# 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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### 1987, Volume 34, Issue 3

**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.

### 1985, Volume 30, Issue 1-2

**1-1 Editor's introduction***by*Barnett, William A. & Ronald Gallant, A.**3-31 The three-dimensional global properties of the minflex laurent, generalized leontief, and translog flexible functional forms***by*Barnett, William A. & Lee, Yul W. & Wolfe, Michael D.**33-44 The minflex-laurent translog flexible functional form***by*Barnett, William A.**45-66 On deviations between neoclassical and GFT-based true cost-of-living indexes derived from the same demand function system***by*Basmann, R. L. & Diamond, C. A. & Frentrup, J. C. & White, S. N.**67-90 On models and methods for Bayesian time series analysis***by*Carlin, J. B. & Dempster, A. P. & Jonas, A. B.**91-107 Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions***by*Charnes, A. & Cooper, W. W. & Golany, B. & Seiford, L. & Stutz, J.**109-126 Panel data from time series of cross-sections***by*Deaton, Angus**127-147 Tests for the consistency of consumer data***by*Diewert, W. E. & Parkan, C.**149-169 Non-parametric hypothesis testing procedures and applications to demand analysis***by*Epstein, Larry G. & Yatchew, Adonis J.**171-201 Explicitly infinite-dimensional Bayesian analysis of production technologies***by*Gallant, A. Ronald & Monahan, John F.**203-238 A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators***by*Hansen, Lars Peter**239-267 Alternative methods for evaluating the impact of interventions : An overview***by*Heckman, James J. & Robb, Richard Jr.**269-288 Identification of the coefficients in a non-linear : time series of the quadratic type***by*Hinich, Melvin J. & Patterson, Douglas M.**289-296 On non-linear serial dependencies in stock returns***by*Marsh, Terry A.**297-299 Reply to Marsh's note***by*Hinich, Melvin J. & Patterson, Douglas M.**301-316 Efficiency versus equity in natural gas price regulation***by*Jorgenson, Dale W. & Slesnick, Daniel T.**317-344 The estimation of complete aggregation structures***by*Powell, James L. & Stoker, Thomas M.**345-361 Comparison of alternative functional forms in production***by*Rossi, Peter E.**363-364 Discussion of Rossi's paper***by*Hinkley, David**365-389 The invariance principle and income-wealth conservation laws : Application of Lie groups and related transformations***by*Sato, Ryuzo**391-413 Testing specifications of economic agents' intertemporal optimum problems in the presence of alternative models***by*Singleton, Kenneth J.**415-443 Diagnostic testing and evaluation of maximum likelihood models***by*Tauchen, George**445-458 Non-parametric analysis of optimizing behavior with measurement error***by*Varian, Hal R.**459-471 Entry and empirical demand and supply analysis for competitive industries***by*Veloce, William & Zellner, Arnold

### 1985, Volume 29, Issue 3

**213-227 On the performance of tests by Wu and by Hausman for detecting the ordinary least squares bias problem***by*Nakamura, Alice & Nakamura, Masao**229-256 Generalized method of moments specification testing***by*K. Newey, Whitney**257-273 Some robust exact results on sample autocorrelations and tests of randomness***by*Dufour, Jean-Marie & Roy, Roch**275-287 Efficiency of iterative estimators in the regression model with AR(1) disturbances***by*Magee, Lonnie**289-303 Quadratic risk domination of restricted least squares estimators via Stein-ruled auxiliary constraints***by*Mittelhammer, Ron C.**305-325 Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties***by*MacKinnon, James G. & White, Halbert**327-340 Stochastic coefficient regression estimates of the sources of shifts into MMDA deposits using cross-section data***by*Parke, Darrel W. & Zagardo, Janice**341-350 The value of imperfect sample separation information in mixtures of normal distributions***by*Masson, Edwina A.

### 1985, Volume 29, Issue 1-2

**1-2 Editor's introduction***by*Van Dijk, Herman K.**3-18 Posterior moments computed by mixed integration***by*Van Dijk, Herman K. & Kloek, Teun & Boender, C. Guus E.**19-46 A 1-1 poly-t random variable generator with application to Monte Carlo integration***by*Bauwens, Luc & Richard, Jean-Francois**47-67 Is victimization chronic? a Bayesian analysis of multinomial missing data***by*Kadane, Joseph B.**69-95 Bayesian analysis of switching regression models***by*Lubrano, Michel**97-119 A bayesian analysis of some threshold switching models***by*Pole, A. M. & Smith, A. F. M.**121-148 Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services***by*Kooiman, Peter & Van Dijk, Herman K. & Thurik, A. Roy**149-163 Double- and single-bisection methods for subjective probability assessment in a location-scale family***by*Garthwaite, Paul H. & Dickey, James M.**165-172 Some aspects of prior elicitation problems in disequilibrium models***by*Lubrano, Michel**173-185 Interval prediction for Pareto and exponential observables***by*Geisser, Seymour**187-211 Bayesian regression diagnostics with applications to international consumption and income data***by*Zellner, Arnold & Moulton, Brent R.

