# Elsevier

# Journal of Econometrics

**Download restrictions:**Full text for ScienceDirect subscribers only

**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
(Zhang, Lei)**

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

**Citations RSS feed:**at CitEc

### Impact factors

- Simple (last 10 years)
- Recursive (10)
- Discounted (10)
- Recursive discounted (10)
- H-Index (10)
- Aggregate (10)

**Access and download statistics**

**Top item:**

- By citations
- By downloads (last 12 months)

### 1984, Volume 25, Issue 3

**327-351 The sampling distributions of the predictor for an autoregressive model under misspecifications***by*Tanaka, Katsuto & Maekawa, Koichi**353-364 Properties of technical efficiency estimators in the stochastic frontier model***by*Waldman, Donald M.**365-393 Bayesian analysis of dichotomous quantal response models***by*Zellner, Arnold & Rossi, Peter E.

### 1984, Volume 25, Issue 1-2

**1-2 Editor's introduction***by*Judge, George**3-14 Optimal critical regions for pre-test estimators using a Bayes risk criterion***by*Roehrig, C.S.**15-27 Specification pre-test estimator***by*Gourieroux, C. & Trognon, A.**29-33 The moments of a pre-test estimator under possible heteroscedasticity***by*Mandy, D.M.**35-48 Autocorrelation pre-testing in the linear model: Estimation, testing and prediction***by*King, M.L. & Giles, D.E.A.**49-61 The small-sample properties of some preliminary test estimators in a linear model with autocorrelated errors***by*Griffiths, W.E. & Beesley, P.A.A.**63-72 The statistical implications of preliminary specification error testing***by*Morey, M.J.**73-85 Avoiding model selection by the use of shrinkage techniques***by*Zaman, A.**87-108 Bayesian input in Stein estimation and a new minimax empirical Bayes estimator***by*Berger, J. & Berliner, L.M.**109-122 The sampling distribution of shrinkage estimators and theirF-ratios in the regression model***by*Ullah, A. & Carter, R.A.L. & Srivastava, V.K.**123-131 The exact distribution of the Stein-rule estimator***by*Phillips, P.C.B.**133-150 Some improved estimators in the case of possible heteroscedasticity***by*Yancey, T.A. & Judge, G.G. & Miyazaki, S.**151-164 Restricted least squares, pre-test, ols and stein rule estimators: Risk comparisons under model misspecification***by*Mittelhammer, R.C.**165-177 The non-optimality of the inequality restricted estimator under squared error loss***by*Judge, G.G. & Yancey, T.A. & Bock, M.E. & Bohrer, R.**179-190 On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors***by*Trenkler, G.**191-203 Some theoretical results for generalized ridge regression estimators***by*Fourgeaud, C. & Gourieroux, C. & Pradel, J.**205-216 The risk of general Stein-like estimators in the presence of multicollinearity***by*Hill, R.C. & Ziemer, R.F.**217-234 A simple form for the inverse moments of non-central [chi]2 andF random variables and certain confluent hypergeometric functions***by*Bock, M.E. & Judge, G.G. & Yancey, T.A.**235-239 Algorithms for numerical evaluation of Stein-like and limited-translation estimators***by*Bohrer, R. & Yancey, T.A.

