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 142, issue 2, 2008

Special issue editors' introduction: The regression discontinuity design--Theory and applications pp. 611-614

Guido Imbens and Thomas Lemieux

Regression discontinuity designs: A guide to practice pp. 615-635

Guido Imbens and Thomas Lemieux

"Waiting for Life to Arrive": A history of the regression-discontinuity design in Psychology, Statistics and Economics pp. 636-654

Thomas D. Cook

Regression discontinuity inference with specification error pp. 655-674

David S. Lee and David Card

Randomized experiments from non-random selection in U.S. House elections pp. 675-697

David S. Lee

Manipulation of the running variable in the regression discontinuity design: A density test pp. 698-714

Justin McCrary

Ineligibles and eligible non-participants as a double comparison group in regression-discontinuity designs pp. 715-730

Erich Battistin and Enrico Rettore

Breaking the link between poverty and low student achievement: An evaluation of Title I pp. 731-756

Wilbert van der Klaauw

The work disincentive effects of the disability insurance program in the 1990s pp. 757-784

Susan Chen and Wilbert van der Klaauw

How do extended benefits affect unemployment duration A regression discontinuity approach pp. 785-806

Rafael Lalive

Incentive effects of social assistance: A regression discontinuity approach pp. 807-828

Thomas Lemieux and Kevin Milligan

Mandatory summer school and student achievement pp. 829-850

Jordan Matsudaira

Volume 142, issue 1, 2008

Nonlinearity, nonstationarity, and spurious forecasts pp. 1-27

Vadim Marmer

Symmetry-based inference in an instrumental variable setting pp. 28-49

Paul A. Bekker and Steve Lawford

Testing slope homogeneity in large panels pp. 50-93

Mohammad Pesaran and Takashi Yamagata

Adaptive consistent unit-root tests based on autoregressive threshold model pp. 94-133

Frédérique Bec, Alain Guay and Emmanuel Guerre

Generalized empirical likelihood tests in time series models with potential identification failure pp. 134-161

Patrik Guggenberger and Richard Smith

Local rank tests in a multivariate nonparametric relationship pp. 162-182

Natércia Fortuna

Exactly distribution-free inference in instrumental variables regression with possibly weak instruments pp. 183-200

Donald Andrews and Vadim Marmer

Sparse estimators and the oracle property, or the return of Hodges' estimator pp. 201-211

Hannes Leeb and Benedikt Pötscher

A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change pp. 212-240

Ai Deng and Pierre Perron

Nonparametric transformation to white noise pp. 241-264

Oliver Linton and Enno Mammen

Adaptive estimation of autoregressive models with time-varying variances pp. 265-280

Ke-Li Xu and Peter Phillips

Productivity trends in U.S. manufacturing: Evidence from the NQ and AIM cost functions pp. 281-311

Guohua Feng and Apostolos Serletis

A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test pp. 312-326

Christian Francq, Svetlana Makarova and Zakoi[diaeresis]an, Jean-Michel

Robust estimation for structural spurious regressions and a Hausman-type cointegration test pp. 327-351

Chi-Young Choi, Ling Hu and Masao Ogaki

Estimation and tests for power-transformed and threshold GARCH models pp. 352-378

Jiazhu Pan, Hui Wang and Howell Tong

Instrumental variable quantile regression: A robust inference approach pp. 379-398

Victor Chernozhukov and Christian Hansen

The multi-state latent factor intensity model for credit rating transitions pp. 399-424

Siem Jan Koopman, Andre Lucas and Andre Monteiro

Estimation and testing of Euler equation models with time-varying reduced-form coefficients pp. 425-448

Hong Li

Efficient estimation and inference in linear pseudo-panel data models pp. 449-466

Atsushi Inoue

Temporal aggregation of multivariate GARCH processes pp. 467-483

Christian Hafner

On Bayesian analysis and computation for functions with monotonicity and curvature restrictions pp. 484-507

William McCausland

Conditional empirical likelihood estimation and inference for quantile regression models pp. 508-538

Taisuke Otsu

Fixed effects instrumental variables estimation in correlated random coefficient panel data models pp. 539-552

Irina Murtazashvili and Jeffrey Wooldridge

Bayesian stochastic search for VAR model restrictions pp. 553-580

Edward I. George, Dongchu Sun and Shawn Ni

Testing for unit root processes in random coefficient autoregressive models pp. 581-609

Walter Distaso

Volume 141, issue 2, 2007

Realized range-based estimation of integrated variance pp. 323-349

Kim Christensen and Mark Podolskij

Instrumental variable estimation based on conditional median restriction pp. 350-382

Shinichi Sakata

Generalized R-estimators under conditional heteroscedasticity pp. 383-415

Kanchan Mukherjee

Incidental trends and the power of panel unit root tests pp. 416-459

Hyungsik Moon, Benoit Perron and Peter Phillips

Non-parametric estimation of sequential english auctions pp. 460-481

Bjarne Brendstrup

On the uniqueness of optimal prices set by monopolistic sellers pp. 482-491

Gerard van den Berg

On the second-order properties of empirical likelihood with moment restrictions pp. 492-516

