# Elsevier

# Journal of Econometrics

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**Current editor:**T. Amemiya

**Current editor:**A. R. Gallant

**Current editor:**J. F. Geweke

**Current editor:**C. Hsiao

**Editor:**

Additional information is available for the following
registered editor(s): A. Ronald Gallant
John Geweke
Cheng Hsiao
Arnold Zellner
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(Zhang, Lei)**

**Series handle:**repec:eee:econom

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### 1989, Volume 41, Issue 1

**121-143 Maximum likelihood estimation of the dynamic shock-error model***by*Ghosh, Damayanti**145-158 Identification and estimation of dynamic errors-in-variables models***by*Bloch, Anthony M.**159-185 Consistent estimation for some nonlinear errors-in-variables models***by*Hsiao, Cheng

### 1989, Volume 40, Issue 2

**203-238 The size and power of the variance ratio test in finite samples : A Monte Carlo investigation***by*Lo, Andrew W. & MacKinlay, A. Craig**239-259 An approximate test for comparing independent regression models with unequal error variances***by*Conerly, Michael D. & Mansfield, Edward R.**261-278 Misspecification tests in econometrics based on ranks***by*McCabe, B. P. M.**279-305 The exact moments of ols in dynamic regression models with non-normal errors***by*Peters, Thomas A.**307-318 A new test for structural stability in the linear regression model***by*Ploberger, Werner & Kramer, Walter & Kontrus, Karl**319-325 Identification of simultaneous equation models with measurement errors based on time series structure***by*Nowak, Eugen**327-338 Elliptical Lorenz curves***by*Villasenor, JoseA. & Arnold, Barry C.

### 1989, Volume 40, Issue 1

**1-1 Editors'introduction***by*Hoffman, Dennis & Schmidt, Peter**3-14 An econometric analysis of the bank credit scoring problem***by*Boyes, William J. & Hoffman, Dennis L. & Low, Stuart A.**15-32 Trend reversion in real output and unemployment***by*Clark, Peter K.**33-44 Predictive efficiency for simple non-linear models***by*Cooley, Thomas F. & Parke, William R. & Chib, Siddhartha**45-62 Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting***by*Engle, R. F. & Granger, C. W. J. & Hallman, J. J.**63-86 Exact predictive densities for linear models with arch disturbances***by*Geweke, John**87-96 Interval forecasting : An analysis based upon ARCH-quantile estimators***by*Granger, C. W. J. & White, Halbert & Kamstra, Mark**97-123 Estimation of best predictors of binary response***by*Manski, Charles F. & Thompson, T. Scott**125-139 On the role of simulation in the statistical evaluation of econometric models***by*Pagan, Adrian**141-159 Predicting criminal recidivism using 'split population' survival time models***by*Schmidt, Peter & Witte, Ann Dryden**161-181 Interpreting the evidence on money-income causality***by*Stock, James H. & Watson, Mark W.**183-202 Forecasting international growth rates using Bayesian shrinkage and other procedures***by*Zellner, Arnold & Hong, Chansik

### 1988, Volume 39, Issue 3

**237-250 An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample***by*Agbeyegbe, Terence D.**251-266 The spurious effects of unit roots on vector autoregressions : A Monte Carlo study***by*Ohanian, Lee E.**267-296 Prediction tests for structural stability***by*Lutkepohl, Helmut**297-307 Testing for individual effects in autoregressive models***by*Holtz-Eakin, Douglas**309-326 The estimation of transaction costs in arbitrage models***by*Spiller, Pablo T. & Wood, Robert O.**327-346 The exact multi-period mean-square forecast error for the first-order autoregressive model***by*Hoque, Asraul & Magnus, Jan R. & Pesaran, Bahram**347-366 Limited information estimators and exogeneity tests for simultaneous probit models***by*Rivers, Douglas & Vuong, Quang H.**367-386 An analysis of tests for regression coefficient stability***by*Shively, Thomas S.**387-395 Improved estimation of the disturbance variance in a linear regression model***by*Gelfand, Alan E. & Dey, Dipak K.

