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 138, issue 2, 2007

Information and entropy econometrics - volume overview and synthesis pp. 379-387

Amos Golan

Some aspects of the history of Bayesian information processing pp. 388-404

Arnold Zellner

Information optimality and Bayesian modelling pp. 405-429

Bertrand Clarke

Efficient information theoretic inference for conditional moment restrictions pp. 430-460

Richard Smith

On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood pp. 461-487

Bertille Antoine, Helene Bonnal and Eric Renault

Information in generalized method of moments estimation and entropy-based moment selection pp. 488-512

Alastair Hall, Atsushi Inoue, Kalidas Jana and Changmock Shin

Estimation and inference in the case of competing sets of estimating equations pp. 513-531

George Judge and Ron Mittelhammer

GMM estimation of a maximum entropy distribution with interval data pp. 532-546

Ximing Wu and Jeffrey Perloff

A versatile and robust metric entropy test of time-reversibility, and other hypotheses pp. 547-567

Jeffrey Racine and Esfandiar Maasoumi

Information measures for generalized gamma family pp. 568-585

Ali Dadpay, Ehsan S. Soofi and Refik Soyer

Volume 138, issue 1, 2007

Progress and challenges in econometrics pp. 1-2

Philip Hans Franses and Herman van Dijk

Forecasting--looking back and forward: Paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam pp. 3-13

Clive Granger

Generalizing the standard product rule of probability theory and Bayes's Theorem pp. 14-23

Arnold Zellner

Testing with many weak instruments pp. 24-46

Donald Andrews and James H. Stock

The zero-information-limit condition and spurious inference in weakly identified models pp. 47-62

Charles Nelson and Richard Startz

Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data pp. 63-103

Lennart Hoogerheide, Frank Kleibergen and Herman van Dijk

Unit root log periodogram regression pp. 104-124

Peter Phillips

No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications pp. 125-180

Torben Andersen, Tim Bollerslev and Dobrislav Dobrev

Measuring volatility with the realized range pp. 181-207

Martin Martens and Dick van Dijk

Product attributes and models of multiple discreteness pp. 208-230

Jaehwan Kim, Greg M. Allenby and Peter Rossi

Seasonality and non-linear price effects in scanner-data-based market-response models pp. 231-251

Dennis Fok, Philip Hans Franses and Richard Paap

Smoothly mixing regressions pp. 252-290

John Geweke and Michael Keane

Approximately normal tests for equal predictive accuracy in nested models pp. 291-311

Todd Clark and Kenneth West

A pair-wise approach to testing for output and growth convergence pp. 312-355

Mohammad Pesaran

Reconciling introspective utility with revealed preference: Experimental arguments based on prospect theory pp. 356-378

Mohammed Abdellaoui, Carolina Barrios and Peter Wakker

Volume 137, issue 2, 2007

Gaussian semiparametric estimation of multivariate fractionally integrated processes pp. 277-310

Katsumi Shimotsu

A robust version of the KPSS test based on indicators pp. 311-333

Robert de Jong, Christine Amsler and Peter Schmidt

Granger causality and path diagrams for multivariate time series pp. 334-353

Michael Eichler

A simple approach to the parametric estimation of potentially nonstationary diffusions pp. 354-395

Federico M. Bandi and Peter Phillips

Finite sample properties of maximum likelihood estimator in spatial models pp. 396-413

Yong Bao and Aman Ullah

Decisionmetrics: A decision-based approach to econometric modelling pp. 414-440

Spyros Skouras

Optimal statistical decisions about some alternative financial models pp. 441-471

Wolfgang Stummer and Igor Vajda

Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean pp. 472-488

Andrew Blake and George Kapetanios

GMM and 2SLS estimation of mixed regressive, spatial autoregressive models pp. 489-514

Lung-Fei Lee

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction pp. 515-555

John Chao and Norman Swanson

Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations pp. 556-576

Ngai Hang Chan, Shi-Jie Deng, Liang Peng and Zhendong Xia

On efficient estimation of the ordered response model pp. 577-614

Mark Coppejans

MCMC maximum likelihood for latent state models pp. 615-640

Eric Jacquier, Michael Johannes and Nicholas Polson

Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers pp. 641-673

Jose T.A.S. Ferreira and Mark Steel

Inference on inequality from household survey data pp. 674-707

Debopam Bhattacharya

Marginal likelihood and unit roots pp. 708-728

Marc K. Francke and Aart de Vos

Volume 137, issue 1, 2007

Nonparametric stochastic frontiers: A local maximum likelihood approach pp. 1-27

Subal Kumbhakar, Byeong U. Park, Leopold Simar and Mike Tsionas

Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases pp. 28-67

Mehmet Caner

Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity pp. 68-111

Byeongseon Seo

A unified approach to nonlinearity, structural change, and outliers pp. 112-133

Paolo Giordani, Robert Kohn and Dick van Dijk

Selection of estimation window in the presence of breaks pp. 134-161

Mohammad Pesaran and Allan Timmermann

Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence pp. 162-188

Peter Phillips and Donggyu Sul

An efficient nonparametric estimator for models with nonlinear dependence pp. 189-229

Patrick Gagliardini and Christian Gourieroux

Nonstationary nonlinear heteroskedasticity in regression pp. 230-259

Heetaik Chung and Joon Park

Bayesian analysis of a Tobit quantile regression model pp. 260-276

Keming Yu and Julian Stander