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August 2001, Volume 104, Issue 1
July 2001, Volume 103, Issue 1-2
- 1-4 Studies in Estimation and Testing
by Hsiao, Cheng & Perrigne, Isabelle
- 5-72 S-estimation of nonlinear regression models with dependent and heterogeneous observations
by Sakata, Shinichi & White, Halbert
- 73-110 Two-step estimation of semiparametric censored regression models
by Khan, Shakeeb & Powell, James L.
- 111-153 Panel data analysis of household brand choices
by Chintagunta, Pradeep & Kyriazidou, Ekaterini & Perktold, Josef
- 155-181 Confidence intervals for autoregressive coefficients near one
by Elliott, Graham & Stock, James H.
- 183-224 A test for volatility spillover with application to exchange rates
by Hong, Yongmiao
- 225-258 A consistent test for conditional symmetry in time series models
by Bai, Jushan & Ng, Serena
- 259-306 Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
by Perez-Quiros, Gabriel & Timmermann, Allan
- 307-344 An equality test across nonparametric regressions
by Lavergne, Pascal
- 345-386 Evaluation of a three-step method for choosing the number of bootstrap repetitions
by Andrews, Donald W. K. & Buchinsky, Moshe
June 2001, Volume 102, Issue 2
- 143-164 Identification, estimation and testing of conditionally heteroskedastic factor models
by Sentana, Enrique & Fiorentini, Gabriele
- 165-195 Estimation of income expectations models using expectations and realization data
by Dominitz, Jeff
- 197-229 An invariant sign test for random walks based on recursive median adjustment
by So, Beong Soo & Shin, Dong Wan
- 231-269 Estimation of the binary response model using a mixture of distributions estimator (MOD)
by Coppejans, Mark
- 271-309 Combining micro and macro unemployment duration data
by van den Berg, Gerard J. & van der Klaauw, Bas
- 311-338 Bayesian inference in models based on equilibrium search theory
by Koop, Gary
- 339-364 Stationarity of multivariate Markov-switching ARMA models
by Francq, C. & Zakoian, J. -M.
- 365-398 A consistent nonparametric test of ergodicity for time series with applications
by Domowitz, Ian & El-Gamal, Mahmoud A.
May 2001, Volume 102, Issue 1
April 2001, Volume 101, Issue 2
- 195-218 The memory of stochastic volatility models
by Robinson, P. M.
- 219-255 GMM estimation of linear panel data models with time-varying individual effects
by Ahn, Seung Chan & Hoon Lee, Young & Schmidt, Peter
- 257-294 Contemporaneous asymmetry in GARCH processes
by Babsiri, Mohamed El & Zakoian, Jean-Michel
- 295-313 Nested random effects estimation in unbalanced panel data
by Antweiler, Werner
- 315-335 Statistical inference for testing inequality indices with dependent samples
by Zheng, Buhong & J. Cushing, Brian
- 337-356 Statistical inference for poverty measures with relative poverty lines
by Zheng, Buhong
- 357-381 The unbalanced nested error component regression model
by H. Baltagi, Badi & Heun Song, Seuck & Cheol Jung, Byoung
March 2001, Volume 101, Issue 1
- 1-23 Tests for the error component model in the presence of local misspecification
by Bera, Anil K. & Sosa-Escudero, Walter & Yoon, Mann
- 25-35 Causality tests and conditional heteroskedasticity: : Monte Carlo evidence
by Vilasuso, Jon
- 37-69 Robust inference with GMM estimators
by Ronchetti, Elvezio & Trojani, Fabio
- 71-107 An analysis of housing expenditure using semiparametric models and panel data
by Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur
- 109-122 Nonlinear estimation using estimated cointegrating relations
by de Jong, Robert M.
- 123-164 Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
by Andrews, Donald W. K. & Lu, Biao
- 165-193 A simultaneous estimation and variable selection rule
by Golan, Amos
February 2001, Volume 100, Issue 2
January 2001, Volume 100, Issue 1
- 1-1 Open forum on the current state and future challenges of econometrics
by Hsiao, C.
