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 158, issue 2, 2010

Editorial introduction pp. 175-176

Steven Durlauf and Aris Spanos

Testing the correlated random coefficient model pp. 177-203

James Heckman, Daniel Schmierer and Sergio Urzua

Akaike-type criteria and the reliability of inference: Model selection versus statistical model specification pp. 204-220

Aris Spanos

The Bierens test for certain nonstationary models pp. 221-230

Ioannis Kasparis

A low-dimension portmanteau test for non-linearity pp. 231-245

Jennifer Castle and David Hendry

Regression models with mixed sampling frequencies pp. 246-261

Elena Andreou, Eric Ghysels and Andros Kourtellos

Some identification problems in the cointegrated vector autoregressive model pp. 262-273

Soren Johansen

Smoothing local-to-moderate unit root theory pp. 274-279

Peter Phillips, Tassos Magdalinos and Liudas Giraitis

Bootstrapping I(1) data pp. 280-284

Peter Phillips

Applications of subsampling, hybrid, and size-correction methods pp. 285-305

Donald Andrews and Patrik Guggenberger

Understanding aggregate crime regressions pp. 306-317

Steven Durlauf, Salvador Navarro and David Rivers

Volume 158, issue 1, 2010

Twenty years of cointegration pp. 1-2

H. Peter Boswijk, Philip Hans Franses and Dick van Dijk

Some thoughts on the development of cointegration pp. 3-6

Clive Granger

Testing for co-integration in vector autoregressions with non-stationary volatility pp. 7-24

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

Forecasting with equilibrium-correction models during structural breaks pp. 25-36

Jennifer Castle, Nicholas Fawcett and David Hendry

Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables pp. 37-50

Iliyan Georgiev

Likelihood inference for a nonstationary fractional autoregressive model pp. 51-66

Soren Johansen and Morten Nielsen

Likelihood based testing for no fractional cointegration pp. 67-77

Katarzyna Łasak

Likelihood-based inference for cointegration with nonlinear error-correction pp. 78-94

Dennis Kristensen and Anders Rahbek

Modelling and measuring price discovery in commodity markets pp. 95-107

Isabel Figuerola-Ferretti and Jesus Gonzalo

Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy pp. 108-116

Jan Jacobs and Kenneth Wallis

Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate pp. 117-129

Soren Johansen, Katarina Juselius, Roman Frydman and Michael Goldberg

Speed of adjustment in cointegrated systems pp. 130-141

Luca Fanelli and Paolo Paruolo

Averaging estimators for autoregressions with a near unit root pp. 142-155

Bruce Hansen

Cointegration in a historical perspective pp. 156-159

H. Peter Boswijk, Philip Hans Franses and Dick van Dijk

A spatio-temporal model of house prices in the USA pp. 160-173

Sean Holly, Mohammad Pesaran and Takashi Yamagata

Volume 157, issue 2, 2010

On the asymptotic optimality of the LIML estimator with possibly many instruments pp. 191-204

T.W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita

Econometric modeling of technical change pp. 205-219

Hui Jin and Dale Jorgenson

Jumps and betas: A new framework for disentangling and estimating systematic risks pp. 220-235

Viktor Todorov and Tim Bollerslev

Robust confidence sets in the presence of weak instruments pp. 236-247

Anna Mikusheva

On Bahadur efficiency of empirical likelihood pp. 248-256

Taisuke Otsu

Nonparametric estimation for a class of Lévy processes pp. 257-271

Song Chen, Aurore Delaigle and Peter Hall

Efficient estimation in dynamic conditional quantile models pp. 272-285

Ivana Komunjer and Quang Vuong

Estimating fixed-effect panel stochastic frontier models by model transformation pp. 286-296

Hung-Jen Wang and Chia-Wen Ho

A generalized asymmetric Student-t distribution with application to financial econometrics pp. 297-305

Dongming Zhu and John Galbraith

Bayesian semiparametric stochastic volatility modeling pp. 306-316

Mark Jensen and John Maheu

Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models pp. 317-327

Denis Bolduc, Lynda Khalaf and Clement Yelou

Estimating first-price auctions with an unknown number of bidders: A misclassification approach pp. 328-341

Yonghong An, Yingyao Hu and Matthew Shum

Robust methods for detecting multiple level breaks in autocorrelated time series pp. 342-358

David Harvey, Stephen Leybourne and Robert Taylor

The LIML estimator has finite moments! pp. 359-361

T.W. Anderson

Nonparametric least squares estimation in derivative families pp. 362-374

Peter Hall and Adonis Yatchew

Estimating panel data models in the presence of endogeneity and selection pp. 375-380

Anastasia Semykina and Jeffrey Wooldridge

Bayesian non-parametric signal extraction for Gaussian time series pp. 381-395

Christian Macaro

Robust penalized quantile regression estimation for panel data pp. 396-408

Carlos Lamarche

Semiparametric estimation of a simultaneous game with incomplete information pp. 409-431

Andres Aradillas-Lopez

Structural measurement errors in nonseparable models pp. 432-440

Stefan Hoderlein and Joachim Winter

Non-negativity conditions for the hyperbolic GARCH model pp. 441-457

Christian Conrad

Testing for unobserved heterogeneity in exponential and Weibull duration models pp. 458-480

Jin Seo Cho and Halbert White

Intelligible factors for the yield curve pp. 481-491

Yvan Lengwiler and Carlos Lenz

Semiparametric inference in multivariate fractionally cointegrated systems pp. 492-511

Javier Hualde and P.M. Robinson

Volume 157, issue 1, 2010

Annals Journal of Econometrics: Nonlinear and Nonparametric Methods in Econometrics pp. 3-5

Songnian Chen and Qi Li

Efficient estimation of the semiparametric spatial autoregressive model pp. 6-17

P.M. Robinson

Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models pp. 18-33

Liangjun Su and Sainan Jin

GMM estimation of spatial autoregressive models with unknown heteroskedasticity pp. 34-52

Xu Lin and Lung-Fei Lee

Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances pp. 53-67

Harry H. Kelejian and Ingmar Prucha

Indirect inference for dynamic panel models pp. 68-77

Christian Gourieroux, Peter Phillips and Jun Yu

Common breaks in means and variances for panel data pp. 78-92

Jushan Bai

An alternative root-n consistent estimator for panel data binary choice models pp. 93-100

Chunrong Ai and Li Gan

A generalized nonlinear IV unit root test for panel data with cross-sectional dependence pp. 101-109

Shaoping Wang, Peng Wang, Jisheng Yang and Zinai Li

The construction of empirical credit scoring rules based on maximization principles pp. 110-119

Robert Lieli and Halbert White

Indirect inference in structural econometric models pp. 120-128

Tong Li

Estimation and model selection of semiparametric multivariate survival functions under general censorship pp. 129-142

Xiaohong Chen, Yanqin Fan, Demian Pouzo and Zhiliang Ying

Semiparametric and nonparametric estimation of sample selection models under symmetry pp. 143-150

Songnian Chen and Yahong Zhou

Nonparametric transfer function models pp. 151-164

Jun M. Liu, Rong Chen and Qiwei Yao

A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving pp. 165-178

Joon Park, Kwanho Shin and Yoon-Jae Whang

Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters pp. 179-190

Dong Li and Qi Li