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 83, issue 1-2, 1998

Editor's introduction studies in econometrics in honor of Carl F. Christ pp. 1-7

Lawrence Klein

Econometric implications of the government budget constraint pp. 9-19

Christopher Sims

Impulse response and forecast error variance asymptotics in nonstationary VARs pp. 21-56

Peter Phillips

Business cycle analysis without much theory A look at structural VARs pp. 57-88

Thomas Cooley and Mark Dwyer

Lending cycles pp. 89-128

Patrick K. Asea and Stephen Blomberg

Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply pp. 129-161

Marc Nerlove and Ilaria Fornari

Identification and Kullback information in the GLSEM pp. 163-184

Phoebus J. Dhrymes

The finite sample properties of simultaneous equations' estimates and estimators Bayesian and non-Bayesian approaches pp. 185-212

Arnold Zellner

Model specification and endogeneity pp. 213-237

Alice Nakamura and Masao Nakamura

Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case pp. 239-262

Michael D. McCarthy

Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations pp. 263-290

Hisashi Tanizaki and Roberto Mariano

Heterogeneous information arrival and option pricing pp. 291-323

Patrick K. Asea and Mthuli Ncube

The detection and estimation of long memory in stochastic volatility pp. 325-348

F. Jay Breidt, Nuno Crato and Pedro de Lima

Rational expectations, inflation and the nominal interest rate pp. 349-363

Jean A. Crockett

Volume 82, issue 2, 1998

Hausman tests for autocorrelation in the presence of lagged dependent variables Some further results pp. 197-207

Leslie Godfrey

Predictive tests for structural change with unknown breakpoint pp. 209-233

Eric Ghysels, Alain Guay and Alastair Hall

The moving blocks bootstrap and robust inference for linear least squares and quantile regressions pp. 235-287

Bernd Fitzenberger

Stability tests in error correction models pp. 289-315

Carmela E. Quintos

The influence of sample size on the degree of redundancy in spatial lag operators pp. 317-333

Hans Blommestein and Nick A. M. Koper

Full maximum likelihood estimation of dynamic demand models pp. 335-359

Philippe Deschamps

Sources of asymmetry in production factor dynamics pp. 361-392

Franz Palm and Gerard Pfann

Volume 82, issue 1, 1997

Simulated maximum likelihood estimation of dynamic discrete choice statistical models some Monte Carlo results pp. 1-35

Lung-Fei Lee

Estimating dynamic models from time series of independent cross-sections pp. 37-62

M. Dolores Collado

Testing for conditional heteroskedasticity with misspecified alternative hypotheses pp. 63-80

Noxy Dastoor

Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters pp. 81-106

Shahidur Rahman and Maxwell King

A cointegration approach to estimating preference parameters pp. 107-134

Masao Ogaki and Joon Park

Parameters of interest, nuisance parameters and orthogonality conditions An application to autoregressive error component models pp. 135-156

Bruno Crépon, Francis Kramarz and Alain Trognon

A single-blind controlled competition among tests for nonlinearity and chaos pp. 157-192

William Barnett, A. Gallant, Melvin Hinich, Jochen A. Jungeilges, Daniel T. Kaplan and Mark Jensen

Volume 81, issue 2, 1997

Subsampling for heteroskedastic time series pp. 281-317

D. N. Politis, Joseph P. Romano and Michael Wolf

Self-selection with measurement errors A microeconometric analysis of the decision to seek tax assistance and its implications for tax compliance pp. 319-356

Brian Erard

Nonparametric bootstrap analysis with applications to demographic effects in demand functions pp. 357-393

Pedro L. Gozalo

Volume 81, issue 1, 1997

Nonparametric dynamic modelling pp. 1-5

Helmut Lütkepohl

Rank tests for unit roots pp. 7-27

Jörg Breitung and Christian Gourieroux

Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate pp. 29-64

Herman Bierens

Nonlinear stochastic trends pp. 65-92

Clive Granger, Tomoo Inoue and Norman Morin

Testing cointegration in infinite order vector autoregressive processes pp. 93-126

Pentti Saikkonen and Ritva Luukkonen

Impulse response analysis in infinite order cointegrated vector autoregressive processes pp. 127-157

Helmut Lütkepohl and Pentti Saikkonen

Estimation of stochastic volatility models with diagnostics pp. 159-192

A. Gallant, David Hsieh and George Tauchen

Efficient estimation in semiparametric GARCH models pp. 193-221

Feike C. Drost and Chris A. J. Klaassen

Local polynomial estimators of the volatility function in nonparametric autoregression pp. 223-242

W. Hardle and Alexandre Tsybakov

Local parametric analysis of hedging in discrete time pp. 243-272

Peter Bossaerts and Pierre Hillion

Recognizing changing seasonal patterns using artificial neural networks pp. 273-280

Philip Hans Franses and Gerrit Draisma

Volume 80, issue 2, 1997

Codependent cycles pp. 199-221

Farshid Vahid and Robert Engle

Analysis of cointegrated VARMA processes pp. 223-239

Helmut Lütkepohl and Holger Claessen

Testing of unit root and other nonstationary hypotheses in macroeconomic time series pp. 241-268

Luis Gil-Alana and Peter Robinson

Inference in a nearly integrated autoregressive model with nonnormal innovations pp. 269-286

Thomas J. Rothenberg and James Stock

Random walks with drifts: Nonsense regression and spurious fixed-effect estimation pp. 287-296

Horst Entorf

Bootstrapping cointegrating regressions pp. 297-318

Hongyi Li and G. S. Maddala

Discussion of paper by H. Li & G.S. Maddala pp. 319-323

D. V. Hinkley

Exact tests in single equation autoregressive distributed lag models pp. 325-353

Jan Kiviet and Jean-Marie Dufour

Further evidence on breaking trend functions in macroeconomic variables pp. 355-385

Pierre Perron

Detecting shocks: Outliers and breaks in time series pp. 387-422

A. C. Atkinson, Siem Jan Koopman and Neil Shephard

Volume 80, issue 1, 1997

Semiparametric estimation of the Type-3 Tobit model pp. 1-34

Songnian Chen

An introduction to stochastic unit-root processes pp. 35-62

Clive Granger and Norman Swanson

Analyzing properties of K-cones in the generalized data envelopment analysis model pp. 63-84

Quanling Wei and Gang Yu

Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments pp. 85-123

Yuichi Kitamura and Peter Phillips

Statistical inference in the multinomial multiperiod probit model pp. 125-165

John Geweke, Michael Keane and David E. Runkle

Multiple unit roots in periodic autoregression pp. 167-193

H. Peter Boswijk, Philip Hans Franses and Niels Haldrup