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 119, issue 2, 2004

Dynamic factor models pp. 223-230

Christophe Croux, Eric Renault and Bas Werker

The generalized dynamic factor model consistency and rates pp. 231-255

Mario Forni, Marc Hallin, Marco Lippi and Lucrezia Reichlin

Factor representing portfolios in large asset markets pp. 257-289

Enrique Sentana

Forecasting with nonstationary dynamic factor models pp. 291-321

Daniel Peña and Pilar Poncela

Kernel-based nonlinear canonical analysis and time reversibility pp. 323-353

Serge Darolles, Jean-Pierre Florens and Christian Gourieroux

Temporal aggregation of volatility models pp. 355-379

Nour Meddahi and Eric Renault

The stochastic conditional duration model: a latent variable model for the analysis of financial durations pp. 381-412

Luc Bauwens and David Veredas

Stochastic volatility duration models pp. 413-433

Eric Ghysels, Christian Gourieroux and Joann Jasiak

Volume 119, issue 1, 2004

Testing for unit roots with flow data and varying sampling frequency pp. 1-18

Marcus Chambers

[tau]-estimators of regression models with structural change of unknown location pp. 19-44

Inmaculada Fiteni

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model pp. 45-71

Karim M. Abadir and Andre Lucas

A consistent estimator for the binomial distribution in the presence of "incidental parameters": an application to patent data pp. 73-98

Matilde Machado

Nonparametric estimation of regression functions with both categorical and continuous data pp. 99-130

Jeffrey Racine and Qi Li

Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models pp. 131-154

Josu Arteche

Semiparametric estimation of a panel data proportional hazards model with fixed effects pp. 155-198

Joel L. Horowitz and Sokbae (Simon) Lee

Maximum likelihood and the bootstrap for nonlinear dynamic models pp. 199-219

Silvia Goncalves and Halbert White

Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65] pp. 221-222

Tim Bollerslev and Hao Zhou

Volume 118, issue 1-2, 2004

Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler pp. 1-5

Benedikt Pötscher and Ingmar Prucha

Aggregation of space-time processes pp. 7-26

Raffaella Giacomini and Clive Granger

Estimation of simultaneous systems of spatially interrelated cross sectional equations pp. 27-50

Harry H. Kelejian and Ingmar Prucha

Robust estimation of generalized linear models with measurement errors pp. 51-65

Tong Li and Cheng Hsiao

A complete class of tests when the likelihood is locally asymptotically quadratic pp. 67-94

Werner Ploberger

Least squares in general vector spaces revisited pp. 95-109

Peter Schonfeld

An omnibus test for the time series model AR(1) pp. 111-127

T. W. Anderson, R. A. Lockhart and M. A. Stephens

Generalized Levinson-Durbin and Burg algorithms pp. 129-149

P. J. Brockwell and Rainer Dahlhaus

Modeling of time series arrays by multistep prediction or likelihood methods pp. 151-187

David F. Findley, Benedikt Pötscher and Ching-Zong Wei

Bootstrapping nonparametric estimators of the volatility function pp. 189-218

Jurgen Franke, Michael H. Neumann and Jean-Pierre Stockis

Nonlinear instrumental variable estimation of an autoregression pp. 219-246

Peter Phillips, Joon Park and Yoosoon Chang

Variance expressions for spectra estimated using auto-regressions pp. 247-256

Liang-Liang Xie and Lennart Ljung

The asymptotic variance of subspace estimates pp. 257-291

Alessandro Chiuso and Giorgio Picci

The relation of the CCA subspace method to a balanced reduction of an autoregressive model pp. 293-312

Anders Dahlen and Wolfgang Scherrer

System theory for system identification pp. 313-339

Jan H. van Schuppen

Deterministic least squares filtering pp. 341-373

J. C. Willems

Volume 117, issue 2, 2003

Strong rules for detecting the number of breaks in a time series pp. 207-244

Filippo Altissimo and Valentina Corradi

Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models pp. 245-278

Songnian Chen and Shakeeb Khan

Semiparametric-efficient estimation of AR(1) panel data models pp. 279-309

Byeong U. Park, Robin Sickles and Leopold Simar

Corrigendum to "Semiparametric-efficient estimation of AR(1) panel data models": [J. Econom. 117 (2003) 279-309] pp. 311-311

Byeong U. Park, Robin Sickles and Leopold Simar

The equality of comparable extended families of classical-type and Hausman-type statistics pp. 313-330

Noxy Dastoor

Effective nonparametric estimation in the case of severely discretized data pp. 331-367

Mark Coppejans

An alternative bootstrap to moving blocks for time series regression models pp. 369-399

Javier Hidalgo

Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363] pp. 401-404

Jörg Breitung and Robert Taylor

Volume 117, issue 1, 2003

A simple estimator for nonlinear error in variable models pp. 1-19

Han Hong and Elie Tamer

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots pp. 21-53

Fabio Busetti and Robert Taylor

Empirical likelihood estimation and consistent tests with conditional moment restrictions pp. 55-93

Stephen Donald, Guido Imbens and Whitney Newey

Estimating fractional cointegration in the presence of polynomial trends pp. 95-121

Willa W. Chen and Clifford Hurvich

Testing panel data regression models with spatial error correlation pp. 123-150

Badi Baltagi, Seuck Heun Song and Won Koh

Estimating linear regressions with mismeasured, possibly endogenous, binary explanatory variables pp. 151-178

Harley Frazis and Mark A. Loewenstein

Direct estimation of the risk neutral factor dynamics of Gaussian term structure models pp. 179-206

Dennis Bams and Peter C. Schotman

Volume 116, issue 1-2, 2003

Frontiers of financial econometrics and financial engineering pp. 1-7

Eric Ghysels and George Tauchen

Nonparametric option pricing under shape restrictions pp. 9-47

Yacine Ait-Sahalia and Jefferson Duarte

Empirical assessment of an intertemporal option pricing model with latent variables pp. 49-83

René Garcia, Richard Luger and Eric Renault

Estimation of risk-neutral densities using positive convolution approximation pp. 85-112

Oleg Bondarenko

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices pp. 113-146

Ravi Jagannathan, Andrew Kaplin and Steve Sun

Purebred or hybrid?: Reproducing the volatility in term structure dynamics pp. 147-180

Dong-Hyun Ahn, Robert Dittmar, A. Gallant and Bin Gao

The dynamics of stochastic volatility: evidence from underlying and options markets pp. 181-224

Christopher S. Jones

Alternative models for stock price dynamics pp. 225-257

Mikhail Chernov, A. Gallant, Eric Ghysels and George Tauchen

Spectral GMM estimation of continuous-time processes pp. 259-292

George Chacko and Luis Viceira

On the functional estimation of jump-diffusion models pp. 293-328

Federico M. Bandi and Thong H. Nguyen

Empirical reverse engineering of the pricing kernel pp. 329-364

Mikhail Chernov

Portfolio choice with endogenous utility: a large deviations approach pp. 365-386

Michael Stutzer

Empirical option pricing: a retrospection pp. 387-404

David S. Bates