# 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
**For corrections or technical questions regarding this series, please contact (Dana Niculescu)**

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

**ISSN:**0304-4076

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### 1991, Volume 49, Issue 1-2

**141-168 A bayesian approach to testing the arbitrage pricing theory***by*McCulloch, Robert & Rossi, Peter E.**195-238 A Bayesian analysis of the unit root in real exchange rates***by*Schotman, Peter & van Dijk, Herman K.**239-274 Bayesian multivariate exogeneity analysis : An application to a UK money demand equation***by*Steel, Mark F. J. & Richard, Jean-Francois**275-304 Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques***by*Zellner, Arnold & Hong, Chansik & Min, Chung-ki

### June 1991, Volume 48, Issue 3

**287-312 The measurement of productivity and scarcity rents : The case of asbestos in Canada***by*Lasserre, Pierre & Ouellette, Pierre**313-324 On the relation between GARCH and stable processes***by*de Vries, Casper G.**325-353 Testing for unit roots in autoregressive moving average models : An instrumental variable approach***by*Pantula, Sastry G. & Hall, Alastair**355-371 Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity***by*Ozcam, Ahmet & Judge, George G.**373-384 The implications of periodically varying coefficients for seasonal time-series processes***by*Osborn, Denise R.**385-393 A transformation that will circumvent the problem of autocorrelation in an error-component model***by*Baltagi, Badi H. & Li, Qi**395-408 Estimation and testing when explanatory variables are endogenous : An application to a demand system***by*Attfield, C. L. F.**409-410 A note on the existence of moments of k-class estimators when k is negative***by*Kinal, Terrence

### 1991, Volume 48, Issue 1-2

**1-14 Grouping bounds for inequality measures under alternative informational assumptions***by*Cowell, Frank A.**15-27 Fighting the teflon factor : Comparing classical and Bayesian estimators for autocorrelated errors***by*Kennedy, Peter & Simons, Daniel**29-55 Specification testing and quasi-maximum- likelihood estimation***by*Wooldridge, Jeffrey M.**57-81 Empirical models of discrete games***by*Bresnahan, Timothy F. & Reiss, Peter C.**83-117 A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches***by*Steel, Mark F. J.**119-134 Bounded-influence estimators for the SURE model***by*Peracchi, Franco**135-149 Multi-step estimation and forecasting in dynamic models***by*Weiss, Andrew A.**151-181 Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards F test truncation rule***by*Eastwood, Brian J.**183-193 A note on Bayesian inference in a regression model with elliptical errors***by*Osiewalski, Jacek**195-214 On a pooled estimator and its finite-sample moments***by*Mikhail, William M. & Ghazal, G. A.**215-240 Mean squared errors of forecast for selecting nonnested linear models and comparison with other criteria***by*Tsurumi, Hiroki & Wago, Hajime**241-262 A constrained maximum-likelihood approach to estimating switching regressions***by*Phillips, Robert F.**263-285 Analysis of survival data : Estimation and specification tests using asymptotic least squares***by*Jayet, H. & Moreau, A.

### February 1991, Volume 47, Issue 2-3

**197-205 Simulation estimation of time-series models***by*Lee, Bong-Soo & Ingram, Beth Fisher**207-226 Estimation of a regression model on two or more sets of differently grouped data***by*Fukushige, Mototsugu & Hatanaka, Michio**227-242 The likelihood dominance criterion : A new approach to model selection***by*Pollak, Robert A. & Wales, Terence J.**243-266 Grouped-data estimation and testing in simple labor-supply models***by*Angrist, Joshua D.**267-272 Pooling states in the multinomial logit model***by*Cramer, J. S. & Ridder, G.**273-284 A note concerning specifications of interactive random-coefficient regression models***by*Gatto, Joseph P. & Kelejian, Harry H. & Stephan, Scott W.**285-303 Unit-roots test for time-series data with a linear time trend***by*Said, Said E.**305-331 Another look at the identification of current rational-expectations models***by*Rayner, Janne**333-357 Estimation of a linear regression model with stationary ARMA(p, q) errors***by*Zinde-Walsh, Victoria & Galbraith, John W.**359-377 Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors***by*Andrews, Donald W. K.**379-400 Demand conditions, regulation, and the measurement of productivity***by*Appelbaum, Elie & Berechman, Joseph