### 1984, Volume 24, Issue 3

**223-233 Impacts of alternative degrees of freedom corrections in two and three stage least squares***by*Binkley, James K. & Nelson, Glenn**235-247 On price exogeneity in complete demand systems***by*Bronsard, Camille & Salvas-Bronsard, Lise**249-268 Modelling alternative residential peak-load electricity rate structures***by*Caves, Douglas W. & Christensen, Laurits R. & Herriges, Joseph A.**269-277 A new test for fourth-order autoregressive disturbances***by*King, Maxwell L.**279-292 Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system***by*Morimune, Kimio & Tsukuda, Yoshihiko**293-310 Estimating predictions, prediction errors and their standard deviations using constructed variables***by*Pagan, A. R. & Nicholls, D. F.**311-330 Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'***by*Penm, J. H. W. & Terrell, R. D.**331-347 Two reduced-form approaches to the derivation of the maximum-likelihood estimators for simultaneous-equation systems***by*Pollock, D. S. G.**349-361 Simple tests of alternative specifications in stochastic frontier models***by*Schmidt, Peter & Lin, Tsai-Fen**363-378 Bayesian parameter and reliability estimation for a bivariate exponential distribution parallel sampling***by*Shamseldin, A. A. & Press, S. James**379-395 Bayesian limited-information analysis of nonlinear simultaneous equations systems***by*Ter Berg, Peter & Harkema, Rins**397-403 Linear regression and the Yule distribution***by*Xekalaki, Evdokia

### 1984, Volume 24, Issue 1-2

**1-2 Editor's introduction***by*Amemiya, Takeshi**3-61 Tobit models: A survey***by*Amemiya, Takeshi**63-132 Econometric duration analysis***by*Heckman, James J. & Singer, Burton**133-158 Two-stage estimation of structural labor supply parameters using interval data from the 1971 canadian census***by*Ham, John & Hsiao, Cheng**159-179 Maximum likelihood estimation and a specification test for non-normal distributional assumption for the accelerated failure time models***by*Lee, Lung-Fei**181-196 Efficiency of the two-step estimator for models with endogenous sample selection***by*Nelson, Forrest D.**197-213 A Monte Carlo comparison of estimators for censored regression models***by*Paarsch, Harry J.**215-222 Software for the computation of Tobit model estimates***by*Hall, Bronwyn H.

### 1983, Volume 23, Issue 3

**295-300 A comparison of the Amemiya GLS and the Lee-Maddala-Trost G2SLS in a simultaneous-equations Tobit model***by*Amemiya, Takeshi**301-313 Testing the specification of multivariate models in the presence of alternative hypotheses***by*Davidson, Russell & MacKinnon, James G.**315-330 A general approach to intertemporal and interspatial productivity comparisons***by*Denny, Michael & Fuss, Melvyn**331-335 Pierce and Haugh on characterizations of causality: A re-examination***by*Evans, Lewis & Wells, Graeme**337-342 A remark on serial correlation in maximum likelihood***by*Levine, David**343-351 Testing rational expectations by the use of overidentifying restrictions***by*Startz, Richard**353-367 Detecting a shift in location : Some robust tests***by*Talwar, Prem P.**369-384 The industrial and commercial demand for electricity under time-of-use pricing***by*Tishler, Asher**385-400 Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models***by*Watson, Mark W. & Engle, Robert F.**401-405 A note on the decomposition of cost efficiency into technical and allocative components***by*Zieschang, Kimberly D.

### 1983, Volume 23, Issue 2

**165-191 On the relative efficiency of estimators which include the initial observations in the estimation of seemingly unrelated regressions with first-order autoregressive disturbances***by*Doran, H. E. & Griffiths, W. E.**193-210 U.S.-Japan automobile trade : A Bayesian test of a product life cycle***by*Tsurumi, Hiroki & Tsurumi, Yoshi**211-221 Identification of the dynamic shock-error model with autocorrelated errors***by*Nowak, Eugen**223-233 Sargan densities which one?***by*Missiakoulis, Spyros**235-251 A new look at the relationship between time-series and structural econometric models***by*Anderson, Richard G. & Johannes, James M. & Rasche, Robert H.**253-267 Consistent estimation of equations with composite moving average disturbance terms***by*McDonald, John & Darroch, John**269-274 On maximum likelihood estimation of stochastic frontier production models***by*Lee, Lung-Fei**275-283 Partially generalized least squares and two-stage least squares estimators***by*Amemiya, Takeshi**285-290 A note on amemiya's partially generalized least squares***by*Balestra, Pietro**291-292 Restrictions on variables***by*Don, F. J. H.

