# 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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### 2009, Volume 151, Issue 2

**140-149 An automatic Portmanteau test for serial correlation***by*Escanciano, J. Carlos & Lobato, Ignacio N.**150-158 Long memory and long run variation***by*Phillips, Peter C.B.**159-177 Estimators of long-memory: Fourier versus wavelets***by*Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S.**178-189 A Wald test for the cointegration rank in nonstationary fractional systems***by*Avarucci, Marco & Velasco, Carlos**190-200 Whittle estimation of EGARCH and other exponential volatility models***by*Zaffaroni, Paolo

### 2009, Volume 151, Issue 1

**1-16 The optimal choice of moments in dynamic panel data models***by*Okui, Ryo**17-32 Optimally combining censored and uncensored datasets***by*Devereux, Paul J. & Tripathi, Gautam**33-46 A specification test for the propensity score using its distribution conditional on participation***by*Shaikh, Azeem M. & Simonsen, Marianne & Vytlacil, Edward J. & Yildiz, Nese**47-55 GMM redundancy results for general missing data problems***by*Prokhorov, Artem & Schmidt, Peter**56-69 Estimating deterministic trends with an integrated or stationary noise component***by*Perron, Pierre & Yabu, Tomoyoshi**70-81 Minimax regret treatment choice with finite samples***by*Stoye, Jörg**82-97 Local structural quantile effects in a model with a nonseparable control variable***by*Jun, Sung Jae

### 2009, Volume 150, Issue 2

**117-118 Guest editors' introduction***by*Kuan, Chung-Ming & Hong, Yongmiao**119-138 Predictive density estimators for daily volatility based on the use of realized measures***by*Corradi, Valentina & Distaso, Walter & Swanson, Norman R.**139-150 A two-stage realized volatility approach to estimation of diffusion processes with discrete data***by*Phillips, Peter C.B. & Yu, Jun**151-166 A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects***by*Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George**167-181 The Wishart Autoregressive process of multivariate stochastic volatility***by*Gourieroux, C. & Jasiak, J. & Sufana, R.**182-192 The structure of dynamic correlations in multivariate stochastic volatility models***by*Asai, Manabu & McAleer, Michael**193-206 Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models***by*Dufour, Jean-Marie & Valéry, Pascale**207-218 Copula-based multivariate GARCH model with uncorrelated dependent errors***by*Lee, Tae-Hwy & Long, Xiangdong**219-230 Maximum entropy autoregressive conditional heteroskedasticity model***by*Park, Sung Y. & Bera, Anil K.**231-247 Extracting a common stochastic trend: Theory with some applications***by*Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y.**248-260 Quantile cointegrating regression***by*Xiao, Zhijie**261-270 Assessing value at risk with CARE, the Conditional Autoregressive Expectile models***by*Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin**271-287 Granger causality in risk and detection of extreme risk spillover between financial markets***by*Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang**288-296 Estimating the structural credit risk model when equity prices are contaminated by trading noises***by*Duan, Jin-Chuan & Fulop, Andras**297-311 Forecasts of US short-term interest rates: A flexible forecast combination approach***by*Guidolin, Massimo & Timmermann, Allan**312-321 Discrete choice modeling with nonstationary panels applied to exchange rate regime choice***by*Jin, Sainan**322-331 The role of beliefs in inference for rational expectations models***by*Lehmann, Bruce N.

### 2009, Volume 150, Issue 1

**1-15 Dynamics of state price densities***by*Härdle, Wolfgang & Hlávka, Zdenek**16-29 Edgeworth expansions and normalizing transforms for inequality measures***by*Schluter, Christian & van Garderen, Kees Jan**30-40 Reliable inference for the Gini index***by*Davidson, Russell**41-55 Identification of peer effects through social networks***by*Bramoullé, Yann & Djebbari, Habiba & Fortin, Bernard**56-70 Two estimators of the long-run variance: Beyond short memory***by*Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas**71-85 Fixed effects estimation of structural parameters and marginal effects in panel probit models***by*Fernández-Val, Iván**86-98 Central limit theorems and uniform laws of large numbers for arrays of random fields***by*Jenish, Nazgul & Prucha, Ingmar R.**99-115 On the statistical identification of DSGE models***by*Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia

### 2009, Volume 149, Issue 2

**101-117 Semiparametric binary regression models under shape constraints with an application to Indian schooling data***by*Banerjee, Moulinath & Mukherjee, Debasri & Mishra, Santosh**118-135 Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors***by*Kurozumi, Eiji & Hayakawa, Kazuhiko**136-148 Bayesian analysis of random coefficient logit models using aggregate data***by*Jiang, Renna & Manchanda, Puneet & Rossi, Peter E.**149-173 Tests of risk premia in linear factor models***by*Kleibergen, Frank**174-190 Delay times of sequential procedures for multiple time series regression models***by*Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L.**191-208 Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality***by*Carneiro, Pedro & Lee, Sokbae

