# 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
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(Zhang, Lei)**

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

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### 1983, Volume 23, Issue 2

**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**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.