### 1988, Volume 39, Issue 1-2

**1-5 Editors' introduction***by*Aigner, Dennis J. & Zellner, Arnold**7-21 Causality and causal laws in economics***by*Zellner, Arnold**23-52 On the interpretation and observation of laws***by*Pratt, John W. & Schlaifer, Robert**53-68 Probability and causation***by*Skyrms, Brian**69-104 Causality tests and observationally equivalent representations of econometric models***by*Basmann, R. L.**105-147 Further thoughts on testing for causality with econometric models***by*Swamy, P. A. V. B. & Von Zur Muehlen, Peter**149-173 Causal ordering, comparative statics, and near decomposability***by*A. Simon, Herbert & Iwasaki, Yumi**175-198 Latent variables, causal models and overidentifying constraints***by*Glymour, Clark & Spirtes, Peter**199-211 Some recent development in a concept of causality***by*Granger, C. W. J.**213-234 Causal relationships and replicability***by*Poirier, Dale J.

### 1988, Volume 38, Issue 3

**269-299 Non-linear regression with discrete explanatory variables, with an application to the earnings function***by*Bierens, Herman J. & Hartog, Joop**301-339 Adaptive estimation of regression models via moment restrictions***by*Newey, Whitney K.**341-348 Conditional and unconditional statistical independence***by*Phillips, Peter C. B.**349-360 Bayes prediction in regressions with elliptical errors***by*Chib, Siddhartha & Tiwari, Ram C. & Jammalamadaka, S. Rao**361-373 Identification information and instruments in linear econometric models with rational expectations***by*Turkington, D. A. & Bowden, R. J.**375-386 A size correction to the Lagrange multiplier test for heteroskedasticity***by*Honda, Yuzo**387-399 Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data***by*Battese, George E. & Coelli, Tim J.

### 1988, Volume 38, Issue 1-2

**3-5 Editor's introduction***by*Belsley, David A.**7-37 Bayesian analysis of systems of seemingly unrelated regression equations under a recursive extended natural conjugate prior density***by*Richard, J. F. & Steel, M. F. J.**39-72 Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods***by*Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K.**73-89 Antithetic acceleration of Monte Carlo integration in Bayesian inference***by*Geweke, John**91-102 A stationary stochastic approximation method***by*Liddle, Roger F. & Monahan, John F.**103-125 Econometric illustrations of novel numerical integration strategies for Bayesian inference***by*Naylor, J. C. & Smith, A. F. M.**127-143 Conditioning in models with logs***by*Belsley, David A.**145-167 A comparison of algorithms for maximum likelihood estimation of choice models***by*Bunch, David S.**169-201 A computational examination of orthogonal distance regression***by*Boggs, Paul T. & Spiegelman, Clifford H. & Donaldson, Janet R. & Schnabel, Robert B.**203-226 Econometric analysis of small linear systems using PC-FIML***by*Hendry, David F. & Neale, Adrian J. & Srba, Frank**227-246 Object-oriented software representations for statistical data***by*Oldford, R. Wayne**247-268 Data analysis as search***by*Lubinsky, David & Pregibon, Daryl

### 1988, Volume 37, Issue 3

**293-326 Alternative non-nested specification tests of time-series investment models***by*Bernanke, Ben & Bohn, Henning & Reiss, Peter C.**327-342 A normalized quadratic semiflexible functional form***by*Diewert, W. E. & Wales, T. J.**343-359 Bounding the effects of measurement error in regressions involving dichotomous variables***by*Klepper, Steven**361-380 Estimation of a fixed-effect Cobb-Douglas system using panel data***by*Schmidt, Peter**381-388 The exact moments of the least-squares estimator for the autoregressive model corrections and extensions***by*Nankervis, J. C. & Savin, N. E.**389-393 A simple way of computing the inverse moments of a non-central chi-square random variable***by*Xie, Wen Zhi

