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 64, issue 1-2, 1994

Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models pp. 3-27

Ronald Bewley, David Orden, Minxian Yang and Lance A. Fisher

Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity pp. 29-43

Jerzy Szroeter

Specification tests in simultaneous equations systems pp. 45-76

Phoebus J. Dhrymes

Testing for linearity in a semiparametric regression model pp. 77-96

Thomas S. Shively, Robert Kohn and Craig F. Ansley

Measuring and comparing smoothness in time series the production smoothing hypothesis pp. 97-122

Luke Froeb and Robert Koyak

Partially adaptive estimation via a normal mixture pp. 123-144

Robert Phillips

Parameter estimation in regression models with errors in the variables and autocorrelated disturbances pp. 145-163

Marcel G. Dagenais

A two-stage estimator for probit models with structural group effects pp. 165-182

George Borjas and Glenn T. Sueyoshi

Bayes inference in regression models with ARMA (p, q) errors pp. 183-206

Siddhartha Chib and Edward Greenberg

An exact likelihood analysis of the multinomial probit model pp. 207-240

Robert McCulloch and Peter Rossi

Pairwise difference estimators of censored and truncated regression models pp. 241-278

Bo E. Honore and James Powell

Subsample instability and asymmetries in money-income causality pp. 279-306

Mark Thoma

Autoregressive conditional heteroskedasticity and changes in regime pp. 307-333

James Hamilton and Raul Susmel

Semiparametric estimation from time series with long-range dependence pp. 335-353

Bing Cheng and Peter Robinson

Coherency and estimation in simultaneous models with censored or qualitative dependent variables pp. 355-373

Richard Blundell and Richard Smith

Stochastic volatility in asset prices estimation with simulated maximum likelihood pp. 375-400

Jon Danielsson

Volume 63, issue 2, 1994

Jeffreys' prior for logit models pp. 327-339

Dale Poirier

Semiparametric instrumental variable estimation of simultaneous equation sample selection models pp. 341-388

Lung-Fei Lee

On the compatibility of nested logit models with utility maximization: A comment pp. 389-396

Ruud Koning and Geert Ridder

The covariance matrix of ARMA errors in closed form pp. 397-405

Jan van der Leeuw

Volume 63, issue 1, 1994

Structure and dynamics in econometrics pp. 1-5

Jan Kiviet and Herman K. van Dijk

Identification of the long-run and the short-run structure an application to the ISLM model pp. 7-36

Soren Johansen and Katarina Juselius

Testing for an unstable root in conditional and structural error correction models pp. 37-60

H. Peter Boswijk

Direct cointegration testing in error correction models pp. 61-103

Frank Kleibergen and Herman van Dijk

Deciding between I(1) and I(0) pp. 105-131

James Stock

A multivariate approach to modeling univariate seasonal time series pp. 133-151

Philip Hans Franses

The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables pp. 153-181

Niels Haldrup

Polynomial cointegration estimation and test pp. 183-214

Stéphane Gregoir and Guy Laroque

Bias assessment and reduction in linear error-correction models pp. 215-243

Jan Kiviet and Garry Phillips

Encompassing in stationary linear dynamic models pp. 245-270

Bernadette Govaerts, David Hendry and Jean-Francois Richard

Simplified conditions for noncausality between vectors in multivariate ARMA models pp. 271-287

Hafida Boudjellaba, Jean-Marie Dufour and Roch Roy

Quasi-maximum likelihood estimation of stochastic volatility models pp. 289-306

Esther Ruiz

VAR analysis, nonfundamental representations, blaschke matrices pp. 307-325

Marco Lippi and Lucrezia Reichlin

Volume 62, issue 2, 1994

Incomplete panels: A comparative study of alternative estimators for the unbalanced one-way error component regression model pp. 67-89

Badi Baltagi and Young-Jae Chang

Multiple optima and asymptotic approximations in the partial adjustment model pp. 91-128

Douglas A. McManus, John C. Nankervis and N. E. Savin

Moments of the ratio of quadratic forms in non-normal variables with econometric examples pp. 129-141