### 2009, Volume 149, Issue 1

**1-1 Announcement of the establishment of the Amemiya lecture series***by*Hsiao, Cheng**2-11 Testing the assumptions behind importance sampling***by*Koopman, Siem Jan & Shephard, Neil & Creal, Drew**12-25 Consistent noisy independent component analysis***by*Bonhomme, Stphane & Robin, Jean-Marc**26-51 Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope***by*Kim, Dukpa & Perron, Pierre**52-64 Bootstrap validity for the score test when instruments may be weak***by*Moreira, Marcelo J. & Porter, Jack R. & Suarez, Gustavo A.**65-81 Parameter estimation and bias correction for diffusion processes***by*Tang, Cheng Yong & Chen, Song Xi**82-99 Panel cointegration with global stochastic trends***by*Bai, Jushan & Kao, Chihwa & Ng, Serena

### 2009, Volume 148, Issue 2

**101-113 Functional-coefficient models for nonstationary time series data***by*Cai, Zongwu & Li, Qi & Park, Joon Y.**114-123 Simulation based selection of competing structural econometric models***by*Li, Tong**124-130 The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators***by*Lawford, Steve & Stamatogiannis, Michalis P.**131-148 Estimation of continuous-time stochastic volatility models with jumps using high-frequency data***by*Todorov, Viktor**149-161 A test of cross section dependence for a linear dynamic panel model with regressors***by*Sarafidis, Vasilis & Yamagata, Takashi & Robertson, Donald**162-178 Predictable returns and asset allocation: Should a skeptical investor time the market?***by*Wachter, Jessica A. & Warusawitharana, Missaka**179-185 Thirty-five years of journal of econometrics***by*Amemiya, Takeshi**186-200 A nonparametric test for equality of distributions with mixed categorical and continuous data***by*Li, Qi & Maasoumi, Esfandiar & Racine, Jeffrey S.

### 2009, Volume 148, Issue 1

**1-13 Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses***by*Kim, Dukpa & Perron, Pierre**14-24 Tests for changing mean with monotonic power***by*Juhl, Ted & Xiao, Zhijie**25-35 Studying co-movements in large multivariate data prior to multivariate modelling***by*Cubadda, Gianluca & Hecq, Alain & Palm, Franz C.**36-45 On the distribution of estimated technical efficiency in stochastic frontier models***by*Wang, Wei Siang & Schmidt, Peter**46-55 Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure***by*Kim, Chang-Jin**56-71 Inference in a synchronization game with social interactions***by*de Paula, Áureo**72-85 The efficiency of top agents: An analysis through service strategy in tennis***by*Klaassen, Franc J.G.M. & Magnus, Jan R.**86-99 Properties and estimation of asymmetric exponential power distribution***by*Zhu, Dongming & Zinde-Walsh, Victoria

### 2008, Volume 147, Issue 2

**207-209 Estimating demand systems and measuring consumer preferences***by*Slottje, Daniel**210-224 Consumer preferences and demand systems***by*Barnett, William A. & Serletis, Apostolos**225-231 Chamberlin's strategy of multiple working hypotheses and a relative frequency theory of market demand***by*Basmann, R.L.**232-246 A Bayesian mixed logit-probit model for multinomial choice***by*Burda, Martin & Harding, Matthew & Hausman, Jerry**247-257 Demand and supply estimation biases due to omission of durability***by*Chen, Jiawei & Esteban, Susanna & Shum, Matthew**258-265 Nonparametric tests of collectively rational consumption behavior: An integer programming procedure***by*Cherchye, Laurens & De Rock, Bram & Sabbe, Jeroen & Vermeulen, Frederic**266-274 Estimating demand with distance functions: Parameterization in the primal and dual***by*Färe, Rolf & Grosskopf, Shawna & Hayes, Kathy J. & Margaritis, Dimitris**275-281 A nonparametric test of weak separability and consumer preferences***by*Fleissig, Adrian R. & Whitney, Gerald A.**282-298 Estimating demand systems when outcomes are correlated counts***by*Herriges, Joseph A. & Phaneuf, Daniel J. & Tobias, Justin L.**299-315 Inferential methods for elasticity estimates***by*Hirschberg, J.G. & Lye, J.N. & Slottje, D.J.**316-325 Increasing the price variation in a repeated cross section***by*Hoderlein, Stefan & Mihaleva, Sonya**326-335 Consumption and labor supply***by*Jorgenson, Dale W. & Slesnick, Daniel T.**336-349 The structure of US food demand***by*LaFrance, Jeffrey T.**350-358 Estimation of collective household models with Engel curves***by*Lewbel, Arthur & Pendakur, Krishna**359-371 A neural network demand system with heteroskedastic errors***by*McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel**372-383 An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals***by*Medeiros, Marcelo C. & McAleer, Michael & Slottje, Daniel & Ramos, Vicente & Rey-Maquieira, Javier**384-395 Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints***by*Millimet, Daniel L. & Tchernis, Rusty

