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Econometric Reviews

1997 - 2017

Current editor(s): Dr. Essie Maasoumi

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Volume 36, issue 5, 2017

Multistep ahead forecasting of vector time series pp. 495-513 Downloads
Tucker McElroy and Michael W. McCracken
Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming pp. 514-545 Downloads
Guillaume Chevillon
Bayesian analysis of multivariate stochastic volatility with skew return distribution pp. 546-562 Downloads
Jouchi Nakajima

Volume 36, issue 4, 2017

Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses pp. 397-420 Downloads
Esmeralda A. Ramalho and Joaquim Ramalho
Specification and testing of multiplicative time-varying GARCH models with applications pp. 421-446 Downloads
Cristina Amado and Timo Teräsvirta
Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation pp. 447-467 Downloads
Chris Blakely and Tucker McElroy
Fourier--type tests involving martingale difference processes pp. 468-492 Downloads
Zdeněk Hlávka, Marie Hušková, Claudia Kirch and Simos G. Meintanis
Correction of Caporin and Paruolo (2015) pp. 493-493 Downloads
Massimiliano Caporin and Paolo Paruolo

Volume 36, issue 1-3, 2017

Peter Schmidt: Econometrician and consummate professional pp. 1-5 Downloads
Esfandiar Maasoumi and Robin Sickles
Estimation of partially specified spatial panel data models with fixed-effects pp. 6-22 Downloads
Chunrong Ai and Yuanqing Zhang
Inference in the presence of redundant moment conditions and the impact of government health expenditure on health outcomes in England pp. 23-41 Downloads
Martyn Andrews, Obbey Elamin, Alastair R. Hall, Kostas Kyriakoulis and Matthew Sutton
A fractionally integrated Wishart stochastic volatility model pp. 42-59 Downloads
Manabu Asai and Michael McAleer
Inference for impulse response coefficients from multivariate fractionally integrated processes pp. 60-84 Downloads
Richard T. Baillie, George Kapetanios and Fotis Papailias
Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term pp. 85-102 Downloads
Badi H. Baltagi, Chihwa Kao and Long Liu
Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes pp. 103-135 Downloads
Herman J. Bierens and Li Wang
Bootstrapping unit root tests with covariates pp. 136-155 Downloads
Yoosoon Chang, Robin Sickles and Wonho Song
Measuring firm performance using nonparametric quantile-type distances pp. 156-181 Downloads
Abdelaati Daouia, Leopold Simar and Paul W. Wilson
Invariant tests based on M -estimators, estimating functions, and the generalized method of moments pp. 182-204 Downloads
Jean-Marie Dufour, Alain Trognon and Purevdorj Tuvaandorj
Nonparametric estimation of regression models with mixed discrete and continuous covariates by the K-nn method pp. 205-224 Downloads
Carl Green, Qi Li and Yu Yvette Zhang
Lag length selection in panel autoregression pp. 225-240 Downloads
Chirok Han, Peter Phillips and Donggyu Sul
The smooth colonel and the reverend find common ground pp. 241-256 Downloads
Nicholas M. Kiefer and Jeffrey Racine
Online learning and forecast combination in unbalanced panels pp. 257-288 Downloads
Kajal Lahiri, Huaming Peng and Yongchen Zhao
Inference on locally ordered breaks in multiple regressions pp. 289-353 Downloads
Ye Li and Pierre Perron
Estimation of semi-varying coefficient models with nonstationary regressors pp. 354-369 Downloads
Kunpeng Li, Degui Li, Zhongwen Liang and Cheng Hsiao
A semiparametric generalized ridge estimator and link with model averaging pp. 370-384 Downloads
Aman Ullah, Alan T. K. Wan, Huansha Wang, Xinyu Zhang and Guohua Zou
LIML in the static linear panel data model pp. 385-395 Downloads
Tom Wansbeek and Dennis Prak

