# 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 (Shamier, Wendy)**

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

**ISSN:**0304-4076

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

### 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.**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.

### July 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

### March 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

### February 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

### January 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

### November 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