### 1983, Volume 23, Issue 1

**1-3 Editors' introduction***by*Miller, Robert B. & Hickman, James C.**5-35 Enriched multinormal priors revisited***by*Jewell, William S.**37-61 Second moments of estimates of outstanding claims***by*Taylor, G. C. & Ashe, F. R.**63-76 Compound poisson models in actuarial risk theory***by*Panjer, Harry H. & Willmot, Gordon E.**77-90 Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions***by*Goovaerts, M. J. & De Vylder, F.**91-102 On the estimation of long tailed skewed distributions with actuarial applications***by*Hogg, Robert V. & Klugman, Stuart A.**103-117 Death and survival in employee populations***by*Shapiro, Arnold F.**119-129 Hachemeister's Bayesian regression model revisited***by*Zehnwirth, Ben**131-146 Monitoring mortality : A state-space approach***by*De Jong, Piet & Boyle, Phelim P.**147-164 Practical models in credibility theory, including parameter estimation***by*De Vylder, F.

### 1983, Volume 22, Issue 3

**245-267 A test for distributional assumptions for the stochastic frontier functions***by*Lee, Lung-Fei**269-279 Approximations of the eigenvalues of the covariance matrix of a first-order autoregressive process***by*Stroeker, R. J.**281-290 A heteroscedasticity-consistent covariance matrix estimator for time series regressions***by*Hsieh, David A.**291-300 An examination of two-step estimators for models with lagged dependent variables and autocorrelated errors***by*Fomby, Thomas B. & Guilkey, David K.**301-316 An econometric model of the short-run demand for workers and hours in the U.S. auto industry***by*Chang, Julius C.**317-322 An invariance property of Farebrother's procedure for estimation with aggregated data***by*Baksalary, Jerzy K.**323-338 A general analysis of bias in the estimated standard errors of least squares coefficients***by*Greenwald, Bruce C.**339-364 Charging for local telephone calls : How household characteristics affect the distribution of calls in the GTE Illinois experiment***by*Park, Rolla Edward & Mitchell, Bridger M. & Wetzel, Bruce M. & Alleman, James H.**365-390 Ridge regression estimation of the Rotterdam model***by*Swamy, P. A. V. B. & Mehta, J. S.**391-393 A note on a fixed effect model with arbitrary interpersonal covariance***by*Schmidt, Peter

### 1983, Volume 22, Issue 1-2

**13-42 Simultaneous equation systems as moment structure models : With an introduction to latent variable models***by*Bentler, P. M.**43-65 Latent variable structural equation modeling with categorical data***by*Muthen, Bengt**67-90 Some comments on maximum likelihood and partial least squares methods***by*Dijkstra, Theo**91-111 Multivariate methods for quantitative and qualitative data***by*Keller, Wouter J. & Wansbeek, Tom**113-137 Models and methods for the analysis of correlation coefficients***by*De Leeuw, Jan**139-167 Analyzing rectangular tables by joint and constrained multidimensional scaling***by*Heiser, Willem J. & Meulman, Jacqueline**169-189 Correspondence analysis, with an extension towards nominal time series***by*Deville, J. -C. & Saporta, G.**191-214 Loglinear models and categorical data analysis with psychometric and econometric applications***by*Fienberg, Stephen E. & Meyer, Michael M.**215-227 Latent trait models***by*Andersen, Erling B.**229-243 Latent variable models for ordered categorical data***by*Bartholomew, D. J.

### 1983, Volume 21, Issue 3

**263-285 Estimation of consumer demand systems with binding non-negativity constraints***by*Wales, T. J. & Woodland, A. D.**287-306 Bayesian inference for pareto populations***by*Arnold, Barry C. & Press, S. James**307-331 Fully Bayesian analysis of ARMA time series models***by*Monahan, John F.**333-355 Two-step two-stage least squares estimation in models with rational expectations***by*Cumby, Robert E. & Huizinga, John & Obstfeld, Maurice**357-366 The Durbin-Watson test for serial correlation : Bounds for regressions using monthly data***by*King, Maxwell L.**367-386 Rationality, specification tests, and macroeconomic models***by*Hoffman, Dennis L. & Schlagenhauf, Don E.**387-388 A note on Balestra's (1980) approximate estimator for the first-order moving average process***by*Park, Choon Y. & Heikes, Russell G.**389-402 Properties of shrinkage estimators in linear regression when disturbances are not normal***by*Ullah, A. & Srivastava, V. K. & Chandra, R.

