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 47, issue 2-3, 1991

Simulation estimation of time-series models pp. 197-205

Bong-Soo Lee and Beth Ingram

Estimation of a regression model on two or more sets of differently grouped data pp. 207-226

Mototsugu Fukushige and Michio Hatanaka

The likelihood dominance criterion: A new approach to model selection pp. 227-242

Robert Pollak and Terence J. Wales

Grouped-data estimation and testing in simple labor-supply models pp. 243-266

Joshua Angrist

Pooling states in the multinomial logit model pp. 267-272

Jan Cramer and Geert Ridder

A note concerning specifications of interactive random-coefficient regression models pp. 273-284

Joseph P. Gatto, Harry H. Kelejian and Scott W. Stephan

Unit-roots test for time-series data with a linear time trend pp. 285-303

Said E. Said

Another look at the identification of current rational-expectations models pp. 305-331

Janne Rayner

Estimation of a linear regression model with stationary ARMA(p, q) errors pp. 333-357

Victoria Zinde-Walsh and John Galbraith

Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors pp. 359-377

Donald Andrews

Demand conditions, regulation, and the measurement of productivity pp. 379-400

Elie Appelbaum and Joseph Berechman

Volume 47, issue 1, 1991

Editors' introduction: 40 years of diagnostic testing pp. 1-4

Grant Hillier and Maxwell King

On the application of robust, regression- based diagnostics to models of conditional means and conditional variances pp. 5-46

Jeffrey Wooldridge

On multiple diagnostic procedures for the linear model pp. 47-66

Grant Hillier

Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression pp. 67-84

Peter Robinson

The Durbin-Watson ratio under infinite-variance errors pp. 85-114

Peter Phillips and Mico Loretan

Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors pp. 115-143

Jean-Marie Dufour and Maxwell King

Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model pp. 145-152

Maxwell King and Ping X. Wu

The finite-sample distributions of heteroskedasticity robust Wald statistics pp. 153-173

Andrew Chesher and Gerard Austin

Distributional specification tests against semiparametric alternatives pp. 175-194

Simon Peters and Richard Smith

Volume 46, issue 3, 1990

Limiting power of unit-root tests in time-series regression pp. 247-271

Seiji Nabeya and Katsuto Tanaka

Testing nonnested Euler conditions with quadrature-based methods of approximation pp. 273-308

Eric Ghysels and Alastair Hall

The small-sample performance of the information-matrix test pp. 309-331

Chris Orme

Estimation of time-dependent parameters in linear models using cross-sections, panels, or both pp. 333-346

Theo Nijman and Marno Verbeek

Regression-based tests for overdispersion in the Poisson model pp. 347-364

A. Cameron and Pravin Trivedi

Multiple roots of the Tobit log-likelihood pp. 365-380

William Greene

An adjustment-costs model of export supply and import demand pp. 381-398

Denis Lawrence

A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process pp. 399-406

Askar H. Choudhury and Robert D. St. Louis

Volume 46, issue 1-2, 1990

Editor's introduction pp. 3-5

Arie Y. Lewin and C. Lovell

Recent developments in DEA: The mathematical programming approach to frontier analysis pp. 7-38

Lawrence Seiford and Robert M. Thrall

Recent developments in the econometric estimation of frontiers pp. 39-56

Paul Bauer

Largest size-efficient scale and size efficiencies of decision-making units in data envelopment analysis pp. 57-72

Ajay Maindiratta

Polyhedral Cone-Ratio DEA Models with an illustrative application to large commercial banks pp. 73-91

A. Charnes, W. W. Cooper, Z. M. Huang and D. B. Sun

The role of multiplier bounds in efficiency analysis with application to Kansas farming pp. 93-108

Russell G. Thompson, Larry N. Langemeier, Chih-Tah Lee, Euntaik Lee and Robert M. Thrall

Transformations in stochastic DEA models pp. 109-123

Jati K. Sengupta

Goodness-of-fit in optimizing models pp. 125-140

Hal Varian

A Gamma-distributed stochastic frontier model pp. 141-163

William Greene

Moment-based estimation and testing of stochastic frontier models pp. 165-183

Raymond Kopp and John Mullahy

Production frontiers with cross-sectional and time-series variation in efficiency levels pp. 185-200

Christopher Cornwell, Peter Schmidt and Robin Sickles

Production frontiers, panel data, and time-varying technical inefficiency pp. 201-211

Subal Kumbhakar

Deterministic parametric and nonparametric estimation of efficiency in service production: A comparison pp. 213-227

Hans Bjurek, Lennart Hjalmarsson and Finn Førsund

Measuring cost efficiency in banking: Econometric and linear programming evidence pp. 229-245

Gary Ferrier and C. Lovell

Volume 45, issue 3, 1990

The impact of stochastic and deterministic trends on money-output causality: A multi-country investigation pp. 291-308

Robert Krol and Lee Ohanian

Nonparametric hazard estimation with time-varying discrete covariates pp. 309-330

Siu Leung and Wing Hung Wong

An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses pp. 331-350

Jeffrey Wooldridge

Personal characteristics, unemployment insurance, and the duration of unemployment pp. 351-366

Dean A. Follmann, Matthew S. Goldberg and Laurie May

Bounds for exact moments of estimators in the errors-in-variables model and simultaneous equations pp. 367-384

Ralph Friedmann

Mallows' Cp criterion and unbiasedness of model selection pp. 385-395

Masahito Kobayashi and Shinichi Sakata

Volume 45, issue 1-2, 1990

Editors' introduction pp. 1-5

John Campbell and Angelo Melino

ARCH models as diffusion approximations pp. 7-38

Daniel B. Nelson

Analysis of time series subject to changes in regime pp. 39-70

James Hamilton

Residual risk revisited pp. 71-97

Bruce N. Lehmann

Intertemporal asset pricing: An Empirical Investigation pp. 99-120

Jay Shanken

Are consumption-based intertemporal capital asset pricing models structural? pp. 121-139

Eric Ghysels and Alastair Hall

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution pp. 141-179

A. Gallant, Lars Hansen and George Tauchen

An econometric analysis of nonsynchronous trading pp. 181-211

Andrew Lo and A. Craig MacKinlay

Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills pp. 213-237

Robert Engle, Victor K. Ng and Michael Rothschild

Pricing foreign currency options with stochastic volatility pp. 239-265

Angelo Melino and Stuart M. Turnbull

Alternative models for conditional stock volatility pp. 267-290

Adrian Pagan and G. Schwert