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 163, issue 2, 2011

Asymptotic distributions of impulse response functions in short panel vector autoregressions pp. 127-143

Bolong Cao and Yixiao Sun

Bias corrections for two-step fixed effects panel data estimators pp. 144-162

Ivan Fernandez-Val and Francis Vella

Nonparametric identification of a binary random factor in cross section data pp. 163-171

Yingying Dong and Arthur Lewbel

Inference and prediction in a multiple-structural-break model pp. 172-185

John Geweke and Yu Jiang

An I(d) model with trend and cycles pp. 186-199

Karim M. Abadir, Walter Distaso and Liudas Giraitis

A class of simple distribution-free rank-based unit root tests pp. 200-214

Marc Hallin, Ramon van den Akker and Bas J.M. Werker

Likelihood-based scoring rules for comparing density forecasts in tails pp. 215-230

Cees Diks, Valentyn Panchenko and Dick van Dijk

Volume 163, issue 1, 2011

Factor structures for panel and multivariate time series data pp. 1-3

Franz Palm and Jean-Pierre Urbain

Infinite-dimensional VARs and factor models pp. 4-22

Alexander Chudik and Mohammad Pesaran

The general dynamic factor model: One-sided representation results pp. 23-28

Mario Forni and Marco Lippi

Dynamic factors in the presence of blocks pp. 29-41

Marc Hallin and Roman Liska

Market liquidity as dynamic factors pp. 42-50

Marc Hallin, Charles Mathias, Hugues Pirotte Speder and David Veredas

Fitting dynamic factor models to non-stationary time series pp. 51-70

Michael Eichler, Giovanni Motta and Rainer von Sachs

Testing for structural breaks in dynamic factor models pp. 71-84

Jörg Breitung and Sandra Eickmeier

Cross-sectional dependence robust block bootstrap panel unit root tests pp. 85-104

Franz Palm, Stephan Smeekes and Jean-Pierre Urbain

A characterization of vector autoregressive processes with common cyclical features pp. 105-117

Massimo Franchi and Paolo Paruolo

Method of moments estimation of GO-GARCH models pp. 118-126

H. Peter Boswijk and Roy van der Weide

Volume 162, issue 2, 2011

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading pp. 149-169

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

Estimating features of a distribution from binomial data pp. 170-188

Arthur Lewbel, Daniel McFadden and Oliver Linton

A martingale approach for testing diffusion models based on infinitesimal operator pp. 189-212

Zhaogang Song

A bootstrap-assisted spectral test of white noise under unknown dependence pp. 213-224

Xiaofeng Shao

Nonparametric model validations for hidden Markov models with applications in financial econometrics pp. 225-239

Zhibiao Zhao

Estimation of fractional integration under temporal aggregation pp. 240-247

Uwe Hassler

Estimating structural changes in regression quantiles pp. 248-267

Tatsushi Oka and Zhongjun Qu

A new class of asymptotically efficient estimators for moment condition models pp. 268-277

Yanqin Fan, Matthew Gentry and Tong Li

Fourth order pseudo maximum likelihood methods pp. 278-293

Alberto Holly, Alain Monfort and Michael Rockinger

Integrated variance forecasting: Model based vs. reduced form pp. 294-311

Natalia Sizova

Modeling frailty-correlated defaults using many macroeconomic covariates pp. 312-325

Siem Jan Koopman, Andre Lucas and Bernd Schwaab

Generalized runs tests for the IID hypothesis pp. 326-344

Jin Seo Cho and Halbert White

Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling pp. 345-361

Mingliang Li and Justin Tobias

Regression with imputed covariates: A generalized missing-indicator approach pp. 362-368

Valentino Dardanoni, Salvatore Modica and Franco Peracchi

Bayesian estimation of an extended local scale stochastic volatility model pp. 369-382

Philippe Deschamps

Stick-breaking autoregressive processes pp. 383-396

Jim Griffin and Mark Steel

Volume 162, issue 1, 2011

The economics and econometrics of risk: An introduction to the special issue pp. 1-5

Arnold Zellner and David Zilberman

Global identification of risk preferences with revealed preference data pp. 6-17

Richard Just and David Just

Risk behavior in the presence of government programs pp. 18-24

Teresa Serra, Barry Goodwin and Allen Featherstone

Calibrating the wealth effects of decoupled payments: Does decreasing absolute risk aversion matter? pp. 25-34

