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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Robust out-of-sample inference pp. 195-223: Michael W. Mc Cracken
Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances pp. 225-253: Darrell Turkington
Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes pp. 255-289: Jean-Marie Dufour and Olivier Torres
Spectral tests of the martingale hypothesis under conditional heteroscedasticity pp. 291-315: Rohit Deo
Trend estimation and de-trending via rational square-wave filters pp. 317-334: David Pollock
Comment: Bayesian multinomial probit models with a normalization constraint pp. 335-345: Agostino Nobile
Reply to Nobile pp. 347-348: Robert E. McCulloch and Peter Rossi
On estimation and testing goodness of fit for m-dependent stable sequences pp. 349-372: Rohit Deo
Simple resampling methods for censored regression quantiles pp. 373-386: Yannis Bilias, Songnian Chen and Zhiliang Ying

Changes in relative wages in the 1980s Returns to observed and unobserved skills and black-white wage differentials pp. 1-38: Kenneth Chay and David S. Lee
Consistent cross-validatory model-selection for dependent data: hv-block cross-validation pp. 39-61: Jeffrey Racine
Local nonlinear least squares: Using parametric information in nonparametric regression pp. 63-106: Pedro Gozalo and Oliver Linton
Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments pp. 107-137: Dong Wan Shin and Beong Soo So
Modeling long memory in stock market volatility pp. 139-171: Ming Liu
A Bayesian analysis of the multinomial probit model with fully identified parameters pp. 173-193: Robert E. McCulloch, Nicholas G. Polson and Peter Rossi

Further consequences of viewing LIML as an iterated Aitken estimator pp. 187-202: Chuanming Gao and Kajal Lahiri
A Bayesian approach to dynamic macroeconomics pp. 203-223: David DeJong, Beth Ingram and Charles Whiteman
Inference on one-way effect and evidence in Japanese macroeconomic data pp. 225-255: Feng Yao and Yuzo Hosoya
Nonparametric seemingly unrelated regression pp. 257-281: Michael Smith and Robert Kohn
Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity pp. 283-316: Songnian Chen and Shakeeb Khan
Rank estimation of a location parameter in the binary choice model pp. 317-334: Songnian Chen
Adjusted estimates and Wald statistics for the AR(1) model with constant pp. 335-363: Pekka Pere
A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections pp. 365-383: Sourafel Girma

The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective pp. 1-25: John Marriott and Paul Newbold
Consistent bootstrap tests of parametric regression functions pp. 27-46: Yoon-Jae Whang
A Bayesian analysis of multiple-output production frontiers pp. 47-79: Carmen Fernandez, Gary Koop and Mark Steel
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data pp. 81-106: Tim Bollerslev and Jonathan Wright
A test for constant correlations in a multivariate GARCH model pp. 107-127: Y. K. Tse
Conditionally independent private information in OCS wildcat auctions pp. 129-161: Tong Li, Isabelle Perrigne and Quang Vuong
Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables pp. 163-185: Dennis Oberhelman and K. Rao Kadiyala

A nonparametric multiple choice method within the random utility framework pp. 207-225: J u-Chin Huang and Douglas W. Nychka
Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators pp. 227-259: Joachim Inkmann
Testing for integration using evolving trend and seasonals models: A Bayesian approach pp. 261-291: Gary Koop and Herman K. Van Dijk
Structural analysis of vector error correction models with exogenous I(1) variables pp. 293-343: Mohammad Pesaran, Yongcheol Shin and Richard Smith
An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models pp. 345-364: Garry Phillips
Estimating the differencing parameter via the partial autocorrelation function pp. 365-381: Terence Tai Leung Chong

Short cuts to dynamic factor demand modelling pp. 1-23: Thomas Thomsen
Bayesian analysis of cross-section and clustered data treatment models pp. 25-50: Siddhartha Chib and Barton Hamilton
Exact small-sample inference in stationary, fully regular, dynamic demand models pp. 51-91: Philippe Deschamps
Testing for structural change in conditional models pp. 93-115: Bruce Hansen
The demand for risky assets: Sample selection and household portfolios pp. 117-144: William Perraudin and Bent Sorensen
Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables pp. 145-177: Arthur Lewbel
Robustifying Glejser test of heteroskedasticity pp. 179-188: Kyung So Im
Glejser's test revisited pp. 189-202: José António Machado and João Santos Silva

Semiparametric identification and heterogeneity in discrete choice dynamic programming models pp. 201-229: Christopher R. Taber
Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators pp. 231-266: Alexander Michaelides and Serena Ng
On simulated EM algorithms pp. 267-292: Soren Feodor Nielsen
An empirical analysis of earnings dynamics among men in the PSID: 1968-1989 pp. 293-356: John Geweke and Michael Keane
Duration dependence and nonparametric heterogeneity: A Monte Carlo study pp. 357-393: Michael Baker and Angelo Melino

A simple framework for nonparametric specification testing pp. 1-23: Glenn Ellison and Sara Fisher Ellison
Efficiency results of MLE and GMM estimation with sampling weights pp. 25-37: J. Butler
Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes pp. 39-73: Valentina Corradi, Norman Swanson and Halbert White
Moments of Markov switching models pp. 75-111: Allan Timmermann
Nonparametric inference on structural breaks pp. 113-144: Miguel Delgado and Javier Hidalgo
Reconsidering the continuous time limit of the GARCH(1, 1) process pp. 145-153: Valentina Corradi
The spurious regression of fractionally integrated processes pp. 155-182: Wen-Jen Tsay and Ching-Fan Chung
Efficient estimation of binary choice models under symmetry pp. 183-199: Songnian Chen