Song Chen and Hengjian Cui

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting pp. 517-547

Michael Dueker, Martin Sola and Fabio Spagnolo

Efficient tests of the seasonal unit root hypothesis pp. 548-573

Paulo Rodrigues and Robert Taylor

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach pp. 574-596

Morten Nielsen and Katsumi Shimotsu

Asymptotic properties of a robust variance matrix estimator for panel data when T is large pp. 597-620

Christian Hansen

Online forecast combinations of distributions: Worst case bounds pp. 621-651

Alessio Sancetta

Nonparametric tests for conditional symmetry in dynamic models pp. 652-682

Miguel Delgado and Juan Carlos Escanciano

Masking identification of discrete choice models under simulation methods pp. 683-703

Lesley Chiou and Joan L. Walker

A smoothed least squares estimator for threshold regression models pp. 704-735

Myung Hwan Seo and Oliver Linton

Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates pp. 736-776

Yongmiao Hong, Haitao Li and Feng Zhao

Endogenous selection or treatment model estimation pp. 777-806

Arthur Lewbel

A consistent characteristic function-based test for conditional independence pp. 807-834

Liangjun Su and Halbert White

A goodness-of-fit test for ARCH([infinity]) models pp. 835-875

Javier Hidalgo and Paolo Zaffaroni

Modelling security market events in continuous time: Intensity based, multivariate point process models pp. 876-912

Clive Bowsher

Asymptotics for duration-driven long range dependent processes pp. 913-949

Meng-Chen Hsieh, Clifford Hurvich and Philippe Soulier

An adaptive empirical likelihood test for parametric time series regression models pp. 950-972

Song Chen and Jiti Gao

A goodness-of-fit test for ARCH([infinity]) models pp. 973-1013

Javier Hidalgo and Paolo Zaffaroni

Discrete time duration models with group-level heterogeneity pp. 1014-1043

Anders Frederiksen, Bo E. Honore and Luojia Hu

Income distribution and inequality measurement: The problem of extreme values pp. 1044-1072

Frank Cowell and Emmanuel Flachaire

A zero-inflated ordered probit model, with an application to modelling tobacco consumption pp. 1073-1099

Mark Harris and Xueyan Zhao

Estimating a generalized correlation coefficient for a generalized bivariate probit model pp. 1100-1114

Songnian Chen and Yahong Zhou

Nonstationary discrete choice: A corrigendum and addendum pp. 1115-1130

Peter Phillips, Sainan Jin and Ling Hu

Endogeneity in quantile regression models: A control function approach pp. 1131-1158

Sokbae (Simon) Lee

Time and causality: A Monte Carlo assessment of the timing-of-events approach pp. 1159-1195

Simen Gaure, Knut Røed and Tao Zhang

Confidence sets for the date of a single break in linear time series regressions pp. 1196-1218

Graham Elliott and Ulrich K. Muller

Finite sample multivariate structural change tests with application to energy demand models pp. 1219-1244

Jean-Thomas Bernard, Nadhem Idoudi, Lynda Khalaf and Clement Yelou

Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan pp. 1245-1280

Jialin Yu

Inverse probability weighted estimation for general missing data problems pp. 1281-1301

Jeffrey Wooldridge

A simple, robust and powerful test of the trend hypothesis pp. 1302-1330

David Harvey, Stephen Leybourne and Robert Taylor

A theory of robust long-run variance estimation pp. 1331-1352

Ulrich K. Muller

Nonstationarity-extended local Whittle estimation pp. 1353-1384

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Efficient high-dimensional importance sampling pp. 1385-1411

Jean-Francois Richard and Wei Zhang

Corrigendum to "The pseudo-true score encompassing test for non-nested hypotheses": [Journal of Econometrics 106, 271-295] pp. 1412-1417

Yi-Ting Chen and Chung-Ming Kuan

Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394] pp. 1417-1418

Alastair Hall and Atsushi Inoue

Erratum to "Generalizing the standard product rule of probability theory and Bayes's Theorem": [J. Econometrics 138 (1) (2007) 14-23] pp. 1417-1419

Arnold Zellner

Volume 141, issue 1, 2007

Semiparametric methods in econometrics pp. 1-4

Marcelo Fernandes, Oliver Linton and Olivier Scaillet

Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables pp. 5-43

Chunrong Ai and Xiaohong Chen

Testing the Markov property with high frequency data pp. 44-64

João Amaro de Matos and Marcelo Fernandes

Censored regression quantiles with endogenous regressors pp. 65-83

Richard Blundell and James Powell

Semiparametric identification and estimation in multi-object, English auctions pp. 84-108

Bjarne Brendstrup and Harry Paarsch

Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models pp. 109-140

Xiaohong Chen, Han Hong and Matthew Shum

Asymptotic and bootstrap inference for inequality and poverty measures pp. 141-166

Russell Davidson and Emmanuel Flachaire

Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance pp. 167-178

Ronaldo Dias and Nancy L. Garcia

Root-N consistent semiparametric estimators of a dynamic panel-sample-selection model pp. 179-212

George-Levi Gayle and Christelle Viauroux

Local multiplicative bias correction for asymmetric kernel density estimators pp. 213-249

M. Hagmann and Olivier Scaillet

The quantilogram: With an application to evaluating directional predictability pp. 250-282

Oliver Linton and Yoon-Jae Whang

Nonparametric frontier estimation via local linear regression pp. 283-319

Carlos Martins-Filho and Feng Yao