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 18, issue 3, 1982

Some sampling properties of minimum expected loss (MELO) estimators of structural coefficients pp. 295-311

Soo-Bin Park

A note on the use of aggregate data in individual choice models: Discrete consumer choice among alternative fuels for residential appliances pp. 313-335

Raymond S. Hartman

When is an aggregate of a time series efficiently forecast by its past? pp. 337-349

Robert Kohn

Sample selection bias with multiple selection rules: An application to student aid grants pp. 351-368

George Catsiapis and Chris Robinson

Restrictions on variables pp. 369-393

F. J. Henk Don

A note on the unbiasedness of Swamy's estimator for the random coefficient regression model pp. 395-401

U. L. Gouranga Rao

Volume 18, issue 2, 1982

Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system pp. 191-205

Yasunori Fujikoshi, Kimio Morimune, Naoto Kunitomo and Masanobu Taniguchi

Recursive estimation of simultaneous equation models pp. 207-217

Jean-Paul Chavas

Identifying restrictions in limited information analysis of the schooling coefficient in a wage equation pp. 219-237

Nicholas Kiefer

A bayesian analysis of a random coefficient model in a simple keynesian system pp. 239-249

Hiroki Tsurumi and Tsunemasa Shiba

Bayesian estimation of the switching regression model with autocorrelated errors pp. 251-261

Kazuhiro Ohtani

On the comprehensive method of testing non-nested regression models pp. 263-274

Mohammad Pesaran

A stationary point for the stochastic frontier likelihood pp. 275-279

Donald Waldman

Underestimation of mean square error matrix in misspecified linear models pp. 281-284

Timo Teräsvirta

Maximum likelihood estimation of stochastic frontier production models pp. 285-289

William Greene

A note on testing demand homogeneity pp. 291-294

Anil K. Bera

Volume 18, issue 1, 1982

Editors' introduction pp. 1-3

James Heckman and B. Singer

Multivariate regression models for panel data pp. 5-46

Gary Chamberlain

Formulation and estimation of dynamic models using panel data pp. 47-82

T. W. Anderson and Cheng Hsiao

The use of time series processes to model the error structure of earnings in a longitudinal data analysis pp. 83-114

Thomas E. MaCurdy

New methods for analyzing structural models of labor force dynamics pp. 115-168

Christopher Flinn and James Heckman

Aspects of non-stationarity pp. 169-190

Burton Singer

Volume 17, issue 3, 1981

Conditional distributions of earnings, wages and hours for blacks and whites pp. 263-285

Halbert White and Lawrence Olson

Latent variable models for time series: A frequency domain approach with an application to the permanent income hypothesis pp. 287-304

John Geweke and Kenneth Singleton

Sources of error in economic time series pp. 305-321

David A. Pierce

Pitfalls of testing non-nested hypotheses by the lagrange multiplier method pp. 323-331

Mohammad Pesaran

Model occurrence and model selection in panel data sets pp. 333-350

Dale J. Poirier and Steven Klepper

A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least squares estimator pp. 351-381

Takeshi Amemiya and James Powell

A note on the moments of partially restricted reduced forms pp. 383-387

Michael D. McCarthy

On the existence of moments of partially restricted reduced form estimators: A comment pp. 389-392

P. A. V. B. Swamy and J. S. Mehta

Volume 17, issue 2, 1981

Econometric modelling with non-normal disturbances pp. 141-155

Stephen M. Goldfeld and Richard E. Quandt

Granger-causality in multiple time series pp. 157-176

Dag TjOstheim

An analysis of the bounds for the Gini coefficient pp. 177-188

James McDonald and Michael Ransom

Simultaneous equations with error components pp. 189-200

Badi Baltagi

Departures from marginal-cost pricing in the American automobile industry: Estimates for 1977-1978 pp. 201-227

Timothy Bresnahan

The demand for deductibles in private health insurance: A probit model with sample selection pp. 229-252

Wynand P. M. M. Van de Ven and Bernard van Praag

Further evidence on the robustness of the Tobit estimator to heteroskedasticity pp. 253-258

Abbas Arabmazar and Peter Schmidt

Volume 17, issue 1, 1981

Assessing the potential demand for electric cars pp. 1-19

S. Beggs, S. Cardell and Jerry Hausman

Pooling: An experimental study of alternative testing and estimation procedures in a two-way error component model pp. 21-49

Badi Baltagi

The alternative Durbin-Watson test: An assessment of Durbin and Watson's choice of test statistic pp. 51-66

Maxwell King

On the efficiency of the Cochrane-Orcutt estimator pp. 67-82

William Taylor

Asymptotic properties of the maximum likelihood estimator in dichotomous logit models pp. 83-97

