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 72, issue 1-2, 1996

The Bierens test under data dependence pp. 1-32

Robert de Jong

A causality-in-variance test and its application to financial market prices pp. 33-48

Yin-Wong Cheung and Lilian K. Ng

Smoothing bias in the measurement of marginal effects pp. 49-84

Thomas M. Stoker

Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results pp. 85-134

Vassilis Hajivassiliou, Daniel McFadden and Paul Ruud

Parameter uncertainty and impulse response analysis pp. 135-149

Gary Koop

On the power of tests for superexogeneity and structural invariance pp. 151-175

Zacharias Psaradakis and Martin Sola

A farm-level study of labor use and efficiency wages in Indian agriculture pp. 177-195

Subal Kumbhakar

On the choice between sample selection and two-part models pp. 197-229

Siu Leung and Shih-Ti Yu

Empirical implementation of ex ante cost functions pp. 231-249

Rulon D. Pope and Richard Just

Two flexible functional form approaches for approximating the Lorenz curve pp. 251-274

Hang K. Ryu and Daniel Slottje

Some results on the Glejser and Koenker tests for heteroskedasticity pp. 275-299

Leslie Godfrey

Mirror image distributions and the Dickey-Fuller regression with a maintained trend pp. 301-312

Niels Haldrup

On the determination of integration indices in I(2) systems pp. 313-356

Paolo Paruolo

The effects of vertical integration between cable television systems and pay cable networks pp. 357-395

David Waterman and Andrew A. Weiss

Volume 71, issue 1-2, 1996

Asymptotic filtering theory for multivariate ARCH models pp. 1-47

Daniel B. Nelson

Semiparametric estimates of the supply and demand effects of disability on labor force participation pp. 49-70

Steven Stern

Marginalization and contemporaneous aggregation in multivariate GARCH processes pp. 71-87

Theo Nijman and Enrique Sentana

Tests for cointegration a Monte Carlo comparison pp. 89-115

Alfred Haug

Cointegration and speed of convergence to equilibrium pp. 117-143

Mohammad Pesaran and Yongcheol Shin

Case-control studies with contaminated controls pp. 145-160

Tony Lancaster and Guido Imbens

Interpreting tests of the convergence hypothesis pp. 161-173

Andrew Bernard and Steven Durlauf

Robustness to nonnormality of regression F-tests pp. 175-205

Mukhtar M. Ali and Subhash Sharma

Information criteria for selecting possibly misspecified parametric models pp. 207-225

Chor-yiu (CY) Sin and Halbert White

Alternative methods of detrending and the power of unit root tests pp. 227-248

Jaeyoun Hwang and Peter Schmidt

A minimum distance estimator for long-memory processes pp. 249-264

Margie A. Tieslau, Peter Schmidt and Richard Baillie

An interior point algorithm for nonlinear quantile regression pp. 265-283

Roger Koenker and Beum Jo Park

A note on Sargan densities pp. 285-290

Kaddour Hadri

Specification testing in panel data with instrumental variables pp. 291-307

Gilbert Metcalf

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data pp. 309-319

Seung Ahn and Stuart Low

Testing for structural breaks in cointegrated relationships pp. 321-341

Allan Gregory, James Nason and David G. Watt

Endogenous capital utilization and productivity measurement in dynamic factor demand models Theory and an application to the U.S. electrical machinery industry pp. 343-379

Ingmar Prucha and M. Ishaq Nadiri

Lorenz ordering of generalized beta-II income distributions pp. 381-388

Bernd Wilfling

Semiparametric estimation of partially linear panel data models pp. 389-397

Qi Li and Thanasis Stengos

Volume 70, issue 2, 1996

The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors pp. 317-350

Pierre Perron

Local identifiability of the factor analysis and measurement error model parameter pp. 351-382

Leon Wegge

Estimation methods for male labor supply functions How to take account of nonlinear taxes pp. 383-405

Sören Blomquist

Volume 70, issue 1, 1996

Editors' introduction recent developments in the econometrics of structural change pp. 1-8

Jean-Marie Dufour and Eric Ghysels

Optimal changepoint tests for normal linear regression pp. 9-38

Donald Andrews, Inpyo Lee and Werner Ploberger

Exact tests for structural change in first-order dynamic models pp. 39-68

Jean-Marie Dufour and Jan Kiviet

The effect of linear filters on dynamic time series with structural change pp. 69-97

Eric Ghysels and Pierre Perron

Residual-based tests for cointegration in models with regime shifts pp. 99-126

Allan Gregory and Bruce Hansen

Specification testing in Markov-switching time-series models pp. 127-157

James Hamilton

Testing for structural change in a long-memory environment pp. 159-174

Javier Hidalgo and Peter Robinson

A trend-resistant test for structural change based on OLS residuals pp. 175-185

Werner Ploberger and Walter Krämer

Cointegration tests in the presence of structural breaks pp. 187-220

Julia Campos, Neil Ericsson and David Hendry

Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures pp. 221-241

Francis Diebold and Celia Chen

Demand for international telecommunication time-varying price elasticity pp. 243-260

Peter Hackl and Anders H. Westlund

Specification of varying coefficient time series models via generalized flexible least squares pp. 261-290

Helmut Lütkepohl and Helmut Herwartz

The Lucas critique revisited assessing the stability of empirical Euler equations for investment pp. 291-316

Stephen Oliner, Glenn Rudebusch and Daniel Sichel

Volume 69, issue 2, 1995

The predictive ability of several models of exchange rate volatility pp. 367-391

Kenneth West and Dongchul Cho

Assessing cross-sectional correlation in panel data pp. 393-414

Edward W. Frees

Nonparametric tests of regularity, Farrell efficiency, and goodness-of-fit pp. 415-425

Rolf Fare and Shawna Grosskopf

A generalization of the beta distribution with applications pp. 427-428

James McDonald and Yexiao J. Xu

Volume 69, issue 1, 1995

Editors' introduction Bayesian and classical econometric modeling of time series pp. 1-4

Luc Bauwens and Michel Lubrano

Tests for seasonal unit roots general to specific or specific to general? pp. 5-25

Svend Hylleberg

Classical and Bayesian aspects of robust unit root inference pp. 27-59

Henk Hoek, Andre Lucas and Herman van Dijk

Bayesian long-run prediction in time series models pp. 61-80

Gary Koop, Jacek Osiewalski and Mark Steel

Testing for unit roots in a Bayesian framework pp. 81-109

Michel Lubrano

Identifying restrictions of linear equations with applications to simultaneous equations and cointegration pp. 111-132

Soren Johansen

Efficient inference on cointegration parameters in structural error correction models pp. 133-158

H. Peter Boswijk

Conditional and structural error correction models pp. 159-171

Neil Ericsson

Conditional and structural error correction models reply pp. 173-175

H. Peter Boswijk

Partial versus full system modelling of cointegrated systems an empirical illustration pp. 177-210

Jean-Pierre Urbain

Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model pp. 211-240

Katarina Juselius

The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models pp. 241-266

Jan Kiviet, Garry Phillips and Bernhard Schipp

A simple message for autocorrelation correctors: Don't pp. 267-288

Grayham Mizon

Bayesian model selection and prediction with empirical applications pp. 289-331

Peter Phillips

Bayesian model selection and prediction with empirical applications comments pp. 333-335

Franz Palm

Bayesian model selection and prediction with empirical applications discussion pp. 337-349

Jean-Francois Richard

Bayesian prediction a response pp. 351-365

Peter Phillips