### 1985, Volume 28, Issue 3

**273-289 Instrumental variable estimator for the nonlinear errors-in-variables model***by*Amemiya, Yasuo**291-305 Score tests for zero covariances in recursive linear models for grouped or censored data***by*Chesher, Andrew**307-326 A dymimic model of housing price determination***by*Engle, Robert F. & Lilien, David M. & Watson, Mark**327-362 Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples***by*Kiviet, Jan F.**363-370 The power of the Durbin-Watson test for regressions without an intercept***by*Kramer, W.

### 1985, Volume 28, Issue 2

**171-182 A Bayesian non-parametric estimate for multivariate regression***by*Poli, I.**183-192 Small-sample properties of dimensionality statistics for fitting VAR models to aggregate economic data : A Monte Carlo study***by*Nickelsburg, Gerald**193-203 A note on the equivalence of specification tests in the two-factor multivariate variance components model***by*Kang, Suk**205-222 Estimating substitution elasticities with the Fourier cost function : Some Monte Carlo results***by*Chalfant, James A. & Gallant, A. Ronald**223-230 The sensitivity of MLE to measurement error***by*Levine, David**231-245 A note on autoregressive error components models***by*Sevestre, P. & Trognon, A.**247-252 A note on the covariance matrix of the maximum likelihood estimator in constrained multivariate linear regression***by*Chang, Y. C.**253-268 Tests on the validity of static equilibrium models***by*Kulatilaka, Nalin

### 1985, Volume 28, Issue 1

**1-3 Editor's introduction***by*Kiefer, Nicholas M.**5-28 The duration of contract strikes in U.S. manufacturing***by*Kennan, John**29-49 Modelling the process of job search***by*Narendranathan, Wiji & Nickell, Stephen**51-69 Layoffs and duration dependence in a model of turnover***by*Burdett, Kenneth & Kiefer, Nicholas M. & Sharma, Sunil**71-84 State dependency in youth unemployment : A lost generation?***by*Lynch, Lisa M.**85-101 Unemployment insurance and the distribution of unemployment spells***by*Moffitt, Robert**103-112 Conception intervals and the substitution of fertility over time***by*Olsen, Randall J. & Farkas, George**113-126 Simultaneous equations models in applied search theory***by*Lancaster, Tony**127-134 Computation in duration models with heterogeneity***by*Waldman, Donald M.**135-154 Specification diagnostics based on Laguerre alternatives for econometric models of duration***by*Kiefer, Nicholas M.**155-169 Generalised residuals and heterogeneous duration models : With applications to the Weilbull model***by*Lancaster, Tony

### 1985, Volume 27, Issue 3

**273-298 Dynamic models of the labor force behavior of married women which can be estimated using limited amounts of past information***by*Nakamura, Alice & Nakamura, Masao**299-311 Second-order properties of estimators of serial correlation from regression residuals***by*Sheehan, Dennis P.**313-333 Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator***by*Manski, Charles F.**335-361 The effects of autocorrelation among errors on the consistency property of OLS variance estimator***by*Sharma, Subhash C.**363-370 A classical approach to Cox's test for non-nested hypotheses***by*Dastoor, Naorayex K.**371-381 Durbin-Watson tests for serial correlation in regressions with missing observations***by*Dufour, Jean-Marie & Dagenais, Marcel G.**383-386 A note on the asymptotic relative efficiency of M.L.E. in a linear model with Gamma disturbances***by*Deprins, D. & Simar, L.