### 2008, Volume 147, Issue 1

**1-4 Econometric modelling in finance and risk management: An overview***by*Gao, Jiti & McAleer, Michael & Allen, David E.**5-16 Correlation testing in time series, spatial and cross-sectional data***by*Robinson, P.M.**17-33 Out of sample forecasts of quadratic variation***by*Aït-Sahalia, Yacine & Mancini, Loriano**34-46 Realized volatility forecasting and option pricing***by*Bandi, Federico M. & Russell, Jeffrey R. & Yang, Chen**47-59 Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error***by*Kalnina, Ilze & Linton, Oliver**60-71 Nonlinear models for strongly dependent processes with financial applications***by*Baillie, Richard T. & Kapetanios, George**72-83 Econometric estimation in long-range dependent volatility models: Theory and practice***by*Casas, Isabel & Gao, Jiti**84-98 Testing for a change in persistence in the presence of non-stationary volatility***by*Cavaliere, Giuseppe & Taylor, A.M. Robert**99-103 A complete asymptotic series for the autocovariance function of a long memory process***by*Lieberman, Offer & Phillips, Peter C.B.**104-119 A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries***by*McAleer, Michael & Medeiros, Marcelo C.**120-130 Nonparametric estimation of conditional VaR and expected shortfall***by*Cai, Zongwu & Wang, Xian**131-140 Specification testing in discretized diffusion models: Theory and practice***by*Gao, Jiti & Casas, Isabel**141-150 Fiscal policy and asset markets: A semiparametric analysis***by*Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian**151-162 Testing for multivariate volatility functions using minimum volume sets and inverse regression***by*Polonik, Wolfgang & Yao, Qiwei**163-185 Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks***by*Allen, David & Chan, Felix & McAleer, Michael & Peiris, Shelton**186-197 High dimensional covariance matrix estimation using a factor model***by*Fan, Jianqing & Fan, Yingying & Lv, Jinchi**198-205 Dynamic quantile models***by*Gourieroux, C. & Jasiak, J.

### 2008, Volume 146, Issue 2

**199-201 Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson***by*Cogley, Timothy & Durlauf, Steven N. & Nason, James M.**202-206 The Beveridge-Nelson decomposition in retrospect and prospect***by*Nelson, Charles R.**207-219 The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics***by*Oh, Kum Hwa & Zivot, Eric & Creal, Drew**220-226 Trend/cycle decomposition of regime-switching processes***by*Morley, James & Piger, Jeremy**227-240 Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?***by*Kim, Chang-Jin**241-254 Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments***by*Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H.**255-274 Methods for inference in large multiple-equation Markov-switching models***by*Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao**275-292 Time series properties of ARCH processes with persistent covariates***by*Han, Heejoon & Park, Joon Y.**293-303 Efficient forecast tests for conditional policy forecasts***by*Faust, Jon & Wright, Jonathan H.**304-317 Forecasting economic time series using targeted predictors***by*Bai, Jushan & Ng, Serena**318-328 Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?***by*De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia**329-341 Bayesian Model Averaging and exchange rate forecasts***by*Wright, Jonathan H.**342-350 Least-squares forecast averaging***by*Hansen, Bruce E.**351-363 Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach***by*Diebold, Francis X. & Li, Canlin & Yue, Vivian Z.**364-375 Quality control for structural credit risk models***by*Andreou, Elena & Ghysels, Eric

