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 12, issue 3, 1980

Large sample estimation and testing procedures for dynamic equation systems pp. 251-283

Franz Palm and Arnold Zellner

The efficiency of estimating a random coefficient model pp. 285-299

Baldev Raj, Virender Kumar Srivastava and Sushama Upadhyaya

Small samples and collateral information: An application of the hyperparameter model pp. 301-318

Pravin Trivedi

A test of a disequilibrium model pp. 319-333

Hae-shin Hwang

On the evaluation of poly-t density functions pp. 335-351

Jean-Francois Richard and H. Tompa

Finding common seasonal patterns among time series: An MDS approach pp. 353-363

Adi Raveh and Charles S. Tapiero

Predictions from ARMAX models pp. 365-374

Richard Baillie

The lag relationship between wholesale and consumer prices: An application of the Hatanaka-Wallace procedure pp. 375-387

J. Lew Silver and T. Dudley Wallace

A note on a Bayesian estimator in an autocorrelated error model pp. 389-392

William Griffiths and Dan Dao

Volume 12, issue 2, 1980

Linear prediction and estimation methods for regression models with stationary stochastic coefficients pp. 103-142

P. A. V. B. Swamy and Peter Tinsley

Improved stein-rule estimator for regression problems pp. 143-150

Hrishikesh Vinod

Estimation of regression coefficients after a preliminary test for homoscedasticity pp. 151-159

Kazuhiro Ohtani and Toshihisa Toyoda

A ridge-like method for simultaneous estimation of simultaneous equations pp. 161-176

Esfandiar Maasoumi

New evidence on the small properties of estimators of sur models with autocorrelated disturbances pp. 177-187

Asatoshi Maeshiro

Endogenous capital utilization in a short-run production model: Theory and an empiral application pp. 189-207

Larry Epstein and Michael Denny

Partial observability in bivariate probit models pp. 209-217

Dale J. Poirier

Forecasting contemporal aggregates of multiple time series pp. 219-230

G. C. Tiao and Irwin Guttman

The use of indicator variables in computing predictions pp. 231-243

Wayne A. Fuller

On the expected length of the least squares coefficient vector pp. 245-246

Richard J. Brook and Terry Moore

Volume 12, issue 1, 1980

Editor's introduction pp. 1-2

Warren T. Dent

Test procedures and test problems for least squares algorithms pp. 3-22

Roy H. Wampler

Simultaneous equations estimation: Computational aspects pp. 23-39

L. S. Jennings

Rules and software for detecting rank degeneracy pp. 41-48

Gene Golub, Virginia Klema and Stephen C. Peters

On restricted estimation in linear models pp. 49-58

Warren T. Dent

Computations for constrained linear models pp. 59-84

A. Gallant and Thomas M. Gerig

Autoreg: a computer program library for dynamic econometric models with autoregressive errors pp. 85-102

David Hendry and Frank Srba

Volume 11, issue 2-3, 1979

Expectations and labor market adjustments pp. 207-232

Robert Crawford

A random coefficient probit model with an application to a study of migration pp. 233-246

John Akin, David K. Guilkey and Robin Sickles

Estimation in truncated samples when there is heteroscedasticity pp. 247-258

Michael Hurd

A switching regression method using inequality conditions pp. 259-274

Asher Tishler and Israel Zang

Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation pp. 275-302

A. Gallant and Dale Jorgenson

A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors pp. 303-317

Corrado Corradi

The mean squared errors of the maximum likelihood and natural-conjugate bayes regression estimators pp. 319-334

David Giles and A. C. Rayner

A temporal cross-section approach to the price equation pp. 335-351

James Barth, Arthur Kraft and John Kraft

Disequilibrium econometrics in dynamic models pp. 353-361

Jean-Jacques Laffont and Alain Monfort

The concentration ellipsoid of a random vector pp. 363-365

Peter Phillips

Volume 11, issue 1, 1979

Editors' introduction pp. 1-5

Dennis J. Aigner and Carl N. Morris

A brief introduction to the methodology of optimal experimental design pp. 7-26

Dennis J. Aigner

A model for optimizing experimental designs for estimating response surfaces pp. 27-42

