# 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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### 1982, Volume 18, Issue 2

**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**131-138 Large sample estimation and testing procedures for dynamic equation systems***by*Palm, Franz & Zellner, Arnold

### 1981, Volume 16, Issue 3

**277-294 Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models***by*Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo**295-310 Problems with the estimation of moving average processes***by*Davidson, James E. H.**311-337 A study of estimator densities and performance under misspecification***by*Rhodes, George Jr. & Westbrook, M. Daniel**339-365 Short-run labor productivity in a dynamic model***by*Morrison, C. J. & Berndt, E. R.**367-374 Omission of an observation from a regression analysis : A dicussion on efficiency loss, with applications***by*Doran, Howard E.**375-398 Identification of rational expectations models***by*Pesaran, M. H.**399-399 International meeting on analysis of sample survey data and sequential analysis***by*Yahav, J. & Nathan, G.

### 1981, Volume 16, Issue 2

**171-198 On fitting distributed lag models subject to polynomial restrictions***by*Pagano, Marcello & Hartley, Michael J.**199-210 Aggregate expectations under the stable laws***by*Batchelor, R. A.**211-219 A model for non-negative and non-positive distributed lag functions***by*Lutkepohl, Helmut**221-236 Estimating economic relations from incomplete cross-section/time-series data***by*Biorn, Erik**237-247 A note on identification of multivariate time-series models***by*Maravall, Agustin**249-256 On the appropriateness of endogenous switching***by*Poirier, Dale J. & Ruud, Paul A.**257-274 Inference in some disaggregated models with special covariance structure***by*Speakes, Jeffrey K.

### 1981, Volume 16, Issue 1

**1-1 Editor's introduction***by*Maddala, G. S.**3-14 Likelihood of a model and information criteria***by*Akaike, Hirotugu**15-20 Likelihood ratios, posterior odds and information criteria***by*Atkinson, A. C.**21-33 A comparison of the information and posterior probability criteria for model selection***by*Chow, Gregory C.**35-49 Alternative formulations of the Nerlove-Press models***by*Maddala, G. S. & Trost, R. P.**51-69 Fully recursive probability models and multivariate log-linear probability models for the analysis of qualitative data***by*Lee, Lung-Fei**71-87 Alternative tests of rational expectations models : The case of the term structure***by*Shiller, Robert J.**89-102 On the estimation of inflationary expectations from qualitative responses***by*Fishe, Raymond P. H. & Lahiri, Kajal**103-119 Alternative procedures and associated tests of significance for non-nested hypotheses***by*Fisher, Gordon R. & McAleer, Michael**121-130 Some properties of time series data and their use in econometric model specification***by*Granger, C. W. J.**131-138 The role of bounded-influence estimation in model selection***by*Krasker, William S.**139-149 On the concept of non-significant functions and its implications for regression analysis***by*Mundlak, Yair**151-152 Posterior odds ratios for regression hypotheses : General considerations and some specific results***by*Zellner, Arnold**153-153 Specification and inference in linear models***by*Florens, J. -P. & Mouchart, M. & Richard, J. -F.**154-154 On the nature and discovery of structure***by*Pratt, John W. & Schlaifer, Robert**155-155 Panel data and unobservable individual effects***by*Hausman, Jerry A. & Taylor, William E.**156-156 Are employment decisions based on rational expectations?***by*Muellbauer, John**157-157 Single-market disequilibrium models : Estimating and testing***by*Goldfeld, Stephen M. & Quandt, Richard E.**158-158 Pitfalls of testing non-nested hypotheses by the lagrange multiplier method***by*Pesaran, M. H.**159-159 Model formulation to simplify selection when specification is uncertain***by*Hendry, David F. & Richard, Jean-Francois**160-161 Identification in models with autoregressive errors***by*Sargan, J. D.**162-162 Estimating regression models of finite but unknown order***by*Geweke, John & Meese, Richard**163-163 Robust estimation of ARIMA models***by*Vandaele, Walter**164-164 Models of duration dependence***by*Chamberlain, Gary**165-165 Approximations for densities of sufficient estimators***by*Durbin, J.**166-166 Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters***by*Gourieroux, Christian & Holly, Alberto & Monfort, Alain**167-167 Assessing the quality of regression estimates through a test for signal-to-noise and its application to detecting harmful collinearity***by*Belsley, David A.