- 3-5 Econometrics and empirical economics
by Heckman, James J.
- 7-10 Achievements and challenges in econometric methodology
by Hendry, David F.
- 11-15 Bayesian econometrics and forecasting
by Geweke, John
- 17-19 Macroeconometrics - Past and future
by Granger, Clive W. J.
- 21-27 Trending time series and macroeconomic activity: Some present and future challenges
by Phillips, Peter C. B.
- 29-32 Macro-econometrics
by Stock, James H.
- 33-35 Microeconometrics
by Hausman, Jerry
- 37-40 The bootstrap and hypothesis tests in econometrics
by Horowitz, Joel L.
- 41-51 Financial econometrics: Past developments and future challenges
by Bollerslev, Tim
- 53-56 Financial econometrics - A new discipline with new methods
by Engle, Robert
- 57-64 Notes on financial econometrics
by Tauchen, George
- 65-69 Manifesto for a growth econometrics
by Durlauf, Steven N.
- 71-72 Comments on the contributions by C.W.J. Granger and J.J. Heckman
by Deistler, M.
- 73-75 Econometrics: Retrospect and prospect
by Diebold, Francis X.
- 77-78 A short comment on the JE Open forum essays
by Krishnakumar, Jaya
- 79-80 Bayesian econometrics:: A reaction to Geweke
by Lenk, Peter & Wedel, Michel
- 81-82 Comment on essays on current state and future challenges of econometrics
by Lutkepohl, Helmut
- 83-86 On the relevance of first-order asymptotic theory to economics
by Maasoumi, Esfandiar
- 87-88 Care and feeding of reproducible econometrics
by Vinod, H. D.
- 89-91 Comment on "Microeconometrics" by J.A. Hausman
by Wansbeek, Tom & Wedel, Michel & Meijer, Erik
- 93-94 Comments on papers by Engle, Geweke and Granger
by Zellner, Arnold
- 99-112 Some publishing facts, figures, and observations on the occasion of Volume 100, number 1 of the Journal of Econometrics
by Dirkmaat, Joop
December 2000, Volume 99, Issue 2
- 195-223 Robust out-of-sample inference
by Mc Cracken, Michael W.
- 225-253 Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
by Turkington, Darrell
- 255-289 Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
by Dufour, Jean-Marie & Torres, Olivier
- 291-315 Spectral tests of the martingale hypothesis under conditional heteroscedasticity
by Deo, Rohit S.
- 317-334 Trend estimation and de-trending via rational square-wave filters
by Pollock, D. S. G.
- 335-345 Comment: Bayesian multinomial probit models with a normalization constraint
by Nobile, Agostino
- 347-348 Reply to Nobile
by McCulloch, Robert E. & Rossi, Peter E.
- 349-372 On estimation and testing goodness of fit for m-dependent stable sequences
by Deo, Rohit S.
- 373-386 Simple resampling methods for censored regression quantiles
by Bilias, Yannis & Chen, Songnian & Ying, Zhiliang
November 2000, Volume 99, Issue 1
- 1-38 Changes in relative wages in the 1980s Returns to observed and unobserved skills and black-white wage differentials
by Chay, Kenneth Y. & Lee, David S.
- 39-61 Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
by Racine, Jeff
- 63-106 Local nonlinear least squares: Using parametric information in nonparametric regression
by Gozalo, Pedro & Linton, Oliver
- 107-137 Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
by Shin, Dong Wan & So, Beong Soo
- 139-171 Modeling long memory in stock market volatility
by Liu, Ming
- 173-193 A Bayesian analysis of the multinomial probit model with fully identified parameters
by McCulloch, Robert E. & Polson, Nicholas G. & Rossi, Peter E.
October 2000, Volume 98, Issue 2
- 187-202 Further consequences of viewing LIML as an iterated Aitken estimator
by Gao, Chuanming & Lahiri, Kajal
- 203-223 A Bayesian approach to dynamic macroeconomics
by DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H.
