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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The econometric consequences of the ceteris paribus condition in economic theory pp. 223-253: Herman Bierens and Norman Swanson
Econometrics and decision theory pp. 255-283: Gary Chamberlain
Cross-sectional aggregation of non-linear models pp. 285-331: Kees Jan van Garderen, Kevin Lee and Mohammad Pesaran
Internet-based econometric computing pp. 333-345: W. Hardle and J. Horowitz
Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics pp. 347-374: Roger Koenker
Empirically relevant critical values for hypothesis tests: A bootstrap approach pp. 375-389: Joel L. Horowitz and N. E. Savin
The incidental parameter problem since 1948 pp. 391-413: Tony Lancaster
Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice pp. 415-442: Charles Manski
Using a likelihood perspective to sharpen econometric discourse: Three examples pp. 443-462: Christopher Sims

Rank estimation of a generalized fixed-effects regression model pp. 1-23: Jason Abrevaya
Estimation of a censored regression panel data model using conditional moment restrictions efficiently pp. 25-56: Erwin Charlier, Bertrand Melenberg and Arthur van Soest
Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach pp. 57-69: Teruo Nakatsuma
Unit root tests in the presence of uncertainty about the non-stochastic trend pp. 71-96: Leila Ayat and Peter Burridge
Detection of change in persistence of a linear time series pp. 97-116: Jae-Young Kim
A numerically stable quadrature procedure for the one-factor random-component discrete choice model pp. 117-129: Lung-Fei Lee
Estimating the density of unemployment duration based on contaminated samples or small samples pp. 131-156: Hang K. Ryu and Daniel Slottje
On the sensitivity of the usual t- and F-tests to covariance misspecification pp. 157-176: Anurag Banerjee and Jan Magnus
Testing for the cointegrating rank of a VAR process with a time trend pp. 177-198: Helmut Lütkepohl and Pentti Saikkonen
Testing time reversibility without moment restrictions pp. 199-218: Yi-Ting Chen, Ray Chou and Chung-Ming Kuan

Econometric methods for derivative securities and risk management pp. 1-7: René Garcia, Eric Ghysels and Eric Renault
Nonparametric risk management and implied risk aversion pp. 9-51: Yacine Ait-Sahalia and Andrew Lo
American options with stochastic dividends and volatility: A nonparametric investigation pp. 53-92: Mark Broadie, Jerome Detemple, Eric Ghysels and Olivier Torres
Pricing and hedging derivative securities with neural networks and a homogeneity hint pp. 93-115: René Garcia and Ramazan Gencay
Econometric specification of the risk neutral valuation model pp. 117-143: E. Clement, Christian Gourieroux and Alain Monfort
Bayesian analysis of contingent claim model error pp. 145-180: Eric Jacquier and Robert Jarrow
Post-'87 crash fears in the S&P 500 futures option market pp. 181-238: David S. Bates
Regime switching in foreign exchange rates: Evidence from currency option prices pp. 239-276: Nicolas P. B. Bollen, Stephen F. Gray and Robert E. Whaley
Pricing and hedging long-term options pp. 277-318: Gurdip Bakshi, Charles Cao and Zhiwu Chen

Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable pp. 203-228: Jason Abrevaya
Bayesian estimation of switching ARMA models pp. 229-255: Monica Billio, Alain Monfort and C. P. Robert
Testing for ARCH in the presence of a possibly misspecified conditional mean pp. 257-279: Robin L. Lumsdaine and Serena Ng
Weak exogeneity in I(2) VAR systems pp. 281-308: Paolo Paruolo and Anders Rahbek
How informative is the initial condition in the dynamic panel model with fixed effects? pp. 309-326: Jinyong Hahn
GMM inference when the number of moment conditions is large pp. 327-344: Roger Koenker and José António Machado
Threshold effects in non-dynamic panels: Estimation, testing, and inference pp. 345-368: Bruce Hansen
The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors pp. 369-401: Leo Michelis

I(0) In, integration and cointegration out:: Time series properties of endogenous growth models pp. 1-24: Sau-Him Paul Lau
On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components pp. 25-47: John Galbraith and Victoria Zinde-Walsh
A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco pp. 49-72: Jose Labeaga
Testing exact rational expectations in cointegrated vector autoregressive models pp. 73-91: Soren Johansen and Anders Rygh Swensen
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models pp. 93-111: Gloria Gonzalez-Rivera and Feike C. Drost
Finite sample properties of tests of the Epstein-Zin asset pricing model pp. 113-148: David C. Smith
Indirect estimation of ARFIMA and VARFIMA models pp. 149-175: Vance Martin and Nigel P. Wilkins
Efficient estimation of panel data models with strictly exogenous explanatory variables pp. 177-201: Kyung So Im, Seung Ahn, Peter Schmidt and Jeffrey Wooldridge

Stratified partial likelihood estimation pp. 193-232: Geert Ridder and Insan Tunali
Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome pp. 233-274: Thomas Mroz
A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models pp. 275-294: Christopher Skeels and Francis Vella
The sensitivity of OLS when the variance matrix is (partially) unknown pp. 295-323: Anurag Banerjee and Jan Magnus
Estimation error and the specification of unobserved component models pp. 325-353: Agustin Maravall and Christophe Planas
Estimation of dynamic and ARCH Tobit models pp. 355-390: Lung-Fei Lee

GMM estimation with cross sectional dependence pp. 1-45: Timothy Conley
Infrastructure and productivity: a nonlinear approach pp. 47-74: Vijaya G. Duggal, Cynthia Saltzman and Lawrence Klein
Long-term equity anticipation securities and stock market volatility dynamics pp. 75-99: Tim Bollerslev and Hans Ole Mikkelsen
Consistent model specification tests for time series econometric models pp. 101-147: Qi Li
The relative efficiency of method of moments estimators1 pp. 149-172: A. Gallant and George Tauchen
Properties of moments of a family of GARCH processes pp. 173-192: Changli He and Timo Teräsvirta