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 103, issue 1-2, 2001

Studies in Estimation and Testing pp. 1-4

Cheng Hsiao and Isabelle Perrigne

S-estimation of nonlinear regression models with dependent and heterogeneous observations pp. 5-72

Shinichi Sakata and Halbert White

Two-step estimation of semiparametric censored regression models pp. 73-110

Shakeeb Khan and James Powell

Panel data analysis of household brand choices pp. 111-153

Pradeep Chintagunta, Aikaterini Kyriazidou and Josef Perktold

Confidence intervals for autoregressive coefficients near one pp. 155-181

Graham Elliott and James Stock

A test for volatility spillover with application to exchange rates pp. 183-224

Yongmiao Hong

A consistent test for conditional symmetry in time series models pp. 225-258

Jushan Bai and Serena Ng

Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities pp. 259-306

Gabriel Perez-Quiros and Allan Timmermann

An equality test across nonparametric regressions pp. 307-344

Pascal Lavergne

Evaluation of a three-step method for choosing the number of bootstrap repetitions pp. 345-386

Donald Andrews and Moshe Buchinsky

Volume 102, issue 2, 2001

Identification, estimation and testing of conditionally heteroskedastic factor models pp. 143-164

Enrique Sentana and Gabriele Fiorentini

Estimation of income expectations models using expectations and realization data pp. 165-195

Jeff Dominitz

An invariant sign test for random walks based on recursive median adjustment pp. 197-229

Beong Soo So and Dong Wan Shin

Estimation of the binary response model using a mixture of distributions estimator (MOD) pp. 231-269

Mark Coppejans

Combining micro and macro unemployment duration data pp. 271-309

Gerard van den Berg and Bas van der Klaauw

Bayesian inference in models based on equilibrium search theory pp. 311-338

Gary Koop

Stationarity of multivariate Markov-switching ARMA models pp. 339-364

Christian Francq and Jean-Michel Zakoian

A consistent nonparametric test of ergodicity for time series with applications pp. 365-398

Ian Domowitz and Mahmoud El-Gamal

Volume 102, issue 1, 2001

Truncated dynamics and estimation of diffusion equations pp. 1-22

Serge Darolles and Christian Gourieroux

A simplified approach to computing efficiency bounds in semiparametric models pp. 23-66

Thomas A. Severini and Gautam Tripathi

Do option markets correctly price the probabilities of movement of the underlying asset? pp. 67-110

Yacine Ait-Sahalia, Yubo Wang and Francis Yared

Estimation of affine asset pricing models using the empirical characteristic function pp. 111-141

Kenneth Singleton

Volume 101, issue 2, 2001

The memory of stochastic volatility models pp. 195-218

Peter Robinson

GMM estimation of linear panel data models with time-varying individual effects pp. 219-255

Seung Ahn, Young Hoon Lee and Peter Schmidt

Contemporaneous asymmetry in GARCH processes pp. 257-294

Mohamed El Babsiri and Jean-Michel Zakoian

Nested random effects estimation in unbalanced panel data pp. 295-313

Werner Antweiler

Statistical inference for testing inequality indices with dependent samples pp. 315-335

Buhong Zheng and Brian Cushing

Statistical inference for poverty measures with relative poverty lines pp. 337-356

Buhong Zheng

The unbalanced nested error component regression model pp. 357-381

Badi Baltagi, Seuck Heun Song and Byoung Cheol Jung

Volume 101, issue 1, 2001

Tests for the error component model in the presence of local misspecification pp. 1-23

Anil K. Bera, Walter Sosa-Escudero and Mann Yoon

Causality tests and conditional heteroskedasticity:: Monte Carlo evidence pp. 25-35

Jon Vilasuso

Robust inference with GMM estimators pp. 37-69

Elvezio Ronchetti and Fabio Trojani

An analysis of housing expenditure using semiparametric models and panel data pp. 71-107

Erwin Charlier, Bertrand Melenberg and Arthur van Soest

Nonlinear estimation using estimated cointegrating relations pp. 109-122

Robert de Jong

Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models pp. 123-164

Donald Andrews and Biao Lu

A simultaneous estimation and variable selection rule pp. 165-193

Amos Golan

Volume 100, issue 2, 2001

Two-stage rank estimation of quantile index models pp. 319-355

Shakeeb Khan

Production risk and the estimation of ex-ante cost functions pp. 357-380

GianCarlo Moschini

Benchmark priors for Bayesian model averaging pp. 381-427

Carmen Fernandez, Eduardo Ley and Mark Steel

Volume 100, issue 1, 2001

Open forum on the current state and future challenges of econometrics pp. 1-1

Cheng Hsiao

Econometrics and empirical economics pp. 3-5

James Heckman

Achievements and challenges in econometric methodology pp. 7-10

David Hendry

Bayesian econometrics and forecasting pp. 11-15

John Geweke

Macroeconometrics - Past and future pp. 17-19

Clive Granger

Trending time series and macroeconomic activity: Some present and future challenges pp. 21-27

Peter Phillips

Macro-econometrics pp. 29-32

James Stock

Microeconometrics pp. 33-35

Jerry Hausman

The bootstrap and hypothesis tests in econometrics pp. 37-40

Joel L. Horowitz

Financial econometrics: Past developments and future challenges pp. 41-51

Tim Bollerslev

Financial econometrics - A new discipline with new methods pp. 53-56

Robert Engle

Notes on financial econometrics pp. 57-64

George Tauchen

Manifesto for a growth econometrics pp. 65-69

Steven Durlauf

Comments on the contributions by C.W.J. Granger and J.J. Heckman pp. 71-72

M. Deistler

Econometrics: Retrospect and prospect pp. 73-75

Francis Diebold

A short comment on the JE Open forum essays pp. 77-78

Jaya Krishnakumar

Bayesian econometrics:: A reaction to Geweke pp. 79-80

Peter Lenk and Michel Wedel

Comment on essays on current state and future challenges of econometrics pp. 81-82

Helmut Lütkepohl

On the relevance of first-order asymptotic theory to economics pp. 83-86

Esfandiar Maasoumi

Care and feeding of reproducible econometrics pp. 87-88

Hrishikesh Vinod

Comment on "Microeconometrics" by J.A. Hausman pp. 89-91

Tom Wansbeek, Michel Wedel and Erik Meijer

Comments on papers by Engle, Geweke and Granger pp. 93-94

Arnold Zellner

Some publishing facts, figures, and observations on the occasion of Volume 100, number 1 of the Journal of Econometrics pp. 99-112

Joop Dirkmaat