Journal of Econometrics

1973 - 2025

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 68, issue 2, 1995

On a simultaneous equations pre-test estimator pp. 269-286

Christopher Skeels and Larry W. Taylor

Double bootstrap for shrinkage estimators pp. 287-302

Hrishikesh Vinod

Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study pp. 303-338

Moshe Buchinsky

Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models pp. 339-360

Siddhartha Chib and Edward Greenberg

The heteroskedastic linear regression model and the Hadamard product a note pp. 361-366

Heinz Neudecker, Wolfgang Polasek and Shuangzhe Liu

A Bayesian approach to diagnosis of asset pricing models pp. 367-397

Michael Stutzer

Volume 68, issue 1, 1995

Editor's introduction Panel data pp. 1-4

Badi Baltagi

Efficient estimation of models for dynamic panel data pp. 5-27

Seung Ahn and Peter Schmidt

Another look at the instrumental variable estimation of error-components models pp. 29-51

Manuel Arellano and Olympia Bover

On bias, inconsistency, and efficiency of various estimators in dynamic panel data models pp. 53-78

Jan Kiviet

Estimating long-run relationships from dynamic heterogeneous panels pp. 79-113

Mohammad Pesaran and Ronald Smith

Selection corrections for panel data models under conditional mean independence assumptions pp. 115-132

Jeffrey Wooldridge

Testing AR(1) against MA(1) disturbances in an error component model pp. 133-151

Badi Baltagi and Qi Li

How representative are matched cross-sections? Evidence from the Current Population Survey pp. 153-179

Franco Peracchi and Finis Welch

A new framework for analyzing survey forecasts using three-dimensional panel data pp. 205-227

Antony Davies and Kajal Lahiri

An unobserved component panel data model to study the effect of earnings surprises on stock prices, trading volumes, and spreads pp. 229-242

G. S. Maddala and M. Nimalendran

Volume 67, issue 2, 1995

Flexible functional forms and tests of homogeneous separability pp. 259-302

Walter Diewert and T. J. Wales

Filtering and forecasting with misspecified ARCH models II: Making the right forecast with the wrong model pp. 303-335

Daniel B. Nelson and Dean Foster

Nonparametric two-stage estimation of conditional choice probabilities in a binary choice model under uncertainty pp. 337-378

Hyungtaik Ahn

Consistent nonparametric hypothesis tests with an application to Slutsky symmetry pp. 379-401

Arthur Lewbel

Volume 67, issue 1, 1995

Editors' introduction: The significance of testing in econometrics pp. 1-3

Hugo A. Keuzenkamp and Jan Magnus

On tests and significance in econometrics pp. 5-24

Hugo A. Keuzenkamp and Jan Magnus

Three ways to think about testing in econometrics pp. 25-46

Philip Mirowski

Probabilities and experiments pp. 47-59

Nancy Cartwright

The role of theory in econometrics pp. 61-79

Mohammad Pesaran and Ronald Smith

Empirical model particularities and belief in the natural rate hypothesis pp. 81-102

Jinbang Kim, Neil De Marchi and Mary S. Morgan

Rejection without falsification on the history of testing the homogeneity condition in the theory of consumer demand pp. 103-127

Hugo A. Keuzenkamp and Anton P. Barten

Frisch on testing of business cycle theories pp. 129-147

Marcel Boumans

The significance of testing empirical non-nested models pp. 149-171

Michael McAleer

Comments on testing economic theories and the use of model selection criteria pp. 173-187

Clive Granger, Maxwell King and Halbert White

On theory testing in econometrics: Modeling with nonexperimental data pp. 189-226

Aris Spanos

Nonclassical demand: A model-free examination of price-quantity relations in the Marseille fish market pp. 227-257

Wolfgang Härdle and Alan Kirman

Volume 66, issue 1-2, 1995

Shrinkage estimation in nonlinear regression The Box-Cox transformation pp. 1-33

Minbo Kim and R. CarterHill

Alternative size corrections for some GLS test statistics the case of the AR(1) model pp. 35-59

Michael A. Magdalinos and Spyridon Symeonides

Nonconvexities, labor hoarding, technology shocks, and procyclical productivity a structural econometric analysis pp. 61-98

Bob Chirinko

Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances pp. 99-121

V. K. Srivastava and Koichi Maekawa

Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald pp. 123-129

Benedikt Pötscher

Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models' pp. 131-132

Douglas Steigerwald

A generalization of the beta distribution with applications pp. 133-152

James McDonald and Yexiao J. Xu

An outlier robust unit root test with an application to the extended Nelson-Plosser data pp. 153-173

Andre Lucas

Stochastic specification in random production models of cost-minimizing firms pp. 175-205

Bryan W. Brown and Mary Beth Walker

A Bartlett adjustment to the likelihood ratio test for a system of equations pp. 207-223

C. L. F. Attfield

Statistical inference in vector autoregressions with possibly integrated processes pp. 225-250

Hiro Y. Toda and Taku Yamamoto

Nonparametric estimation of structural models for high-frequency currency market data pp. 251-287

Ravi Bansal, A. Gallant, Robert Hussey and George Tauchen

A numerical bayesian test for cointegration of AR processes pp. 289-324

Jeffrey Dorfman

Optimal stock/flow panels pp. 325-348

Tony Lancaster and Guido Imbens

Transforming the error-components model for estimation with general ARMA disturbances pp. 349-355

John Galbraith and Victoria Zinde-Walsh

Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence pp. 357-369

Clive Granger and Pierre Siklos

Volume 65, issue 2, 1995

Temporal aggregation and the power of tests for a unit root pp. 333-345

Richard Pierse and Andy Snell

Two-step estimation of heteroskedastic sample selection models pp. 347-380

Stephen Donald

Semiparametric maximum likelihood estimation of polychotomous and sequential choice models pp. 381-428

Lung-Fei Lee

Volume 65, issue 1, 1995

Editors' introduction pp. 1-8

Melvyn Fuss and Ariel Pakes

High-tech capital formation and economic performance in U.S. manufacturing industries An exploratory analysis pp. 9-43

Ernst R. Berndt and Catherine Morrison Paul

The production and cost structure of Israeli industry Evidence from individual firm data pp. 45-81

Arie Bregman, Melvyn Fuss and Haim Regev

General purpose technologies 'Engines of growth'? pp. 83-108

Timothy Bresnahan and Manuel Trajtenberg

Quantile regression, Box-Cox transformation model, and the U.S. wage structure, 1963-1987 pp. 109-154

Moshe Buchinsky

The production-theoretic measurement of input price and quantity indices pp. 155-174

Franklin M. Fisher

Firm productivity in Israeli industry 1979-1988 pp. 175-203

Zvi Griliches and Haim Regev

Nonlinear errors in variables Estimation of some Engel curves pp. 205-233

Jerry Hausman, Whitney Newey and James Powell

A random linear functional approach to efficiency bounds pp. 235-261

Alberto Holly

Exploring the relationship between R&D and productivity in French manufacturing firms pp. 263-293

Bronwyn Hall and Jacques Mairesse

A limit theorem for a smooth class of semiparametric estimators pp. 295-332

Ariel Pakes and Steven Olley