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 9, issue 3, 1979

The sampling distribution of forecasts from a first-order autoregression pp. 241-261

Peter Phillips

FIML estimation of the dynamic simultaneous equations model with ARMA disturbances pp. 263-281

Greg Reinsel

Testing price taking behavior pp. 283-294

Elie Appelbaum

The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors pp. 295-314

David Hendry

On the computational competitiveness of full-information maximum-likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models pp. 315-342

David A. Besley

Estimating technical and allocative inefficiency relative to stochastic production and cost frontiers pp. 343-366

Peter Schmidt and C. Lovell

Optimal instruments when the disturbances are small pp. 368-377

Roger Klein

Omitted variables, variability of estimated parameters and the appearance of autocorrelated disturbances pp. 379-385

Yash Pal Gupta and Esfandiar Maasoumi

Prediction from binary choice models: A note pp. 387-389

Tony Lancaster

Volume 9, issue 1-2, 1979

Residential load curves and time-of-day pricing: An econometric analysis pp. 13-32

Clive Granger, Robert Engle, Ramu Ramanathan and Allan Andersen

Residential demand for electricity: An econometric approach pp. 33-57

Wallace Hendricks, Roger Koenker and Dale J. Poirier

The residential demand for electricity with time-of-day pricing pp. 59-77

Anthony Lawrence and Steven Braithwait

Responsiveness to time-of-day electricity pricing: First empirical results pp. 79-95

Scott Atkinson

On modelling the residential demand for electricity by time-of-day pp. 97-115

Lester Taylor

Econometric estimation of peak electricity demands pp. 119-136

Robert M. Spann and Edward C. Beauvais

An approach to modeling seasonally stationary time series pp. 137-153

Emanuel Parzen and Marcello Pagano

A mixed time-series/econometric approach to forecasting peak system load pp. 155-171

Noel D. Uri

Optimal peak load pricing with time-additive consumer preferences pp. 175-192

Roger Koenker

Theoretical determinants of the industrial demand for electricity by time of day pp. 193-207

John C. Panzar and Robert Willig

Bayesian analysis of optimal sample size and a best decision rule for experiments in direct load control pp. 209-221

Dennis J. Aigner

Multi-period pricing with stochastic demand pp. 223-237

Robert E. Dansby

Volume 8, issue 3, 1978

Editorial pp. 267-267

Dennis Aigner and Arnold Zellner

Local and global identification and strong consistency in time series models pp. 269-293

Robert Kohn

On typical characteristics of economic time series and the relative qualities of five autocorrelation tests pp. 295-306

C. Dubbelman, A. S. Louter and A. P. J. Abrahamse

Posterior distribution for the multiple correlation coefficient with fixed regressors pp. 307-321

S. James Press and Arnold Zellner

On the efficient estimation methods for the macro-economic models nonlinear in variables pp. 323-356

Michio Hatanaka

Estimation of some limited dependent variable models with application to housing demand pp. 357-382

Lung-Fei Lee and Robert Trost

On testing weak separability pp. 383-398

Alan Woodland

Volume 8, issue 2, 1978

Estimation of functions of population means and regression coefficients including structural coefficients: A minimum expected loss (MELO) approach pp. 127-158

Arnold Zellner

The exact moments of the least squares estimator for the autoregressive model pp. 159-172

Takamitsu Sawa

Single-equation estimators and aggregation restrictions when equations have the same sets of regressors pp. 173-179

Frank Denton

Determining the final form of a linear dynamic econometric model pp. 181-192

Piet De Jong

Testing unstable econometric models for stability: An empirical study pp. 193-201

Elizabeth F. Gustafson

On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative pp. 203-213

Thomas Fomby and David K. Guilkey

Labour supply and commuting time: An empirical study pp. 215-226

Terence J. Wales

Testing for multiplicative heteroskedasticity pp. 227-236

Leslie Godfrey

The effect of temporal aggregation on parameter estimation in distributed lag model pp. 237-246

William W. S. Wei

Rational and polynomial lags: The finite connection pp. 247-254

Adrian Pagan

Fourth-order autocorrelation: Further significance points for the Wallis test pp. 255-259

David Giles and Maxwell King

Consistency and identifiability pp. 261-263

Arne Gabrielsen

Volume 8, issue 1, 1978

Estimation and testing for functional form and autocorrelation: A simultaneous approach pp. 1-12