David Just

Agricultural arbitrage and risk preferences pp. 35-43

Rulon D. Pope, Jeffrey LaFrance and Richard Just

The empirical relevance of the competitive storage model pp. 44-54

Carlo Cafiero, Eugenio Bobenrieth, Juan R.A. Bobenrieth H. and Brian Wright

A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates pp. 55-70

Alexei Egorov, Haitao Li and David Ng

Semi-nonparametric test of second degree stochastic dominance with respect to a function pp. 71-78

Keith D. Schumann

Mixture models of choice under risk pp. 79-88

Anna Conte, John Hey and Peter Moffatt

'Stochastically more risk averse:' A contextual theory of stochastic discrete choice under risk pp. 89-104

Nathaniel Wilcox

Evaluation of similarity models for expected utility violations pp. 105-113

David E. Buschena and Joseph A. Atwood

Are CEOs expected utility maximizers? pp. 114-123

John List and Charles Mason

A similarity-based approach to prediction pp. 124-131

Itzhak Gilboa, Offer Lieberman and David Schmeidler

The distortion of information to support an emerging evaluation of risk pp. 132-139

J.E. Russo and Kevyn Yong

The effects of information about health hazards in food on consumers' choice process pp. 140-147

Amir Heiman and Oded Lowengart

Volume 161, issue 2, 2011

Modeling data revisions: Measurement error and dynamics of "true" values pp. 101-109

Jan Jacobs and Simon van Norden

Empirical likelihood block bootstrapping pp. 110-121

Jason Allen, Allan Gregory and Katsumi Shimotsu

Tighter bounds in triangular systems pp. 122-128

Sung Jae Jun, Joris Pinkse and Haiqing Xu

Instrumental variable methods for recovering continuous linear functionals pp. 129-146

Andres Santos

Robustness and inference in nonparametric partial frontier modeling pp. 147-165

Abdelaati Daouia and Irène Gijbels

Nonparametric function estimation subject to monotonicity, convexity and other shape constraints pp. 166-181

Thomas S. Shively, Stephen G. Walker and Paul Damien

Large panels with common factors and spatial correlation pp. 182-202

Mohammad Pesaran and Elisa Tosetti

Extending the regression-discontinuity approach to multiple assignment variables pp. 203-207

John P. Papay, John B. Willett and Richard Murnane

Matching and semi-parametric IV estimation, a distance-based measure of migration, and the wages of young men pp. 208-227

John Ham, Xianghong Li and Patricia B. Reagan

Bias in estimating multivariate and univariate diffusions pp. 228-245

Xiaohu Wang, Peter Phillips and Jun Yu

Testing for weak identification in possibly nonlinear models pp. 246-261

Atsushi Inoue and Barbara Rossi

Subsampling high frequency data pp. 262-283

Ilze Kalnina

Data-based ranking of realised volatility estimators pp. 284-303

Andrew Patton

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models pp. 304-324

Valentina Corradi and Norman Swanson

Estimation of stable distributions by indirect inference pp. 325-337

René Garcia, Eric Renault and David Veredas

Corrigendum to "A simple way of computing the inverse moments of a non-central chi-square random variable" [J. Econom. 37 (1988) 389-393] pp. 338-338

Wen Zhi Xie

Volume 161, issue 1, 2011

Introduction to measurement with theory pp. 1-5

William Barnett, Walter Diewert and Arnold Zellner

How better monetary statistics could have signaled the financial crisis pp. 6-23

William Barnett and Marcelle Chauvet

Scanner data, time aggregation and the construction of price indexes pp. 24-35

Lorraine Ivancic, Walter Diewert and Kevin Fox

Eliminating chain drift in price indexes based on scanner data pp. 36-46

Jan de Haan and Heymerik A. van der Grient

Price dynamics, retail chains and inflation measurement pp. 47-55

Alice Nakamura, Emi Nakamura and Leonard Nakamura

Wealth accumulation and factors accounting for success pp. 56-81

Anan Pawasutipaisit and Robert Townsend

National estimates of gross employment and job flows from the Quarterly Workforce Indicators with demographic and industry detail pp. 82-99

John Abowd and Lars Vilhuber