- 225-255 Inference on one-way effect and evidence in Japanese macroeconomic data
by Yao, Feng & Hosoya, Yuzo
- 257-281 Nonparametric seemingly unrelated regression
by Smith, Michael & Kohn, Robert
- 283-316 Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity
by Chen, Songnian & Khan, Shakeeb
- 317-334 Rank estimation of a location parameter in the binary choice model
by Chen, Songnian
- 335-363 Adjusted estimates and Wald statistics for the AR(1) model with constant
by Pere, Pekka
- 365-383 A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
by Girma, Sourafel
September 2000, Volume 98, Issue 1
- 1-25 The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
by Marriott, John & Newbold, Paul
- 27-46 Consistent bootstrap tests of parametric regression functions
by Whang, Yoon-Jae
- 47-79 A Bayesian analysis of multiple-output production frontiers
by Fernandez, Carmen & Koop, Gary & Steel, Mark
- 81-106 Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
by Bollerslev, Tim & Wright, Jonathan H.
- 107-127 A test for constant correlations in a multivariate GARCH model
by Tse, Y. K.
- 129-161 Conditionally independent private information in OCS wildcat auctions
by Li, Tong & Perrigne, Isabelle & Vuong, Quang
- 163-185 Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogenous variables
by Oberhelman, Dennis & Rao Kadiyala, K.
August 2000, Volume 97, Issue 2
- 207-225 A nonparametric multiple choice method within the random utility framework
by Huang, J u-Chin & Nychka, Douglas W.
- 227-259 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
by Inkmann, Joachim
- 261-291 Testing for integration using evolving trend and seasonals models: A Bayesian approach
by Koop, Gary & Dijk, Herman K. Van
- 293-343 Structural analysis of vector error correction models with exogenous I(1) variables
by Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J.
- 345-364 An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
by Phillips, Garry D. A.
- 365-381 Estimating the differencing parameter via the partial autocorrelation function
by Chong, Terence Tai-Leung
July 2000, Volume 97, Issue 1
- 1-23 Short cuts to dynamic factor demand modelling
by Thomsen, Thomas
- 25-50 Bayesian analysis of cross-section and clustered data treatment models
by Chib, Siddhartha & Hamilton, Barton H.
- 51-91 Exact small-sample inference in stationary, fully regular, dynamic demand models
by Deschamps, Philippe J.
- 93-115 Testing for structural change in conditional models
by Hansen, Bruce E.
- 117-144 The demand for risky assets: Sample selection and household portfolios
by Perraudin, William R. M. & Sorensen, Bent E.
- 145-177 Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables
by Lewbel, Arthur
- 179-188 Robustifying Glejser test of heteroskedasticity
by Im, Kyung So
- 189-202 Glejser's test revisited
by Machado, Jose A. F. & Silva, J. M. C. Santos
June 2000, Volume 96, Issue 2
May 2000, Volume 96, Issue 1
- 1-23 A simple framework for nonparametric specification testing
by Ellison, Glenn & Ellison, Sara Fisher
- 25-37 Efficiency results of MLE and GMM estimation with sampling weights
by Butler, J. S.
- 39-73 Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
by Corradi, Valentina & Swanson, Norman R. & White, Halbert
- 75-111 Moments of Markov switching models
by Timmermann, Allan
- 113-144 Nonparametric inference on structural breaks
by Delgado, Miguel A. & Hidalgo, Javier
- 145-153 Reconsidering the continuous time limit of the GARCH(1, 1) process
by Corradi, Valentina
- 155-182 The spurious regression of fractionally integrated processes
by Tsay, Wen-Jen & Chung, Ching-Fan
- 183-199 Efficient estimation of binary choice models under symmetry
by Chen, Songnian
April 2000, Volume 95, Issue 2
- 223-253 The econometric consequences of the ceteris paribus condition in economic theory
by Bierens, Herman J. & Swanson, Norman R.
- 255-283 Econometrics and decision theory
by Chamberlain, Gary
- 285-331 Cross-sectional aggregation of non-linear models
by van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem
- 333-345 Internet-based econometric computing
by Hardle, W. & Horowitz, J.