### January 1991, Volume 47, Issue 1

**1-4 Editors' introduction: 40 years of diagnostic testing***by*Hillier, Grant H. & King, Maxwell L.**5-46 On the application of robust, regression- based diagnostics to models of conditional means and conditional variances***by*Wooldridge, Jeffrey M.**47-66 On multiple diagnostic procedures for the linear model***by*Hillier, Grant H.**67-84 Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression***by*Robinson, P. M.**85-114 The Durbin-Watson ratio under infinite-variance errors***by*Phillips, Peter C. B. & Loretan, Mico**115-143 Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors***by*Dufour, Jean-Marie & King, Maxwell L.**145-152 Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model***by*King, Maxwell L. & Wu, Ping X.**153-173 The finite-sample distributions of heteroskedasticity robust Wald statistics***by*Chesher, Andrew & Austin, Gerard**175-194 Distributional specification tests against semiparametric alternatives***by*Peters, Simon & Smith, Richard J.

### December 1990, Volume 46, Issue 3

**247-271 Limiting power of unit-root tests in time-series regression***by*Nabeya, Seiji & Tanaka, Katsuto**273-308 Testing nonnested Euler conditions with quadrature-based methods of approximation***by*Ghysels, Eric & Hall, Alastair**309-331 The small-sample performance of the information-matrix test***by*Orme, Chris**333-346 Estimation of time-dependent parameters in linear models using cross-sections, panels, or both***by*Nijman, Theo & Verbeek, Marno**347-364 Regression-based tests for overdispersion in the Poisson model***by*Cameron, A. Colin & Trivedi, Pravin K.**365-380 Multiple roots of the Tobit log-likelihood***by*Greene, William**381-398 An adjustment-costs model of export supply and import demand***by*Lawrence, Denis**399-406 A note on Park and Heikes' (1983) modified approximate estimator for the first-order moving-average process***by*Choudhury, Askar H. & St. Louis, Robert D.

### 1990, Volume 46, Issue 1-2

**3-5 Editor's introduction***by*Lewin, Arie Y. & Knox Lovell, C. A.**7-38 Recent developments in DEA : The mathematical programming approach to frontier analysis***by*Seiford, Lawrence M. & Thrall, Robert M.**39-56 Recent developments in the econometric estimation of frontiers***by*Bauer, Paul W.**57-72 Largest size-efficient scale and size efficiencies of decision-making units in data envelopment analysis***by*Maindiratta, Ajay**73-91 Polyhedral Cone-Ratio DEA Models with an illustrative application to large commercial banks***by*Charnes, A. & Cooper, W. W. & Huang, Z. M. & Sun, D. B.**93-108 The role of multiplier bounds in efficiency analysis with application to Kansas farming***by*Thompson, Russell G. & Langemeier, Larry N. & Lee, Chih-Tah & Lee, Euntaik & Thrall, Robert M.**109-123 Transformations in stochastic DEA models***by*Sengupta, Jati K.**125-140 Goodness-of-fit in optimizing models***by*Varian, Hal R.**141-163 A Gamma-distributed stochastic frontier model***by*Greene, William H.**165-183 Moment-based estimation and testing of stochastic frontier models***by*Kopp, Raymond J. & Mullahy, John**185-200 Production frontiers with cross-sectional and time-series variation in efficiency levels***by*Cornwell, Christopher & Schmidt, Peter & Sickles, Robin C.**201-211 Production frontiers, panel data, and time-varying technical inefficiency***by*Kumbhakar, Subal C.**213-227 Deterministic parametric and nonparametric estimation of efficiency in service production : A comparison***by*Bjurek, Hans & Hjalmarsson, Lennart & Forsund, Finn R.**229-245 Measuring cost efficiency in banking : Econometric and linear programming evidence***by*Ferrier, Gary D. & Lovell, C. A. Knox

