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 136, issue 2, 2007

Special issue editors' introduction: The interface between econometrics and economic theory pp. 325-329

Charalambos D. Aliprantis, William Barnett, Bernard Cornet and Steven Durlauf

Philosophy and objectives of econometrics pp. 331-339

Arnold Zellner

Dynamic discrete choice and dynamic treatment effects pp. 341-396

James Heckman and Salvador Navarro

Indirect inference and calibration of dynamic stochastic general equilibrium models pp. 397-430

Ramdan Dridi, Alain Guay and Eric Renault

Riesz estimators pp. 431-456

Charalambos D. Aliprantis, David Harris and Rabee Tourky

Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries pp. 457-482

William Barnett

Growth and convergence: A profile of distribution dynamics and mobility pp. 483-508

Esfandiar Maasoumi, Jeffrey Racine and Thanasis Stengos

Econometric specification of stochastic discount factor models pp. 509-530

Christian Gourieroux and Alain Monfort

Empirical labor search: A survey pp. 531-564

Zvi Eckstein and Gerard van den Berg

Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling pp. 565-594

George Kapetanios, Adrian Pagan and A. Scott

Econometric analysis of linearized singular dynamic stochastic general equilibrium models pp. 595-627

Herman Bierens

Model uncertainty and policy evaluation: Some theory and empirics pp. 629-664

William Brock, Steven Durlauf and Kenneth West

Selection into and across credit contracts: Theory and field research pp. 665-698

Christian Ahlin and Robert Townsend

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data pp. 699-723

Valentina Corradi and Norman Swanson

Volume 136, issue 1, 2007

Frequency domain estimation of temporally aggregated Gaussian cointegrated systems pp. 1-29

Marcus Chambers and J. Roderick McCrorie

Estimation and inference in two-stage, semi-parametric models of production processes pp. 31-64

Leopold Simar and Paul Wilson

A method of estimating the average derivative pp. 65-88

Anurag Banerjee

Asymmetry and nonstationarity for a seasonal time series model pp. 89-114

Dong Wan Shin and Oesook Lee

Limit theory for moderate deviations from a unit root pp. 115-130

Peter Phillips and Tassos Magdalinos

Non-parametric tests of productive efficiency with errors-in-variables pp. 131-162

Timo Kuosmanen, Thierry Post and Stefan Scholtes

Trending time-varying coefficient time series models with serially correlated errors pp. 163-188

Zongwu Cai

A simple ordered data estimator for inverse density weighted expectations pp. 189-211

Arthur Lewbel and Susanne Schennach

An econometric method of correcting for unit nonresponse bias in surveys pp. 213-235

Anton Korinek, Johan Mistiaen and Martin Ravallion

Aggregation and memory of models of changing volatility pp. 237-249

Paolo Zaffaroni

Partial rank estimation of duration models with general forms of censoring pp. 251-280

Shakeeb Khan and Elie Tamer

Semiparametric efficient estimation of dynamic panel data models pp. 281-301

Byeong U. Park, Robin Sickles and Leopold Simar

Time reversibility of stationary regular finite-state Markov chains pp. 303-318

William McCausland

General-to-specific or specific-to-general modelling? An opinion on current econometric terminology pp. 319-324

Helmut Lütkepohl

Volume 135, issue 1-2, 2006

Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger pp. 1-9

Norman Swanson, Graham Elliott, Eric Ghysels and Jesus Gonzalo

Opening comments: Predictive methodology and application in economics and finance.: Presentation for the San Diego Conference, January, 2004 pp. 11-13

Clive Granger

Structural attribution of observed volatility clustering pp. 15-29

Clive Granger and Mark Machina

Persistence in forecasting performance and conditional combination strategies pp. 31-53

Marco Aiolfi and Allan Timmermann

Reduced rank regression for blocks of simultaneous equations pp. 55-76

T.W. Anderson

Monitoring disruptions in financial markets pp. 77-124

Elena Andreou and Eric Ghysels

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification pp. 125-154

Xiaohong Chen and Yanqin Fan

Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis pp. 155-186

Todd Clark and Kenneth West

Predictive density and conditional confidence interval accuracy tests pp. 187-228

