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JournalISSN: 0304-4076

Journal of Econometrics 

Elsevier BV
About: Journal of Econometrics is an academic journal published by Elsevier BV. The journal publishes majorly in the area(s): Estimator & Asymptotic distribution. It has an ISSN identifier of 0304-4076. Over the lifetime, 5003 publications have been published receiving 624054 citations.

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Report SeriesDOI
TL;DR: In this paper, two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator are presented. But both estimators require restrictions on the initial conditions process.

19,132 citations

Journal ArticleDOI
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.

17,555 citations

Journal ArticleDOI
TL;DR: In this paper, a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables is presented. But the authors do not consider models with predetermined variables that have constant correlation with the effects.

16,245 citations

Journal ArticleDOI
TL;DR: In this article, a unit root test for dynamic heterogeneous panels based on the mean of individual unit root statistics is proposed, which converges in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension)→∞.

12,838 citations

Journal ArticleDOI
TL;DR: In this article, the authors consider pooling cross-section time series data for testing the unit root hypothesis, and they show that the power of the panel-based unit root test is dramatically higher, compared to performing a separate unit-root test for each individual time series.

10,792 citations

No. of papers from the Journal in previous years