EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Econometrics Journal
1998 - 2011
Edited by Richard J. Smith , Oliver Linton , Pierre Perron , Jaap Abbring and Marius Ooms
from Royal Economic Society
This journal is continued by Econometrics Journal . EDIRC .
Access Statistics for this journal.
RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series .
Volume 14, issue 3 , 2011
A Review of Econometric Analysis of Cross Section and Panel Data (2nd ed.) by Wooldridge (Jeffrey M.) pp. B5-B9 Ralf Andreas Wilke Non‐parametric models in binary choice fixed effects panel data pp. 351-367 Stefan G.N. Hoderlein , Enno Mammen and Kyusang Yu A simple approach to quantile regression for panel data pp. 368-386 Ivan Alexis Canay Non‐parametric time‐varying coefficient panel data models with fixed effects pp. 387-408 Degui Li , Jia Chen and Jiti GAO Rank estimation of partially linear index models pp. 409-437 Jason Abrevaya and Youngki Shin Fixed‐b analysis of LM‐type tests for a shift in mean pp. 438-456 Jingjing Yang and Timothy Vogelsang Non‐parametric regression under location shifts pp. 457-486 Peter C. B. Phillips and Liangjun Su Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures pp. 487-497 Yunmi Kim and Chang‐Jin Kim Volume 14, issue 2 , 2011
A Review of Micro‐Econometrics: Methods of Moments and Limited Dependent Variables (2nd Ed.) by Lee (Myoung‐jae ) pp. B1-B4 João M.C. Santos Silva An I(2) cointegration model with piecewise linear trends pp. 131-155 Takamitsu Kurita , Heino Bohn Nielsen and Anders Rahbek Cointegration and sampling frequency pp. 156-185 Marcus J. Chambers Misspecification in moment inequality models: back to moment equalities? pp. 186-203 Maria Ponomareva and Elie Tamer Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures pp. 204-240 Almut E. D. Veraart Quasi‐maximum likelihood estimation of discretely observed diffusions pp. 241-256 Xiao Huang On the efficiency of a semi‐parametric GARCH model pp. 257-277 Jianing Di and Ashis Gangopadhyay Test statistics for prospect and Markowitz stochastic dominances with applications pp. 278-303 Zhidong Bai , Hua Li , Huixia Liu and Wing-Keung Wong Regressions with asymptotically collinear regressors pp. 304-320 Kairat T. Mynbaev Large deviations of generalized method of moments and empirical likelihood estimators pp. 321-329 Taisuke Otsu Simple regression‐based tests for spatial dependence pp. 330-342 Benjamin Born and Jörg Breitung Non‐parametric identification of the mixed proportional hazards model with interval‐censored durations pp. 343-350 Christian N. Brinch Volume 14, issue 1 , 2011
A hierarchical factor analysis of U.S. housing market dynamics pp. C1-C24 Emanuel Moench and Serena Ng Quantile regression models with factor‐augmented predictors and information criterion pp. 1-24 Tomohiro Ando and Ruey S. Tsay Testing for sphericity in a fixed effects panel data model pp. 25-47 Badi H. Baltagi , Qu Feng and Chihwa Kao Short‐term forecasts of euro area GDP growth pp. C25-C44 Elena Angelini , Camba‐Mendez, Gonzalo , Domenico Giannone , Lucrezia Reichlin and Gerhard Rünstler Weak and strong cross‐section dependence and estimation of large panels pp. C45-C90 Alexander Chudik , M Hashem Pesaran and Elisa Tosetti The Hausman test in a Cliff and Ord panel model pp. 48-76 Jan Mutl and Michael Pfaffermayr Fully modified narrow‐band least squares estimation of weak fractional cointegration pp. 77-120 Morten Ørregaard Nielsen and Per Frederiksen Volume 13, issue 3 , 2010
The practice of non-parametric estimation by solving inverse problems: the example of transformation models pp. S1-S27 Frédérique Fève and Jean-Pierre Florens Semi-parametric estimation of non-separable models: a minimum distance from independence approach pp. S28-S55 Ivana Komunjer and Andres Santos Inference in limited dependent variable models robust to weak identification pp. S56-S79 Leandro Maschietto Magnusson Non-parametric estimation of exact consumer surplus with endogeneity in price pp. S80-S98 Anne Vanhems A structural approach to estimating the effect of taxation on the labour market dynamics of older workers pp. S99-S125 Peter Haan and Victoria Liza Prowse Structural dynamic model of retirement with latent health indicator pp. S126-S161 Fedor Iskhakov Volume 13, issue 2 , 2010
Specification and estimation of social interaction models with network structures pp. 145-176 Lung-Fei Lee , Xiaodong Liu and Xu Lin Improving robust model selection tests for dynamic models pp. 177-204 Hwan-sik Choi and Nicholas M. Kiefer Testing the adequacy of conventional asymptotics in GMM pp. 205-217 Jonathan H. Wright Theory and inference for a Markov switching GARCH model pp. 218-244 Luc Bauwens , Arie Preminger and Jeroen VK Rombouts ECF estimation of Markov models where the transition density is unknown pp. 245-270 George J. Jiang and John L. Knight Bimodal t-ratios: the impact of thick tails on inference pp. 271-289 Carlo Vittorio Fiorio , Vassilis Argyrou Hajivassiliou and Peter C. B. Phillips Volume 13, issue 1 , 2010