John Conlisk and Harold Watts

A finite selection model for experimental design of the health insurance study pp. 43-61

Carl Morris

Design for simultaneous equations pp. 63-76

John Conlisk

Social experiments in economics pp. 77-115

Robert Ferber and Werner Z. Hirsch

Measurement issues in the second generation of social experiments: The health insurance study pp. 117-129

Joseph Newhouse, Kent H. Marquis, Carl N. Morris, Charles E. Phelps and William H. Rogers

Design of the Los Angeles peak-load pricing experiment for electricity pp. 131-194

Williard Manning, Bridger M. Mitchell and Jan Paul Acton

Sample design for electricity pricing experiments: Anticipated precision for a time-of-day pricing experiment pp. 195-205

Dennis J. Aigner

Volume 10, issue 3, 1979

A two-level electricity demand model: Evaluation of the connecticut time-of-day pricing test pp. 263-289

J. A. Hausmann, M. Kinnucan and D. McFaddden

Modeling monetary policy as an unobserved variable pp. 291-311

Robert B. Avery

Firm interdependence in oligopolistic markets pp. 313-331

Frank Gollop and Mark Roberts

The reconstruction of index data in aggregative econometric models pp. 333-359

Dit Sang Ho

Stochastic specification and the estimation of share equations pp. 361-383

Alan Woodland

Volume 10, issue 2, 1979

Market analysis with rational expectations: Theory and estimation pp. 127-145

R. La Var Huntzinger

The analysis of seasonal economic models pp. 147-163

Charles Plosser

A comparative study of complete systems of demand functions pp. 165-191

N. Anders Klevmarken

The translog production function: Some evidence from establishment data pp. 193-199

Vittorio Corbo and Patricio Meller

Bayesian estimation of a random coefficient model pp. 201-220

William Griffiths, Ross G. Drynan and Surekha Prakash

Hypothesis testing based on goodness-of-fit in the moving average time series model pp. 221-226

Charles Nelson and Gary Shea

Estimation of a dynamic system of seemingly unrelated regressions with autoregressive disturbances pp. 227-241

David Spencer

Linear regression using both temporally aggregated and temporally disaggregated data pp. 243-252

Cheng Hsiao

The characterization of instantaneous causality: A correction pp. 253-256

J. Michael Price

The characterization of instantaneous causality: A comment pp. 257-259

David A. Pierce and Larry D. Haugh

Volume 10, issue 1, 1979

Estimation of common coefficients in two regression equations pp. 1-14

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

Estimation of seemingly unrelated regression equations: A brief survey pp. 15-32

V. K. Srivastava and T. D. Dwivedi

Some small sample properties of estimators and test statistics in the multivariate logit model pp. 33-42

David K. Guilkey and Peter Schmidt

Estimation with aggregated data pp. 43-55

R. W. Farebrother

Experience with using the Box-Cox transformation when forecasting economic time series pp. 57-69

Harold Nelson and Clive Granger

Modeling the price side of econometric models: An analysis of the underlying hypotheses pp. 71-84

Salih Neftci

Technical change in the U.S. primary metals industry pp. 85-98

John Wills

The error components model: Conditions for the existence of the maximum likelihood estimates pp. 99-102

Korhan Berzeg

Prediction in the context of the variance-components model pp. 103-107

Allan J. Taub

Goodness-of-fit in the seemingly unrelated regressions model: A generalization pp. 109-113

Adolf Buse

On the characterization of a joint probability distribution by conditional distributions pp. 115-118

Christian Gourieroux and Alain Monfort

Pre-testing on part of the data pp. 119-123

Toshihisa Toyoda and T. Dudley Wallace