### 1981, Volume 15, Issue 3

**311-340 Testing for heteroscedasticity in simultaneous equation models***by*Harvey, A. C. & Phillips, G. D. A.**341-356 A bayesian approach to time-varying cross-sectional regression models***by*Liu, Lon-Mu & Hanssens, Dominique M.**357-366 Linear regression after selection***by*Goldberger, Arthur S.**367-396 The estimation of economic depreciation using vintage asset prices : An application of the Box-Cox power transformation***by*Hulten, Charles R. & Wykoff, Frank C.**397-404 On comparing restricted least squares estimators***by*Guilkey, David K. & Price, J. Michael

### 1981, Volume 15, Issue 2

**177-209 A random coefficient approach to seasonal adjustment of economic time series***by*Havenner, A. & Swamy, P. A. V. B.**211-245 On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form***by*Gallant, A. Ronald**247-263 Causality and the independence phenomenon : The case of the demand for money***by*Hernandez-Iglesias, C. & Hernandez-Iglesias, F.**265-287 Testing the restrictions implied by the rational expectations hypothesis***by*Hoffman, Dennis L. & Schmidt, Peter**289-298 Estimators without moments : The case of the reciprocal of a normal mean***by*Zaman, Asad**299-307 Joint estimation and testing for functional form and heteroskedasticity***by*Lahiri, Kajal & Egy, Daniel**309-309 News Item***by*Perryman, M. Ray

### 1981, Volume 15, Issue 1

**13-24 On the control of structural models***by*Norman, Alfred L.**25-28 On the control of structural models--comment***by*Chow, Gregory C.**29-29 On the control of structural models--reply***by*Norman, Alfred L.**31-48 A maximum probability approach to short-run policy***by*Tinsley, P. & Von Zur Muehlen, P.**49-62 On the accuracy and efficiency of polynomial approximations in optimal macroeconomic policy determination***by*Palash, Carl J.**65-92 Assessing international interdependence with a multi-country model***by*Howe, Howard & Hernandez-Cata, Ernesto & Stevens, Guy & Berner, Richard & Clark, Peter & Kwack, Sung Y.**93-114 Indexing the U.S. economy : Simulation results with the MPS model***by*Flannery, Mark J. & Johnson, Lewis**117-137 An expose of disguised deposits***by*Tinsley, P. A. & Garrett, Bonnie & Friar, Monica**139-154 Imperfect asset elasticities and financial model building***by*Melton, William C. & Vance Roley, V.**155-173 Economies to scale in federal reserve check processing operations***by*Humphrey, David Burras

### 1980, Volume 14, Issue 3

**287-306 Econometric analysis of residential time-of-use electricity pricing experiments***by*Caves, Douglas W. & Christensen, Laurits R.**307-328 Further experience in Bayesian analysis using Monte Carlo integration***by*van Dijk, H. K. & Kloek, T.**329-347 Decision rules for the choice of structural equations***by*Morimune, Kimio & Sawa, Takamitsu**349-364 Consistent moment estimators of regression coefficients in the presence of errors in variables***by*Pal, Manoranjan**365-379 Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1***by*De Gooijer, Jan G.**381-394 A note on the exact transformation associated with the first-order moving average process***by*Balestra, Pietro

### 1980, Volume 14, Issue 2

**161-181 A comparison of estimators for undersized samples***by*Swamy, P. A. V. B.**183-194 On the existence of moments of partially restricted reduced form coefficients***by*Swamy, P. A. V. B. & Mehta, J. S.**195-202 Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance***by*Kiefer, Nicholas M.**203-225 On the efficient computation of the nonlinear full-information maximum-likelihood estimator***by*Belsley, David A.**227-238 Long memory relationships and the aggregation of dynamic models***by*Granger, C. W. J.**239-246 Classification probabilities for the disequilibrium model***by*Gersovitz, Mark**247-255 Implications of the specification of technologies : Further evidence***by*Geary, Patrick T. & McDonnell, Edward J.**257-264 Approximate maximum likelihood estimation with data sets that exceed computer limits***by*Duncan, Gregory M.**265-270 The coefficient of determination and simultaneous equation systems***by*Knight, John L.**271-276 The structure of simultaneous equations estimators : A comment***by*Anderson, G. J.**277-280 Experience with using the Box-Cox transformation when forecasting economic time series : A comment***by*Poirier, Dale J.