Valentina Corradi and Norman Swanson

Finite-sample simulation-based inference in VAR models with application to Granger causality testing pp. 229-254

Jean-Marie Dufour and Tarek Jouini

Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? pp. 255-284

Alexei Egorov, Yongmiao Hong and Haitao Li

Minimizing the impact of the initial condition on testing for unit roots pp. 285-310

Graham Elliott and Ulrich K. Muller

Large shocks vs. small shocks. (Or does size matter? May be so.) pp. 311-347

Jesus Gonzalo and Oscar Martinez

A regime switching long memory model for electricity prices pp. 349-376

Niels Haldrup and Morten Nielsen

Interval forecasts and parameter uncertainty pp. 377-398

Bruce Hansen

Robustifying forecasts from equilibrium-correction systems pp. 399-426

David Hendry

Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process pp. 427-463

Cheng Hsiao and Siyan Wang

Bagging binary and quantile predictors for time series pp. 465-497

Tae Hwy Lee and Yang Yang

A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series pp. 499-526

Massimiliano Marcellino, James H. Stock and Mark Watson

Time-series estimation of the effects of natural experiments pp. 527-566

Halbert White

Volume 134, issue 2, 2006

Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis pp. 317-340

Subal Kumbhakar and Hung-Jen Wang

Analysis of high dimensional multivariate stochastic volatility models pp. 341-371

Siddhartha Chib, Federico Nardari and Neil Shephard

Estimating restricted structural change models pp. 373-399

Pierre Perron and Zhongjun Qu

Joint LM test for homoskedasticity in a one-way error component model pp. 401-417

Badi Baltagi, Georges Bresson and Alain Pirotte

Estimation of technical and allocative inefficiency: A primal system approach pp. 419-440

Subal Kumbhakar and Hung-Jen Wang

Modified tests for a change in persistence pp. 441-469

David Harvey, Stephen Leybourne and Robert Taylor

Quantile regression methods for recursive structural equation models pp. 471-506

Lingjie Ma and Roger Koenker

Saddlepoint approximations for continuous-time Markov processes pp. 507-551

Ai[dieresis]t-Sahalia, Yacine and Jialin Yu

Markov-switching model selection using Kullback-Leibler divergence pp. 553-577

Aaron Smith, Prasad A. Naik and Chih-Ling Tsai

Residual autocorrelation testing for vector error correction models pp. 579-604

Ralf Brüggemann, Helmut Lütkepohl and Pentti Saikkonen

Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility pp. 605-644

Jim Griffin and Mark Steel

Bayesian point estimation of the cointegration space pp. 645-664

Mattias Villani

Volume 134, issue 1, 2006

Asymptotic properties of Monte Carlo estimators of diffusion processes pp. 1-68

Jerome Detemple, René Garcia and Marcel Rindisbacher

Identification and estimation in sequential, asymmetric, English auctions pp. 69-94

Bjarne Brendstrup and Harry Paarsch

Matrix exponential GARCH pp. 95-128

Hiroyuki Kawakatsu

Bootstrap testing for the null of no cointegration in a threshold vector error correction model pp. 129-150

Myung Hwan Seo

Generalized spectral tests for the martingale difference hypothesis pp. 151-185

Juan Carlos Escanciano and Carlos Velasco

Estimation of quantity games in the presence of indivisibilities and heterogeneous firms pp. 187-214

Peter Davis

An instrumental variable approach for panel unit root tests under cross-sectional dependence pp. 215-234

Dong Wan Shin and Seungho Kang

Distributional properties of portfolio weights pp. 235-256

Yarema Okhrin and Wolfgang Schmid

Estimation of mis-specified long memory models pp. 257-281

Willa W. Chen and Rohit Deo

Semiparametric Bayesian inference in smooth coefficient models pp. 283-315

Gary Koop and Justin Tobias