Journal of Econometrics

1973 - 2025

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 147, issue 2, 2008

Estimating demand systems and measuring consumer preferences pp. 207-209

Daniel Slottje

Consumer preferences and demand systems pp. 210-224

William Barnett and Apostolos Serletis

Chamberlin's strategy of multiple working hypotheses and a relative frequency theory of market demand pp. 225-231

R.L. Basmann

A Bayesian mixed logit-probit model for multinomial choice pp. 232-246

Martin Burda, Matthew Harding and Jerry Hausman

Demand and supply estimation biases due to omission of durability pp. 247-257

Jiawei Chen, Susanna Esteban and Matthew Shum

Nonparametric tests of collectively rational consumption behavior: An integer programming procedure pp. 258-265

Laurens Cherchye, Bram De Rock, Jeroen Sabbe and Frederic Vermeulen

Estimating demand with distance functions: Parameterization in the primal and dual pp. 266-274

Rolf Färe, Shawna Grosskopf, Kathy J. Hayes and Dimitris Margaritis

A nonparametric test of weak separability and consumer preferences pp. 275-281

Adrian R. Fleissig and Gerald A. Whitney

Estimating demand systems when outcomes are correlated counts pp. 282-298

Joseph Herriges, Daniel Phaneuf and Justin Tobias

Inferential methods for elasticity estimates pp. 299-315

Joseph Hirschberg, Jeanette Lye and Daniel Slottje

Increasing the price variation in a repeated cross section pp. 316-325

Stefan Hoderlein and Sonya Mihaleva

Consumption and labor supply pp. 326-335

Dale Jorgenson and Daniel T. Slesnick

The structure of US food demand pp. 336-349

Jeffrey LaFrance

Estimation of collective household models with Engel curves pp. 350-358

Arthur Lewbel and Krishna Pendakur

A neural network demand system with heteroskedastic errors pp. 359-371

Michael McAleer, Marcelo Medeiros and Daniel Slottje

An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals pp. 372-383

Marcelo Medeiros, Michael McAleer, Daniel Slottje, Vicente Ramos and Javier Rey-Maquieira

Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints pp. 384-395

Daniel Millimet and Rusty Tchernis

Volume 147, issue 1, 2008

Econometric modelling in finance and risk management: An overview pp. 1-4

Jiti Gao, Michael McAleer and David Allen

Correlation testing in time series, spatial and cross-sectional data pp. 5-16

P.M. Robinson

Out of sample forecasts of quadratic variation pp. 17-33

Yacine Ait-Sahalia and Loriano Mancini

Realized volatility forecasting and option pricing pp. 34-46

Federico M. Bandi, Jeffrey R. Russell and Chen Yang

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error pp. 47-59

Ilze Kalnina and Oliver Linton

Nonlinear models for strongly dependent processes with financial applications pp. 60-71

Richard T. Baillie and George Kapetanios

Econometric estimation in long-range dependent volatility models: Theory and practice pp. 72-83

Isabel Casas and Jiti Gao

Testing for a change in persistence in the presence of non-stationary volatility pp. 84-98

Giuseppe Cavaliere and Robert Taylor

A complete asymptotic series for the autocovariance function of a long memory process pp. 99-103

Offer Lieberman and Peter Phillips

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries pp. 104-119

Michael McAleer and Marcelo Medeiros

Nonparametric estimation of conditional VaR and expected shortfall pp. 120-130

Zongwu Cai and Xian Wang

Specification testing in discretized diffusion models: Theory and practice pp. 131-140

Jiti Gao and Isabel Casas

Fiscal policy and asset markets: A semiparametric analysis pp. 141-150

Dennis Jansen, Qi Li, Zijun Wang and Jian Yang

Testing for multivariate volatility functions using minimum volume sets and inverse regression pp. 151-162

Wolfgang Polonik and Qiwei Yao

Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks pp. 163-185

David Allen, Felix Chan, Michael McAleer and Shelton Peiris

High dimensional covariance matrix estimation using a factor model pp. 186-197

Jianqing Fan, Yingying Fan and Jinchi Lv

Dynamic quantile models pp. 198-205

Christian Gourieroux and Joann Jasiak

Volume 146, issue 2, 2008

Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson pp. 199-201

Timothy Cogley, Steven Durlauf and James Nason

The Beveridge-Nelson decomposition in retrospect and prospect pp. 202-206

Charles Nelson

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics pp. 207-219

Kum Hwa Oh, Eric Zivot and Drew Creal

Trend/cycle decomposition of regime-switching processes pp. 220-226

James Morley and Jeremy Piger

Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? pp. 227-240

Chang-Jin Kim

Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments pp. 241-254

Donald Andrews, Marcelo Moreira and James H. Stock

Methods for inference in large multiple-equation Markov-switching models pp. 255-274

Christopher Sims, Daniel Waggoner and Tao Zha

Time series properties of ARCH processes with persistent covariates pp. 275-292

Heejoon Han and Joon Park

Efficient forecast tests for conditional policy forecasts pp. 293-303

Jon Faust and Jonathan Wright

Forecasting economic time series using targeted predictors pp. 304-317

Jushan Bai and Serena Ng

Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components? pp. 318-328

Christine De Mol, Domenico Giannone and Lucrezia Reichlin

Bayesian Model Averaging and exchange rate forecasts pp. 329-341

Jonathan Wright

Least-squares forecast averaging pp. 342-350

Bruce Hansen

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach pp. 351-363

Francis Diebold, Canlin Li and Vivian Yue

Quality control for structural credit risk models pp. 364-375

Elena Andreou and Eric Ghysels

Volume 146, issue 1, 2008

Explaining individual response using aggregated data pp. 1-9

Bram van Dijk and Richard Paap

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks pp. 10-25

Enrique Sentana, Giorgio Calzolari and Gabriele Fiorentini

Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach pp. 26-43

Emanuel Moench

A Gaussian approximation scheme for computation of option prices in stochastic volatility models pp. 44-58

Cheng, Ai-ru (Meg), A. Gallant, Chuanshu Ji and Beom S. Lee

The limit distribution of the estimates in cointegrated regression models with multiple structural changes pp. 59-73

Mohitosh Kejriwal and Pierre Perron

Partial identification and testable restrictions in multi-unit auctions pp. 74-85

David McAdams

Exact computation of max weighted score estimators pp. 86-91

Kostas Florios and Spyros Skouras

Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models pp. 92-106

Hiroyuki Kasahara and Katsumi Shimotsu

Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities pp. 107-117

Adam Rosen

Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large pp. 118-134

Jihai Yu, Robert de Jong and Lung-Fei Lee

A joint serial correlation test for linear panel data models pp. 135-145

Takashi Yamagata

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root pp. 146-161

Nikolay Gospodinov

The wild bootstrap, tamed at last pp. 162-169

Russell Davidson and Emmanuel Flachaire

Testing for structural change in regression quantiles pp. 170-184

Zhongjun Qu

Local likelihood estimation of truncated regression and its partial derivatives: Theory and application pp. 185-198

Byeong U. Park, Leopold Simar and Valentin Zelenyuk