Econometrics Journal

2011 - 2018

Continuation of Econometrics Journal. Continued by The Econometrics Journal.

Current editor(s): Jaap Abbring, Victor Chernozhukov, Michael Jansson and Dennis Kristensen

From Royal Economic Society
Contact information at EDIRC.
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Volume 18, month 10, 2015

Nonparametric tests of conditional treatment effects with an application to single‐sex schooling on academic achievements pp. 307-346

Minsu Chang, Sokbae (Simon) Lee and Yoon-Jae Whang

Identification and estimation of single‐index models with measurement error and endogeneity pp. 347-362

Yingyao Hu, Ji‐Liang Shiu and Tiemen Woutersen

Novel panel cointegration tests emending for cross‐section dependence with N fixed pp. 363-411

Kaddour Hadri, Eiji Kurozumi and Yao Rao

Confidence sets for the break date based on optimal tests pp. 412-435

Eiji Kurozumi and Yohei Yamamoto

Volume 18, month 06, 2015

Royal Economic Society Annual Conference 2012 Special Issue on Econometrics of Forecasting pp. Ci-Cii

Richard J. Smith

Edmond Malinvaud: a tribute to his contributions in econometrics pp. A1-A13

Peter Phillips

Likelihood‐based dynamic factor analysis for measurement and forecasting pp. C1-C21

Borus Jungbacker and Siem Jan Koopman

Economic theory and forecasting: lessons from the literature pp. C22-C41

Raffaella Giacomini

Maximization by parts in extremum estimation pp. 147-171

Yanqin Fan, Sergio Pastorello and Eric Renault

Non‐standard rates of convergence of criterion‐function‐based set estimators for binary response models pp. 172-199

Jason Blevins

A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction pp. 200-241

Stelios Arvanitis and Antonis Demos

Identification and estimation of partially linear censored regression models with unknown heteroscedasticity pp. 242-273

Zhengyu Zhang and Bing Liu

Testing for structural change under non‐stationary variances pp. 274-305

Ke‐Li Xu

Volume 18, month 02, 2015

Non‐parametric inference on the number of equilibria pp. 1-39

Maximilian Kasy

More reliable inference for the dissimilarity index of segregation pp. 40-66

Rebecca Allen, Simon Burgess, Russell Davidson and Frank Windmeijer

Specification tests for nonlinear dynamic models pp. 67-94

Igor Kheifets

Robust hypothesis tests for M‐estimators with possibly non‐differentiable estimating functions pp. 95-116

Wei‐Ming Lee, Yu-Chin Hsu and Chung-Ming Kuan

Specification testing in nonstationary time series models pp. 117-136

Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin

On bootstrap validity for specification tests with weak instruments pp. 137-146

Firmin Doko Tchatoka

Volume 17, month 10, 2014

A social interaction model with an extreme order statistic pp. 197-240

Ji Tao and Lung-Fei Lee

Estimation of discrete games with correlated types pp. 241-270

Haiqing Xu

Maximum score estimation with nonparametrically generated regressors pp. 271-300

Le-Yu Chen, Sokbae (Simon) Lee and Myung Jae Sung

Common breaks in time trends for large panel data with a factor structure pp. 301-337

Dukpa Kim

Point‐optimal panel unit root tests with serially correlated errors pp. 338-372

Hyungsik Moon, Benoit Perron and Peter Phillips

First‐differencing in panel data models with incidental functions pp. 373-382

Koen Jochmans

Indirect inference based on the score pp. 383-393

Peter Fuleky and Eric Zivot

Volume 17, month 06, 2014

An instrumental variable random‐coefficients model for binary outcomes pp. S1-S19

Andrew Chesher and Adam Rosen

Backfitting and smooth backfitting in varying coefficient quantile regression pp. S20-S38

Young K. Lee, Enno Mammen and Byeong U. Park

Confidence sets based on inverting Anderson–Rubin tests pp. S39-S58

Russell Davidson and James MacKinnon

Testing for the stochastic dominance efficiency of a given portfolio pp. S59-S74

Oliver Linton, Thierry Post and Yoon-Jae Whang

Posterior inference in curved exponential families under increasing dimensions pp. S75-S100