### 1988, Volume 37, Issue 2

**195-209 Calculation of maximum entropy distributions and approximation of marginalposterior distributions***by*Zellner, Arnold & Highfield, Richard A.**211-223 On-site samples' regression : Problems of non-negative integers, truncation, and endogenous stratification***by*Shaw, Daigee**225-250 Regressor diagnostics for the classical errors-in-variables model***by*Klepper, Steven**251-264 Foreign exchange rates : A multiple currency and maturity analysis***by*Havenner, Arthur & Modjtahedi, Bagher**265-276 A further class of tests for heteroscedasticity***by*Evans, Merran A. & King, Maxwell L.**277-292 Estimators of the disturbance variance in econometric models : Small-sample bias and the existence of moments***by*Dufour, Jean-Marie

### 1988, Volume 37, Issue 1

**1-6 Editors' introduction***by*Kloek, Teun & Haitovsky, Yoel**7-26 The statistical approach to economics***by*Klein, Lawrence R.**27-50 Bayesian analysis in econometrics***by*Zellner, Arnold**51-61 Is a philosophical consensus for statistics attainable?***by*Durbin, J.**63-64 Discussion of : Is a philosophical consensus for statistics attainable? by J. Durbin***by*Fienberg, Stephen E.**65-65 Reply to Stephen E. Fienberg's discussion***by*Durbin, J.**67-86 Current developments in time series modelling***by*Priestley, M. B.**87-114 Regression by local fitting : Methods, properties, and computational algorithms***by*Cleveland, William S. & Devlin, Susan J. & Grosse, Eric**115-134 A comparison of GRF and other reduced-form estimators in simultaneous equations models***by*Maasoumi, Esfandiar & Jeong, Jin-Ho**135-156 Chi-square diagnostic tests for econometric models : Introduction and applications***by*Andrews, Donald W. K.**157-169 Large-sample properties of method of moment estimators under different data-generating processes***by*Van Praag, B. M. S. & Kloek, T. & De Leeuw, J.**171-192 Bounds on specification error arising from data proxies***by*Kroch, Eugene

### 1987, Volume 36, Issue 3

**231-250 Efficient estimation of limited dependent variable models with endogenous explanatory variables***by*Newey, Whitney K.**251-279 The geographic distribution of unemployment rates in the U.S. : A spatial-time series analysis***by*Bronars, Stephen G. & Jansen, Dennis W.**281-298 The global properties of the two minflex Laurent flexible functional forms***by*Barnett, William A. & Lee, Yul W. & Wolfe, Michael**299-310 Computational efficiency of FIML estimation***by*Calzolari, Giorgio & Panattoni, Lorenzo & Weihs, Claus**311-337 Fractional demand systems***by*Lewbel, Arthur**339-358 Ex post tests for short-and long-run optimization***by*Conrad, Klaus & Unger, Ralph**359-368 The statistical foundations of a class of parametric tests for heteroscedasticity***by*Farebrother, R. W.**369-376 A note on the efficiency of the cochrane-orcutt estimator of the ar(1) regression model***by*Thornton, Daniel L.**377-382 Usefulness of proxy variables in linear models with stochastic regressors***by*Terasvirta, Timo**383-389 Maximum likelihood estimation of random effects models***by*Breusch, Trevor S.

