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 29, issue 3, 1985

On the performance of tests by Wu and by Hausman for detecting the ordinary least squares bias problem pp. 213-227

Alice Nakamura and Masao Nakamura

Generalized method of moments specification testing pp. 229-256

Whitney Newey

Some robust exact results on sample autocorrelations and tests of randomness pp. 257-273

Jean-Marie Dufour and Roch Roy

Efficiency of iterative estimators in the regression model with AR(1) disturbances pp. 275-287

Lonnie Magee

Quadratic risk domination of restricted least squares estimators via Stein-ruled auxiliary constraints pp. 289-303

Ron Mittelhammer

Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties pp. 305-325

James MacKinnon and Halbert White

Stochastic coefficient regression estimates of the sources of shifts into MMDA deposits using cross-section data pp. 327-340

Darrel W. Parke and Janice Zagardo

The value of imperfect sample separation information in mixtures of normal distributions pp. 341-350

Edwina A. Masson

Volume 29, issue 1-2, 1985

Editor's introduction pp. 1-2

Herman van Dijk

Posterior moments computed by mixed integration pp. 3-18

Herman van Dijk, Teun Kloek and C. Guus E. Boender

A 1-1 poly-t random variable generator with application to Monte Carlo integration pp. 19-46

Luc Bauwens and Jean-Francois Richard

Is victimization chronic? a Bayesian analysis of multinomial missing data pp. 47-67

Joseph B. Kadane

Bayesian analysis of switching regression models pp. 69-95

Michel Lubrano

A bayesian analysis of some threshold switching models pp. 97-119

A. M. Pole and A. F. M. Smith

Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services pp. 121-148

Peter Kooiman, Herman van Dijk and Roy Thurik

Double- and single-bisection methods for subjective probability assessment in a location-scale family pp. 149-163

Paul H. Garthwaite and James M. Dickey

Some aspects of prior elicitation problems in disequilibrium models pp. 165-172

Michel Lubrano

Interval prediction for Pareto and exponential observables pp. 173-185

Seymour Geisser

Bayesian regression diagnostics with applications to international consumption and income data pp. 187-211

Arnold Zellner and Brent Moulton

Volume 28, issue 3, 1985

Instrumental variable estimator for the nonlinear errors-in-variables model pp. 273-289

Yasuo Amemiya

Score tests for zero covariances in recursive linear models for grouped or censored data pp. 291-305

Andrew Chesher

A dymimic model of housing price determination pp. 307-326

Robert Engle, David M. Lilien and Mark Watson

Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples pp. 327-362

Jan Kiviet

The power of the Durbin-Watson test for regressions without an intercept pp. 363-370

Walter Krämer

Volume 28, issue 2, 1985

A Bayesian non-parametric estimate for multivariate regression pp. 171-182

I. Poli

Small-sample properties of dimensionality statistics for fitting VAR models to aggregate economic data: A Monte Carlo study pp. 183-192

Jerry Nickelsburg

A note on the equivalence of specification tests in the two-factor multivariate variance components model pp. 193-203

Suk Kang

Estimating substitution elasticities with the Fourier cost function: Some Monte Carlo results pp. 205-222

James Chalfant and A. Gallant

The sensitivity of MLE to measurement error pp. 223-230

David Levine

A note on autoregressive error components models pp. 231-245

Patrick Sevestre and Alain Trognon

A note on the covariance matrix of the maximum likelihood estimator in constrained multivariate linear regression pp. 247-252

Y. C. Chang

Tests on the validity of static equilibrium models pp. 253-268

Nalin Kulatilaka

Volume 28, issue 1, 1985

Editor's introduction pp. 1-3

Nicholas Kiefer

The duration of contract strikes in U.S. manufacturing pp. 5-28

John Kennan

Modelling the process of job search pp. 29-49

Wiji Narendranathan and Stephen Nickell

Layoffs and duration dependence in a model of turnover pp. 51-69

Kenneth Burdett, Nicholas Kiefer and Sunil Sharma

State dependency in youth unemployment: A lost generation? pp. 71-84

Lisa Lynch

Unemployment insurance and the distribution of unemployment spells pp. 85-101

Robert Moffitt

Conception intervals and the substitution of fertility over time pp. 103-112

Randall J. Olsen and George Farkas

Simultaneous equations models in applied search theory pp. 113-126

Tony Lancaster

Computation in duration models with heterogeneity pp. 127-134

Donald Waldman

Specification diagnostics based on Laguerre alternatives for econometric models of duration pp. 135-154

Nicholas Kiefer

Generalised residuals and heterogeneous duration models: With applications to the Weilbull model pp. 155-169

Tony Lancaster

Volume 27, issue 3, 1985

Dynamic models of the labor force behavior of married women which can be estimated using limited amounts of past information pp. 273-298

Alice Nakamura and Masao Nakamura

Second-order properties of estimators of serial correlation from regression residuals pp. 299-311

Dennis P. Sheehan

Semiparametric analysis of discrete response: Asymptotic properties of the maximum score estimator pp. 313-333

Charles Manski

The effects of autocorrelation among errors on the consistency property of OLS variance estimator pp. 335-361

Subhash Sharma

A classical approach to Cox's test for non-nested hypotheses pp. 363-370

Noxy Dastoor

Durbin-Watson tests for serial correlation in regressions with missing observations pp. 371-381

Jean-Marie Dufour and Marcel G. Dagenais

A note on the asymptotic relative efficiency of M.L.E. in a linear model with Gamma disturbances pp. 383-386

D. Deprins and Leopold Simar

Volume 27, issue 2, 1985

Testing the autoregressive parameter with the t statistic pp. 143-161

J. C. Nankervis and N. E. Savin

A point optimal test for heteroscedastic disturbances pp. 163-178

Merran A. Evans and Maxwell King

Estimating regression equations with common explanatory variables but unequal numbers of observations pp. 179-196

Denis Conniffe

Homogeneity and endogeneity in systems of demand equations pp. 197-209

Clifford L. F. Attfield

Global identification of the dynamic shock-error model pp. 211-219

Eugen Nowak

Some tests for the constancy of regressions under heteroscedasticity pp. 221-234

Hiroki Tsurumi and Neil Sheflin

The empirical determination of technology and expectations: A simplified procedure pp. 235-258

Larry Epstein and Adonis Yatchew

A lagrange multiplier interpretation of disturbance estimators with an application to testing for nonlinearity pp. 259-269

M. J. Harrison and Gary Keogh

Volume 27, issue 1, 1985

Preferences of citizens for public expenditures on elementary and secondary education pp. 1-20

R. Hamilton Lankford

A point optimal test for autoregressive disturbances pp. 21-37

Maxwell King

The moments of ols and 2sls when the disturbances are non-normal pp. 39-60

John Knight

A nonlinear multivariate error components analysis of technology and specific factor productivity growth with an application to the U.S. Airlines pp. 61-78

Robin Sickles

Serial correlation in latent discrete variable models pp. 79-97

Stephen R. Cosslett and Lung-Fei Lee

Mean estimation bias in least squares estimation of autoregressive processes pp. 99-121

Sastry G. Pantula and Wayne A. Fuller

The behavior of speculative prices and the consistency of economic models pp. 123-130

Robert I. Webb

Correcting for truncation bias caused by a latent truncation variable pp. 131-135

David Bloom and Mark Killingsworth

Erratum pp. 137-138

James Heckman and Burton Singer