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 127, issue 2, 2005

Panel data analysis of U.S. coal productivity pp. 131-164

Thomas M. Stoker, Ernst R. Berndt, A. Denny Ellerman and Susanne Schennach

On leverage in a stochastic volatility model pp. 165-178

Jun Yu

A nonparametric test for changing trends pp. 179-199

Ted Juhl and Zhijie Xiao

Subsampling inference in threshold autoregressive models pp. 201-224

Jesus Gonzalo and Michael Wolf

Unified approach to testing functional hypotheses in semiparametric contexts pp. 225-252

Peter Hall and Adonis Yatchew

Volume 127, issue 1, 2005

Origins of the limited information maximum likelihood and two-stage least squares estimators pp. 1-16

T.W. Anderson

Highly accurate likelihood analysis for the seemingly unrelated regression problem pp. 17-33

D.A.S. Fraser, Marie Rekkas and A. Wong

Nonparametric specification tests for conditional duration models pp. 35-68

Marcelo Fernandes and Joachim Grammig

Stability results for nonlinear error correction models pp. 69-81

Pentti Saikkonen

Estimating dynamic models from repeated cross-sections pp. 83-102

Marno Verbeek and Francis Vella

Measurement errors and outliers in seasonal unit root testing pp. 103-128

Niels Haldrup, Antonio Montañés and Andreu Sansó

Volume 126, issue 2, 2005

Current developments in productivity and efficiency measurement pp. 233-240

Jeffrey Dorfman and Gary Koop

Estimation of a panel data model with parametric temporal variation in individual effects pp. 241-267

Chirok Han, Luis Orea and Peter Schmidt

Reconsidering heterogeneity in panel data estimators of the stochastic frontier model pp. 269-303

William Greene

Panel estimators and the identification of firm-specific efficiency levels in parametric, semiparametric and nonparametric settings pp. 305-334

Robin Sickles

On ranking and selection from independent truncated normal distributions pp. 335-354

William Horrace

Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach pp. 355-384

Subal Kumbhakar and Mike Tsionas

Estimating variable returns to scale production frontiers with alternative stochastic assumptions pp. 385-409

William Griffiths and Christopher O'Donnell

Alternative efficiency measures for multiple-output production pp. 411-444

Carmen Fernandez, Gary Koop and Mark Steel

Bayesian measurement of productivity and efficiency in the presence of undesirable outputs: crediting electric utilities for reducing air pollution pp. 445-468

Scott Atkinson and Jeffrey Dorfman

Characteristics of a polluting technology: theory and practice pp. 469-492

Rolf Fare, Shawna Grosskopf, Dong-Woon Noh and William Weber

A Bayesian approach to imposing curvature on distance functions pp. 493-523

Christopher O'Donnell and Timothy Coelli

Product diversification, production systems, and economic performance in U.S. agricultural production pp. 525-548

Catherine Morrison Paul and Richard Nehring

Skill-biased technical change in US manufacturing: a general index approach pp. 549-570

Badi Baltagi and Daniel Rich

Corrigendum to "Rescaled variance and related tests for long memory in volatility and levels": [J. Econom. 112 (2003) 265-294] pp. 571-572

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus and Gilles Teyssiere

Volume 126, issue 1, 2005

Testing for common deterministic trend slopes pp. 1-24

Timothy Vogelsang and Philip Hans Franses

A finite sample correction for the variance of linear efficient two-step GMM estimators pp. 25-51

Frank Windmeijer

Nonparametric estimation of time varying parameters under shape restrictions pp. 53-77

Susan Orbe, Eva Ferreira and Juan Rodriguez-Poo

Nonparametric estimation of structural change points in volatility models for time series pp. 79-114

Gongmeng Chen, Yoon K. Choi and Yong Zhou

A bootstrap causality test for covariance stationary processes pp. 115-143

J. Hidalgo

Asymptotic inference from multi-stage samples pp. 145-171

Debopam Bhattacharya

Econometrics of first-price auctions with entry and binding reservation prices pp. 173-200

Tong Li

Testing affine term structure models in case of transaction costs pp. 201-232

Joost Driessen, Bertrand Melenberg and Theo Nijman

Volume 125, issue 1-2, 2005

Special issue on Experimental and non-experimental evaluation of economic policy and models pp. 1-13

John Ham and Robert LaLonde

Estimating treatment effects for discrete outcomes when responses to treatment vary: an application to Norwegian vocational rehabilitation programs pp. 15-51

Arild Aakvik, James Heckman and Edward Vytlacil

Do unemployment insurance recipients actively seek work? Evidence from randomized trials in four U.S. States pp. 53-75

Orley Ashenfelter, David Ashmore and Olivier Deschenes

Correcting for selective compliance in a re-employment bonus experiment pp. 77-111

Govert Bijwaard and Geert Ridder

How important are "entry effects" in financial incentive programs for welfare recipients? Experimental evidence from the Self-Sufficiency Project pp. 113-139

David Card and Philip Robins

Program evaluation as a decision problem pp. 141-173

Rajeev Dehejia

Randomization, endogeneity and laboratory experiments: the role of cash balances in private value auctions pp. 175-205

John Ham, John Kagel and Steven Lehrer

The benefits of prenatal care: evidence from the PAT bus strike pp. 207-239

William Evans and Diana S. Lien

Predicting the efficacy of future training programs using past experiences at other locations pp. 241-270

V. Joseph Hotz, Guido Imbens and Julie Mortimer

Estimating the returns to community college schooling for displaced workers pp. 271-304

Louis Jacobson, Robert LaLonde and Daniel Sullivan

Does matching overcome LaLonde's critique of nonexperimental estimators? pp. 305-353

Jeffrey Smith and Petra Todd

Practical propensity score matching: a reply to Smith and Todd pp. 355-364

Rajeev Dehejia

Rejoinder pp. 365-375

Jeffrey Smith and Petra Todd

Volume 124, issue 2, 2005

Testing the nominal-to-real transformation pp. 205-225

Hans Christian Kongsted

Autocovariance functions of series and of their transforms pp. 227-252

Karim M. Abadir and Gabriel Talmain

Optimal weighted average power similar tests for the covariance structure in the linear regression model pp. 253-267

Giovanni Forchini

Testing for the cointegration rank when some cointegrating directions are changing pp. 269-310

Philippe Andrade, Catherine Bruneau and Stéphane Gregoir

A Bayesian analysis of the multinomial probit model using marginal data augmentation pp. 311-334

Kosuke Imai and David A. van Dyk

Instrumental variables estimators of nonparametric models with discrete endogenous regressors pp. 335-361

Mitali Das

Testing for cointegration using partially linear models pp. 363-394

Ted Juhl and Zhijie Xiao

Volume 124, issue 1, 2005

The power of tests of predictive ability in the presence of structural breaks pp. 1-31

Todd Clark and Michael McCracken

Variance ratio tests of the seasonal unit root hypothesis pp. 33-54

Robert Taylor

Subsampling vector autoregressive tests of linear constraints pp. 55-89

In Choi

Parametric approximations of nonparametric frontiers pp. 91-116

Jean-Pierre Florens and Leopold Simar

Bootstrap specification tests for diffusion processes pp. 117-148

Valentina Corradi and Norman Swanson

Testing normality: a GMM approach pp. 149-186

Christian Bontemps and Nour Meddahi

Point optimal tests of the null hypothesis of cointegration pp. 187-201

Michael Jansson

Corrigendum to "The second-order bias and mean squared error of nonlinear estimators": [Journal of Econometrics 75(2) (1996) 369-395] pp. 203-204

Paul Rilstone and Aman Ullah