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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Testing serial correlation in semiparametric panel data models pp. 207-237: Qi Li and Cheng Hsiao
Misclassification of the dependent variable in a discrete-response setting pp. 239-269: Jerry Hausman, Jason Abrevaya and F. M. Scott-Morton
Estimation of stochastic volatility models via Monte Carlo maximum likelihood pp. 271-301: Gleb Sandmann and Siem Jan Koopman
Inferring technological parameters from incomplete panel data pp. 303-327: Georges Dionne, Robert Gagné and Charles Vanasse
Convenient estimators for the panel probit model pp. 329-371: Irene Bertschek and Michael Lechner

Maximum score estimation of disequilibrium models and the role of anticipatory price-setting pp. 1-24: Walter J. Mayer and Robert E. Dorsey
Simulated latent variable estimation of models with ordered categorical data pp. 25-47: Jon Breslaw and James McIntosh
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior pp. 49-86: John Chao and Peter Phillips
Structural relations, cointegration and identification: some simple results and their application pp. 87-113: James Davidson
Initial conditions and moment restrictions in dynamic panel data models pp. 115-143: Richard Blundell and Stephen Bond
A simple consistent bootstrap test for a parametric regression function pp. 145-165: Qi Li and Suojin Wang
Testing for a slowly changing level with special reference to stochastic volatility pp. 167-189: Andrew Harvey and Mariane Streibel
Spurious rejections by Dickey-Fuller tests in the presence of a break under the null pp. 191-203: Stephen Leybourne, Terence C. Mills and Paul Newbold

Testing for serial correlation in multivariate regression models pp. 193-220: Aikaterini Kyriazidou
Estimation and comparison of multiple change-point models pp. 221-241: Siddhartha Chib
Uniform laws of large numbers and stochastic Lipschitz-continuity pp. 243-268: Robert de Jong
Maximum likelihood estimation of a binary choice model with random coefficients of unknown distribution pp. 269-295: Hidehiko Ichimura and T. Scott Thompson
Higher-order approximations for frequency domain time series regression pp. 297-336: Zhijie Xiao and Peter Phillips
Test for partial parameter instability in regressions with I(1) processes pp. 337-368: Biing-Shen Kuo
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching pp. 369-386: Zacharias Psaradakis and Martin Sola
FELLOW'S CORNER Foundations of statistical inference based on numerical roots of robust pivot functions pp. 387-396: Hrishikesh Vinod

Spectral methods for identifying scalar diffusions pp. 1-32: Lars Hansen, Jose Scheinkman and Nizar Touzi
Posterior simulation and Bayes factors in panel count data models pp. 33-54: Siddhartha Chib, Edward Greenberg and Rainer Winkelmann
Inference in possibly integrated vector autoregressive models: some finite sample evidence pp. 55-95: Hiroshi Yamada and Hiro Y. Toda
Testing for GARCH effects: a one-sided approach pp. 97-127: Antonis Demos and Enrique Sentana
Pitfalls in testing for long run relationships pp. 129-154: Jesus Gonzalo and Tae Hwy Lee
Tests for cointegration with infinite variance errors pp. 155-175: Mehmet Caner
Bayesian and non-bayesian solutions to analysis of covariance models under heteroscedasticity pp. 177-192: Malwane M. A. Ananda

Approximate bias correction in econometrics pp. 205-230: James MacKinnon and Anthony A. Smith
Adaptive estimation of cointegrating regressions with ARMA errors pp. 231-267: Douglas Hodgson
Additional critical values and asymptotic representations for seasonal unit root tests pp. 269-288: Richard Smith and Robert Taylor
Low-pass filtered least squares estimators of cointegrating vectors pp. 289-316: Li Yikang
System estimators of cointegrating matrix in absence of normalising information pp. 317-337: Minxian Yang
Statistical inference on cointegration rank in error correction models with stationary covariates pp. 339-385: Seo Byeongseon
Bayesian inference in a simultaneous equation model with limited dependent variables pp. 387-400: Kai Li

The estimation of systems of joint differential-difference equations pp. 1-31: Marcus Chambers
Parametric tests for static and dynamic equilibrium pp. 33-50: Scott Atkinson and Robert Halvorsen
Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances pp. 51-74: Darrell A. Turkington
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators pp. 75-98: Laurence Broze and Christian Gourieroux
Business cycle durations pp. 99-123: Andrew Filardo and Stephen Gordon
Contracting in space: An application of spatial statistics to discrete-choice models pp. 125-154: Joris Pinkse and Margaret Slade
Analysis of cointegration vectors using the GMM approach pp. 155-188: Carmela E. Quintos
Using dominance in forming bounds on DEA models: The case of experimental agricultural data pp. 189-203: Robert Chambers, Rolf Fare, Edward Jaenicke and Erik Lichtenberg

A consistent nonparametric test for serial independence pp. 205-231: Joris Pinkse
Spurious regression theory with nonstationary fractionally integrated processes pp. 233-250: Francesc Marmol
On the use of sampling weights when estimating regression models with survey data pp. 251-271: Lonnie Magee, A. Robb and John Burbidge
Stochastic panel frontiers: A semiparametric approach pp. 273-301: B. U. Park, Robin Sickles and Leopold Simar
Representations of I(2) cointegrated systems using the Smith-McMillan form pp. 303-325: Niels Haldrup and Mark Salmon
The union/non-union wage differential: An application of semi-parametric methods pp. 327-349: Gauthier Lanot and Ian Walker
Estimation of censored linear errors-in-variables models pp. 383-400: Liqun Wang

Testing multiple equation systems for common nonlinear components pp. 1-36: Heather Anderson and Farshid Vahid
Censoring of outcomes and regressors due to survey nonresponse: Identification and estimation using weights and imputations pp. 37-58: Joel L. Horowitz and Charles Manski
Tests of non-nested regression models some results on small sample behaviour and the bootstrap pp. 59-74: Leslie Godfrey
Tests for changes in models with a polynomial trend pp. 75-91: Chung-Ming Kuan
Dynamic equilibrium and volatility in financial asset markets pp. 93-127: Yacine Ait-Sahalia
Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects pp. 129-154: Joseph Terza
Hypothesis testing with a restricted parameter space pp. 155-199: Donald Andrews