### 1990, Volume 45, Issue 3

**291-308 The impact of stochastic and deterministic trends on money-output causality : A multi-country investigation***by*Krol, Robert & Ohanian, Lee E.**309-330 Nonparametric hazard estimation with time-varying discrete covariates***by*Leung, Siu Fai & Wong, Wing Hung**331-350 An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses***by*Wooldridge, Jeffrey M.**351-366 Personal characteristics, unemployment insurance, and the duration of unemployment***by*Follmann, Dean A. & Goldberg, Matthew S. & May, Laurie**367-384 Bounds for exact moments of estimators in the errors-in-variables model and simultaneous equations***by*Friedmann, Ralph**385-395 Mallows' Cp criterion and unbiasedness of model selection***by*Kobayashi, Masahito & Sakata, Shinichi

### 1990, Volume 45, Issue 1-2

**1-5 Editors' introduction***by*Campbell, John Y. & Melino, Angelo**7-38 ARCH models as diffusion approximations***by*Nelson, Daniel B.**39-70 Analysis of time series subject to changes in regime***by*Hamilton, James D.**71-97 Residual risk revisited***by*Lehmann, Bruce N.**99-120 Intertemporal asset pricing : An Empirical Investigation***by*Shanken, Jay**121-139 Are consumption-based intertemporal capital asset pricing models structural?***by*Ghysels, Eric & Hall, Alastair**141-179 Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution***by*Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George**181-211 An econometric analysis of nonsynchronous trading***by*Lo, Andrew W. & Craig MacKinlay, A.**213-237 Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills***by*Engle, Robert F. & Ng, Victor K. & Rothschild, Michael**239-265 Pricing foreign currency options with stochastic volatility***by*Melino, Angelo & Turnbull, Stuart M.**267-290 Alternative models for conditional stock volatility***by*Pagan, Adrian R. & Schwert, G. William

### June 1990, Volume 44, Issue 3

**241-279 The classical principles of testing using instrumental variables estimates***by*Magdalinos, Michael A.**281-309 Price elasticities from survey data : Extensions and Indonesian results***by*Deaton, Angus**311-332 Two-stage instrumental variables estimators for the nonlinear errors-in-variables model***by*Amemiya, Yasuo**333-346 On estimating and testing in a linear regression model with autocorrelated errors***by*Ohtani, Kazuhiro**347-361 On the measurement of economic capacity utilization for multi-product industries***by*Segerson, Kathleen & Squires, Dale**363-376 Forecasting with demand systems : A comparative study***by*Chambers, Marcus J.**377-390 Aggregation and identification in consumer demand systems***by*Heineke, J. M. & Shefrin, H. M.**391-400 Coherency of the indirect translog demand system with binding nonnegativity constraints***by*Van Soest, Arthur & Kooreman, Peter

### 1990, Volume 44, Issue 1-2

**1-4 Editor's introduction***by*Aigner, Dennis J.**5-24 A statistical perspective on insurance rate-making***by*Hsiao, Cheng & Kim, Changseob & Taylor, Grant**25-39 Simultaneous equations with covariance restrictions***by*Rothenberg, Thomas J. & Ruud, Paul A.**41-66 A unified approach to estimation and orthogonality tests in linear single-equation econometric models***by*Pesaran, M. Hashem & Smith, Richard J.**67-86 How to live with misspecification if you must***by*Maasoumi, Esfandiar**87-105 The simultaneous-equations model revisited : Statistical adequacy and identification***by*Spanos, Aris**107-126 Bounded-influence estimators for the tobit model***by*Peracchi, Franco**127-158 Least absolute error estimation in the presence of serial correlation***by*Weiss, Andrew A.**159-170 Reasonable extreme-bounds analysis***by*Granger, Clive W. J. & Uhlig, Harald F.**171-187 Bootstrapping improved estimators for linear regression models***by*Brownstone, David**189-213 An adaptive empirical Bayes estimator of the multivariate normal mean under quadratic loss***by*Judge, G. G. & Hill, R. Carter & Bock, M. E.**215-238 Seasonal integration and cointegration***by*Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S.