### 1987, Volume 36, Issue 1-2

**1-6 Editor's introduction***by*Trivedi, Pravin K.**7-30 Estimation of own- and cross-price elasticities from household survey data***by*Deaton, Angus**31-53 An application of LDV models to household expenditure analysis in Mexico***by*Jarque, Carlos M.**55-65 The demand for wheat under non-linear pricing in Pakistan***by*Ahmad, Ehtisham & Stern, Nicholas & Leung, H. -M.**67-88 Are user fees regressive? : The welfare implications of health care financing proposals in Peru***by*Gertler, Paul & Locay, Luis & Sanderson, Warren**89-110 Microeconometric models of rationing, imperfect markets, and non-negativity constraints***by*Lee, Lung-Fei & Pitt, Mark M.**111-131 On the determinants of cross-country aggregate agricultural supply***by*Binswanger, Hans & Yang, Maw-Cheng & Bowers, Alan & Mundlak, Yair**133-161 Vintage production approach to perennial crop supply : An application to tea in major producing countries***by*Akiyama, T. & Trivedi, P. K.**163-184 Fertility and investments in human capital : Estimates of the consequence of imperfect fertility control in Malaysia***by*Rosenzweig, Mark R. & Paul Schultz, T.**185-204 How does mother's schooling affect family health, nutrition, medical care usage, and household sanitation?***by*Behrman, Jere R. & Wolfe, Barbara L.**205-230 The external debt repayments problems of LDC's : An econometric model based on panel data***by*Hajivassiliou, Vassilis A.

### 1987, Volume 35, Issue 2-3

**191-209 A non-parametric analysis of transformations***by*Han, Aaron K.**211-218 A note on Cochrane-Orcutt estimation***by*Magee, Lonnie**219-231 On pooling disturbance variances when the goal is testing restrictions on regression coefficients***by*Ohtani, Kazuhiro**233-252 Bounding the effects of proxy variables on instrumental-variables coefficients***by*Krasker, William S. & Pratt, John W.**253-266 Mean and variance of R2 in small and moderate samples***by*Cramer, J. S.**267-285 A further empirical investigation of the dividend adjustment process***by*Lee, Cheng F. & Wu, Chunchi & Djarraya, Mohamed**287-302 The application of censored regression techniques to the analysis of tax reform***by*Lawrence, David B.**303-316 Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator***by*Han, Aaron K.**317-335 Reduced rank regression with autoregressive errors***by*Velu, Raja P. & Reinsel, Gregory C.**337-358 Stochastic specification and estimation of share equation systems***by*Chavas, Jean-Paul & Segerson, Kathleen**359-374 OLS or GLS in the presence of specification error? : An expected loss approach***by*Thursby, Jerry G.**375-391 The extended Stein procedure for simultaneous model selection and parameter estimation***by*Judge, George & Yi, Gang & Yancey, Thomas & Terasvirta, Timo

### 1987, Volume 35, Issue 1

**3-23 Selecting the best linear regression model : A classical approach***by*Lien, Donald & Vuong, Quang H.**25-35 Distribution-free and link-free estimation for the sample selection model***by*Duan, Naihua & Li, Ker-Chau**37-57 The impact of grouping coarseness in alternative grouped-data regression models***by*Cameron, Trudy Ann**59-82 Monte Carlo evidence on the choice between sample selection and two-part models***by*Manning, W. G. & Duan, N. & Rogers, W. H.**83-100 Improved prediction in the presence of multicollinearity***by*Carter Hill, R. & Judge, George**101-117 Inference in dynamic models containing 'surprise' variables***by*Baillie, Richard T.**119-142 Likelihood and other approaches to prediction in dynamic models***by*Cooley, Thomas F. & Parke, William R.**143-159 Forecasting and testing in co-integrated systems***by*Engle, Robert F. & Yoo, Byung Sam**161-190 Armax model specification testing, with an application to unemployment in the Netherlands***by*Bierens, Herman J.

### 1987, Volume 34, Issue 3

**275-291 Estimating linear models with ordinal qualitative regressors***by*Terza, Joseph V.**293-304 Estimating the error variance in regression after a preliminary test of restrictions on the coefficients***by*Clarke, Judith A. & Giles, David E. A. & Wallace, T. Dudley**305-334 Asymptotic efficiency in estimation with conditional moment restrictions***by*Chamberlain, Gary**335-348 The specification of technical and allocative inefficiency in stochastic production and profit frontiers***by*Kumbhakar, Subal C.**349-354 A note on Sargan densities***by*Tse, Y. K.**355-359 A comment on consumer demand systems with binding non-negativity constraints***by*Ransom, Michael R.**361-372 The sensitivity of extended linear expenditure system household scales to income declaration errors***by*Cinar, E. Mine**373-389 A simplified approach to M-estimation with application to two-stage estimators***by*Duncan, Gregory M.**391-391 Corrigendum***by*Nakervis, J. C. & Savin, N. E.