Alexandre Belloni and Victor Chernozhukov

Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series pp. S101-S131

Song Song, Wolfgang Härdle and Ya'acov Ritov

Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz pp. Si-Sii

Xiaohong Chen, Sokbae (Simon) Lee, Oliver Linton and Elie Tamer

Volume 17, month 02, 2014

Weighted composite quantile regression estimation of DTARCH models pp. 1-23

Jiancheng Jiang, Xuejun Jiang and Xinyuan Song

Multivariate variance targeting in the BEKK–GARCH model pp. 24-55

Rasmus Pedersen and Anders Rahbek

Estimation of state‐space models with endogenous Markov regime‐switching parameters pp. 56-82

Kyu H. Kang

Estimation of fixed effects panel data partially linear additive regression models pp. 83-106

Chunrong Ai, Jinhong You and Yong Zhou

Direct semi‐parametric estimation of fixed effects panel data varying coefficient models pp. 107-138

Juan M. Rodriguez‐Poo and Alexandra Soberon

Improved Lagrange multiplier tests in spatial autoregressions pp. 139-164

Peter M. Robinson and Francesca Rossi

Identification‐robust inference for endogeneity parameters in linear structural models pp. 165-187

Firmin Doko Tchatoka and Jean-Marie Dufour

Stochastic equicontinuity in nonlinear time series models pp. 188-196

Andreas Hagemann

Volume 16, month 10, 2013

A Review of Unit Root Tests in Time Series: Volumes 1 and 2 pp. B5-B8

Robert Taylor

Predictability of shapes of intraday price curves pp. 285-308

Piotr Kokoszka and Matthew Reimherr

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices pp. 309-339

Zhongjun Qu and Pierre Perron

Pairwise‐comparison estimation with non‐parametric controls pp. 340-372

Koen Jochmans

Estimation and inference for impulse response functions from univariate strongly persistent processes pp. 373-399

Richard T. Baillie and George Kapetanios

Estimating and testing multiple structural changes in linear models using band spectral regressions pp. 400-429

Yohei Yamamoto and Pierre Perron

Asymptotics for threshold regression under general conditions pp. 430-462

Ping Yu and Yongqiang Zhao

Heteroscedasticity‐robust C(p) model averaging pp. 463-472

Qingfeng Liu and Ryo Okui

Consistent co‐trending rank selection when both stochastic and non‐linear deterministic trends are present pp. 473-484

Zheng‐Feng Guo and Mototsugu Shintani

Volume 16, month 06, 2013

A Review of Non‐Parametric Econometrics pp. B1-B3

Patrick Marsh

Local NLLS estimation of semi‐parametric binary choice models pp. 135-160

Jason Blevins and Shakeeb Khan

The projection approach for unbalanced panel data pp. 161-178

Jason Abrevaya

Orthogonal to backward mean transformation for dynamic panel data models pp. 179-221

Gerdie Everaert

Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors pp. 222-249

Jushan Bai and Josep Lluís Carrion‐i‐Silvestre

Semi‐parametric estimation of a generalized threshold regression model under conditional quantile restriction pp. 250-277

Zhengyu Zhang

New inference methods for quantile regression based on resampling pp. 278-283

Víctor M. Aguirre and Manuel A. Domínguez

Volume 16, month 02, 2013

Identification of treatment response with social interactions pp. S1-S23

Charles Manski

A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator pp. 1-26

Yixiao Sun

Identification and inference in a simultaneous equation under alternative information sets and sampling schemes pp. S24-S59

Jan Kiviet

Instrumental variables estimation and inference in the presence of many exogenous regressors pp. 27-72

Stanislav Anatolyev

Partial identification in asymmetric auctions in the absence of independence pp. S60-S92

Tatiana Komarova

Estimation of spatial autoregressive models with randomly missing data in the dependent variable pp. 73-102

Wei Wang and Lung-Fei Lee

Set inference in latent variables models pp. S93-S105

Marc Henry and Ismael Mourifié

Standardized LM tests for spatial error dependence in linear or panel regressions pp. 103-134

Badi Baltagi and Zhenlin Yang

Identification in Econometrics, Theory and Applications pp. Si-Sii

Christian Bontemps and Elie Tamer