### March 1990, Volume 43, Issue 3

**255-274 Effects of collinearity on information about regression coefficients***by*Soofi, Ehsan S.**275-292 An analogue model of phase-averaging procedures***by*Campos, Julia & Ericsson, Neil R. & Hendry, David F.**293-315 Detecting multiple outliers with an application to R&D productivity***by*Reiss, Peter C.**317-336 Robust estimation based on grouped-adjusted data in linear regression models***by*Nawata, Kazumitsu**337-362 Robust estimation based on grouped-adjusted data in censored regression models***by*Nawata, Kazumitsu**363-372 Finite sample power of linear regression autocorrelation tests***by*Kramer, Walter & Zeisel, Helmut**373-388 On the compatibility of nested logit models with utility maximization***by*Borsch-Supan, Axel**389-394 Three-stage least squares with different instruments for different equations***by*Schmidt, Peter

### 1990, Volume 43, Issue 1-2

**1-3 Editor's introduction : The state of empirical work on economic inequality***by*Slottje, Daniel**5-34 A dispersion-dependency diagnostic test for aggregation error : With applications to monetary economics and income distribution***by*Barnett, William A. & Serletis, Apostolos**35-42 Income distribution movements and aggregate money illusion***by*Lewbel, Arthur**43-61 A multinomial probability model of size income distribution***by*Diamond, Charles A. & Simon, Curtis J. & Warner, John T.**63-75 A random-effects logit model of work-welfare transitions***by*Enberg, John & Gottschalk, Peter & Wolf, Douglas**77-90 A general functional form for approximating the Lorenz curve***by*Basmann, R. L. & Hayes, K. J. & Slottje, D. J. & Johnson, J. D.**91-102 On the relationship between income inequality measures and social welfare functions***by*Dagum, Camilo**103-120 Inequality and the standard of living***by*Jorgenson, Dale W. & Slesnick, Daniel T.**121-133 Generalized entropy measures of mobility for different sexes and income levels***by*Maasoumi, Esfandiar & Zandvakili, Sourushe**135-151 Inflation, relative price variation, and inequality***by*Slesnick, Daniel T.**153-166 The poverty concept when prices are income-dependent***by*Van Praag, Bernard M. S. & Baye, Michael R.**167-177 Measuring wealth in a simple two-period model***by*Creedy, John**179-195 Methodological issues in the estimation of the size distribution of household wealth***by*Wolff, Edward N.**197-212 An intervention analysis of the war on poverty : Poverty's persistence and political-business cycle implications***by*Fomby, Thomas B. & Hayes, Kathy J.**213-226 Is the size distribution of income a random walk?***by*Hayes, Kathy & Slottje, D. J. & Porter-Hudak, Susan & Scully, Gerald**227-251 Regression models for positive random variables***by*McDonald, James B. & Butler, Richard J.

### November 1989, Volume 42, Issue 3

**287-297 Bootstrapping in multiplicative models***by*Srivastava, M. S. & Singh, Balvir**299-317 Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model***by*Turkington, Darrell A.**319-336 Estimating integrated higher-order continuous time autoregressions with an application to money-income causality***by*Harvey, A. C. & Stock, James H.**337-349 Mode regression***by*Lee, Myoung-jae**351-369 Asymptotic relative efficiency of the classical test statistics under misspecification***by*Saikkonen, Pentti**371-376 A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals***by*Lutkepohl, Helmut**377-379 A note on the application of the nonlinear two-stage least-squares estimator to a Box-Cox-transformed model***by*Khazzoom, J. Daniel