Heterogeneity in dynamic discrete choice models pp. 1-39 Martin Browning and Jesus M. Carro Smoothness adaptive average derivative estimation pp. 40-62 Marcia M. A. Schafgans and Victoria Zinde-Walsh Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests pp. 63-94 Edith Madsen The weak instrument problem of the system GMM estimator in dynamic panel data models pp. 95-126 Maurice Bun and Frank Windmeijer Estimation of a transformation model with truncation, interval observation and time-varying covariates pp. 127-144 Bo E. HonorÈ and Luojia Hu Volume 12, issue s1 , 2009
Goodness-of-fit tests for functional data pp. S1-S18 Federico Andres Bugni , Peter Hall , Joel L. Horowitz and George R. Neumann Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form pp. S19-S49 Elise Coudin and Jean-Marie Dufour Copula-based nonlinear quantile autoregression pp. S50-S67 Xiaohong Chen , Roger Koenker and Zhijie Xiao Large-sample inference on spatial dependence pp. S68-S82 P. M. Robinson Semiparametric cointegrating rank selection pp. S83-S104 Xu Cheng and Peter C. B. Phillips Distribution-free specification tests for dynamic linear models pp. S105-S134 Miguel A. Delgado , Javier Hidalgo and Carlos Velasco Efficient GMM with nearly-weak instruments pp. S135-S171 Bertille Antoine and Eric Michel Renault Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities pp. S172-S199 Donald W. K. Andrews and Sukjin Han More on monotone instrumental variables pp. S200-S216 Charles F. Manski and John V. Pepper Two-step series estimation of sample selection models pp. S217-S229 Whitney K. Newey A note on adapting propensity score matching and selection models to choice based samples pp. S230-S234 James J. Heckman and Petra Elisabeth Todd Volume 12, issue 3 , 2009
Realized kernels in practice: trades and quotes pp. C1-C32 Ole E. Barndorff-Nielsen , P. Reinhard Hansen , A. Lunde and Neil Shephard An arbitrage-free generalized Nelson--Siegel term structure model pp. C33-C64 Jens H. E. Christensen , Francis X. Diebold and Glenn D. Rudebusch The econometrics of mean-variance efficiency tests: a survey pp. C65-C101 Enrique Sentana Identification of peer effects using group size variation pp. 397-413 Laurent Davezies , D'Haultfoeuille, Xavier and Denis Fougere Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term pp. 414-435 Matei Demetrescu , Helmut Lütkepohl and Pentti Saikkonen Stationarity of a family of GARCH processes pp. 436-446 Ji-Chun Liu Volume 12, issue 2 , 2009
Non-parametric regression with a latent time series pp. 187-207 Oliver Bruce Linton , Jens Perch Nielsen and Søren Feodor Nielsen Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models pp. 208-231 Francesco Bravo On skewness and kurtosis of econometric estimators pp. 232-247 Yong Bao and Aman Ullah Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models pp. 248-271 P. Čížek , W. Härdle and V. Spokoiny Multi-tail generalized elliptical distributions for asset returns pp. 272-291 Sebastian Kring , Svetlozar T. Rachev , Markus Höchstötter , Frank J. Fabozzi and Michele Leonardo Bianchi Multivariate stochastic volatility, leverage and news impact surfaces pp. 292-309 Manabu Asai and Michael McAleer Looking for skewness in financial time series pp. 310-323 Matteo Grigoletto and Francesco Lisi Bayesian estimation of a random effects heteroscedastic probit model pp. 324-339 Yuanyuan Gu , Denzil G. Fiebig , Edward Cripps and Robert J. Kohn Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application pp. 340-366 S. de Silva , Kaddour Hadri and Andrew R. Tremayne The empirical process of autoregressive residuals pp. 367-381 E ric E ngler and B ent N ielsen A note on non-parametric estimation with predicted variables pp. 382-395 Stefan Sperlich Volume 12, issue 1 , 2009
Identification and estimation of local average derivatives in non-separable models without monotonicity pp. 1-25 Stefan G.N. Hoderlein and Enno Mammen Assessing the magnitude of the concentration parameter in a simultaneous equations model pp. 26-44 Donald Stephen Poskitt and Christopher Lachlan Skeels Determining the number of factors in a multivariate error correction--volatility factor model pp. 45-61 Qiaoling Li and Jiazhu Pan On the impact of error cross-sectional dependence in short dynamic panel estimation pp. 62-81 Vasilis Sarafidis and Donald Robertson Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model pp. 82-104 Anders Wilhelmsson Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations pp. 105-126 David Ardia Causality and forecasting in temporally aggregated multivariate GARCH processes pp. 127-146 Christian Matthias Hafner Testing for volatility interactions in the Constant Conditional Correlation GARCH model pp. 147-163 Tomoaki Nakatani and Timo Teräsvirta EM algorithms for ordered probit models with endogenous regressors pp. 164-186 Hiroyuki Kawakatsu and Ann G. Largey
EconPapers is hosted by the
Örebro University School of Business.