### 1980, Volume 14, Issue 1

**3-8 Editor's introduction to part I***by*A. Barnett, William**11-48 Economic monetary aggregates an application of index number and aggregation theory***by*Barnett, William A.**49-53 Economic monetary aggregates--comment***by*Clements, Kenneth W. & Nguyen, Phuong**55-56 Economic monetary aggregates--comment***by*Offenbacher, Edward K.**57-59 Economic monetary aggregates--reply***by*Barnett, William A.**61-91 Indicator and filter attributes of monetary aggregates : A nit-picking case for disaggregation***by*Tinsley, P. A. & Spindt, P. A. & Friar, M. E.**95-114 Data revisions with moving average seasonal adjustment procedures***by*Pierce, David A.**115-136 Effects of alternative seasonal adjustment procedures on monetary policy***by*Maravall, Agustin**137-140 Effects of alternative seasonal adjustment procedures on monetary policy -- comment***by*Stokes, Houston H.**141-158 Dynamic factor demand schedules for labor and capital under rational expectations***by*Meese, Richard

### 1980, Volume 13, Issue 3

**269-291 Full-information estimates of a nonlinear macroeconometric model***by*Fair, Ray C. & Parke, William R.**293-303 On the estimation of multinomial logit models from relative frequency data***by*Parks, Richard W.**305-325 Random coefficient first-order autoregressive models***by*Liu, Lon-Mu & Tiao, George C.**327-340 Useful invariance results for generalized regression models***by*Breusch, Trevor S.**341-363 Some identification and estimation results for regression models with stochastically varying coefficients***by*Pagan, Adrian**365-390 On having your cake and eating it too : Econometric problems in estimating the demand for health services***by*Newhouse, Joseph P. & Phelps, Charles E. & Marquis, M. Susan**391-402 To pool or not to pool? : A reexamination of Tobin's food demand problem***by*Izan, Haji Y.

### 1980, Volume 13, Issue 2

**139-157 Predictors for the first-order autoregressive process***by*Fuller, Wayne A. & Hasza, David P.**159-183 Finite sample properties of estimators for autoregressive moving average models***by*Ansley, Craig F. & Newbold, Paul**185-201 Estimating the autocorrelated error model with trended data***by*Park, Rolla Edward & Mitchell, Bridger M.**203-223 Small sample considerations in estimation from panel data***by*Taylor, William E.**225-251 The estimation of the ambulatory medical care technology where output is an unobservable variable***by*Over, A. Jr. & Smith, Kenneth R.**253-266 Fiscal versus monetary policy : An application of transfer functions***by*Maloney, M. T. & Ireland, M. E.

### 1980, Volume 13, Issue 1

**1-3 Editors' introduction***by*Aigner, Dennis J. & Schmidt, Peter**5-25 A survey of frontier production functions and of their relationship to efficiency measurement***by*Forsund, Finn R. & Lovell, C. A. Knox & Schmidt, Peter**27-56 Maximum likelihood estimation of econometric frontier functions***by*Greene, William H.**57-66 Likelihood functions for generalized stochastic frontier estimation***by*Stevenson, Rodney E.**67-82 A Monte Carlo study of estimators of stochastic frontier production functions***by*Olson, Jerome A. & Schmidt, Peter & Waldman, Donald M.**83-100 Estimating stochastic production and cost frontiers when technical and allocative inefficiency are correlated***by*Schmidt, Peter & Lovell, C. A. Knox**101-115 On the estimation of a flexible frontier production model***by*Greene, William H.**117-138 On the estimation of deterministic and stochastic frontier production functions : A comparison***by*Broek, Julien van den & Forsund, Finn R. & Hjalmarsson, Lennart & Meeusen, Wim

### 1980, Volume 12, Issue 3

**251-283 Large sample estimation and testing procedures for dynamic equation systems***by*Palm, Franz & Zellner, Arnold**285-299 The efficiency of estimating a random coefficient model***by*Raj, Baldev & Srivastava, Virender Kumar & Upadhyaya, Sushama**301-318 Small samples and collateral information : An application of the hyperparameter model***by*Trivedi, P. K.**319-333 A test of a disequilibrium model***by*Hwang, Hae-shin**335-351 On the evaluation of poly-t density functions***by*Richard, J. -F. & Tompa, H.**353-363 Finding common seasonal patterns among time series : An MDS approach***by*Raveh, Adi & Tapiero, Charles S.**365-374 Predictions from ARMAX models***by*Baillie, Richard T.**375-387 The lag relationship between wholesale and consumer prices : An application of the Hatanaka-Wallace procedure***by*Lew Silver, J. & Dudley Wallace, T.**389-392 A note on a Bayesian estimator in an autocorrelated error model***by*Griffiths, William & Dao, Dan