### October 1989, Volume 42, Issue 2

**157-179 The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept***by*Magnus, Jan R. & Pesaran, Bahram**181-199 A method for approximate representation of vector-valued time series and its relation to two alternatives***by*Aoki, Masanao & Havenner, Arthur**201-218 Risk and reactor safety systems adoption***by*Dubin, Jeffrey A. & Rothwell, Geoffrey S.**219-245 The reserve-labor hypothesis, short-run pricing theories, and the employment-output relationship***by*Garber, Steven**247-265 On the efficient estimation of simultaneous equations with covariance restrictions***by*Arellano, Manuel**267-273 An efficient GLS estimator of triangular models with covariance restrictions***by*Arellano, Manuel**275-283 A note on the estimation of nonsymmetric dynamic factor demand models***by*Madan, Dilip B. & Prucha, Ingmar R.

### September 1989, Volume 42, Issue 1

**1-3 Editor's introduction : The state of empirical work on economic inequality***by*Slottje, Daniel**5-19 Statistical properties of measures of between-group income differentials***by*Gastwirth, Joseph L. & Nayak, Tapan K. & Wang, Jane-Ling**21-25 Interpreting the magnitude of changes in measures of income inequality***by*Blackburn, McKinley L.**27-41 Sampling variance and decomposable inequality measures***by*Cowell, Frank A.**43-47 Improving the accuracy of estimates of Gini coefficients***by*Lerman, Robert I. & Yitzhaki, Shlomo**49-66 On the empirical relationship between several well-known inequality measures***by*Slottje, D. J. & Basmann, R. L. & Nieswiadomy, M.**67-80 Family size and social utility : Income distribution dominance criteria***by*Bourguignon, Francois**81-95 Income inequality measures based on sample surveys***by*Nygard, Fredrik & Sandstrom, Arne**97-108 Optimal grouping of income and wealth data***by*Davies, J. B. & Shorrocks, A. F.**109-119 Using incomplete moments to measure inequality***by*Butler, Richard J. & McDonald, James B.**121-130 Remembrance of things past the distribution of earnings across occupations and the kappa criterion***by*Hirschberg, Joseph G. & Slottje, D. J.**131-144 Continuously distributed attributes and measures of multivariate inequality***by*Maasoumi, Esfandiar**145-155 The development of international inequality 1960-1985***by*Theil, Henri

### July 1989, Volume 41, Issue 3

**285-301 Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrrelation is present***by*King, Maxwell L.**303-320 Estimating disequilibrium models with limited a priori price-adjustment information***by*Mayer, Walter J.**321-340 Induced work participation and the returns to experience for welfare women : Evidence from a social experiment***by*Steinberg, Dan**341-361 Estimation of the error-components model with incomplete panels***by*Wansbeek, Tom & Kapteyn, Arie**363-383 Modelling stochastic and cyclical components of technical change : An application of the Kalman filter***by*Slade, Margaret E.

### June 1989, Volume 41, Issue 2

**189-203 Elliptical multivariate analysis***by*Van Praag, Bernard M. S. & Wesselman, Bertram M.**205-235 Testing inequality constraints in linear econometric models***by*Wolak, Frank A.**237-250 Asymptotic efficiency calculations of the partial likelihood estimator***by*Han, Aaron K.**251-266 Testing Slutsky symmetry in systems of linear demand equations***by*Silver, J. Lew & Ali, Mukhtar M.**267-278 Estimation of regression coefficients with the help of characteristic functions***by*Van Montfort, Kees & Mooijaart, Ab & De Leeuw, Jan

### May 1989, Volume 41, Issue 1

**1-3 Latent variables models : Editors' introduction***by*Aigner, Dennis J. & Deistler, Manfred**5-16 Identification in restricted factor models and the evaluation of rank conditions***by*Bekker, Paul A.**17-38 Parametrization of factor analysis models***by*Picci, Giorgio**39-63 Linear dynamic errors-in-variables models : Some structure theory***by*Deistler, M. & Anderson, B. D. O.**65-89 Recursive solution methods for dynamic linear rational expectations models***by*Watson, Mark W.**91-119 Linear latent variable models and covariance structures***by*Anderson, T. W.**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

### February 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.

### January 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

### November 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.