### 1983, Volume 21, Issue 2

**161-194 Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence***by*Geweke, John & Meese, Richard & Dent, Warren**195-212 Estimation of limited dependent variable models by ordinary least squares and the method of moments***by*Greene, William H.**213-228 Some aspects of testing non-nested hypotheses***by*Dastoor, Naorayex K.**229-243 The numerical values of some key parameters in econometric models***by*Anderson, T. W. & Morimune, Kimio & Sawa, Takamitsu**245-254 Identifiability criteria for Muth-rational expectations models***by*Wegge, Leon L. & Feldman, Mark**255-256 Comment to the editor***by*Wegge, Leon L. & Feldman, Mark**257-260 A note on moments of k-class estimators for negative k***by*Srivastava, V. K. & Srivastava, A. K.

### 1983, Volume 21, Issue 1

**1-3 Editor's introduction***by*White, Halbert**5-33 The null and non-null asymptotic distribution of the Cox test for multivariate nonlinear regression: Alternatives and a new distribution-free Cox test***by*Aguirre-Torres, Victor & Ronald Gallant, A.**35-51 Testing for autoregressive against moving average errors in the linear regression model***by*King, Maxwell L.**53-70 Tests for model specification in the presence of alternative hypotheses : Some further results***by*MacKinnon, James G. & White, Halbert & Davidson, Russell**71-81 Multiple model testing for non-nested heteroskedastic censored regression models***by*Smith, Marlene A. & Maddala, G. S.**83-115 Testing nested or non-nested hypotheses***by*Gourieroux, Christian & Monfort, Alain & Trognon, Alain**117-132 Tests for two separate regressions***by*Fisher, Gordon R.**133-154 Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence***by*Godfrey, L. G. & Pesaran, M. H.**155-160 Confidence contours for two test statistics for non-nested regression models***by*Hall, A. D.

### 1982, Volume 20, Issue 2

**163-174 Maximum entropy measurement error estimates of singular covariance matrices in undersized samples***by*Vinod, H. D.**175-195 Edgeworth approximations in first-order stochastic difference equations with exogenous variables***by*Tse, Y. K.**197-209 Specification error in multinomial logit models : Analysis of the omitted variable bias***by*Lee, Lung-Fei**211-253 Assessing the presence of harmful collinearity and other forms of weak data through a test for signal-to-noise***by*Belsley, David A.**255-284 Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation***by*Burmeister, Edwin & Wall, Kent D.**285-323 Unbiased determination of production technologies***by*Gallant, A. Ronald**325-333 An extension of a standard test for heteroskedasticity to a systems framework***by*Kelejian, Harry H.

### 1982, Volume 20, Issue 1

**1-2 Editor's introduction***by*White, Halbert**3-33 On the formulation of empirical models in dynamic econometrics***by*Hendry, David F. & Richard, Jean-Francois**35-58 Misspecified models with dependent observations***by*Domowitz, Ian & White, Halbert**59-82 Model specification tests : A simultaneous approach***by*Bera, Anil K. & Jarque, Carlos M.**83-104 A general approach to lagrange multiplier model diagnostics***by*Engle, Robert F.**105-134 Consistent model specification tests***by*Bierens, Herman J.**135-157 Estimation and testing in time-series regression models with heteroscedastic disturbances***by*Cragg, J. G.

