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 115, issue 2, 2003

Gaussian inference on certain long-range dependent volatility models pp. 199-258

Paolo Zaffaroni and Banca d'Italia

Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity pp. 259-276

Richard Luger

Estimation of Lorenz curves: a Bayesian nonparametric approach pp. 277-291

Hikaru Hasegawa and Hideo Kozumi

An MCMC approach to classical estimation pp. 293-346

Victor Chernozhukov and Han Hong

Calculation of maximum entropy densities with application to income distribution pp. 347-354

Ximing Wu

Nonlinear log-periodogram regression for perturbed fractional processes pp. 355-389

Yixiao Sun and Peter Phillips

Volume 115, issue 1, 2003

GLS detrending, efficient unit root tests and structural change pp. 1-27

Pierre Perron and Gabriel Rodríguez

An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models pp. 29-52

Dong Wan Shin and Oesook Lee

Testing for unit roots in heterogeneous panels pp. 53-74

Kyung So Im, Mohammad Pesaran and Yongcheol Shin

Testing for unit roots with stationary covariates pp. 75-89

Graham Elliott and Michael Jansson

Structural change tests for simulated method of moments pp. 91-123

Eric Ghysels and Alain Guay

Binary choice panel data models with predetermined variables pp. 125-157

Manuel Arellano and Raquel Carrasco

Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models pp. 159-197

Shawn Ni and Dongchu Sun

Volume 114, issue 2, 2003

Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: an application to the demand for healthcare pp. 197-220

Murat Munkin and Pravin Trivedi

Estimation of household demand systems with theoretically compatible Engel curves and unit value specifications pp. 221-241

Ian Crawford, Francois Laisney and Ian Preston

Open outcry auctions with secret reserve prices: an empirical application to executive auctions of tenant owner's apartments in Sweden pp. 243-260

Matias Eklof and Anders Lunander

Structural changes in the cointegrated vector autoregressive model pp. 261-295

Peter Hansen

Identification and sequential estimation of panel data models with insufficient exclusion restrictions pp. 297-328

Mitali Das

Likelihood preserving normalization in multiple equation models pp. 329-347

Daniel Waggoner and Tao Zha

Kurtosis of GARCH and stochastic volatility models with non-normal innovations pp. 349-360

Xuezheng Bai, Jeffrey R. Russell and George C. Tiao

The large sample behaviour of the generalized method of moments estimator in misspecified models pp. 361-394

Alastair Hall and Atsushi Inoue

Volume 114, issue 1, 2003

Higher-order kernel semiparametric M-estimation of long memory pp. 1-27

Peter Robinson and Marc Henry

Bayesian and classical approaches to instrumental variable regression pp. 29-72

Frank Kleibergen and Eric Zivot

Index models with integrated time series pp. 73-106

Yoosoon Chang and Joon Park

Maximum likelihood estimation of time-inhomogeneous diffusions pp. 107-139

Alexei Egorov, Haitao Li and Yuewu Xu

Testing for neglected nonlinearity in regression models based on the theory of random fields pp. 141-164

Christian Dahl and Gloria Gonzalez-Rivera

Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure pp. 165-196

Alan Wan and Guohua Zou

Volume 113, issue 2, 2003

Comparison of tests for the cointegrating rank of a VAR process with a structural shift pp. 201-229

Helmut Lütkepohl, Pentti Saikkonen and Carsten Trenkler

Semiparametric instrumental variable estimation of treatment response models pp. 231-263

Alberto Abadie

Reference Bayesian inference in nonregular models pp. 265-288

Samita Sareen

Bayesian analysis of a dynamic stochastic model of labor supply and saving pp. 289-335

Daniel Houser

An econometric model of birth inputs and outputs for Native Americans pp. 337-361

Kai Li and Dale J. Poirier

What is an oil shock? pp. 363-398

James Hamilton

Volume 113, issue 1, 2003

Introduction to statistics and econometrics in litigation support pp. 1-2

Robert L. Basmann

Specification issues and confidence intervals in unilateral price effects analysis pp. 3-31