### 2008, Volume 146, Issue 1

**1-9 Explaining individual response using aggregated data***by*van Dijk, Bram & Paap, Richard**10-25 Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks***by*Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele**26-43 Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach***by*Moench, Emanuel**44-58 A Gaussian approximation scheme for computation of option prices in stochastic volatility models***by*Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S.**59-73 The limit distribution of the estimates in cointegrated regression models with multiple structural changes***by*Kejriwal, Mohitosh & Perron, Pierre**74-85 Partial identification and testable restrictions in multi-unit auctions***by*McAdams, David**86-91 Exact computation of max weighted score estimators***by*Florios, Kostas & Skouras, Spyros**92-106 Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models***by*Kasahara, Hiroyuki & Shimotsu, Katsumi**107-117 Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities***by*Rosen, Adam M.**118-134 Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large***by*Yu, Jihai & de Jong, Robert & Lee, Lung-fei**135-145 A joint serial correlation test for linear panel data models***by*Yamagata, Takashi**146-161 Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root***by*Gospodinov, Nikolay**162-169 The wild bootstrap, tamed at last***by*Davidson, Russell & Flachaire, Emmanuel**170-184 Testing for structural change in regression quantiles***by*Qu, Zhongjun**185-198 Local likelihood estimation of truncated regression and its partial derivatives: Theory and application***by*Park, Byeong U. & Simar, Léopold & Zelenyuk, Valentin

### 2008, Volume 145, Issue 1-2

**1-3 Special issue editors' introduction: The use of econometrics in informing public policy makers***by*Sickles, Robin C. & Williams, Jennifer**4-20 A model of Social Security Disability Insurance using matched SIPP/Administrative data***by*Lahiri, Kajal & Song, Jae & Wixon, Bernard**21-42 Social security and the retirement and savings behavior of low-income households***by*van der Klaauw, Wilbert & Wolpin, Kenneth I.**43-63 Household search and health insurance coverage***by*Dey, Matthew & Flinn, Christopher**64-80 Heterogeneous impacts in PROGRESA***by*Djebbari, Habiba & Smith, Jeffrey**81-97 State dependence in youth labor market experiences, and the evaluation of policy interventions***by*Doiron, Denise & Gørgens, Tue**98-108 Evaluating the effectiveness of Washington state repeated job search services on the employment rate of prime-age female welfare recipients***by*Hsiao, Cheng & Shen, Yan & Wang, Boqing & Weeks, Greg**109-120 The long-run cost of job loss as measured by consumption changes***by*Browning, Martin & Crossley, Thomas F.**121-133 Panel data methods for fractional response variables with an application to test pass rates***by*Papke, Leslie E. & Wooldridge, Jeffrey M.**134-157 Efficiency in public schools: Does competition matter?***by*Millimet, Daniel L. & Collier, Trevor**158-173 Turning from crime: A dynamic perspective***by*Sickles, Robin C. & Williams, Jenny**174-193 On the estimation of returns to scale, technical progress and monopolistic markups***by*Diewert, W. Erwin & Fox, Kevin J.**194-208 Estimating regional trade agreement effects on FDI in an interdependent world***by*Baltagi, Badi H. & Egger, Peter & Pfaffermayr, Michael**209-225 Non-parametric, unconditional quantile estimation for efficiency analysis with an application to Federal Reserve check processing operations***by*Wheelock, David C. & Wilson, Paul W.**226-242 Relative prices and electronic substitution: Changes in household-level demand for postal delivery services from 1986 to 2004***by*Hong, Seung-Hyun & Wolak, Frank A.**243-257 Is econometrics useful for private policy making? A case study of replacement policy at an auto rental company***by*Cho, Sungjin & Rust, John

### 2008, Volume 144, Issue 2

**325-340 Evolution of forecast disagreement in a Bayesian learning model***by*Lahiri, Kajal & Sheng, Xuguang**341-351 Patient enrollment in medical trials: Selection bias in a randomized experiment***by*Malani, Anup**352-370 Testing for jumps when asset prices are observed with noise-a "swap variance" approach***by*Jiang, George J. & Oomen, Roel C.A.**371-391 Difference in difference meets generalized least squares: Higher order properties of hypotheses tests***by*Hausman, Jerry & Kuersteiner, Guido**392-408 Estimation of partial differential equations with applications in finance***by*Kristensen, Dennis**409-427 Valid tests of whether technical inefficiency depends on firm characteristics***by*Kim, Myungsup & Schmidt, Peter**428-429 Restricted Kalman filtering revisited***by*Pizzinga, Adrian & Fernandes, Cristiano & Contreras, Sergio**430-446 Inference in panel data models under attrition caused by unobservables***by*Bhattacharya, Debopam**447-464 Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model***by*Kruiniger, Hugo**465-478 Analysis of treatment response data from eligibility designs***by*Chib, Siddhartha & Jacobi, Liana**479-491 The effect of college curriculum on earnings: An affinity identifier for non-ignorable non-response bias***by*Hamermesh, Daniel S. & Donald, Stephen G.**492-499 Semiparametric estimation of a binary response model with a change-point due to a covariate threshold***by*Lee, Sokbae & Seo, Myung Hwan**500-510 Bootstrap refinements for QML estimators of the GARCH(1,1) parameters***by*Corradi, Valentina & Iglesias, Emma M.**511-523 Nearly-singular design in GMM and generalized empirical likelihood estimators***by*Caner, Mehmet**524-525 Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18]***by*Chambers, Marcus J.