### 1985, Volume 27, Issue 2

**143-161 Testing the autoregressive parameter with the t statistic***by*Nankervis, J. C. & Savin, N. E.**163-178 A point optimal test for heteroscedastic disturbances***by*Evans, Merran A. & King, Maxwell L.**179-196 Estimating regression equations with common explanatory variables but unequal numbers of observations***by*Conniffe, Denis**197-209 Homogeneity and endogeneity in systems of demand equations***by*Attfield, Clifford L. F.**211-219 Global identification of the dynamic shock-error model***by*Nowak, Eugen**221-234 Some tests for the constancy of regressions under heteroscedasticity***by*Tsurumi, Hiroki & Sheflin, Neil**235-258 The empirical determination of technology and expectations : A simplified procedure***by*Epstein, Larry G. & Yatchew, Adonis J.**259-269 A lagrange multiplier interpretation of disturbance estimators with an application to testing for nonlinearity***by*Harrison, M. J. & Keogh, Gary

### 1985, Volume 27, Issue 1

**1-20 Preferences of citizens for public expenditures on elementary and secondary education***by*Lankford, R. Hamilton**21-37 A point optimal test for autoregressive disturbances***by*King, Maxwell L.**39-60 The moments of ols and 2sls when the disturbances are non-normal***by*Knight, John L.**61-78 A nonlinear multivariate error components analysis of technology and specific factor productivity growth with an application to the U.S. Airlines***by*Sickles, Robin C.**79-97 Serial correlation in latent discrete variable models***by*Cosslett, Stephen R. & Lee, Lung-Fei**99-121 Mean estimation bias in least squares estimation of autoregressive processes***by*Pantula, Sastry G. & Fuller, Wayne A.**123-130 The behavior of speculative prices and the consistency of economic models***by*Webb, Robert I.**131-135 Correcting for truncation bias caused by a latent truncation variable***by*Bloom, David E. & Killingsworth, Mark R.**137-138 Erratum***by*Heckman, James J. & Singer, Burton

### 1984, Volume 26, Issue 3

**255-270 Errors-in-variables in demand systems***by*Stapleton, David C.**271-281 Systematic sampling and temporal aggregation in time series models***by*Weiss, Andrew A.**283-293 Linear transformations of vector ARMA processes***by*Lutkepohl, Helmut**295-321 Imposing curvature restrictions on flexible functional forms***by*Gallant, A. Ronald & Golub, Gene H.**323-353 Model specification testing of time series regressions***by*Bierens, Herman J.**355-373 A study of several new and existing tests for heteroscedasticity in the general linear model***by*Ali, Mukhtar M. & Giaccotto, Carmelo**375-385 Small sample properties of the mixed regression estimator***by*Ohtani, Kazuhiro & Honda, Yuzo**387-398 The exact distribution of exogenous variable coefficient estimators***by*Phillips, P. C. B.

### 1984, Volume 26, Issue 1-2

**1-15 The welfare econometrics of peak-load pricing for electricity : Editor's Introduction***by*Aigner, Dennis J.**17-34 A comparison of different methodologies in a case study of residential time-of-use electricity pricing : Cost-Benefit Analysis***by*Caves, Douglas W. & Christensen, Laurits R. & Schoech, Philip E. & Hendricks, Wallace**35-64 Measuring the consumer welfare effects of time-differentiated electricity prices***by*Parks, Richard W. & Weitzel, David**65-82 Estimating the distributional impact of time-of-day pricing of electricity***by*Howrey, E. Philip & Varian, Hal R.**83-113 Costs and benefits of peak-load pricing of electricity : A continuous-time econometric approach***by*Gallant, A. Ronald & Koenker, Roger W.**115-139 Appliance purchase and usage adaptation to a permanent time-of-day electricity rate schedule***by*Hausman, Jerry A. & Trimble, John**141-177 Response to residential time-of-use electricity rates : How transferable are the findings?***by*Kohler, Daniel F. & Mitchell, Bridger M.**179-203 Consistency of residential customer response in time-of-use electricity pricing experiments***by*Caves, Douglas W. & Christensen, Laurits R. & Herriges, Joseph A.**205-227 Estimation of time-of-use pricing response in the absence of experimental data : An application of the methodology of data transferability***by*Aigner, Dennis J. & Leamer, Edward E.**229-252 Large business customer response to time-of-day electricity rates***by*Park, Rolla Edward & Acton, Jan Paul

### 1984, Volume 25, Issue 3

**241-262 Convenient specification tests for logit and probit models***by*Davidson, Russell & MacKinnon, James G.**263-283 Exact finite sample properties of double k-class estimators in simultaneous equations***by*Dwivedi, T. D. & Srivastava, V. K.**285-302 Microeconometric evidence on the neoclassical model of demand***by*Kiefer, Nicholas M.**303-325 Least absolute deviations estimation for the censored regression model***by*Powell, James L.**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.