Oral Capps , Jeffrey Church and H. Love

Expert statistical testimony and epidemiological evidence: the toxic effects of lead exposure on children pp. 33-48

Stephen E. Fienberg, Clark Glymour and Richard Scheines

Bertrand competition with capacity constraints: mergers among parking lots pp. 49-67

Luke Froeb, Steven Tschantz and Philip Crooke

Issues arising in using samples as evidence in trademark cases pp. 69-82

Joseph L. Gastwirth

Estimating worklife expectancy: an econometric approach pp. 83-113

Daniel Millimet, Michael Nieswiadomy, Hang Ryu and Daniel Slottje

Calculating compensation in cases of wrongful death pp. 115-128

Arthur Lewbel

Antitrust issues in international comparisons of market structure pp. 129-158

Joseph Hirschberg, Esfandiar Maasoumi, Daniel Slottje and Augustine C. Arize

Statistical outlier analysis in litigation support: the case of Paul F. Engler and Cactus Feeders, Inc., v. Oprah Winfrey et al pp. 159-200

Robert L. Basmann

Volume 112, issue 2, 2003

Bayesian bootstrap multivariate regression pp. 241-264

Thomas Heckelei and Ron Mittelhammer

Rescaled variance and related tests for long memory in volatility and levels pp. 265-294

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus and Gilles Teyssiere

Consistent specification tests for semiparametric/nonparametric models based on series estimation methods pp. 295-325

Qi Li, Cheng Hsiao and Joel Zinn

Econometric models of asymmetric ascending auctions pp. 327-358

Han Hong and Matthew Shum

Testing for a unit root in the nonlinear STAR framework pp. 359-379

George Kapetanios, Yongcheol Shin and Andy Snell

Semiparametric instrumental variables estimation pp. 381-399

Sangin Park

Volume 112, issue 1, 2003

Analysis of data on health: 2 pp. 1-1

Alok Bhargava

Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status pp. 3-56

Peter Adams, Michael Hurd, Daniel McFadden, Angela Merrill and Tiago Ribeiro

Socio-economic status and health: causality and pathways pp. 57-63

Jerome Adda, Tarani Chandola and Michael Marmot

Some observations on health status and economic status pp. 65-67

James Poterba

Some aspects of causal relationships pp. 69-71

Clive Granger

Conditioning, causality and policy analysis pp. 73-78

James Heckman

Assumptions allowing the estimation of direct causal effects pp. 79-87

Fabrizia Mealli and Donald B. Rubin

General methodological considerations pp. 89-106

James M. Robins

Triangular structural model specification and estimation with application to causality pp. 107-113

Jerry Hausman

Econometric issues in using the AHEAD panel pp. 115-120

John Geweke

Some causal lessons from macroeconomics pp. 121-125

Kevin Hoover

Some technical issues in defining causality pp. 127-128

Jean-Pierre Florens

Response pp. 129-133

P. Adams, Michael Hurd, Daniel McFadden, A. Merrill and T. Ribeirio

Disease cases and their medical costs attributable to smoking: an analysis of the national medical expenditure survey pp. 135-151

Elizabeth Johnson, Francesca Dominici, Michael Griswold and Scott L. Zeger

Does piped water reduce diarrhea for children in rural India? pp. 153-173

Jyotsna Jalan and Martin Ravallion

Understanding mid-life and older age mortality declines: evidence from Union Army veterans pp. 175-192

Dora Costa

Parental bereavement: heterogeneous impacts of AIDS in Thailand pp. 193-206

Kenneth W. Wachter, John E. Knodel and Mark VanLandingham

On decomposing the causes of health sector inequalities with an application to malnutrition inequalities in Vietnam pp. 207-223

Adam Wagstaff, Eddy Van Doorslaer and Naoko Watanabe

Family planning, gender differences and infant mortality: evidence from Uttar Pradesh, India pp. 225-240

Alok Bhargava