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 54, issue 1-3, 1992

Maximum likelihood inference on cointegration and seasonal cointegration pp. 1-47

Hahn Lee

Tests of overidentification and predeterminedness in simultaneous equation models pp. 49-78

T. W. Anderson and Naoto Kunitomo

Discrete/continuous models of consumer demand with binding nonnegativity constraints pp. 79-93

Jeongwen Chiang and Lung-Fei Lee

Monte Carlo results on several new and existing tests for the error component model pp. 95-120

Badi Baltagi, Young-Jae Chang and Qi Li

Testing and estimating location vectors when the error covariance matrix is unknown pp. 121-138

William Griffiths and George Judge

Heteroskedastic cointegration pp. 139-158

Bruce Hansen

Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? pp. 159-178

Denis Kwiatkowski, Peter Phillips, Peter Schmidt and Yongcheol Shin

Quasi-Aitken estimation for heteroskedasticity of unknown form pp. 179-201

John G. Cragg

Regression-based methods for using control variates in Monte Carlo experiments pp. 203-222

Russell Davidson and James MacKinnon

Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection pp. 223-250

Alastair Hall

Adaptive estimation in time series regression models pp. 251-275

Douglas Steigerwald

Computing p-values for the generalized Durbin-Watson and other invariant test statistics pp. 277-300

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

Identification and estimation of noninvertible non-Gaussian MA(q) processes pp. 301-320

James B. Ramsey and Alvaro Montenegro

Properties of ordinary least squares estimators in regression models with nonspherical disturbances pp. 321-334

Denzil Fiebig, Michael McAleer and Robert Bartels

An econometric approach to the construction of generalized Theil-Tornqvist indices for multilateral comparisons pp. 335-346

Eliyathamby Selvanathan and D.S. Prasada Rao

Overdispersion tests for truncated Poisson regression models pp. 347-370

Shiferaw Gurmu and Pravin Trivedi

On the finite sample behavior of adaptive estimators pp. 371-400

Douglas Steigerwald

Volume 53, issue 1-3, 1992

Fellow's opinion: Rules of thumb and pseudo-science pp. 1-4

Esfandiar Maasoumi

How common is identification in parametric models? pp. 5-23

Douglas A. McManus

Making noisy data sing: Estimating production technologies in developing countries pp. 25-44

James Tybout

A monotonic property for iterative GLS in the two-way random effects model pp. 45-51

Badi Baltagi and Qi Li

Frequency of purchase and the estimation of demand systems pp. 53-85

Costas Meghir and Jean-Marc Robin

Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends pp. 87-121

Bruce Hansen

Estimation of polynomial distributed lags and leads with end point constraints pp. 123-139

Donald Andrews and Ray Fair

Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone pp. 141-163

Mohammad Pesaran and Hossein Samiei

Maximum likelihood estimation of stationary univariate fractionally integrated time series models pp. 165-188

Fallaw Sowell

Finite-sample properties of single-equation estimators under structural change pp. 189-209

Jiro Hodoshima

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK pp. 211-244

Soren Johansen and Katarina Juselius

Saddlepath solutions for multivariate linear rational expectations models pp. 245-269

Michael K. Salemi and Jaeyeong Song

Highest predictive density estimator in regression models pp. 271-295

Shigeru Iwata

Instrumental variables estimation in errors-in-variables models when instruments are correlated with errors pp. 297-322

Shigeru Iwata

The power problems of unit root test in time series with autoregressive errors pp. 323-343

David DeJong, John C. Nankervis, N. E. Savin and Charles Whiteman

Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances pp. 345-361

Judith A. Giles

A comparison of several exact and approximate tests for structural shift under heteroscedasticity pp. 363-386

Jerry Thursby

The potential for efficiency gains in estimation from the use of additional moment restrictions pp. 387-399

Gordon Kemp

Volume 52, issue 3, 1992

A Bayesian approach to state space multivariate time series modeling pp. 315-346

Jeffrey Dorfman and Arthur M. Havenner

Co-integration and trend-stationarity in macroeconomic time series: Evidence from the likelihood function pp. 347-370

David DeJong

Monte Carlo evidence on panel data regressions with AR(1) disturbances and an arbitrary variance on the initial observations pp. 371-380

Badi Baltagi, Young-Jae Chang and Qi Li

Bayesian prediction tests for structural stability pp. 381-388

Jeffrey A. Mills

Cointegration in partial systems and the efficiency of single-equation analysis pp. 389-402

Soren Johansen

Morrison's measure of capacity utilization: A critique pp. 403-406

James H. Hauver and Jet Yee

More on grouping coarseness in linear normal regression models pp. 407-417

Steven B Caudill

The impact of grouping coarseness in alternative grouped-data regression models pp. 419-421

Trudy Cameron

Volume 52, issue 1-2, 1992

ARCH modeling in finance: A review of the theory and empirical evidence pp. 5-59

Tim Bollerslev, Ray Chou and Kenneth F. Kroner

Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model pp. 61-90

Daniel B. Nelson

Prediction in dynamic models with time-dependent conditional variances pp. 91-113

Richard Baillie and Tim Bollerslev

Stationarity of Garch processes and of some nonnegative time series pp. 115-127

Philippe Bougerol and Nico Picard

Unobserved component time series models with Arch disturbances pp. 129-157

Andrew Harvey, Esther Ruiz and Enrique Sentana

Qualitative threshold ARCH models pp. 159-199

Christian Gourieroux and Alain Monfort

A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators pp. 225-244

Thomas McCurdy and Thanasis Stengos

A multi-dynamic-factor model for stock returns pp. 245-266

Victor Ng, Robert Engle and Michael Rothschild

Implied ARCH models from options prices pp. 289-311

Robert Engle and Chowdhury Mustafa