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 107, issue 1-2, 2002

Information and Entropy Econometrics--Editor's View pp. 1-15

Amos Golan

Information indices: unification and applications pp. 17-40

E. S. Soofi and J. J. Retzer

Information processing and Bayesian analysis pp. 41-50

Arnold Zellner

The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis pp. 51-86

Anil K. Bera and Yannis Bilias

Confidence intervals in generalized method of moments models pp. 87-98

Guido Imbens and Richard Spady

Generalized empirical likelihood non-nested tests pp. 99-125

Joaquim Ramalho and Richard Smith

Generalized moment based estimation and inference pp. 127-148

Marco van Akkeren, George Judge and Ron Mittelhammer

Sample selection and information-theoretic alternatives to GMM pp. 149-157

Aviv Nevo

Connections between entropic and linear projections in asset pricing estimation pp. 159-174

Yuichi Kitamura and Michael Stutzer

Limited information likelihood and Bayesian analysis pp. 175-193

Jae-Young Kim

Comparison of maximum entropy and higher-order entropy estimators pp. 195-211

Amos Golan and Jeffrey Perloff

Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence pp. 213-233

Allan Gregory, Jean-Francois Lamarche and Gregor Smith

Information theoretic measures of the income distribution in food demand pp. 235-257

Jeffrey LaFrance, Timothy Beatty, R. D. Pope and G. K. Agnew

On the recovery of joint distributions from limited information pp. 259-274

Douglas J. Miller and Wei-han Liu

Information-based estimators for the non-stationary transition probability matrix: an application to the Danish pork industry pp. 275-290

Kostas Karantininis

Entropy and predictability of stock market returns pp. 291-312

Esfandiar Maasoumi and Jeffrey Racine

Uses of entropy and divergence measures for evaluating econometric approximations and inference pp. 313-326

Aman Ullah

Functional data analysis of the dynamics of the monthly index of nondurable goods production pp. 327-344

James O. Ramsay and James B. Ramsey

A structural labour supply model with flexible preferences pp. 345-374

Arthur van Soest, Marcel Das and Xiaodong Gong

Volume 106, issue 2, 2002

Reduced rank regression in cointegrated models pp. 203-216

T. W. Anderson

Determination of cointegrating rank in fractional systems pp. 217-241

Peter Robinson and Yoshihiro Yajima

Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes pp. 243-269

James Davidson

The pseudo-true score encompassing test for non-nested hypotheses pp. 271-295

Yi-Ting Chen and Chung-Ming Kuan

On B-robust instrumental variable estimation of the linear model with panel data pp. 297-324

Rien Wagenvoort and Robert Waldmann

Edgeworth approximations for semiparametric instrumental variable estimators and test statistics pp. 325-368

Oliver Linton

Modeling the interdependence of volatility and inter-transaction duration processes pp. 369-400

Joachim Grammig and Marc Wellner

Volume 106, issue 1, 2002

Nonparametric frontier estimation: a robust approach pp. 1-25

Catherine Cazals, Jean-Pierre Florens and Leopold Simar

The surprise element: jumps in interest rates pp. 27-65

Sanjiv Das

Estimating multi-way error components models with unbalanced data structures pp. 67-95

Peter Davis

Stationarity of stable power-GARCH processes pp. 97-107

Stefan Mittnik, Marc S. Paolella and Svetlozar T. Rachev

Stationarity and the existence of moments of a family of GARCH processes pp. 109-117

Shiqing Ling and Michael McAleer

Entropy densities with an application to autoregressive conditional skewness and kurtosis pp. 119-142

Michael Rockinger and Eric Jondeau

Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions pp. 143-170

Jean-Marie Dufour and Lynda Khalaf

Regression models for choice-based samples with misclassification in the response variable pp. 171-201

Esmeralda Ramalho

Volume 105, issue 2, 2001

Recursive and rolling regression-based tests of the seasonal unit root hypothesis pp. 309-336

Richard Smith and Robert Taylor

A simple cointegrating rank test without vector autoregression pp. 337-362

Mototsugu Shintani

Goodness-of-fit tests for kernel regression with an application to option implied volatilities pp. 363-412

Yacine Ait-Sahalia, Peter J. Bickel and Thomas M. Stoker

Volume 105, issue 1, 2001

Forecasting and empirical methods in finance and macroeconomics pp. 1-3

Francis Diebold and Kenneth West

Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns pp. 5-26

Bevan J. Blair, Ser-Huang Poon and Stephen J. Taylor

Forecasting multifractal volatility pp. 27-58

Laurent Calvet and Adlai Fisher

A new semiparametric spatial model for panel time series pp. 59-83

Xiaohong Chen and Timothy Conley

Tests of equal forecast accuracy and encompassing for nested models pp. 85-110

Todd Clark and Michael McCracken

A real-time data set for macroeconomists pp. 111-130

Dean Croushore and Tom Stark

Long memory and regime switching pp. 131-159

Francis Diebold and Atsushi Inoue

Economic tracking portfolios pp. 161-184

Owen Lamont

Yield curve estimation by kernel smoothing methods pp. 185-223

Oliver Linton, Enno Mammen, Jans Perch Nielsen and Carsten Tanggaard

Semiparametric fractional cointegration analysis pp. 225-247

D. Marinucci and Peter Robinson

Dangers of data mining: The case of calendar effects in stock returns pp. 249-286

Ryan Sullivan, Allan Timmermann and Halbert White

Encompassing tests when no model is encompassing pp. 287-308

Kenneth West

Volume 104, issue 2, 2001

Invariance and the Wald test pp. 209-217

Gordon Kemp

On the asymptotic distribution of the Moran I test statistic with applications pp. 219-257

Harry H. Kelejian and Ingmar Prucha

GMM estimation in panel data models with measurement error pp. 259-268

Tom Wansbeek

Generalized spectral estimation of the consumption-based asset pricing model pp. 269-288

Jeremy Berkowitz

Maximum entropy and Bayesian approaches to the ratio problem pp. 289-313

Edward Z. Shen and Jeffrey Perloff

Predictive ability with cointegrated variables pp. 315-358

Valentina Corradi, Norman Swanson and Claudia Olivetti

Optimal instrumental variables estimation for ARMA models pp. 359-405

Guido Kuersteiner

Volume 104, issue 1, 2001

Testing additivity in generalized nonparametric regression models with estimated parameters pp. 1-48

Pedro L. Gozalo and Oliver Linton

Rank tests of unit root hypothesis with infinite variance errors pp. 49-65

Mohammad N. Hasan

Two-part multiple spell models for health care demand pp. 67-89

João Santos Silva and Frank Windmeijer

On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity pp. 91-117

Peter Burridge and Robert Taylor

Optimal prediction in loglinear models pp. 119-140

Kees Jan van Garderen

A generalized bivariate mixture model for stock price volatility and trading volume pp. 141-178

Roman Liesenfeld

A nonlinear autoregressive conditional duration model with applications to financial transaction data pp. 179-207

Michael Yuanjie Zhang, Jeffrey R. Russell and Ruey S. Tsay