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 21, issue 3, 1983

Estimation of consumer demand systems with binding non-negativity constraints pp. 263-285

T. J. Wales and Alan Woodland

Bayesian inference for pareto populations pp. 287-306

Barry C. Arnold and S. James Press

Fully Bayesian analysis of ARMA time series models pp. 307-331

John F. Monahan

Two-step two-stage least squares estimation in models with rational expectations pp. 333-355

Robert Cumby, John Huizinga and Maurice Obstfeld

The Durbin-Watson test for serial correlation: Bounds for regressions using monthly data pp. 357-366

Maxwell King

Rationality, specification tests, and macroeconomic models pp. 367-386

Dennis Hoffman and Don Schlagenhauf

A note on Balestra's (1980) approximate estimator for the first-order moving average process pp. 387-388

Choon Y. Park and Russell G. Heikes

Properties of shrinkage estimators in linear regression when disturbances are not normal pp. 389-402

Aman Ullah, V. K. Srivastava and R. Chandra

Volume 21, issue 2, 1983

Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence pp. 161-194

John Geweke, Richard Meese and Warren Dent

Estimation of limited dependent variable models by ordinary least squares and the method of moments pp. 195-212

William Greene

Some aspects of testing non-nested hypotheses pp. 213-228

Noxy Dastoor

The numerical values of some key parameters in econometric models pp. 229-243

T. W. Anderson, Kimio Morimune and Takamitsu Sawa

Identifiability criteria for Muth-rational expectations models pp. 245-254

Leon Wegge and Mark Feldman

Comment to the editor pp. 255-256

Leon Wegge and Mark Feldman

A note on moments of k-class estimators for negative k pp. 257-260

V. K. Srivastava and A. K. Srivastava

Volume 21, issue 1, 1983

Editor's introduction pp. 1-3

Halbert White

The null and non-null asymptotic distribution of the Cox test for multivariate nonlinear regression: Alternatives and a new distribution-free Cox test pp. 5-33

Victor Aguirre-Torres and A. Gallant

Testing for autoregressive against moving average errors in the linear regression model pp. 35-51

Maxwell King

Tests for model specification in the presence of alternative hypotheses: Some further results pp. 53-70

James MacKinnon, Halbert White and Russell Davidson

Multiple model testing for non-nested heteroskedastic censored regression models pp. 71-81

Marlene A. Smith and G. S. Maddala

Testing nested or non-nested hypotheses pp. 83-115

Christian Gourieroux, Alain Monfort and Alain Trognon

Tests for two separate regressions pp. 117-132

Gordon R. Fisher

Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence pp. 133-154

Leslie Godfrey and Mohammad Pesaran

Confidence contours for two test statistics for non-nested regression models pp. 155-160

Anthony Hall

Volume 20, issue 2, 1982

Maximum entropy measurement error estimates of singular covariance matrices in undersized samples pp. 163-174

Hrishikesh Vinod

Edgeworth approximations in first-order stochastic difference equations with exogenous variables pp. 175-195

Y. K. Tse

Specification error in multinomial logit models: Analysis of the omitted variable bias pp. 197-209

Lung-Fei Lee

Assessing the presence of harmful collinearity and other forms of weak data through a test for signal-to-noise pp. 211-253

David Belsley

Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation pp. 255-284

Edwin Burmeister and Kent D. Wall

Unbiased determination of production technologies pp. 285-323

A. Gallant

An extension of a standard test for heteroskedasticity to a systems framework pp. 325-333

Harry H. Kelejian

Volume 20, issue 1, 1982

Editor's introduction pp. 1-2

Halbert White

On the formulation of empirical models in dynamic econometrics pp. 3-33

David Hendry and Jean-Francois Richard

Misspecified models with dependent observations pp. 35-58

Ian Domowitz and Halbert White

Model specification tests: A simultaneous approach pp. 59-82

Anil K. Bera and Carlos M. Jarque

A general approach to lagrange multiplier model diagnostics pp. 83-104

Robert Engle

Consistent model specification tests pp. 105-134

Herman Bierens

Estimation and testing in time-series regression models with heteroscedastic disturbances pp. 135-157

J. G. Cragg

Volume 19, issue 2-3, 1982

On the behavior of inconsistent instrumental variable estimators pp. 183-201

Esfandiar Maasoumi and Peter Phillips

A reply to Professors Maasoumi and Phillips pp. 203-213

David Hendry

Some results on the statistical properties of an inequality constrained least squares estimator in a linear model with two regressors pp. 215-231

Michael Thomson

On the estimation of technical inefficiency in the stochastic frontier production function model pp. 233-238

James Jondrow, C. Lovell, Ivan S. Materov and Peter Schmidt

Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood pp. 239-285

Jan Magnus

The estimation of the degree of oligopoly power pp. 287-299

Elie Appelbaum

Regularity conditions for cox's test of non-nested hypotheses pp. 301-318

Halbert White

The decomposition of frontier cost function deviations into measures of technical and allocative efficiency pp. 319-331

Raymond Kopp and Walter Diewert

Linear regression using both temporally aggregated and temporally disaggregated data pp. 333-343

Franz Palm and Theo Nijman

Seasonality in dynamic regression models: A comparative study of finite sample properties of various regression estimators including band spectrum regression pp. 345-366

Henning Bunzel and Svend Hylleberg

Non-causality due to omitted variables pp. 367-378

Helmut Lütkepohl

Empirical evidence of causality from consumer to wholesale prices pp. 379-384

William G. Colclough and Mark D. Lange

A forecasting property of the unrestricted, restricted, and partially restricted reduced-form coefficients pp. 385-390

Soo-Bin Park

Volume 19, issue 1, 1982

Introduction pp. 1-5

Lyle Broemeling

A Bayesian approach to retrospective identification of change-points pp. 7-22

N.B. Booth and A.F.M. Smith

Bayesian detection of a change of scale parameter in sequences of independent gamma random variables pp. 23-29

Joaquin Diaz

Recursive stability analysis of linear regression relationships: An exploratory methodology pp. 31-76

Jean-Marie Dufour

A Bayesian analysis of a switching linear model pp. 77-87

Donald Holbert

Robust inferences for structural shift in regression models pp. 89-107

D.A. Hsu

Test for normality in the econometric disequilibrium markets model pp. 109-123

Lung-Fei Lee

Testing separate regression models subject to specification error pp. 125-145

Michael McAleer and Gordon Fisher

Structural changes in time series models pp. 147-163

Diego Salazar

A Bayesian and maximum likelihood analysis of a gradual switching regression in a simultaneous equation framework pp. 165-182

Hiroki Tsurumi