The Econometrics Journal

The Econometrics Journal

Current Issue

Weighted composite quantile regression estimation of DTARCH models

  • Author: Jiancheng Jiang, Xuejun Jiang, Xinyuan Song
  • Journal Issue: Volume 17 Issue 1 (February 2014)
  • Published Online on 18 February 2014

Multivariate variance targeting in the BEKK–GARCH model

  • Author: Rasmus S. Pedersen, Anders Rahbek
  • Journal Issue: Volume 17 Issue 1 (February 2014)
  • Published Online on 21 January 2014

Estimation of state‐space models with endogenous Markov regime‐switching parameters

  • Author: Kyu H. Kang
  • Journal Issue: Volume 17 Issue 1 (February 2014)
  • Published Online on 18 February 2014

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Accepted Articles

Point Optimal Panel Unit Root Tests with Serially Correlated Errors

  • Author: Hyungsik Roger Moon, Benoit Perron, Peter C.B. Phillips
  • Accepted manuscript online: 01 April 2014

Likelihood‐based dynamic factor analysis for measurement and forecasting

  • Author: Borus Jungbacker, Siem Jan Koopman
  • Accepted manuscript online: 07 March 2014

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Editiorial Board

Managing Editor

Richard J. Smith, University of Cambridge

Co-Editors

Jaap Abbring, Tilburg University

Michael Jansson, Berkeley

Oliver Linton, University of Cambridge

Andrew Patton, Duke University

View full editorial information

News

Winner of the 2012 Denis Sargan Prize Announced

  • Published Date: 10 April 2014

The 2012 Denis Sargan Econometrics Prize is awarded to Dr. Fabrizio Ferriani for his contribution to the paper “Estimating and Testing Non-Affine... Read more

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EctJ Implements Replication Policy

The Econometrics Journal has a new Replication Policy for accepted papers

Supporting Information

To benefit readers of accepted papers a new facility for supporting material linked to the online published manuscript is available.

Identification in Econometrics, Theory and Applications

Special Issue 2013

The first paper in this Special Issue authored by Charles Manski (Northwestern University) deals with the question of causal inference in a model with social interaction. The paper sets up a framework to deal with inference in models in which treatments and/or outcomes of others can affect directly one’s own outcome. The paper analyzes the identification question of standard treatment effects under various assumptions giving various interesting views on the roles of the reduced and structural forms.

The paper by Jan Kiviet (Nanyang Technological University and University of Amsterdam) examines the behaviour of both instrumental variable (IV) and ordinary least squares estimators under various assumptions on information sets and sampling schemes. The paper analyzes the question of what can be learned about the regression parameter when the standard zero correlation assumption between IV and error is replaced by an interval restriction on the correlation between endogenous regressor and error.

Tatiana Komarova (London School of Economics) examines the identification problem in second price auctions with arbitrary correlation in the valuations. She maps the problem into one of a generalized competing risks model and derives bounds on the joint valuation distribution. Also, the bounds are shown to improve when assumptions on the dependence among player valuations are used.

In their paper, Ismael Mourifié and Marc Henry (Université de Montréal) provide interesting inference methods for incomplete models with latent variables based on the recent work by Ekeland et al. (Ekeland, I., A. Galichon and M. Henry (2010): “Optimal transportation and the falsifiability of incompletely specified economic models,”Economic Theory, 42, 355–374). They provide methods for building confidence regions for the partially identified parameter vector based on valid bootstrap procedures.

This Special Issue of The Econometrics Journal collects a subset of papers from the 21st meeting of (EC)2 (European Conferences of the Econom(etr)ics Community in Econometrics and Quantitative Economics) held on the campus of the Toulouse School of Economics on December 17–18, 2010

For more information please visit : http://www.res.org.uk/view/pubSpeIssuePapers.html

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Large Dimensional Models

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The 2012 journal impact factor is 1.000. This represents an increase from 0.870 in 2011. Read more.

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