# 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
(Zhang, Lei)**

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

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

**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.**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