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 26, issue 3, 1984

Errors-in-variables in demand systems pp. 255-270

David C. Stapleton

Systematic sampling and temporal aggregation in time series models pp. 271-281

Andrew A. Weiss

Linear transformations of vector ARMA processes pp. 283-293

Helmut Lütkepohl

Imposing curvature restrictions on flexible functional forms pp. 295-321

A. Gallant and Gene H. Golub

Model specification testing of time series regressions pp. 323-353

Herman Bierens

A study of several new and existing tests for heteroscedasticity in the general linear model pp. 355-373

Mukhtar M. Ali and Carmelo Giaccotto

Small sample properties of the mixed regression estimator pp. 375-385

Kazuhiro Ohtani and Yuzo Honda

The exact distribution of exogenous variable coefficient estimators pp. 387-398

Peter Phillips

Volume 26, issue 1-2, 1984

The welfare econometrics of peak-load pricing for electricity: Editor's Introduction pp. 1-15

Dennis J. Aigner

A comparison of different methodologies in a case study of residential time-of-use electricity pricing: Cost-Benefit Analysis pp. 17-34

Douglas W. Caves, Laurits R. Christensen, Philip E. Schoech and Wallace Hendricks

Measuring the consumer welfare effects of time-differentiated electricity prices pp. 35-64

Richard W. Parks and David Weitzel

Estimating the distributional impact of time-of-day pricing of electricity pp. 65-82

E. Howrey and Hal Varian

Costs and benefits of peak-load pricing of electricity: A continuous-time econometric approach pp. 83-113

A. Gallant and Roger W. Koenker

Appliance purchase and usage adaptation to a permanent time-of-day electricity rate schedule pp. 115-139

Jerry Hausman and John Trimble

Response to residential time-of-use electricity rates: How transferable are the findings? pp. 141-177

Daniel F. Kohler and Bridger M. Mitchell

Consistency of residential customer response in time-of-use electricity pricing experiments pp. 179-203

Douglas W. Caves, Laurits R. Christensen and Joseph Herriges

Estimation of time-of-use pricing response in the absence of experimental data: An application of the methodology of data transferability pp. 205-227

Dennis J. Aigner and Edward Leamer

Large business customer response to time-of-day electricity rates pp. 229-252

Rolla Edward Park and Jan Paul Acton

Volume 25, issue 3, 1984

Convenient specification tests for logit and probit models pp. 241-262

Russell Davidson and James MacKinnon

Exact finite sample properties of double k-class estimators in simultaneous equations pp. 263-283

T. D. Dwivedi and V. K. Srivastava

Microeconometric evidence on the neoclassical model of demand pp. 285-302

Nicholas Kiefer

Least absolute deviations estimation for the censored regression model pp. 303-325

James Powell

The sampling distributions of the predictor for an autoregressive model under misspecifications pp. 327-351

Katsuto Tanaka and Koichi Maekawa

Properties of technical efficiency estimators in the stochastic frontier model pp. 353-364

Donald Waldman

Bayesian analysis of dichotomous quantal response models pp. 365-393

Arnold Zellner and Peter Rossi

Volume 25, issue 1-2, 1984

Editor's introduction pp. 1-2

George Judge

Optimal critical regions for pre-test estimators using a Bayes risk criterion pp. 3-14

C.S. Roehrig

Specification pre-test estimator pp. 15-27

Christian Gourieroux and Alain Trognon

The moments of a pre-test estimator under possible heteroscedasticity pp. 29-33

David Mandy

Autocorrelation pre-testing in the linear model: Estimation, testing and prediction pp. 35-48

Maxwell King and David Giles

The small-sample properties of some preliminary test estimators in a linear model with autocorrelated errors pp. 49-61

William Griffiths and P.A.A. Beesley

The statistical implications of preliminary specification error testing pp. 63-72

M.J. Morey

Avoiding model selection by the use of shrinkage techniques pp. 73-85

A. Zaman

Bayesian input in Stein estimation and a new minimax empirical Bayes estimator pp. 87-108

J. Berger and L.M. Berliner

The sampling distribution of shrinkage estimators and theirF-ratios in the regression model pp. 109-122

Aman Ullah, Richard (Robin) Carter and V.K. Srivastava

The exact distribution of the Stein-rule estimator pp. 123-131

Peter Phillips

Some improved estimators in the case of possible heteroscedasticity pp. 133-150

T.A. Yancey, George Judge and S. Miyazaki

Restricted least squares, pre-test, ols and stein rule estimators: Risk comparisons under model misspecification pp. 151-164

Ron Mittelhammer

The non-optimality of the inequality restricted estimator under squared error loss pp. 165-177

George Judge, T.A. Yancey, M.E. Bock and R. Bohrer

On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors pp. 179-190

G. Trenkler

Some theoretical results for generalized ridge regression estimators pp. 191-203

C. Fourgeaud, Christian Gourieroux and Jacqueline Pradel

The risk of general Stein-like estimators in the presence of multicollinearity pp. 205-216

Carter Hill and R.F. Ziemer

A simple form for the inverse moments of non-central [chi]2 andF random variables and certain confluent hypergeometric functions pp. 217-234

M.E. Bock, George Judge and T.A. Yancey

Algorithms for numerical evaluation of Stein-like and limited-translation estimators pp. 235-239

R. Bohrer and T.A. Yancey

Volume 24, issue 3, 1984

Impacts of alternative degrees of freedom corrections in two and three stage least squares pp. 223-233

James K. Binkley and Glenn Nelson

On price exogeneity in complete demand systems pp. 235-247

Camille Bronsard and Lise Salvas-Bronsard

Modelling alternative residential peak-load electricity rate structures pp. 249-268

Douglas W. Caves, Laurits R. Christensen and Joseph Herriges

A new test for fourth-order autoregressive disturbances pp. 269-277

Maxwell King

Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system pp. 279-292

Kimio Morimune and Yoshihiko Tsukuda

Estimating predictions, prediction errors and their standard deviations using constructed variables pp. 293-310

Adrian Pagan and D. F. Nicholls

Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality' pp. 311-330

J. H. W. Penm and R. D. Terrell

Two reduced-form approaches to the derivation of the maximum-likelihood estimators for simultaneous-equation systems pp. 331-347

David Pollock

Simple tests of alternative specifications in stochastic frontier models pp. 349-361

Peter Schmidt and Tsai-Fen Lin

Bayesian parameter and reliability estimation for a bivariate exponential distribution parallel sampling pp. 363-378

A. A. Shamseldin and S. James Press

Bayesian limited-information analysis of nonlinear simultaneous equations systems pp. 379-395

Peter Ter Berg and Rins Harkema

Linear regression and the Yule distribution pp. 397-403

Evdokia Xekalaki

Volume 24, issue 1-2, 1984

Editor's introduction pp. 1-2

Takeshi Amemiya

Tobit models: A survey pp. 3-61

Takeshi Amemiya

Econometric duration analysis pp. 63-132

James Heckman and Burton Singer

Two-stage estimation of structural labor supply parameters using interval data from the 1971 canadian census pp. 133-158

John Ham and Cheng Hsiao

Maximum likelihood estimation and a specification test for non-normal distributional assumption for the accelerated failure time models pp. 159-179

Lung-Fei Lee

Efficiency of the two-step estimator for models with endogenous sample selection pp. 181-196

Forrest D. Nelson

A Monte Carlo comparison of estimators for censored regression models pp. 197-213

Harry Paarsch

Software for the computation of Tobit model estimates pp. 215-222

Bronwyn Hall