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 60, issue 1-2, 1994

Dynamic linear models with Markov-switching pp. 1-22

Chang-Jin Kim

Generic uniform convergence and equicontinuity concepts for random functions: An exploration of the basic structure pp. 23-63

Benedikt Pötscher and Ingmar Prucha

Global optimization of statistical functions with simulated annealing pp. 65-99

William Goffe, Gary Ferrier and John Rogers

Selectivity bias correction methods in polychotomous sample selection models pp. 101-132

Carl P. Schmertmann

A simplification of the Kopp--Diewert method of decomposing cost efficiency and some implications pp. 133-144

Yaw M. Mensah

Confidence sets centered at James--Stein estimators: A surprise concerning the unknown-variance case pp. 145-156

J. T. Gene Hwang and Aman Ullah

Exact densities for variance estimators of the structural disturbances in simultaneous equations models pp. 157-180

Murray D. Smith

Local scale models: State space alternative to integrated GARCH processes pp. 181-202

Neil Shephard

Five alternative methods of estimating long-run equilibrium relationships pp. 203-233

Jesus Gonzalo

A revealed preference test for weakly separable utility maximization with incomplete adjustment pp. 235-249

James L. Swofford and Gerald A. Whitney

Testing for autocorrelation in the presence of lagged dependent variables: A specification error approach pp. 251-272

Hashem Dezhbakhsh and Jerry Thursby

Joint and separate score tests for state dependence and unobserved heterogeneity pp. 273-291

Sanjiv Jaggia and Pravin Trivedi

Specification diagnostics for duration models: A martingale approach pp. 293-312

Brian McCall

Spurious regressions and residual-based tests for cointegration when regressors are cointegrated pp. 313-320

In Choi

Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection (vol. 54 (1992) pp. 223-250) pp. 321-321

Alastair Hall

Volume 59, issue 3, 1993

The identification of multivariate linear dynamic errors-in-variables models pp. 213-227

Eugen Nowak

The spurious effect of unit roots on vector autoregressions: An analytical study pp. 229-255

Hiro Y. Toda and Peter Phillips

Measuring technical efficiency with panel data: A dual approach pp. 257-261

Scott Atkinson and Christopher Cornwell

Testing for a unit root by frequency domain regression pp. 263-286

In Choi and Peter Phillips

Unit root tests with conditional heteroskedasticity pp. 287-300

Kiwhan Kim and Peter Schmidt

Estimation and testing in the random effects probit model pp. 301-317

David K. Guilkey and James L. Murphy

Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions pp. 319-341

Phillip Braun and Stefan Mittnik

Maximum entropy Lorenz curves pp. 377-389

Juhani Holm

Bayesian marginal equivalence of elliptical regression models pp. 391-403

Jacek Osiewalski and Mark Steel

Monte Carlo results on several new and existing tests for the error component model (Vol. 54, No. 1-3 (1992) pp. 95-120) pp. 405-405

Badi Baltagi, Young-Jae Chang and Qi Li

Volume 59, issue 1-2, 1993

Editors' introduction: The econometrics of panels and pseudo panels pp. 1-4

Carlo Carraro, Franco Peracchi and Guglielmo Weber

Simulation-based inference: A survey with special reference to panel data models pp. 5-33

Christian Gourieroux and Alain Monfort

Orthogonality conditions for Tobit models with fixed effects and lagged dependent variables pp. 35-61

Bo E. Honore

A general framework for panel data models with an application to Canadian customer-dialed long distance telephone service pp. 63-86

Cheng Hsiao, Trent W. Appelbe and Christopher R. Dineen

On the testing of correlated effects with panel data pp. 87-97

Manuel Arellano

Identification and estimation of dynamic models with a time series of repeated cross-sections pp. 99-123

Robert Moffitt

Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections pp. 125-136

Marno Verbeek and Theo Nijman

Labour supply and intertemporal substitution pp. 137-160

Richard Blundell, Costas Meghir and Pedro Neves

A method for the analysis of the timing and magnitude of events in a continuous-time panel: The effects of British incomes policy, 1950-1973 pp. 161-185

Masako Kurosawa and Stephen Pudney

Modelling inaccuracies in job-search duration data pp. 187-211

Nicola Torelli and Ugo Trivellato

Volume 58, issue 3, 1993

Bayes regression with autoregressive errors: A Gibbs sampling approach pp. 275-294

Siddhartha Chib

Nonnested testing for autocorrelation in the linear regression model pp. 295-314

Param Silvapulle and Maxwell King

Seemingly unrelated regressions under additive heteroscedasticity: Theory and share equation applications pp. 315-346

David Mandy and Carlos Martins-Filho

Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models pp. 347-368

Axel Borsch-Supan and Vassilis Hajivassiliou

Some generalizations on the algebra of I(1) processes pp. 369-384

Luigi Ermini and Clive Granger

A simple multiple variance ratio test pp. 385-401

K. Victor Chow and Karen C. Denning

Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances (Vol. 50, No. 3 (1991) pp. 377-398) pp. 403-403

Judith A. Giles

The impact of stochastic and deterministic trends on money-output causality: A multi-country investigation (Vol. 45, No. 3 (1990) pp. 291-308) pp. 405-405

Robert Krol and Lee Ohanian

Volume 58, issue 1-2, 1993

Nonparametric and semiparametric approaches to discrete response analysis pp. 1-2

Wolfgang Härdle and Charles Manski

Semiparametric estimation of censored selection models with a nonparametric selection mechanism pp. 3-29

Hyungtaik Ahn and James Powell

How sensitive are average derivatives? pp. 31-48

Wolfgang Hardle and Alexandre Tsybakov

Semiparametric estimation of a work-trip mode choice model pp. 49-70

Joel L. Horowitz

Dynamic choice in social settings: Learning from the experiences of others pp. 121-136

Charles Manski

Nonparametric identification and estimation of polychotomous choice models pp. 137-168

Rosa Matzkin

Efficiency bounds for some semiparametric selection models pp. 169-184

Whitney Newey and James Powell

On the computation of semiparametric estimates in limited dependent variable models pp. 185-205

C. A. P. Pinkse

Nonparametric bootstrap confidence intervals for discrete regression functions pp. 207-222

M. C. Rodriguez-Campos and R. Cao-Abad

Semiparametric quasilikelihood and variance function estimation in measurement error models pp. 223-256

J. H. Sepanski and R. J. Carroll

Some efficiency bounds for semiparametric discrete choice models pp. 257-274

T. Scott Thompson