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 156, issue 2, 2010

Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models pp. 239-259

Dennis Kristensen

Accounting for heterogeneous returns in sequential schooling decisions pp. 260-276

Gema Zamarro

Least squares model averaging by Mallows criterion pp. 277-283

Alan Wan, Xinyu Zhang and Guohua Zou

Simultaneous selection and weighting of moments in GMM using a trapezoidal kernel pp. 284-303

Ivan Canay

Dynamics of fiscal financing in the United States pp. 304-321

Eric Leeper, Michael Plante and Nora Traum

Additive cubic spline regression with Dirichlet process mixture errors pp. 322-336

Siddhartha Chib and Edward Greenberg

The impact of a Hausman pretest on the size of a hypothesis test: The panel data case pp. 337-343

Patrik Guggenberger

Axiomatic properties of geo-logarithmic price indices pp. 344-353

Marco Fattore

Exponential Series Estimator of multivariate densities pp. 354-366

Ximing Wu

Efficient estimation of probit models with correlated errors pp. 367-376

Roman Liesenfeld and Jean-Francois Richard

Testing single-index restrictions with a focus on average derivatives pp. 377-391

Juan Carlos Escanciano and Kyungchul Song

Identification and nonparametric estimation of a transformed additively separable model pp. 392-407

David Jacho-Chávez, Arthur Lewbel and Oliver Linton

EL inference for partially identified models: Large deviations optimality and bootstrap validity pp. 408-425

Ivan Canay

Volume 156, issue 1, 2010

Structural models of optimization behavior in labor, aging and health pp. 1-2

Donna Gilleskie and Ahmed Khwaja

Structural vs. atheoretic approaches to econometrics pp. 3-20

Michael Keane

Comments on: "Structural vs. atheoretic approaches to econometrics" by Michael Keane pp. 21-24

John Rust

Comments on: Michael P. Keane 'Structural vs. atheoretic approaches to econometrics' pp. 25-26

Richard Blundell

Comparing IV with structural models: What simple IV can and cannot identify pp. 27-37

James Heckman and Sergio Urzua

Dynamic discrete choice structural models: A survey pp. 38-67

Victor Aguirregabiria and Pedro Mira

Accounting for wage and employment changes in the US from 1968-2000: A dynamic model of labor market equilibrium pp. 68-85

Donghoon Lee and Kenneth I. Wolpin

Estimating the return to training and occupational experience: The case of female immigrants pp. 86-105

Sarit Cohen-Goldner and Zvi Eckstein

Health, economic resources and the work decisions of older men pp. 106-129

John Bound, Todd Stinebrickner and Timothy Waidmann

Estimating willingness to pay for medicare using a dynamic life-cycle model of demand for health insurance pp. 130-147

Ahmed Khwaja

Work absences and doctor visits during an illness episode: The differential role of preferences, production, and policies among men and women pp. 148-163

Donna Gilleskie

Quasi-structural estimation of a model of childcare choices and child cognitive ability production pp. 164-189

Raquel Bernal and Michael Keane

Prejudice and gender differentials in the US labor market in the last twenty years pp. 190-200

Luca Flabbi

Explaining cross-racial differences in teenage labor force participation: Results from a two-sided matching model pp. 201-211

Tom Ahn, Peter Arcidiacono, Alvin Murphy and Omari Swinton

Maternal employment, migration, and child development pp. 212-228

Haiyong Liu, Thomas Mroz and Wilbert van der Klaauw

Wages, welfare benefits and migration pp. 229-238

John Kennan and James Walker

Volume 155, issue 2, 2010

Heterogeneous treatment effects: Instrumental variables without monotonicity? pp. 99-116

Tobias Klein

The dynamic invariant multinomial probit model: Identification, pretesting and estimation pp. 117-127

Roman Liesenfeld and Jean-Francois Richard

Distribution-free tests for time series models specification pp. 128-137

Miguel Delgado and Carlos Velasco

Efficient semiparametric estimation of multi-valued treatment effects under ignorability pp. 138-154

Matias Cattaneo

Nonlinearity and temporal dependence pp. 155-169

Xiaohong Chen, Lars Hansen and Marine Carrasco

Nonparametric cointegration analysis of fractional systems with unknown integration orders pp. 170-187

Morten Nielsen

A likelihood ratio test for stationarity of rating transitions pp. 188-194

Rafael Weißbach and Ronja Walter

Volume 155, issue 1, 2010

Micro versus macro cointegration in heterogeneous panels pp. 1-18

Lorenzo Trapani and Giovanni Urga

Tailored randomized block MCMC methods with application to DSGE models pp. 19-38

Siddhartha Chib and Srikanth Ramamurthy

Estimating a tournament model of intra-firm wage differentials pp. 39-55

Jiawei Chen and Matthew Shum

Nonparametric estimation of distributional policy effects pp. 56-70

Christoph Rothe

Density estimation for nonlinear parametric models with conditional heteroscedasticity pp. 71-82

Zhibiao Zhao

Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory pp. 83-89

J. Miller and Joon Park

An integrated maximum score estimator for a generalized censored quantile regression model pp. 90-98

Songnian Chen

Volume 154, issue 2, 2010

On the distribution of the sample autocorrelation coefficients pp. 101-121

Raymond Kan and Xiaolu Wang

Testing for heteroskedasticity and serial correlation in a random effects panel data model pp. 122-124

Badi Baltagi, Byoung Cheol Jung and Seuck Heun Song

Activity signature functions for high-frequency data analysis pp. 125-138

Viktor Todorov and George Tauchen

A comparison of two model averaging techniques with an application to growth empirics pp. 139-153

Jan Magnus, Owen Powell and Patricia Prufer

Estimating a class of triangular simultaneous equations models without exclusion restrictions pp. 154-164

Roger Klein and Francis Vella

Estimation of spatial autoregressive panel data models with fixed effects pp. 165-185

Lung-Fei Lee and Jihai Yu

An improved bootstrap test of stochastic dominance pp. 186-202

Oliver Linton, Kyungchul Song and Yoon-Jae Whang

Volume 154, issue 1, 2010

A new instrumental method for dealing with endogenous selection pp. 1-15

Xavier D'Haultfoeuille

A comparison of mean-variance efficiency tests pp. 16-34

Dante Amengual and Enrique Sentana

A note on Phillips (1991): "A constrained maximum likelihood approach to estimating switching regressions" pp. 35-41

Jianjun Xu, Xianming Tan and Runchu Zhang

Short and long run causality measures: Theory and inference pp. 42-58

Jean-Marie Dufour and Abderrahim Taamouti

Adaptive estimation of the dynamics of a discrete time stochastic volatility model pp. 59-73

F. Comte, C. Lacour and Y. Rozenholc

Testing semiparametric conditional moment restrictions using conditional martingale transforms pp. 74-84

Kyungchul Song

Stochastic model specification search for Gaussian and partial non-Gaussian state space models pp. 85-100

Sylvia Frühwirth-Schnatter and Helga Wagner