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 57, issue 1-3, 1993

Quadratic mode regression pp. 1-19

Myoung-jae Lee

The impact of training on the frequency and duration of employment pp. 21-51

R. Mark Gritz

Estimating long-run relationships in economics: A comparison of different approaches pp. 53-68

Brett Inder

Measuring the unidentified parameter of the extended Roy model of selectivity pp. 69-89

Wim Vijverberg

Structural duration analysis of management data pp. 91-115

Keunkwan Ryu

Robustness to nonnormality of the Durbin-Watson test for autocorrelation pp. 117-136

Mukhtar M. Ali and Subhash Sharma

Higher-order sample autocorrelations and the unit root hypothesis pp. 137-160

Herman Bierens

Coherency and regularity of demand systems with equality and inequality constraints pp. 161-188

Arthur van Soest, Arie Kapteyn and Peter Kooreman

Another look at the evidence on money-income causality pp. 189-203

Benjamin M. Friedman and Kenneth Kuttner

A comparison of nonnested tests for misspecified models using the method of approximate slopes pp. 205-232

Jeffrey Zabel

Testing for autoregressive disturbances in a time series regression with missing observations pp. 233-255

Thomas S. Shively

Modified three-stage least squares estimator which is third-order efficient pp. 257-276

Kimio Morimune and Shinichi Sakata

Tests of specification for parametric and semiparametric models pp. 277-318

Yoon-Jae Whang and Donald Andrews

A nonnested approach to testing continuous time models against discrete alternatives pp. 319-343

Marcus Chambers

Robust bayesian inference in elliptical regression models pp. 345-363

Jacek Osiewalski and Mark Steel

Alternative point-optimal tests for regression coefficient stability pp. 365-376

Robert Brooks

A simulation approach to the problem of computing Cox's statistic for testing nonnested models pp. 377-392

M. Hashem Pesaran and Bahram Pesaran

Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances pp. 393-406

Kazuhiro Ohtani and Judith Giles

Volume 56, issue 3, 1993

Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests pp. 269-290

Tae Hwy Lee, Halbert White and Clive Granger

Distribution theory for the analysis of binary choice under uncertainty with nonparametric estimation of expectations pp. 291-321

Hyungtaik Ahn and Charles Manski

Bayesian analysis of logit models using natural conjugate priors pp. 323-340

Gary Koop and Dale J. Poirier

A pseudo-R2 measure for limited and qualitative dependent variable models pp. 341-355

Thomas Laitila

Calculating the (local) semiparametric efficiency bounds for the generated regressors problem pp. 357-370

Paul Rilstone

Exogeneity tests in a truncated structural equation pp. 371-396

Hiroki Tsurumi and Peter Mehr

Maximum entropy estimation of density and regression functions pp. 397-440

Hang K. Ryu

A note on multiple roots of the Tobit log likelihood pp. 441-445

Shigeru Iwata

Volume 56, issue 1-2, 1993

Editors' introduction pp. 1-3

Cheng Hsiao and Paul Ruud

Stochastic linear trends: Models and estimators pp. 5-37

Agustin Maravall

Time series properties of aggregate output fluctuations pp. 39-56

Steven Durlauf

Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy pp. 57-88

Mohammad Pesaran, Richard Pierse and Kevin Lee

Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates pp. 89-118

Chung-ki Min and Arnold Zellner

Testing superexogeneity and invariance in regression models pp. 119-139

Robert Engle and David Hendry

Minimum chi-square estimation and tests for model selection pp. 141-168

Quang H. Vuong and Weiren Wang

Some aspects of measurement error in a censored regression model pp. 169-188

Andrew A. Weiss

Simultaneous equations for hazards: Marriage duration and fertility timing pp. 189-217

Lee Lillard

Experimental estimates of the impact of wage subsidies pp. 219-242

Jeffrey A. Dubin and Douglas Rivers

Econometric issues of estimating hedonic price functions: With an application to the U.S. market for automobiles pp. 243-267

Nestor M. Arguea and Cheng Hsiao

Volume 55, issue 1-2, 1993

Editor's introduction: Seasonality and econometric models pp. 1-8

Eric Ghysels

Rational expectations modeling with seasonally adjusted data pp. 9-19

Christopher Sims

Seasonality and approximation errors in rational expectations models pp. 21-55

Lars Hansen and Thomas Sargent

The effect of seasonal adjustment filters on tests for a unit root pp. 57-98

Eric Ghysels and Pierre Perron

Discussion: The effect of seasonal adjustment filters on tests for a unit root pp. 99-103

Francis Diebold

The importance of seasonality in inventory models: Evidence from business survey data pp. 105-128

Marc Nerlove, David Ross and Douglas Willson

The importance of seasonality in inventory models pp. 129-133

Jean-Marie Dufour

Induced seasonality and production-smoothing models of inventory behavior pp. 135-168

Spencer Krane

Induced seasonality and production-smoothing models of inventory behavior pp. 169-172

Alastair Hall

Forecasting time series with common seasonal patterns pp. 173-200

Fabio Canova

Forecasting time series with common seasonal patterns pp. 201-202

John Geweke

Seasonal BVAR models: A search along some time domain priors pp. 203-229

Jacques Raynauld and Jean-Guy Simonato

Discussion: Seasonal BVAR models pp. 231-234

Arnold Zellner

The effect of sampling error on the time series behavior of consumption data pp. 235-265

William R. Bell and David Wilcox

The effect of sampling error on the time series behavior of consumption data pp. 267-273

Allan Gregory and Tony Wirjanto

The Japanese consumption function pp. 275-298

Robert Engle, Clive Granger, Svend Hylleberg and Hahn Lee

Seasonal cointegration pp. 299-303

Denise Osborn

Seasonal unit roots in aggregate U.S. data pp. 305-328

J. Joseph Beaulieu and Jeffrey Miron

Seasonal unit roots in aggregate U.S. data pp. 329-331

David Dickey

Dynamic linear models for time series components pp. 333-351

Estelle Dagum and Benoit Quenneville

Dynamic linear models for time series components pp. 353-356

David F. Findley