### 1987, Volume 34, Issue 1-2

**1-4 Editor's introduction***by*Blundell, Richard**5-32 Generalised residuals***by*Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain**33-61 Residual analysis in the grouped and censored normal linear model***by*Chesher, Andrew & Irish, Margaret**63-82 Regression-based specification tests for the multinomial logit model***by*McFadden, Daniel**83-104 Specifying and testing econometric models for rank-ordered data***by*Hausman, Jerry A. & Ruud, Paul A.**105-123 Testing the normality assumption in multivariate simultaneous limited dependent variable models***by*Smith, Richard J.**125-145 Specification tests for distributional assumptions in the Tobit model***by*Newey, Whitney K.**147-177 Non-parametric testing of discrete panel data models***by*Lee, Lung-Fei**179-200 Bivariate alternatives to the Tobit model***by*Blundell, Richard & Meghir, Costas**201-252 Simulated residuals***by*Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain**253-261 Prediction tests in limited dependent variable models***by*Anderson, G. J.**263-274 A note on specification tests for the multinomial logit model***by*Wills, Hugh

### 1986, Volume 33, Issue 3

**311-340 Understanding spurious regressions in econometrics***by*Phillips, P.C.B.**341-365 Specification and testing of some modified count data models***by*Mullahy, John**367-385 Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons***by*West, Kenneth D.**387-397 A standard error for the estimated state vector of a state-space model***by*Hamilton, James D.

### 1986, Volume 33, Issue 1-2

**1-5 Editors' introduction***by*Berndt, Ernst R. & Fuss, Melvyn A.**7-29 Productivity measurement with adjustments for variations in capacity utilization and other forms of temporary equilibrium***by*Berndt, Ernst R. & Fuss, Melvyn A.**31-50 Productivity change, capacity utilization, and the sources of efficiency growth***by*Hulten, Charles R.**51-74 Productivity measurement with non-static expectations and varying capacity utilization : An integrated approach***by*Morrison, Catherine J.**75-95 Total-factor-productivity measurement when equilibrium is temporary : A Monte Carlo assessment***by*Slade, Margaret E.**97-118 A test of static equilibrium models and rates of return to quasi-fixed factors, with an application to the Bell system***by*Schankerman, Mark & Nadiri, M. Ishaq**119-141 Testing for separable functional structure using temporary equilibrium models***by*Hazilla, Michael & Kopp, Raymond J.**143-163 Allocative distortions and the regulatory transition of the U.S. airline industry***by*Sickles, Robin C. & Good, David & Johnson, Richard L.**165-185 The regulatory wedge between the demand-side and supply-side aggregation-theoretic monetary aggregates***by*Barnett, William A. & Hinich, Melvin J. & Weber, Warren E.**187-211 A comparison of alternative methods for the estimation of dynamic factor demand models under non-static expectations***by*Prucha, Ingmar R. & Nadiri, M. Ishaq**213-236 Aggregation, expectations, and the explanation of technological change***by*Antle, John M.**237-262 A dynamic model of aggregate output supply, factor demand and entry and exit for a competitive industry with heterogeneous plants***by*Chetty, V. K. & Heckman, J. J.**263-284 Temporary equilibrium production models for a common-property renewable-resource sector***by*Capalbo, Susan M.**285-310 Aggregate output with variable rates of utilization of employed factors***by*Helliwell, John F. & Chung, Alan

### 1986, Volume 32, Issue 3

**297-332 The specification of multi-market disequilibrium econometric models***by*Lee, Lung-Fei**333-366 Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances***by*Campos, Julia**367-383 Joint one-sided tests of linear regression coefficients***by*King, Maxwell L. & Smith, Murray D.**385-397 Random group effects and the precision of regression estimates***by*Moulton, Brent R.

