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 140, issue 2, 2007

Identification and estimation of econometric models with group interactions, contextual factors and fixed effects pp. 333-374

Lung-Fei Lee

Nonparametric efficiency analysis: A multivariate conditional quantile approach pp. 375-400

Abdelaati Daouia and Leopold Simar

Analysis of treatment response data without the joint distribution of potential outcomes pp. 401-412

Siddhartha Chib

Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk pp. 413-424

Jiri Reif

Stochastic volatility with leverage: Fast and efficient likelihood inference pp. 425-449

Yasuhiro Omori, Siddhartha Chib, Neil Shephard and Jouchi Nakajima

Root-n-consistent estimation of weak fractional cointegration pp. 450-484

Javier Hualde and P.M. Robinson

Infrastructure and productivity: An extension to private infrastructure and it productivity pp. 485-502

Vijaya G. Duggal, Cynthia Saltzman and Lawrence Klein

Estimating dynamic panel data discrete choice models with fixed effects pp. 503-528

Jesus Carro

Efficient estimation of general dynamic models with a continuum of moment conditions pp. 529-573

Marine Carrasco, Mikhail Chernov, Jean-Pierre Florens and Eric Ghysels

Long difference instrumental variables estimation for dynamic panel models with fixed effects pp. 574-617

Jinyong Hahn, Jerry Hausman and Guido Kuersteiner

Trends and cycles in economic time series: A Bayesian approach pp. 618-649

Andrew Harvey, Thomas Trimbur and Herman van Dijk

The second-order bias and mean squared error of estimators in time-series models pp. 650-669

Yong Bao and Aman Ullah

Generalized least squares inference in panel and multilevel models with serial correlation and fixed effects pp. 670-694

Christian Hansen

Testing joint hypotheses when one of the alternatives is one-sided pp. 695-718

Karim M. Abadir and Walter Distaso

Asymptotics for out of sample tests of Granger causality pp. 719-752

Michael McCracken

Testing constancy of the error covariance matrix in vector models pp. 753-780

Bruno Eklund and Timo Teräsvirta

Modeling and calculating the effect of treatment at baseline from panel outcomes pp. 781-801

Siddhartha Chib and Liana Jacobi

A consistent model specification test with mixed discrete and continuous data pp. 802-826

Cheng Hsiao, Qi Li and Jeffrey Racine

A structural analysis of the correlated random coefficient wage regression model pp. 827-848

Christian Belzil and Jorgen Hansen

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models pp. 849-873

Shiqing Ling

Why elementary price index number formulas differ: Evidence on price dispersion pp. 874-883

Mick Silver and Saeed Heravi

Properties of optimal forecasts under asymmetric loss and nonlinearity pp. 884-918

Andrew Patton and Allan Timmermann

Testing for unit roots in time series models with non-stationary volatility pp. 919-947

Giuseppe Cavaliere and Robert Taylor

Volume 140, issue 1, 2007

Analysis of spatially dependent data pp. 1-4

Badi Baltagi, Harry H. Kelejian and Ingmar Prucha

Testing for serial correlation, spatial autocorrelation and random effects using panel data pp. 5-51

Badi Baltagi, Seuck Heun Song, Byoung Cheol Jung and Won Koh

Identification of binary choice models with social interactions pp. 52-75

William Brock and Steven Durlauf

Spatial correlation robust inference with errors in location or distance pp. 76-96

Timothy Conley and Francesca Molinari

Panel data models with spatially correlated error components pp. 97-130

Mudit Kapoor, Harry H. Kelejian and Ingmar Prucha

HAC estimation in a spatial framework pp. 131-154

Harry H. Kelejian and Ingmar Prucha

The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models pp. 155-189

Lung-Fei Lee

A matrix exponential spatial specification pp. 190-214

James LeSage and Kelley Pace

A central limit theorem for endogenous locations and complex spatial interactions pp. 215-225

Joris Pinkse, Lihong Shen and Margaret Slade

A spatial model for multivariate lattice data pp. 226-259

Stephan R. Sain and Noel Cressie

Estimating models of complex FDI: Are there third-country effects? pp. 260-281

Badi Baltagi, Peter Egger and Michael Pfaffermayr

Estimating dynamic local interactions models pp. 282-303

Timothy Conley and Giorgio Topa

The origin of spatial interaction pp. 304-332

Wolfgang Keller and Carol Shiue

Volume 139, issue 2, 2007

The econometrics of intellectual property: An overview pp. 237-241

Michael McAleer

Estimation of patent licensing value using a flexible demand specification pp. 242-258

Jerry Hausman and Gregory K. Leonard

An econometric analysis of asymmetric volatility: Theory and application to patents pp. 259-284

Michael McAleer, Felix Chan and Dora Marinova

Valuing intangible assets with a nested logit market share model pp. 285-302

Jeffrey A. Dubin

Econometric analysis of copyrights pp. 303-317

Daniel Slottje, Daniel Millimet and Michael J. Buchanan

The size distribution of innovations revisited: An application of extreme value statistics to citation and value measures of patent significance pp. 318-339

Gerald Silverberg and Bart Verspagen

Patenting, intellectual property rights and sectoral outputs in Industrial Revolution Britain, 1780-1851 pp. 340-354

David Greasley and Les Oxley

Patent activity and technical change pp. 355-375

Robert L. Basmann, Michael McAleer and Daniel Slottje

Modeling the diffusion of scientific publications pp. 376-390

Dennis Fok and Philip Hans Franses

Volume 139, issue 1, 2007

Endogeneity, instruments and identification pp. 1-3

Andrew Chesher, Geert Dhaene and Herman van Dijk

Instrumental variable estimation of nonseparable models pp. 4-14

Victor Chernozhukov, Guido Imbens and Whitney Newey

Instrumental values pp. 15-34

Andrew Chesher

Nonparametric IV estimation of local average treatment effects with covariates pp. 35-75

Markus Frölich

Identification and information in monotone binary models pp. 76-104

Thierry Magnac and Eric Maurin

Minimax-regret treatment choice with missing outcome data pp. 105-115

Charles Manski

Performance of conditional Wald tests in IV regression with weak instruments pp. 116-132

Donald Andrews, Marcelo Moreira and James H. Stock

Further results on projection-based inference in IV regressions with weak, collinear or missing instruments pp. 133-153

Jean-Marie Dufour and Mohamed Taamouti

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks pp. 154-180

Lennart F. Hoogerheide, Johan F. Kaashoek and Herman van Dijk

Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics pp. 181-216

Frank Kleibergen

Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small pp. 217-236

Donald Poskitt and Christopher Skeels