Christian Gourieroux and Alain Monfort

Testing for serial correlation in simultaneous equation models: Some further results pp. 99-105

Andrew Harvey and Garry Phillips

A note on studentizing a test for heteroscedasticity pp. 107-112

Roger Koenker

Improved Stein-rule estimator for regression problems pp. 113-123

Richard (Robin) Carter

Improved Stein-rule estimator for regression problems pp. 125-125

Hrishikesh Vinod

Large sample estimation and testing procedures for dynamic equation systems pp. 127-130

John McDonald and John Darroch

Large sample estimation and testing procedures for dynamic equation systems pp. 131-138

Franz Palm and Arnold Zellner

Volume 16, issue 3, 1981

Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models pp. 277-294

Carlo Bianchi, Giorgio Calzolari and Paolo Corsi

Problems with the estimation of moving average processes pp. 295-310

James Davidson

A study of estimator densities and performance under misspecification pp. 311-337

George Rhodes and M. Daniel Westbrook

Short-run labor productivity in a dynamic model pp. 339-365

Catherine Morrison Paul and E. R. Berndt

Omission of an observation from a regression analysis: A dicussion on efficiency loss, with applications pp. 367-374

Howard E. Doran

Identification of rational expectations models pp. 375-398

Mohammad Pesaran

International meeting on analysis of sample survey data and sequential analysis pp. 399-399

J. Yahav and G. Nathan

Volume 16, issue 2, 1981

On fitting distributed lag models subject to polynomial restrictions pp. 171-198

Marcello Pagano and Michael J. Hartley

Aggregate expectations under the stable laws pp. 199-210

Roy Batchelor

A model for non-negative and non-positive distributed lag functions pp. 211-219

Helmut Lütkepohl

Estimating economic relations from incomplete cross-section/time-series data pp. 221-236

Erik Biorn

A note on identification of multivariate time-series models pp. 237-247

Agustin Maravall

On the appropriateness of endogenous switching pp. 249-256

Dale J. Poirier and Paul Ruud

Inference in some disaggregated models with special covariance structure pp. 257-274

Jeffrey K. Speakes

Volume 16, issue 1, 1981

Editor's introduction pp. 1-1

G. S. Maddala

Likelihood of a model and information criteria pp. 3-14

Hirotugu Akaike

Likelihood ratios, posterior odds and information criteria pp. 15-20

A. C. Atkinson

A comparison of the information and posterior probability criteria for model selection pp. 21-33

Gregory C. Chow

Alternative formulations of the Nerlove-Press models pp. 35-49

G. S. Maddala and Robert Trost

Fully recursive probability models and multivariate log-linear probability models for the analysis of qualitative data pp. 51-69

Lung-Fei Lee

Alternative tests of rational expectations models: The case of the term structure pp. 71-87

Robert Shiller

On the estimation of inflationary expectations from qualitative responses pp. 89-102

Raymond P. H. Fishe and Kajal Lahiri

Alternative procedures and associated tests of significance for non-nested hypotheses pp. 103-119

Gordon R. Fisher and Michael McAleer

Some properties of time series data and their use in econometric model specification pp. 121-130

Clive Granger

The role of bounded-influence estimation in model selection pp. 131-138

William S. Krasker

On the concept of non-significant functions and its implications for regression analysis pp. 139-149

Yair Mundlak

Posterior odds ratios for regression hypotheses: General considerations and some specific results pp. 151-152

Arnold Zellner

Specification and inference in linear models pp. 153-153

Jean-Pierre Florens, M. Mouchart and Jean-Francois Richard

On the nature and discovery of structure pp. 154-154

John W. Pratt and Robert Schlaifer

Panel data and unobservable individual effects pp. 155-155

Jerry Hausman and William Taylor

Are employment decisions based on rational expectations? pp. 156-156

John Muellbauer

Single-market disequilibrium models: Estimating and testing pp. 157-157

Stephen M. Goldfeld and Richard E. Quandt

Pitfalls of testing non-nested hypotheses by the lagrange multiplier method pp. 158-158

Mohammad Pesaran

Model formulation to simplify selection when specification is uncertain pp. 159-159

David Hendry and Jean-Francois Richard

Identification in models with autoregressive errors pp. 160-161

J. Sargan

Estimating regression models of finite but unknown order pp. 162-162

John Geweke and Richard Meese

Robust estimation of ARIMA models pp. 163-163

Walter Vandaele

Models of duration dependence pp. 164-164

Gary Chamberlain

Approximations for densities of sufficient estimators pp. 165-165

James Durbin

Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters pp. 166-166

Christian Gourieroux, Alberto Holly and Alain Monfort

Assessing the quality of regression estimates through a test for signal-to-noise and its application to detecting harmful collinearity pp. 167-167

David Belsley