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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Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation pp. 105-121: Javier Mencia and Enrique Sentana
Sequential conditional correlations: Inference and evaluation pp. 122-132: Alessandro Palandri
On the effect of mean-nonstationarity in dynamic panel data models pp. 133-135: Kazuhiko Hayakawa
Estimation with overidentifying inequality moment conditions pp. 136-154: Hyungsik Moon and Frank Schorfheide
Regression density estimation using smooth adaptive Gaussian mixtures pp. 155-173: Mattias Villani, Robert Kohn and Paolo Giordani
The effect of microaggregation by individual ranking on the estimation of moments pp. 174-182: Matthias Schmid and Hans Schneeweiss
Learning in a multilateral bargaining experiment pp. 183-195: Guillaume Frechette
Structural estimation of jump-diffusion processes in macroeconomics pp. 196-210: Olaf Posch

The dynamic effects of an earnings subsidy for long-term welfare recipients: Evidence from the self sufficiency project applicant experiment pp. 1-20: David Card and Dean Hyslop
A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation pp. 21-32: Xibin Zhang, Robert Brooks and Maxwell King
Testing and imposing Slutsky symmetry in nonparametric demand systems pp. 33-50: Berthold R. Haag, Stefan Hoderlein and Krishna Pendakur
Semiparametric estimation of binary response models with endogenous regressors pp. 51-64: Christoph Rothe
Empirical likelihood-based inference for nonparametric recurrent diffusions pp. 65-82: Ke-Li Xu
Nonparametric inference of discretely sampled stable Lévy processes pp. 83-92: Zhibiao Zhao and Wei Biao Wu
Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas pp. 93-104: Artem Prokhorov and Peter Schmidt

Nonparametric and robust methods in econometrics pp. 79-80: Luiz Lima, Marcelo Moreira, Jack Porter and Zhijie Xiao
Functional-coefficient cointegration models pp. 81-92: Zhijie Xiao
Finite sample inference for quantile regression models pp. 93-103: Victor Chernozhukov, Christian Hansen and Michael Jansson
Inference on endogenously censored regression models using conditional moment inequalities pp. 104-119: Shakeeb Khan and Elie Tamer
Parametric links for binary choice models: A Fisherian-Bayesian colloquy pp. 120-130: Roger Koenker and Jungmo Yoon
Tests with correct size when instruments can be arbitrarily weak pp. 131-140: Marcelo Moreira
Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative pp. 141-152: Joel L. Horowitz and Sokbae (Simon) Lee
A panel data approach to economic forecasting: The bias-corrected average forecast pp. 153-164: João Issler and Luiz Lima
Unit root quantile autoregression testing using covariates pp. 165-178: Antonio Galvao
Quantiles, expectiles and splines pp. 179-185: Giuliano De Rossi and Andrew Harvey
A test of non-identifying restrictions and confidence regions for partially identified parameters pp. 186-196: Alfred Galichon and Marc Henry

Editor's introduction pp. 1-2: Miguel Delgado
Semiparametric tests of conditional moment restrictions under weak or partial identification pp. 3-18: Sung Jae Jun and Joris Pinkse
Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators pp. 19-27: Donald Andrews and Patrik Guggenberger
Choosing instrumental variables in conditional moment restriction models pp. 28-36: Stephen Donald, Guido Imbens and Whitney Newey
Excess heterogeneity, endogeneity and index restrictions pp. 37-45: Andrew Chesher
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals pp. 46-60: Xiaohong Chen and Demian Pouzo
Maternal full-time employment and overweight children: Parametric, semi-parametric, and non-parametric assessment pp. 61-69: Echu Liu, Cheng Hsiao, Tomoya Matsumoto and Shinyi Chou
Consistent estimation of a general nonparametric regression function in time series pp. 70-78: Oliver Linton and Alessio Sancetta

Editor's introduction pp. 99-100: Miguel Delgado
Local inference for locally stationary time series based on the empirical spectral measure pp. 101-112: Rainer Dahlhaus
Goodness of fit for lattice processes pp. 113-128: Javier Hidalgo
Inference on transformed stationary time series pp. 129-139: Yuzo Hosoya and Takahiro Terasaka
An automatic Portmanteau test for serial correlation pp. 140-149: Juan Carlos Escanciano and Ignacio Lobato
Long memory and long run variation pp. 150-158: Peter Phillips
Estimators of long-memory: Fourier versus wavelets pp. 159-177: Gilles Faÿ, Eric Moulines, François Roueff and Murad S. Taqqu
A Wald test for the cointegration rank in nonstationary fractional systems pp. 178-189: Marco Avarucci and Carlos Velasco
Whittle estimation of EGARCH and other exponential volatility models pp. 190-200: Paolo Zaffaroni

The optimal choice of moments in dynamic panel data models pp. 1-16: Ryo Okui
Optimally combining censored and uncensored datasets pp. 17-32: Paul Devereux and Gautam Tripathi
A specification test for the propensity score using its distribution conditional on participation pp. 33-46: Azeem Shaikh, Marianne Simonsen, Edward Vytlacil and Nese Yildiz
GMM redundancy results for general missing data problems pp. 47-55: Artem Prokhorov and Peter Schmidt
Estimating deterministic trends with an integrated or stationary noise component pp. 56-69: Pierre Perron and Tomoyoshi Yabu
Minimax regret treatment choice with finite samples pp. 70-81: Jörg Stoye
Local structural quantile effects in a model with a nonseparable control variable pp. 82-97: Sung Jae Jun