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 111, issue 2, 2002

Finite sample and asymptotic methods in econometrics pp. 135-140

Richard Smith and H. Peter Boswijk

Bootstrap critical values for tests based on the smoothed maximum score estimator pp. 141-167

Joel L. Horowitz

Duration response measurement error pp. 169-194

Andrew Chesher, Montezuma Dumangane and Richard Smith

A small sample correction for tests of hypotheses on the cointegrating vectors pp. 195-221

Soren Johansen

Priors, posteriors and bayes factors for a Bayesian analysis of cointegration pp. 223-249

Frank Kleibergen and Richard Paap

Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables pp. 251-283

John Chao and Peter Phillips

Exact inference for the linear model with groupwise heteroscedastic spherical disturbances pp. 285-302

Paul A. Bekker

Simulation based finite and large sample tests in multivariate regressions pp. 303-322

Jean-Marie Dufour and Lynda Khalaf

New unit root asymptotics in the presence of deterministic trends pp. 323-353

Peter Phillips

Some elementary distribution theory for an autoregression fitted to a random walk pp. 355-361

Thomas J. Rothenberg

Stochastic cointegration: estimation and inference pp. 363-384

David Harris, Brendan McCabe and Stephen Leybourne

Volume 111, issue 1, 2002

A note on "Convergence rates and asymptotic normality for series estimators": uniform convergence rates pp. 1-9

Robert de Jong

Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand pp. 11-46

Tai-Hsin Huang and Chung-Hua Shen

Estimating cointegrated systems using subspace algorithms pp. 47-84

Dietmar Bauer and Martin Wagner

Median unbiased forecasts for highly persistent autoregressive processes pp. 85-101

Nikolay Gospodinov

Bayesian analysis of nested logit model by Markov chain Monte Carlo pp. 103-133

Kajal Lahiri and Jian Gao

Volume 110, issue 2, 2002

Long memory and nonlinear time series pp. 105-112

James Davidson and Timo Teräsvirta

Properties of nonlinear transformations of fractionally integrated processes pp. 113-133

Ingolf Dittmann and Clive Granger

A nonlinear long memory model, with an application to US unemployment pp. 135-165

Dick van Dijk, Philip Hans Franses and Richard Paap

Inference on the cointegration rank in fractionally integrated processes pp. 167-185

Jörg Breitung and Uwe Hassler

A model of fractional cointegration, and tests for cointegration using the bootstrap pp. 187-212

James Davidson

Consistent order selection with strongly dependent data and its application to efficient estimation pp. 213-239

Javier Hidalgo

Nonlinear minimization estimators in the presence of cointegrating relations pp. 241-259

Robert de Jong

Nonlinear IV unit root tests in panels with cross-sectional dependency pp. 261-292

Yoosoon Chang

Testing for two-regime threshold cointegration in vector error-correction models pp. 293-318

Bruce Hansen and Byeongseon Seo

Estimation and model selection based inference in single and multiple threshold models pp. 319-352

Jesus Gonzalo and Jean-Yves Pitarakis

A consistent test for nonlinear out of sample predictive accuracy pp. 353-381

Valentina Corradi and Norman Swanson

Nonstationary nonlinear heteroskedasticity pp. 383-415

Joon Park

Evaluating GARCH models pp. 417-435

Stefan Lundbergh and Timo Teräsvirta

Volume 110, issue 1, 2002

Robust and consistent estimation of nonlinear errors-in-variables models pp. 1-26

Tong Li

Cross-validated SNP density estimates pp. 27-65

Mark Coppejans and A. Gallant

Semiparametric Bayes analysis of longitudinal data treatment models pp. 67-89

Siddhartha Chib and Barton Hamilton

Optimal pre-test estimators in regression pp. 91-102

Jiri Reif and Karel Vlcek

Corrigendum to "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes": [Journal of Econometrics 106 (2) (2002) 243-269] pp. 103-104

James Davidson

Volume 109, issue 2, 2002

Market efficiency, asset returns, and the size of the risk premium in global equity markets pp. 195-237

Ravi Bansal and Christian Lundblad

Misspecified Structural Change, Threshold, and Markov-switching models pp. 239-273

Marine Carrasco

External bootstrap tests for parameter stability pp. 275-303

Miguel Delgado and Inmaculada Fiteni

Superconsistent estimation and inference in structural econometric models using extreme order statistics pp. 305-340

Stephen Donald and Harry Paarsch

The importance of common cyclical features in VAR analysis: a Monte-Carlo study pp. 341-363

Farshid Vahid and João Issler

Unit root tests with a break in innovation variance pp. 365-387

Tae-Hwan Kim, Stephen Leybourne and Paul Newbold

Corrigendum to "Detection of change in persistence of a linear time series" [J. Econom. 95 (2000) 97-116] pp. 389-392

Jae-Young Kim, Jorge Belaire-Franch and Rosa Badillo Amador

Volume 109, issue 1, 2002

Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model pp. 1-32

In Choi

Estimating stochastic volatility diffusion using conditional moments of integrated volatility pp. 33-65

Tim Bollerslev and Hao Zhou

Quantile regression under random censoring pp. 67-105

Bo Honore, Shakeeb Khan and James Powell

Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods pp. 107-150

Cheng Hsiao, Mohammad Pesaran and A. Kamil Tahmiscioglu

Tails of Lorenz curves pp. 151-166

Christian Schluter and Mark Trede

Bootstrap J tests of nonnested linear regression models pp. 167-193

Russell Davidson and James MacKinnon

Volume 108, issue 2, 2002

Stochastic estimation of firm technology, inefficiency, and productivity growth using shadow cost and distance functions pp. 203-225

Scott Atkinson and Daniel Primont

Estimating the effect of unemployment insurance compensation on the labor market histories of displaced workers pp. 227-252

Stepan Jurajda

Semi-nonparametric cointegration testing pp. 253-280

H. Peter Boswijk and Andre Lucas

Markov chain Monte Carlo methods for stochastic volatility models pp. 281-316

Siddhartha Chib, Federico Nardari and Neil Shephard

Bootstrap inference for inequality, mobility and poverty measurement pp. 317-342

Martin Biewen

Nonparametric tests for unit roots and cointegration pp. 343-363

Jörg Breitung

The problem of near-multicollinearity revisited: erratic vs systematic volatility pp. 365-393

Aris Spanos and Anya McGuirk

Volume 108, issue 1, 2002

Unit root tests in panel data: asymptotic and finite-sample properties pp. 1-24

Andrew Levin, Chien-Fu Lin and Chia-Shang James Chu

Trend stationarity versus long-range dependence in time series analysis pp. 25-42

Francesc Marmol and Carlos Velasco

A CUSUM test for cointegration using regression residuals pp. 43-61

Zhijie Xiao and Peter Phillips

Testing for stationarity with a break pp. 63-99

Eiji Kurozumi

A note on the double k-class estimator in simultaneous equations pp. 101-111

Chuanming Gao and Kajal Lahiri

Individual effects and dynamics in count data models pp. 113-131

Richard Blundell, Rachel Griffith and Frank Windmeijer

How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach pp. 133-156

Noud Giersbergen and Jan Kiviet

Higher order approximations for Wald statistics in time series regressions with integrated processes pp. 157-198

Zhijie Xiao and Peter Phillips

Tastes and technology: curvature is not sufficient for regularity pp. 199-202

William Barnett