N. E. Savin and Kenneth J. White

On a two-step estimation of a multivariate logit model pp. 13-21

Takeshi Amemiya

The structural identifiability of linear models with autocorrelated errors in the case of cross-equation restrictions pp. 23-31

Manfred Deistler

Multidimensional scaling: Some econometric applications pp. 33-46

Shlomo Maital

Generalized variance-ratio tests for serial correlation in multivariate regression models pp. 47-59

Jerzy Szroeter

Efficient estimation of income distribution parameters pp. 61-74

Teun Kloek and Herman van Dijk

Parking location and transit demand: A case study of endogenous attributes in disaggregate mode choice models pp. 75-101

Richard B. Westin and David W. Gillen

A new method of estimating Engel elasticities pp. 103-110

Nanak Kakwani

Federally subsidized occupational training and the employment and earnings of male trainees pp. 111-125

Nicholas Kiefer

Volume 7, issue 3, 1978

Estimation of a dynamic demand function for gasoline with different schemes of parameter variation pp. 263-279

Jatinder S. Mehta, Gorti V. L. Narasimham and Paravastu A. V. B. Swamy

Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix pp. 281-312

Jan Magnus

An empirical analysis of linear aggregation problems: The case of investment behavior in Japanese firms pp. 313-331

Komei Sasaki

First-order identification in linear models pp. 333-350

Alain Monfort

Optimal experimental design in econometrics: The time series problem pp. 351-372

Panagiotis A. Papakyriazis

Polynomial operators and the asymptotic distribution of dynamic multipliers pp. 373-384

Leonard Gill and Sophocles Brissimis

The stochastic frontier production function and average efficiency: An empirical analysis pp. 385-389

Lung-Fei Lee and William G. Tyler

Optimality of least squares in the seemingly unrelated regression equation model pp. 391-395

T. D. Dwivedi and V. K. Srivastava

Volume 7, issue 2, 1978

Inconsistency of the OLS estimator of the partial adjustment-adaptive expectations model pp. 133-146

H. E. Doran and William Griffiths

Specification and estimation of dynamic demand systems incorporating polynomial price response functions: An application to U.S. clothing imports pp. 147-162

J. Stuart McMenamin and Jean-Paul Pinard

Testing the exogeneity specification in the complete dynamic simultaneous equation model pp. 163-185

John Geweke

Full maximum likelihood estimation of second- order autoregressive error models pp. 187-198

Charles Beach and James MacKinnon

On the impact of the tests for serial correlation upon the test of significance for the regression coefficient pp. 199-210

Alice Nakamura and Masao Nakamura

Uncorrelated residuals from linear models pp. 211-225

Warren T. Dent and George P. H. Styan

The bias and mean squared error of forecasts from partially restricted reduced form pp. 227-243

Anirudh L. Nagar and Surottam N. Sahay

Relative efficiencies of some simple Bayes estimators of coefficients in a dynamic equation with serially correlated errors - II pp. 245-258

Paravastu A. V. B. Swamy and Paul Rappoport

A note on the estimation of seemingly unrelated regression systems pp. 259-261

Peter Schmidt

Volume 7, issue 1, 1978

The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model pp. 1-13

Jatinder S. Mehta and Paravastu A. V. B. Swamy

Asymptotic properties of a correlation coefficient type statistic connected with the general linear model pp. 15-21

Laurens de Haan and Elselien Taconis-Haantjes

A Monte Carlo study of autoregressive integrated moving average processes pp. 23-55

Warren Dent and An-Sik Min

Harmonic alternatives to the Almon polynomial technique pp. 57-66

Susan S. Hamlen and William Hamlen

Stochastic specification of production functions and economic implications pp. 67-86

Richard Just and Rulon D. Pope

Testing neoclassical production theory pp. 87-102

Elie Appelbaum

The distribution of changes in manufacturing employment and the impact of the minimum wage pp. 103-114

Noel D. Uri and J. Mixon

On obtaining the right sign of a coefficient estimate by omitting a variable from the regression pp. 115-117

Ignazio Visco

A note on non-linear limited-information maximum-likelihood pp. 119-122

William J. Raduchel

A comment on "normalization in point estimation" pp. 123-125

Joseph B. Kadane

Reply pp. 127-127

Walter D. Fisher

Rejoinder pp. 129-129

Joseph B. Kadane