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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Bounding posterior means by model criticism pp. 239-261: Shigeru Iwata
A consistent test of functional form via nonparametric estimation techniques pp. 263-289: John Xu Zheng
Optimal bandwidth choice for density-weighted averages pp. 291-316: James Powell and Thomas M. Stoker
Nonparametric regression using Bayesian variable selection pp. 317-343: Michael Smith and Robert Kohn
A nonparametric test for poolability using panel data pp. 345-367: Badi Baltagi, Javier Hidalgo and Qi Li
The second-order bias and mean squared error of nonlinear estimators pp. 369-395: Paul Rilstone, V. K. Srivastava and Aman Ullah
Editorial statement pp. 397-398: Dennis J. Aigner

Editor's introduction pp. 1-5: Luc Bauwens, Wolfgang Polasek and Herman van Dijk
The Bernoullis of Basel pp. 7-13: Stephen M. Stigler
The significance of Jacob Bernoulli's Ars Conjectandi for the philosophy of probability today pp. 15-32: Glenn Shafer
De Finetti, Friedman, and the methodology of positive economics pp. 33-50: Gianluigi Pelloni
Models, prior information, and Bayesian analysis pp. 51-68: Arnold Zellner
Markov-Normal analysis of iterative simulations before their convergence pp. 69-78: Chuanhai Liu and Donald B. Rubin
Calculating posterior distributions and modal estimates in Markov mixture models pp. 79-97: Siddhartha Chib
Priors for unit root models pp. 99-111: Joseph B. Kadane, Ngai Hang Chan and Lara J. Wolfson
On priors and Bayes factors pp. 113-119: Karen D. S. Young and Lawrence I. Pettit
Bayesian reduced rank regression in econometrics pp. 121-146: John Geweke
A bayesian multivariate nonstationary time series model for estimating mutual relationships among variables pp. 147-161: Hiroko Kato, Sadao Naniwa and Makio Ishiguro
A Bayesian analysis of nested logit models pp. 163-181: Dale J. Poirier
A Bayesian approach to the empirical valuation of bond options pp. 183-215: Peter Schotman
Inference in successive sampling discovery models pp. 217-238: Mike West

A Bayesian approach to additive semiparametric regression pp. 209-235: Chi-ming Wong and Robert Kohn
Bayesian estimation of an autoregressive model using Markov chain Monte Carlo pp. 237-254: Glen Barnett, Robert Kohn and Simon Sheather
Interpreting cointegrating vectors and common stochastic trends pp. 255-271: Michael Wickens
The exact general formulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators pp. 273-287: Kazuhiro Ohtani and Hideo Kozumi
Efficient estimation and stratified sampling pp. 289-318: Guido Imbens and Tony Lancaster
Wage dispersion, returns to skill, and black-white wage differentials pp. 319-361: David Card and Thomas Lemieux
Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea pp. 363-386: Luigi Ermini and Dongkoo Chang
Estimating systems of equations with different instruments for different equations pp. 387-405: Jeffrey Wooldridge

Editor's introduction: Asymmetries and nonlinearities in dynamic economic models pp. 1-2: Simon Burgess, Alvaro Escribano and Gerard Pfann
Fractionally integrated generalized autoregressive conditional heteroskedasticity pp. 3-30: Richard Baillie, Tim Bollerslev and Hans Ole Mikkelsen
Closing the GARCH gap: Continuous time GARCH modeling pp. 31-57: Feike C. Drost and Bas Werker
Testing the adequacy of smooth transition autoregressive models pp. 59-75: Øyvind Eitrheim and Timo Teräsvirta
Qualitative and asymptotic performance of SNP density estimators pp. 77-118: Victor M. Fenton and A. Gallant
Impulse response analysis in nonlinear multivariate models pp. 119-147: Gary Koop, Mohammad Pesaran and Simon Potter
Nonlinear interest rate dynamics and implications for the term structure pp. 149-176: Gerard Pfann, Peter C. Schotman and Rolf Tschernig
Volume, volatility, and leverage: A dynamic analysis pp. 177-208: George Tauchen, Harold Zhang and Ming Liu

A reinterpretation of the tests of overidentifying restrictions pp. 325-353: Michael A. Magdalinos and Spyridon Symeonides
Testing for causality in real time pp. 355-376: Carlo Grillenzoni
The stochastic specification of demand share equations: Restricting budget shares to the unit simplex pp. 377-385: Jane Fry, Tim Fry and Keith McLaren
Bounding mean regressions when a binary regressor is mismeasured pp. 387-399: Christopher Bollinger
Cointegration tests with conditional heteroskedasticity pp. 401-410: Tae Hwy Lee and Yiuman Tse

Editors' introduction: Fractional differencing and long memory processes pp. 1-3: Richard Baillie and Maxwell King
Long memory processes and fractional integration in econometrics pp. 5-59: Richard Baillie
Varieties of long memory models pp. 61-77: Clive Granger and Zhuanxin Ding
Infinite variance stable moving averages with long memory pp. 79-99: Piotr S. Kokoszka and Murad S. Taqqu
Long memory continuous time models pp. 101-149: F. Comte and Eric Renault
Modeling and pricing long memory in stock market volatility pp. 151-184: Tim Bollerslev and Hans Ole Mikkelsen
Modeling volatility persistence of speculative returns: A new approach pp. 185-215: Zhuanxin Ding and Clive Granger
The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence pp. 217-236: Yuzo Hosoya
Estimating a generalized long memory process pp. 237-259: Ching-Fan Chung
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series pp. 261-284: Jonathan R. M. Hosking
On the power of the KPSS test of stationarity against fractionally-integrated alternatives pp. 285-302: Dongin Lee and Peter Schmidt
Averaged periodogram estimation of long memory pp. 303-324: Ignacio Lobato and Peter Robinson