- 347-374 Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
by Koenker, Roger
- 375-389 Empirically relevant critical values for hypothesis tests: A bootstrap approach
by Horowitz, Joel L. & Savin, N. E.
- 391-413 The incidental parameter problem since 1948
by Lancaster, Tony
- 415-442 Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice
by Manski, Charles F.
- 443-462 Using a likelihood perspective to sharpen econometric discourse: Three examples
by Sims, Christopher A.
March 2000, Volume 95, Issue 1
- 1-23 Rank estimation of a generalized fixed-effects regression model
by Abrevaya, Jason
- 25-56 Estimation of a censored regression panel data model using conditional moment restrictions efficiently
by Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur
- 57-69 Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach
by Nakatsuma, Teruo
- 71-96 Unit root tests in the presence of uncertainty about the non-stochastic trend
by Ayat, Leila & Burridge, Peter
- 97-116 Detection of change in persistence of a linear time series
by Kim, Jae-Young
- 117-129 A numerically stable quadrature procedure for the one-factor random-component discrete choice model
by Lee, Lung-fei
- 131-156 Estimating the density of unemployment duration based on contaminated samples or small samples
by Ryu, Hang K. & Slottje, Daniel J.
- 157-176 On the sensitivity of the usual t- and F-tests to covariance misspecification
by Banerjee, Anurag N. & Magnus, Jan R.
- 177-198 Testing for the cointegrating rank of a VAR process with a time trend
by Lutkepohl, Helmut & Saikkonen, Pentti
- 199-218 Testing time reversibility without moment restrictions
by Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming
2000, Volume 94, Issue 1-2
- 1-7 Econometric methods for derivative securities and risk management
by Garcia, R. & Ghysels, E. & Renault, E.
- 9-51 Nonparametric risk management and implied risk aversion
by Ait-Sahalia, Yacine & Lo, Andrew W.
- 53-92 American options with stochastic dividends and volatility: A nonparametric investigation
by Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier
- 93-115 Pricing and hedging derivative securities with neural networks and a homogeneity hint
by Garcia, Rene & Gencay, Ramazan
- 117-143 Econometric specification of the risk neutral valuation model
by Clement, E. & Gourieroux, C. & Monfort, A.
- 145-180 Bayesian analysis of contingent claim model error
by Jacquier, Eric & Jarrow, Robert
- 181-238 Post-'87 crash fears in the S&P 500 futures option market
by Bates, David S.
- 239-276 Regime switching in foreign exchange rates: Evidence from currency option prices
by Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E.
- 277-318 Pricing and hedging long-term options
by Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu
December 1999, Volume 93, Issue 2
- 203-228 Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable
by Abrevaya, Jason
- 229-255 Bayesian estimation of switching ARMA models
by Billio, M. & Monfort, A. & Robert, C. P.
- 257-279 Testing for ARCH in the presence of a possibly misspecified conditional mean
by Lumsdaine, Robin L. & Ng, Serena
- 281-308 Weak exogeneity in I(2) VAR systems
by Paruolo, Paolo & Rahbek, Anders
- 309-326 How informative is the initial condition in the dynamic panel model with fixed effects?
by Hahn, Jinyong
- 327-344 GMM inference when the number of moment conditions is large
by Koenker, Roger & Machado, Jose A. F.
- 345-368 Threshold effects in non-dynamic panels: Estimation, testing, and inference
by Hansen, Bruce E.
- 369-401 The distributions of the J and Cox non-nested tests in regression models with weakly correlated regressors
by Michelis, Leo
November 1999, Volume 93, Issue 1
- 1-24 I(0) In, integration and cointegration out:: Time series properties of endogenous growth models
by Paul Lau, Sau-Him
- 25-47 On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components
by Galbraith, JohnW. & Zinde-Walsh, Victoria
- 49-72 A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco
by Labeaga, Jose M.
- 73-91 Testing exact rational expectations in cointegrated vector autoregressive models
by Johansen, Soren & Swensen, Anders Rygh
- 93-111 Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
by Gonzalez-Rivera, Gloria & Drost, Feike C.