### 2008, Volume 144, Issue 1

**1-26 An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions***by*Aït-Sahalia, Yacine & Mykland, Per A.**27-61 Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution***by*Hu, Yingyao**62-80 Likelihood approximation by numerical integration on sparse grids***by*Heiss, Florian & Winschel, Viktor**81-117 Partial identification of probability distributions with misclassified data***by*Molinari, Francesca**118-138 Weak identification robust tests in an instrumental quantile model***by*Jun, Sung Jae**139-155 A non-parametric independence test using permutation entropy***by*Matilla-Garcia, Mariano & Ruiz Marin, Manuel**156-174 Learning and the value of information: Evidence from health plan report cards***by*Chernew, Michael & Gowrisankaran, Gautam & Scanlon, Dennis P.**175-192 Mixtures of t-distributions for finance and forecasting***by*Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert**193-218 Local polynomial estimation of nonparametric simultaneous equations models***by*Su, Liangjun & Ullah, Aman**219-233 More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares***by*Im, Kyung So & Schmidt, Peter**234-256 Risk, jumps, and diversification***by*Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George**257-275 Nonparametric estimation and testing of fixed effects panel data models***by*Henderson, Daniel J. & Carroll, Raymond J. & Li, Qi**276-305 A semi-parametric Bayesian approach to the instrumental variable problem***by*Conley, Timothy G. & Hansen, Christian B. & McCulloch, Robert E. & Rossi, Peter E.**306-324 Chain indices of the cost-of-living and the path-dependence problem: An empirical solution***by*Oulton, Nicholas

### 2008, Volume 143, Issue 2

**227-262 Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility***by*Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong**263-273 Estimation of Markov regime-switching regression models with endogenous switching***by*Kim, Chang-Jin & Piger, Jeremy & Startz, Richard**274-290 Birth-spacing, fertility and neonatal mortality in India: Dynamics, frailty, and fecundity***by*Bhalotra, Sonia & Soest, Arthur van**291-316 Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models***by*Panagiotelis, Anastasios & Smith, Michael**317-333 A smooth nonparametric conditional quantile frontier estimator***by*Martins-Filho, Carlos & Yao, Feng**334-348 Bayesian analysis of the ordered probit model with endogenous selection***by*Munkin, Murat K. & Trivedi, Pravin K.**349-374 Long-run risk-return trade-offs***by*Bandi, Federico M. & Perron, Benoît**375-395 Examining bias in estimators of linear rational expectations models under misspecification***by*Jondeau, Eric & Le Bihan, Hervé**396-397 Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330]***by*Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert

### 2008, Volume 143, Issue 1

**1-4 Specification testing***by*Delgado, Miguel A.**5-18 On distribution-free goodness-of-fit testing of exponentiality***by*Haywood, John & Khmaladze, Estate**19-36 Testing multivariate distributions in GARCH models***by*Bai, Jushan & Chen, Zhihong**37-55 Distribution-free specification tests of conditional models***by*Delgado, Miguel A. & Stute, Winfried**56-73 Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach***by*Dette, Holger & Podolskij, Mark**74-87 Joint and marginal specification tests for conditional mean and variance models***by*Carlos Escanciano, J.**88-102 Specification tests in nonparametric regression***by*Einmahl, John H.J. & Van Keilegom, Ingrid**103-122 Breaking the curse of dimensionality in nonparametric testing***by*Lavergne, Pascal & Patilea, Valentin**123-142 Nonparametric simultaneous testing for structural breaks***by*Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien**143-165 Specification testing for regression models with dependent data***by*Hidalgo, J.**166-190 Goodness-of-fit tests for conditional models under censoring and truncation***by*Cao, Ricardo & Gonzalez-Manteiga, Wenceslao**191-205 On specification testing of ordered discrete choice models***by*Mora, Juan & Moro-Egido, Ana I.**206-225 Diagnostic testing for cointegration***by*Robinson, P.M.

### 2008, Volume 142, Issue 2

**611-614 Special issue editors' introduction: The regression discontinuity design--Theory and applications***by*Imbens, Guido & Lemieux, Thomas**615-635 Regression discontinuity designs: A guide to practice***by*Imbens, Guido W. & Lemieux, Thomas**636-654 "Waiting for Life to Arrive": A history of the regression-discontinuity design in Psychology, Statistics and Economics***by*Cook, Thomas D.