### 1982, Volume 19, Issue 2-3

**183-201 On the behavior of inconsistent instrumental variable estimators***by*Maasoumi, Esfandiar & Phillips, Peter C. B.**203-213 A reply to Professors Maasoumi and Phillips***by*Hendry, David F.**215-231 Some results on the statistical properties of an inequality constrained least squares estimator in a linear model with two regressors***by*Thomson, Michael**233-238 On the estimation of technical inefficiency in the stochastic frontier production function model***by*Jondrow, James & Knox Lovell, C. A. & Materov, Ivan S. & Schmidt, Peter**239-285 Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood***by*Magnus, Jan R.**287-299 The estimation of the degree of oligopoly power***by*Appelbaum, Elie**301-318 Regularity conditions for cox's test of non-nested hypotheses***by*White, Halbert**319-331 The decomposition of frontier cost function deviations into measures of technical and allocative efficiency***by*Kopp, Raymond J. & Diewert, W. Erwin**333-343 Linear regression using both temporally aggregated and temporally disaggregated data***by*Palm, F. C. & Nijman, T. E.**345-366 Seasonality in dynamic regression models : A comparative study of finite sample properties of various regression estimators including band spectrum regression***by*Bunzel, Henning & Hylleberg, Svend**367-378 Non-causality due to omitted variables***by*Lutkepohl, Helmut**379-384 Empirical evidence of causality from consumer to wholesale prices***by*Colclough, William G. & Lange, Mark D.**385-390 A forecasting property of the unrestricted, restricted, and partially restricted reduced-form coefficients***by*Park, Soo-Bin

### 1982, Volume 19, Issue 1

**1-5 Introduction***by*Broemeling, Lyle**7-22 A Bayesian approach to retrospective identification of change-points***by*Booth, N.B. & Smith, A.F.M.**23-29 Bayesian detection of a change of scale parameter in sequences of independent gamma random variables***by*Diaz, Joaquin**31-76 Recursive stability analysis of linear regression relationships: An exploratory methodology***by*Dufour, Jean-Marie**77-87 A Bayesian analysis of a switching linear model***by*Holbert, Donald**89-107 Robust inferences for structural shift in regression models***by*Hsu, D.A.**109-123 Test for normality in the econometric disequilibrium markets model***by*Lee, Lung-Fei**125-145 Testing separate regression models subject to specification error***by*McAleer, Michael & Fisher, Gordon**147-163 Structural changes in time series models***by*Salazar, Diego**165-182 A Bayesian and maximum likelihood analysis of a gradual switching regression in a simultaneous equation framework***by*Tsurumi, Hiroki

### 1982, Volume 18, Issue 3

**295-311 Some sampling properties of minimum expected loss (MELO) estimators of structural coefficients***by*Park, Soo-Bin**313-335 A note on the use of aggregate data in individual choice models : Discrete consumer choice among alternative fuels for residential appliances***by*Hartman, Raymond S.**337-349 When is an aggregate of a time series efficiently forecast by its past?***by*Kohn, Robert**351-368 Sample selection bias with multiple selection rules : An application to student aid grants***by*Catsiapis, George & Robinson, Chris**369-393 Restrictions on variables***by*Don, F. J. Henk**395-401 A note on the unbiasedness of Swamy's estimator for the random coefficient regression model***by*Rao, U. L. Gouranga

### 1982, Volume 18, Issue 2

**191-205 Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system***by*Fujikoshi, Yasunori & Morimune, Kimio & Kunitomo, Naoto & Taniguchi, Masanobu**207-217 Recursive estimation of simultaneous equation models***by*Chavas, Jean-Paul**219-237 Identifying restrictions in limited information analysis of the schooling coefficient in a wage equation***by*Kiefer, Nicholas M.**239-249 A bayesian analysis of a random coefficient model in a simple keynesian system***by*Tsurumi, Hiroki & Shiba, Tsunemasa**251-261 Bayesian estimation of the switching regression model with autocorrelated errors***by*Ohtani, Kazuhiro**263-274 On the comprehensive method of testing non-nested regression models***by*Pesaran, M. H.**275-279 A stationary point for the stochastic frontier likelihood***by*Waldman, Donald M.**281-284 Underestimation of mean square error matrix in misspecified linear models***by*Terasvirta, Timo**285-289 Maximum likelihood estimation of stochastic frontier production models***by*Greene, William H.**291-294 A note on testing demand homogeneity***by*Bera, Anil K.

