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 32, issue 3, 1986

The specification of multi-market disequilibrium econometric models pp. 297-332

Lung-Fei Lee

Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances pp. 333-366

Julia Campos

Joint one-sided tests of linear regression coefficients pp. 367-383

Maxwell King and Murray D. Smith

Random group effects and the precision of regression estimates pp. 385-397

Brent Moulton

Volume 32, issue 2, 1986

Asymptotic efficiency in semi-parametric models with censoring pp. 189-218

Gary Chamberlain

A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations pp. 219-251

Benedikt Pötscher and Ingmar Prucha

Consistent maximum-likelihood estimation with dependent observations: The general (non-normal) case and the normal case pp. 253-285

Risto D. H. Heijmans and Jan Magnus

A further result on the sign of restricted least-squares estimates pp. 287-290

Michael McAleer, Adrian Pagan and Ignazio Visco

Reverse regression for latent-variable models pp. 291-292

David Levine

Volume 32, issue 1, 1986

Editor's introduction pp. 1-3

Gregory Duncan

A semi-parametric censored regression estimator pp. 5-34

Gregory Duncan

Non-parametric maximum likelihood estimation of censored regression models pp. 35-57

Luis Fernandez

A distribution-free least squares estimator for censored linear regression models pp. 59-84

Joel L. Horowitz

Operational characteristics of maximum score estimation pp. 85-108

Charles Manski and T. Scott Thompson

Choice-based samples: A non-parametric approach pp. 109-125

S. Morgenthaler and Y. Vardi

Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables pp. 127-141

Whitney Newey

Censored regression quantiles pp. 143-155

James Powell

Consistent estimation of limited dependent variable models despite misspecification of distribution pp. 157-187

Paul Ruud

Volume 31, issue 3, 1986

Gradual switching multivariate regression models with stochastic cross-equational constraints and an application to the Klem translog production model pp. 235-253

Hiroki Tsurumi, Hajime Wago and Pekka Ilmakunnas

The frequency of price adjustment: A study of the newsstand prices of magazines pp. 255-274

Stephen Cecchetti

Estimated parameters as independent variables: An application to the costs of electric generating units pp. 275-305

Richard Schmalensee and Paul Joskow

Generalized autoregressive conditional heteroskedasticity pp. 307-327

Tim Bollerslev

A simple, flexible distributed lag technique: The polynomial inverse lag pp. 329-340

Douglas W. Mitchell and Paul J. Speaker

Modified lagrange multiplier tests for problems with one-sided alternatives pp. 341-361

Alan J. Rogers

Volume 31, issue 2, 1986

Specification testing when score test statistics are identically zero pp. 121-149

Lung-Fei Lee and Andrew Chesher

Logit versus discriminant analysis: A specification test and application to corporate bankruptcies pp. 151-178

Andrew Lo

Identification of linear stochastic models with covariance restrictions pp. 179-208

Paul A. Bekker and David Pollock

A note on price adjustment models in disequilibrium econometrics pp. 209-217

M. Mouchart and Renzo Orsi

A Monte Carlo evaluation of the power of some tests for heteroscedasticity pp. 219-231

William Griffiths and K. Surekha

Volume 31, issue 1, 1986

Reduced form estimation and prediction from uncertain structural models: A generic approach pp. 3-29

Esfandiar Maasoumi

Semiparametric analysis of binary response from response-based samples pp. 31-40

Charles Manski

Solution and estimation of linear rational expectations models pp. 41-66

Michael K. Salemi

Testing equality between sets of coefficients after a preliminary test for equality of disturbance variances in two linear regressions pp. 67-80

Toshihisa Toyoda and Kazuhiro Ohtani

The specification of least informative error distributions pp. 81-91

F. J. Henk Don

Errors in variables in panel data pp. 93-118

Zvi Griliches and Jerry Hausman

Volume 30, issue 1-2, 1985

Editor's introduction pp. 1-1

William Barnett and A. Gallant

The three-dimensional global properties of the minflex laurent, generalized leontief, and translog flexible functional forms pp. 3-31

William Barnett, Yul W. Lee and Michael D. Wolfe

The minflex-laurent translog flexible functional form pp. 33-44

William Barnett

On deviations between neoclassical and GFT-based true cost-of-living indexes derived from the same demand function system pp. 45-66

R. L. Basmann, C. A. Diamond, J. C. Frentrup and S. N. White

On models and methods for Bayesian time series analysis pp. 67-90

J. B. Carlin, A. P. Dempster and A. B. Jonas

Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions pp. 91-107

A. Charnes, W. W. Cooper, B. Golany, Lawrence Seiford and J. Stutz

Panel data from time series of cross-sections pp. 109-126

Angus Deaton

Tests for the consistency of consumer data pp. 127-147

Walter Diewert and C. Parkan

Non-parametric hypothesis testing procedures and applications to demand analysis pp. 149-169

Larry Epstein and Adonis Yatchew

Explicitly infinite-dimensional Bayesian analysis of production technologies pp. 171-201

A. Gallant and John F. Monahan

A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators pp. 203-238

Lars Hansen

Alternative methods for evaluating the impact of interventions: An overview pp. 239-267

James Heckman and Richard Robb

Identification of the coefficients in a non-linear: time series of the quadratic type pp. 269-288

Melvin Hinich and Douglas M. Patterson

On non-linear serial dependencies in stock returns pp. 289-296

Terry A. Marsh

Reply to Marsh's note pp. 297-299

Melvin Hinich and Douglas M. Patterson

Efficiency versus equity in natural gas price regulation pp. 301-316

Dale Jorgenson and Daniel T. Slesnick

The estimation of complete aggregation structures pp. 317-344

James Powell and Thomas M. Stoker

Comparison of alternative functional forms in production pp. 345-361

Peter Rossi

Discussion of Rossi's paper pp. 363-364

David Hinkley

The invariance principle and income-wealth conservation laws: Application of Lie groups and related transformations pp. 365-389

Ryuzo Sato

Testing specifications of economic agents' intertemporal optimum problems in the presence of alternative models pp. 391-413

Kenneth Singleton

Diagnostic testing and evaluation of maximum likelihood models pp. 415-443

George Tauchen

Non-parametric analysis of optimizing behavior with measurement error pp. 445-458

Hal Varian

Entry and empirical demand and supply analysis for competitive industries pp. 459-471

William Veloce and Arnold Zellner