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 133, issue 2, 2006

Resampling methods in econometrics pp. 411-419

Jean-Marie Dufour and Benoit Perron

The power of bootstrap and asymptotic tests pp. 421-441

Russell Davidson and James MacKinnon

Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics pp. 443-477

Jean-Marie Dufour

MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm pp. 479-512

Frederic Jouneau-Sion and Olivier Torres

Exact permutation tests for non-nested non-linear regression models pp. 513-529

Richard Luger

Bootstrapping GMM estimators for time series pp. 531-555

Atsushi Inoue and Mototsugu Shintani

A fast subsampling method for nonlinear dynamic models pp. 557-578

Han Hong and Olivier Scaillet

Nonparametric state price density estimation using constrained least squares and the bootstrap pp. 579-599

Adonis Yatchew and Wolfgang Härdle

Unit root testing via the stationary bootstrap pp. 601-638

Cameron Parker, Efstathios Paparoditis and Dimitris N. Politis

A bootstrap theory for weakly integrated processes pp. 639-672

Joon Park

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes pp. 673-702

Donald Andrews, Offer Lieberman and Vadim Marmer

Bootstrapping cointegrating regressions pp. 703-739

Yoosoon Chang, Joon Park and Kevin Song

Alternative bootstrap procedures for testing cointegration in fractionally integrated processes pp. 741-777

James Davidson

Bootstrap conditional distribution tests in the presence of dynamic misspecification pp. 779-806

Valentina Corradi and Norman Swanson

Bootstrap specification tests for linear covariance stationary processes pp. 807-839

J. Hidalgo and J.-P. Kreiss

Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness pp. 841-862

Joel L. Horowitz, Ignacio Lobato, John C. Nankervis and N.E. Savin

A consistent bootstrap test for conditional density functions with time-series data pp. 863-886

Fuchun Li and Greg Tkacz

Volume 133, issue 1, 2006

Estimation of models with grouped and ungrouped data by means of "2SLS" pp. 1-29

Phoebus J. Dhrymes and Adriana Lleras-Muney

Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market pp. 31-49

Stanislav Radchenko and Hiroki Tsurumi

Bounding parameters in a linear regression model with a mismeasured regressor using additional information pp. 51-70

Yingyao Hu

Estimation of stochastic frontier production functions with input-oriented technical efficiency pp. 71-96

Subal Kumbhakar and Mike Tsionas

Generalized reduced rank tests using the singular value decomposition pp. 97-126

Frank Kleibergen and Richard Paap

The thick market effect on local unemployment rate fluctuations pp. 127-152

Li Gan and Qinghua Zhang

A flexible prior distribution for Markov switching autoregressions with Student-t errors pp. 153-190

Philippe Deschamps

Testing for stochastic dominance using the weighted McFadden-type statistic pp. 191-205

Lajos Horvath, Piotr Kokoszka and Ricardas Zitikis

Functional coefficient instrumental variables models pp. 207-241

Zongwu Cai, Mitali Das, Huaiyu Xiong and Xizhi Wu

Simulation-based estimation of peer effects pp. 243-271

Brian Krauth

Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models pp. 273-305

Garland B. Durham

Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data pp. 307-341

Maia Güell and Luojia Hu

Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting pp. 343-371

Bent Jesper Christensen and Morten Nielsen

Semiparametric efficient adaptive estimation of asymmetric GARCH models pp. 373-386

Yiguo Sun and Thanasis Stengos

GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model pp. 387-409

Howard E. Doran and Peter Schmidt

Volume 132, issue 2, 2006

Causality and exogeneity in econometrics pp. 305-309

Luc Bauwens, H. Peter Boswijk and Jean-Pierre Urbain

Granger causality and the sampling of economic processes pp. 311-336

J. Roderick McCrorie and Marcus Chambers

Short run and long run causality in time series: inference pp. 337-362

Jean-Marie Dufour, Denis Pelletier and Eric Renault

Testing for short- and long-run causality: A frequency-domain approach pp. 363-378

Jörg Breitung and Bertrand Candelon

Non-causality in bivariate binary time series pp. 379-407

Rocco Mosconi and Raffaello Seri

The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models pp. 409-444

Maurice Bun and Jan Kiviet

Identification and estimation of statistical functionals using incomplete data pp. 445-459

Joel L. Horowitz and Charles Manski

Nonresponse in dynamic panel data models pp. 461-489

Cheti Nicoletti

Instrumental quantile regression inference for structural and treatment effect models pp. 491-525

Victor Chernozhukov and Christian Hansen

Exogeneity in structural equation models pp. 527-543

Xavier de Luna and Per Johansson

Volume 132, issue 1, 2006

Common features pp. 1-5

Heather Anderson, João Issler and Farshid Vahid

A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones pp. 7-42

Robert Engle and Juri Marcucci

Common factors in conditional distributions for bivariate time series pp. 43-57

Clive Granger, Timo Teräsvirta and Andrew Patton

Synchronization of cycles pp. 59-79

Don Harding and Adrian Pagan

Statistical analysis of hypotheses on the cointegrating relations in the I(2) model pp. 81-115

Soren Johansen

Common cyclical features analysis in VAR models with cointegration pp. 117-141

Alain Hecq, Franz Palm and Jean-Pierre Urbain

Common trends and cycles in I(2) VAR systems pp. 143-168

Paolo Paruolo

Are more data always better for factor analysis? pp. 169-194

Jean Boivin and Serena Ng

The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test pp. 195-229

Valentina Corradi and Norman Swanson

The common and specific components of dynamic volatility pp. 231-255

Gregory Connor, Robert Korajczyk and Oliver Linton

VARs, common factors and the empirical validation of equilibrium business cycle models pp. 257-279

Domenico Giannone, Lucrezia Reichlin and Luca Sala

The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity pp. 281-303

João Issler and Farshid Vahid