### 1982, Volume 18, Issue 1

**1-3 Editors' introduction***by*Heckman, J. & Singer, B.**5-46 Multivariate regression models for panel data***by*Chamberlain, Gary**47-82 Formulation and estimation of dynamic models using panel data***by*Anderson, T. W. & Hsiao, Cheng**83-114 The use of time series processes to model the error structure of earnings in a longitudinal data analysis***by*MaCurdy, Thomas E.**115-168 New methods for analyzing structural models of labor force dynamics***by*Flinn, C. & Heckman, J.**169-190 Aspects of non-stationarity***by*Singer, Burton

### 1981, Volume 17, Issue 3

**263-285 Conditional distributions of earnings, wages and hours for blacks and whites***by*White, Halbert & Olson, Lawrence**287-304 Latent variable models for time series : A frequency domain approach with an application to the permanent income hypothesis***by*Geweke, John F. & Singleton, Kenneth J.**305-321 Sources of error in economic time series***by*Pierce, David A.**323-331 Pitfalls of testing non-nested hypotheses by the lagrange multiplier method***by*Pesaran, M. H.**333-350 Model occurrence and model selection in panel data sets***by*Poirier, Dale J. & Klepper, Steven**351-381 A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least squares estimator***by*Amemiya, Takeshi & Powell, James L.**383-387 A note on the moments of partially restricted reduced forms***by*McCarthy, Michael D.**389-392 On the existence of moments of partially restricted reduced form estimators : A comment***by*Swamy, P. A. V. B. & Mehta, J. S.

### 1981, Volume 17, Issue 2

**141-155 Econometric modelling with non-normal disturbances***by*Goldfeld, Stephen M. & Quandt, Richard E.**157-176 Granger-causality in multiple time series***by*TjOstheim, Dag**177-188 An analysis of the bounds for the Gini coefficient***by*McDonald, James B. & Ransom, Michael R.**189-200 Simultaneous equations with error components***by*Baltagi, Badi H.**201-227 Departures from marginal-cost pricing in the American automobile industry : Estimates for 1977-1978***by*Bresnahan, Timothy F.**229-252 The demand for deductibles in private health insurance : A probit model with sample selection***by*Van de Ven, Wynand P. M. M. & Van Praag, Bernard M. S.**253-258 Further evidence on the robustness of the Tobit estimator to heteroskedasticity***by*Arabmazar, Abbas & Schmidt, Peter

### 1981, Volume 17, Issue 1

**1-19 Assessing the potential demand for electric cars***by*Beggs, S. & Cardell, S. & Hausman, J.**21-49 Pooling : An experimental study of alternative testing and estimation procedures in a two-way error component model***by*Baltagi, Badi H.**51-66 The alternative Durbin-Watson test : An assessment of Durbin and Watson's choice of test statistic***by*King, M. L.**67-82 On the efficiency of the Cochrane-Orcutt estimator***by*Taylor, William E.**83-97 Asymptotic properties of the maximum likelihood estimator in dichotomous logit models***by*Gourieroux, Christian & Monfort, Alain**99-105 Testing for serial correlation in simultaneous equation models : Some further results***by*Harvey, A. C. & Phillips, G. D. A.**107-112 A note on studentizing a test for heteroscedasticity***by*Koenker, Roger**113-123 Improved Stein-rule estimator for regression problems***by*Carter, R. A. L.**125-125 Improved Stein-rule estimator for regression problems***by*Vinod, H. D.**127-130 Large sample estimation and testing procedures for dynamic equation systems***by*McDonald, John & Darroch, John