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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Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrrelation is present pp. 285-301: Maxwell King
Estimating disequilibrium models with limited a priori price-adjustment information pp. 303-320: Walter J. Mayer
Induced work participation and the returns to experience for welfare women: Evidence from a social experiment pp. 321-340: Dan Steinberg
Estimation of the error-components model with incomplete panels pp. 341-361: Tom Wansbeek and Arie Kapteyn
Modelling stochastic and cyclical components of technical change: An application of the Kalman filter pp. 363-383: Margaret Slade

Elliptical multivariate analysis pp. 189-203: Bernard van Praag and Bertram M. Wesselman
Testing inequality constraints in linear econometric models pp. 205-235: Frank A. Wolak
Asymptotic efficiency calculations of the partial likelihood estimator pp. 237-250: Aaron K. Han
Testing Slutsky symmetry in systems of linear demand equations pp. 251-266: J. Lew Silver and Mukhtar M. Ali
Estimation of regression coefficients with the help of characteristic functions pp. 267-278: Kees Van Montfort, Ab Mooijaart and Jan De Leeuw

Latent variables models: Editors' introduction pp. 1-3: Dennis J. Aigner and Manfred Deistler
Identification in restricted factor models and the evaluation of rank conditions pp. 5-16: Paul A. Bekker
Parametrization of factor analysis models pp. 17-38: Giorgio Picci
Linear dynamic errors-in-variables models: Some structure theory pp. 39-63: M. Deistler and B. D. O. Anderson
Recursive solution methods for dynamic linear rational expectations models pp. 65-89: Mark Watson
Linear latent variable models and covariance structures pp. 91-119: T. W. Anderson
Maximum likelihood estimation of the dynamic shock-error model pp. 121-143: Damayanti Ghosh
Identification and estimation of dynamic errors-in-variables models pp. 145-158: Anthony M. Bloch
Consistent estimation for some nonlinear errors-in-variables models pp. 159-185: Cheng Hsiao

The size and power of the variance ratio test in finite samples: A Monte Carlo investigation pp. 203-238: Andrew Lo and A. Craig MacKinlay
An approximate test for comparing independent regression models with unequal error variances pp. 239-259: Michael D. Conerly and Edward R. Mansfield
Misspecification tests in econometrics based on ranks pp. 261-278: Brendan McCabe
The exact moments of ols in dynamic regression models with non-normal errors pp. 279-305: Thomas A. Peters
A new test for structural stability in the linear regression model pp. 307-318: Werner Ploberger, Walter Krämer and Karl Kontrus
Identification of simultaneous equation models with measurement errors based on time series structure pp. 319-325: Eugen Nowak
Elliptical Lorenz curves pp. 327-338: JoseA. Villasenor and Barry C. Arnold

Editors'introduction pp. 1-1: Dennis Hoffman and Peter Schmidt
An econometric analysis of the bank credit scoring problem pp. 3-14: William J. Boyes, Dennis Hoffman and Stuart A. Low
Trend reversion in real output and unemployment pp. 15-32: Peter Clark
Predictive efficiency for simple non-linear models pp. 33-44: Thomas Cooley, William R. Parke and Siddhartha Chib
Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting pp. 45-62: Robert Engle, Clive Granger and J. J. Hallman
Exact predictive densities for linear models with arch disturbances pp. 63-86: John Geweke
Interval forecasting: An analysis based upon ARCH-quantile estimators pp. 87-96: Clive Granger, Halbert White and Mark Kamstra
Estimation of best predictors of binary response pp. 97-123: Charles Manski and T. Scott Thompson
On the role of simulation in the statistical evaluation of econometric models pp. 125-139: Adrian Pagan
Predicting criminal recidivism using 'split population' survival time models pp. 141-159: Peter Schmidt and Ann Dryden Witte
Interpreting the evidence on money-income causality pp. 161-181: James H. Stock and Mark Watson
Forecasting international growth rates using Bayesian shrinkage and other procedures pp. 183-202: Arnold Zellner and Chansik Hong

An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample pp. 237-250: Temisan Agbeyegbe
The spurious effects of unit roots on vector autoregressions: A Monte Carlo study pp. 251-266: Lee Ohanian
Prediction tests for structural stability pp. 267-296: Helmut Lütkepohl
Testing for individual effects in autoregressive models pp. 297-307: Douglas Holtz-Eakin
The estimation of transaction costs in arbitrage models pp. 309-326: Pablo Spiller and Robert O. Wood
The exact multi-period mean-square forecast error for the first-order autoregressive model pp. 327-346: Asraul Hoque, Jan Magnus and Bahram Pesaran
Limited information estimators and exogeneity tests for simultaneous probit models pp. 347-366: Douglas Rivers and Quang H. Vuong
An analysis of tests for regression coefficient stability pp. 367-386: Thomas S. Shively
Improved estimation of the disturbance variance in a linear regression model pp. 387-395: Alan E. Gelfand and Dipak K. Dey

Editors' introduction pp. 1-5: Dennis J. Aigner and Arnold Zellner
Causality and causal laws in economics pp. 7-21: Arnold Zellner
On the interpretation and observation of laws pp. 23-52: John W. Pratt and Robert Schlaifer
Probability and causation pp. 53-68: Brian Skyrms
Causality tests and observationally equivalent representations of econometric models pp. 69-104: R. L. Basmann
Further thoughts on testing for causality with econometric models pp. 105-147: P. A. V. B. Swamy and Peter von zur Muehlen
Causal ordering, comparative statics, and near decomposability pp. 149-173: Herbert Simon and Yumi Iwasaki
Latent variables, causal models and overidentifying constraints pp. 175-198: Clark Glymour and Peter Spirtes
Some recent development in a concept of causality pp. 199-211: Clive Granger
Causal relationships and replicability pp. 213-234: Dale J. Poirier