### 1986, Volume 32, Issue 2

**189-218 Asymptotic efficiency in semi-parametric models with censoring***by*Chamberlain, Gary**219-251 A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations***by*Potscher, Benedikt M. & Prucha, Ingmar R.**253-285 Consistent maximum-likelihood estimation with dependent observations : The general (non-normal) case and the normal case***by*Heijmans, Risto D. H. & Magnus, Jan R.**287-290 A further result on the sign of restricted least-squares estimates***by*McAleer, Michael & Pagan, Adrian & Visco, Ignazio**291-292 Reverse regression for latent-variable models***by*Levine, David K.

### 1986, Volume 32, Issue 1

**1-3 Editor's introduction***by*Duncan, Gregory M.**5-34 A semi-parametric censored regression estimator***by*Duncan, Gregory M.**35-57 Non-parametric maximum likelihood estimation of censored regression models***by*Fernandez, Luis**59-84 A distribution-free least squares estimator for censored linear regression models***by*Horowitz, Joel L.**85-108 Operational characteristics of maximum score estimation***by*Manski, Charles F. & Thompson, T. Scott**109-125 Choice-based samples : A non-parametric approach***by*Morgenthaler, S. & Vardi, Y.**127-141 Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables***by*Newey, Whitney K.**143-155 Censored regression quantiles***by*Powell, James L.**157-187 Consistent estimation of limited dependent variable models despite misspecification of distribution***by*Ruud, Paul A.

### 1986, Volume 31, Issue 3

**235-253 Gradual switching multivariate regression models with stochastic cross-equational constraints and an application to the Klem translog production model***by*Tsurumi, Hiroki & Wago, Hajime & Ilmakunnas, Pekka**255-274 The frequency of price adjustment : A study of the newsstand prices of magazines***by*Cecchetti, Stephen G.**275-305 Estimated parameters as independent variables : An application to the costs of electric generating units***by*Schmalensee, Richard & Joskow, Paul L.**307-327 Generalized autoregressive conditional heteroskedasticity***by*Bollerslev, Tim**329-340 A simple, flexible distributed lag technique : The polynomial inverse lag***by*Mitchell, Douglas W. & Speaker, Paul J.**341-361 Modified lagrange multiplier tests for problems with one-sided alternatives***by*Rogers, Alan J.

### 1986, Volume 31, Issue 2

**121-149 Specification testing when score test statistics are identically zero***by*Lee, Lung-Fei & Chesher, Andrew**151-178 Logit versus discriminant analysis : A specification test and application to corporate bankruptcies***by*Lo, Andrew W.**179-208 Identification of linear stochastic models with covariance restrictions***by*Bekker, Paul A. & Pollock, D. S. G.**209-217 A note on price adjustment models in disequilibrium econometrics***by*Mouchart, M. & Orsi, R.**219-231 A Monte Carlo evaluation of the power of some tests for heteroscedasticity***by*Griffiths, W. E. & Surekha, K.

### 1986, Volume 31, Issue 1

**3-29 Reduced form estimation and prediction from uncertain structural models : A generic approach***by*Maasoumi, Esfandiar**31-40 Semiparametric analysis of binary response from response-based samples***by*Manski, Charles F.**41-66 Solution and estimation of linear rational expectations models***by*Salemi, Michael K.**67-80 Testing equality between sets of coefficients after a preliminary test for equality of disturbance variances in two linear regressions***by*Toyoda, Toshihisa & Ohtani, Kazuhiro**81-91 The specification of least informative error distributions***by*Don, F. J. Henk**93-118 Errors in variables in panel data***by*Griliches, Zvi & Hausman, Jerry A.