Aman Ullah and Virendra K. Srivastava

A semiparametric efficiency bound of a disequilibrium model without observed regime pp. 143-163

Chunrong Ai

Estimating the canonical disequilibrium model: Asymptotic theory and finite sample properties pp. 165-210

Guy Laroque and Bernard Salanié

Testing the constancy of regression parameters against continuous structural change pp. 211-228

Chien-Fu Jeff Lin and Timo Teräsvirta

Local asymptotic distribution related to the AR(1) model with dependent errors pp. 229-264

Seiji Nabeya and Pierre Perron

Simple tests of distributional form pp. 265-276

Gordon Anderson

Bayesian semiparametric estimation of proportional hazards models pp. 277-300

Michele Ruggiero

On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean pp. 301-316

Yin-Wong Cheung and Francis Diebold

Estimation of partially nonstationary vector autoregressive models with seasonal behavior pp. 317-350

Sung K. Ahn and Gregory C. Reinsel

Approximate generalized extreme value models of discrete choice pp. 351-382

Kenneth Small

Asymptotic robustness of tests of overidentification and predeterminedness pp. 383-414

T. W. Anderson and Naoto Kunitomo

Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation pp. 415-442

Eric Ghysels, Hahn Lee and Jaesum Noh

Volume 61, issue 2, 1994

Encompassing univariate models in multivariate time series: A case study pp. 197-233

Agustin Maravall and Alexandre Mathis

Firm behavior under input rationing pp. 235-257

Dale Squires

Deterministic seasonal models and spurious regressions pp. 259-272

Tilak Abeysinghe

Stochastic frontier models: A Bayesian perspective pp. 273-303

Julien van den Broeck, Gary Koop, Jacek Osiewalski and Mark Steel

Semiparametric two-stage estimation of sample selection models subject to Tobit-type selection rules pp. 305-344

Lung-Fei Lee

Is the minimum chi-square estimator the winner in logit regression? pp. 345-366

Gordon Hughes and N. E. Savin

The distribution of the Durbin-Watson statistic in integrated and near-integrated models pp. 367-382

Hiroyuki Hisamatsu and Koichi Maekawa

The exact powers of some autocorrelation tests when the disturbances are heteroscedastic pp. 383-394

John P. Small

Bootstrap-based critical values for the information matrix test pp. 395-411

Joel L. Horowitz

On estimation and testing when explanatory variables are partly endogenous pp. 413-428

Shigeru Iwata

Volume 61, issue 1, 1994

The econometrics of labor market segregation and discrimination pp. 1-4

Shoshana Neuman and Jacques Silber

On discrimination and the decomposition of wage differentials pp. 5-21

Ronald Oaxaca and Michael Ransom

Panel estimates of the gender earnings gap: Individual-specific intercept and individual-specific slope models pp. 23-42

Solomon Polachek and Moon-Kak Kim

A new method for detecting individual and group labor market discrimination pp. 43-64

Daniel Slottje, Joseph Hirschberg, Kathy J. Hayes and Gerald W. Scully

An empirical Bayes approach to analyzing earnings functions for various occupations and industries pp. 65-79

Joseph Hirschberg and Daniel Slottje

Earnings discrimination measurement: A distributional approach pp. 81-102

Stephen Jenkins

Analysis of employment discrimination through homogeneous job groups pp. 103-131

Delores A. Conway and Harry V. Roberts

Measuring occupational segregation: Summary statistics and the impact of classification errors and aggregation pp. 133-146

Joseph Deutsch, Yves Fluckiger and Jacques Silber

Economic distance and overlapping of distributions pp. 147-159

Shlomo Yitzhaki

Occupational segregation in the multidimensional case: Decomposition and tests of significance pp. 161-171

Dale Boisso, Kathy Hayes, Joseph Hirschberg and Jacques Silber

The unemployment of ethnic minority groups in the Netherlands pp. 173-196

Willem Niesing, Bernard van Praag and Justus Veenman