- 113-148 Finite sample properties of tests of the Epstein-Zin asset pricing model
by Smith, David C.
- 149-175 Indirect estimation of ARFIMA and VARFIMA models
by Martin, Vance L. & Wilkins, Nigel P.
- 177-201 Efficient estimation of panel data models with strictly exogenous explanatory variables
by So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M.
October 1999, Volume 92, Issue 2
- 193-232 Stratified partial likelihood estimation
by Ridder, Geert & Tunali, Insan
- 233-274 Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome
by Mroz, Thomas A.
- 275-294 A Monte Carlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models
by Skeels, Christopher L. & Vella, Francis
- 295-323 The sensitivity of OLS when the variance matrix is (partially) unknown
by Banerjee, Anurag N. & Magnus, Jan R.
- 325-353 Estimation error and the specification of unobserved component models
by Maravall, Agustin & Planas, Christophe
- 355-390 Estimation of dynamic and ARCH Tobit models
by Lee, Lung-fei
September 1999, Volume 92, Issue 1
- 1-45 GMM estimation with cross sectional dependence
by Conley, T. G.
- 47-74 Infrastructure and productivity: a nonlinear approach
by G. Duggal, Vijaya & Saltzman, Cynthia & Klein, Lawrence R.
- 75-99 Long-term equity anticipation securities and stock market volatility dynamics
by Bollerslev, Tim & Ole Mikkelsen, Hans
- 101-147 Consistent model specification tests for time series econometric models
by Li, Qi
- 149-172 The relative efficiency of method of moments estimators1
by Ronald Gallant, A. & Tauchen, George
- 173-192 Properties of moments of a family of GARCH processes
by He, Changli & Terasvirta, Timo
August 1999, Volume 91, Issue 2
- 201-226 Inference for unit roots in dynamic panels where the time dimension is fixed
by Harris, Richard D. F. & Tzavalis, Elias
- 227-271 Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
by Chao, John C. & Phillips, Peter C. B.
- 273-298 Measurement errors: A principal investigator-agent approach
by Philipson, Tomas & Malani, Anup
- 299-323 Likelihood ratio tests for multiple structural changes
by Bai, Jushan
- 325-371 Non-stationary log-periodogram regression
by Velasco, Carlos
- 373-401 Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
by Chen, Xiaohong & Fan, Yanqin
July 1999, Volume 91, Issue 1
- 1-42 The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
by Whang, Yoon-Jae & Linton, Oliver
- 43-60 An ordered family of Lorenz curves
by Sarabia, J. -M. & Castillo, Enrique & Slottje, Daniel J.
- 61-87 Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
by Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E.
- 89-111 Redundancy of moment conditions
by Breusch, Trevor & Qian, Hailong & Schmidt, Peter & Wyhowski, Donald
- 113-144 Distribution theory for unit root tests with conditional heteroskedasticity1
by Seo, Byeongseon
- 145-169 Improved instrumental variables and generalized method of moments estimators
by Qian, Hailong & Schmidt, Peter
- 171-199 Distribution-free estimation of the random coefficient dummy endogenous variable model
by Chen, Songnian
June 1999, Volume 90, Issue 2
- 155-191 Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable
by Gorgens, Tue & Horowitz, Joel L.
- 193-213 Testing parameter constancy in linear models against stochastic stationary parameters
by Lin, Chien-Fu Jeff & Terasvirta, Timo
- 215-237 Tests of cointegrating rank with a trend-break
by Inoue, Atsushi
- 239-263 Two-step estimation of panel data models with censored endogenous variables and selection bias
by Vella, Francis & Verbeek, Marno
- 265-289 Trend stationarity in the I(2) cointegration model
by Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara
- 291-316 Block recursion and structural vector autoregressions
by Zha, Tao
- 317-336 Ordering univariate distributions by entropy and variance
by Ebrahimi, Nader & Maasoumi, Esfandiar & Soofi, Ehsan S.
May 1999, Volume 90, Issue 1