### 1980, Volume 12, Issue 2

**103-142 Linear prediction and estimation methods for regression models with stationary stochastic coefficients***by*Swamy, P. A. V. B. & Tinsley, P. A.**143-150 Improved stein-rule estimator for regression problems***by*Vinod, H. D.**151-159 Estimation of regression coefficients after a preliminary test for homoscedasticity***by*Ohtani, Kazuhiro & Toyoda, Toshihisa**161-176 A ridge-like method for simultaneous estimation of simultaneous equations***by*Maasoumi, Esfandiar**177-187 New evidence on the small properties of estimators of sur models with autocorrelated disturbances***by*Maeshiro, Asatoshi**189-207 Endogenous capital utilization in a short-run production model : Theory and an empiral application***by*Epstein, L. & Denny, M.**209-217 Partial observability in bivariate probit models***by*Poirier, Dale J.**219-230 Forecasting contemporal aggregates of multiple time series***by*Tiao, G. C. & Guttman, Irwin**231-243 The use of indicator variables in computing predictions***by*Fuller, Wayne A.**245-246 On the expected length of the least squares coefficient vector***by*Brook, Richard J. & Moore, Terry

### 1980, Volume 12, Issue 1

**1-2 Editor's introduction***by*Dent, Warren T.**3-22 Test procedures and test problems for least squares algorithms***by*Wampler, Roy H.**23-39 Simultaneous equations estimation : Computational aspects***by*Jennings, L. S.**41-48 Rules and software for detecting rank degeneracy***by*Golub, Gene & Klema, Virginia & Peters, Stephen C.**49-58 On restricted estimation in linear models***by*Dent, Warren T.**59-84 Computations for constrained linear models***by*Gallant, A. Ronald & Gerig, Thomas M.**85-102 Autoreg: a computer program library for dynamic econometric models with autoregressive errors***by*Hendry, David F. & Srba, Frank

### 1979, Volume 11, Issue 2-3

**207-232 Expectations and labor market adjustments***by*Crawford, Robert G.**233-246 A random coefficient probit model with an application to a study of migration***by*Akin, John S. & Guilkey, David K. & Sickles, Robin**247-258 Estimation in truncated samples when there is heteroscedasticity***by*Hurd, Michael**259-274 A switching regression method using inequality conditions***by*Tishler, Asher & Zang, Israel**275-302 Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation***by*Gallant, A. Ronald & Jorgenson, Dale W.**303-317 A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors***by*Corradi, Corrado**319-334 The mean squared errors of the maximum likelihood and natural-conjugate bayes regression estimators***by*Giles, D. E. A. & Rayner, A. C.**335-351 A temporal cross-section approach to the price equation***by*Barth, James & Kraft, Arthur & Kraft, John**353-361 Disequilibrium econometrics in dynamic models***by*Laffont, Jean-Jacques & Monfort, Alain**363-365 The concentration ellipsoid of a random vector***by*Phillips, P. C. B.

### 1979, Volume 11, Issue 1

**1-5 Editors' introduction***by*Aigner, Dennis J. & Morris, Carl N.**7-26 A brief introduction to the methodology of optimal experimental design***by*Aigner, Dennis J.**27-42 A model for optimizing experimental designs for estimating response surfaces***by*Conlisk, John & Watts, Harold**43-61 A finite selection model for experimental design of the health insurance study***by*Morris, Carl**63-76 Design for simultaneous equations***by*Conlisk, John**77-115 Social experiments in economics***by*Ferber, Robert & Hirsch, Werner Z.**117-129 Measurement issues in the second generation of social experiments : The health insurance study***by*Newhouse, Joseph P. & Marquis, Kent H. & Morris, Carl N. & Phelps, Charles E. & Rogers, William H.**131-194 Design of the Los Angeles peak-load pricing experiment for electricity***by*Manning, Williard Jr. & Mitchell, Bridger M. & Acton, Jan Paul**195-205 Sample design for electricity pricing experiments : Anticipated precision for a time-of-day pricing experiment***by*Aigner, Dennis J.

### 1979, Volume 10, Issue 3

**263-289 A two-level electricity demand model : Evaluation of the connecticut time-of-day pricing test***by*Hausmann, J. A. & Kinnucan, M. & McFaddden, D.**291-311 Modeling monetary policy as an unobserved variable***by*Avery, Robert B.**313-331 Firm interdependence in oligopolistic markets***by*Gollop, Frank M. & Roberts, Mark J.**333-359 The reconstruction of index data in aggregative econometric models***by*Ho, Dit Sang**361-383 Stochastic specification and the estimation of share equations***by*Woodland, A. D.

### 1979, Volume 10, Issue 2

**127-145 Market analysis with rational expectations : Theory and estimation***by*Huntzinger, R. La Var**147-163 The analysis of seasonal economic models***by*Plosser, Charles I.**165-191 A comparative study of complete systems of demand functions***by*Klevmarken, N. Anders