

A family of empirical likelihood functions and estimators for the binary response model pp. 207-217

Ron Mittelhammer and George Judge

Model selection criteria in multivariate models with multiple structural changes pp. 218-238

Eiji Kurozumi and Purevdorj Tuvaandorj

A new method of projection-based inference in GMM with weakly identified nuisance parameters pp. 239-251

Saraswata Chaudhuri and Eric Zivot

Measuring correlations of integrated but not cointegrated variables: A semiparametric approach pp. 252-267

Yiguo Sun, Cheng Hsiao and Qi Li

Generalized spectral testing for multivariate continuous-time models pp. 268-293

Bin Chen and Yongmiao Hong

How many consumers are rational? pp. 294-309

Stefan Hoderlein

Estimating a common deterministic time trend break in large panels with cross sectional dependence pp. 310-330

Dukpa Kim

Testing and detecting jumps based on a discretely observed process pp. 331-344

Yingying Fan and Jianqing Fan

Robust trend inference with series variance estimator and testing-optimal smoothing parameter pp. 345-366

Yixiao Sun

Realized Laplace transforms for estimation of jump diffusive volatility models pp. 367-381

Viktor Todorov, George Tauchen and Iaryna Grynkiv

Semi-nonparametric estimation and misspecification testing of diffusion models pp. 382-403

Dennis Kristensen

Volume 164, issue 1, 2011

Annals issue on forecasting--Guest editors' introduction pp. 1-3

João Issler, Oliver Linton and Allan Timmermann

The affine arbitrage-free class of Nelson-Siegel term structure models pp. 4-20

Jens Christensen, Francis Diebold and Glenn Rudebusch

How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? pp. 21-34

Andrea Carriero and Raffaella Giacomini

Do interest rate options contain information about excess returns? pp. 35-44

Caio Almeida, Jeremy J. Graveline and Scott Joslin

A component model for dynamic correlations pp. 45-59

Riccardo Colacito, Robert Engle and Eric Ghysels

Predictability of stock returns and asset allocation under structural breaks pp. 60-78

Davide Pettenuzzo and Allan Timmermann

A control function approach for testing the usefulness of trending variables in forecast models and linear regression pp. 79-91

Graham Elliott

A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom pp. 92-115

Alev Atak, Oliver Linton and Zhijie Xiao

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions pp. 116-129

George Athanasopoulos, Osmani Guillén, João Issler and Farshid Vahid

Optimal prediction pools pp. 130-141

John Geweke and Gianni Amisano

Quantile regression for dynamic panel data with fixed effects pp. 142-157

Antonio Galvao

Understanding models' forecasting performance pp. 158-172

Barbara Rossi and Tatevik Sekhposyan

Variable selection, estimation and inference for multi-period forecasting problems pp. 173-187

Mohammad Pesaran, Andreas Pick and Allan Timmermann

A two-step estimator for large approximate dynamic factor models based on Kalman filtering pp. 188-205

Catherine Doz, Domenico Giannone and Lucrezia Reichlin