Volume 35, issue 8-10, 2016

Model Selection and Shrinkage: An Overview pp. 1343-1346 Downloads
Mehmet Caner and Marcelo Medeiros
Detection and Estimation of Block Structure in Spatial Weight Matrix pp. 1347-1376 Downloads
Clifford Lam and Pedro C. L. Souza
Oracle Inequalities for Convex Loss Functions with Nonlinear Targets pp. 1377-1411 Downloads
Mehmet Caner and Anders Bredahl Kock
Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models pp. 1412-1455 Downloads
Ulrike Schneider
The Risk of James--Stein and Lasso Shrinkage pp. 1456-1470 Downloads
Bruce E. Hansen
The Penalized Analytic Center Estimator pp. 1471-1484 Downloads
Keith Knight
Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics pp. 1485-1521 Downloads
Francesco Audrino and Simon D. Knaus
Lassoing the Determinants of Retirement pp. 1522-1561 Downloads
Malene Kallestrup-Lamb, Anders Bredahl Kock and Johannes Tang Kristensen
Moment and IV Selection Approaches: A Comparative Simulation Study pp. 1562-1581 Downloads
Mehmet Caner, Esfandiar Maasoumi and Juan Andrés Riquelme
Estimation of Sparse Structural Parameters with Many Endogenous Variables pp. 1582-1608 Downloads
Zhentao Shi
Efficient Estimation with Many Weak Instruments Using Regularization Techniques pp. 1609-1637 Downloads
Marine Carrasco and Guy Tchuente
Stochastic Model Specification Search for Time-Varying Parameter VARs pp. 1638-1665 Downloads
Eric Eisenstat, Joshua Chan and Rodney Strachan
Particle Learning for Fat-Tailed Distributions pp. 1666-1691 Downloads
Hedibert F. Lopes and Nicholas G. Polson
Generalized Least Squares Model Averaging pp. 1692-1752 Downloads
Qingfeng Liu, Ryo Okui and Arihiro Yoshimura
Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques pp. 1753-1779 Downloads
Anders Bredahl Kock and Timo Teräsvirta

Volume 35, issue 7, 2016

A General Quantile Function Model for Economic and Financial Time Series pp. 1173-1193 Downloads
Yuzhi Cai
Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors pp. 1194-1220 Downloads
Kun Ho Kim
A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model pp. 1221-1250 Downloads
Marcelo Fernandes, Marcelo Medeiros and Alvaro Veiga
Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change pp. 1251-1270 Downloads
Mariano Kulish and Adrian Pagan
Modified Profile Likelihood for Fixed-Effects Panel Data Models pp. 1271-1289 Downloads
Francesco Bartolucci, R. Bellio, A. Salvan and N. Sartori
Testing for Serial Correlation in Fixed-Effects Panel Data Models pp. 1290-1316 Downloads
Benjamin Born and Jörg Breitung
Evidence of Convergence Clubs Using Mixture Models pp. 1317-1342 Downloads
Maria Grazia Pittau, Roberto Zelli and Riccardo Massari

Volume 35, issue 6, 2016

The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets pp. 929-950 Downloads
Álvaro Cartea and Dimitrios Karyampas
Semiparametric Sieve-Type Generalized Least Squares Inference pp. 951-985 Downloads
George Kapetanios and Zacharias Psaradakis
A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data pp. 986-1012 Downloads
Aaron D. Smallwood
Imposing and Testing for Shape Restrictions in Flexible Parametric Models pp. 1013-1039 Downloads
Hendrik Wolff
Weighted-Average Least Squares Prediction pp. 1040-1074 Downloads
Jan R. Magnus, Wendun Wang and Xinyu Zhang
Inference for Shared-Frailty Survival Models with Left-Truncated Data pp. 1075-1098 Downloads
Gerard van den Berg and Bettina Drepper
An Odd Couple: Monotone Instrumental Variables and Binary Treatments pp. 1099-1110 Downloads
Jeremiah Richey
A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models pp. 1111-1141 Downloads
Indeewara Perera, Javier Hidalgo and Mervyn J. Silvapulle
Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series pp. 1142-1171 Downloads
J. Miller

Volume 35, issue 5, 2016

Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate pp. 693-726 Downloads
Sadat Reza and Paul Rilstone
Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions pp. 727-750 Downloads
Helmut Herwartz, Florian Siedenburg and Yabibal Walle
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances pp. 751-781 Downloads
Matei Demetrescu and Christoph Hanck
On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests pp. 782-844 Downloads
Pierre Perron and Yohei Yamamoto
The Local Power of the CADF and CIPS Panel Unit Root Tests pp. 845-870 Downloads
Joakim Westerlund, Mehdi Hosseinkouchack and Martin Solberger
On the Joint Estimation of Heterogeneous Technologies, Technical, and Allocative Inefficiency pp. 871-893 Downloads
Mike Tsionas and Kien Tran
A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors pp. 894-928 Downloads
Alan T. K. Wan, Jinhong You and Riquan Zhang

Volume 35, issue 4, 2016

Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification pp. 465-514 Downloads
Prosper Dovonon
Regression Analysis of Multivariate Fractional Data pp. 515-552 Downloads
José Murteira and Joaquim Ramalho
Improving the Power of Tests of Stochastic Dominance pp. 553-585 Downloads
Stephen G. Donald and Yu-Chin Hsu
Understanding Estimators of Treatment Effects in Regression Discontinuity Designs pp. 586-637 Downloads
Ping Yu
Random Effects, Fixed Effects and Hausman's Test for the Generalized Mixed Regressive Spatial Autoregressive Panel Data Model pp. 638-658 Downloads
Badi Baltagi and Long Liu
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models pp. 659-687 Downloads
Geert Mesters, Siem Jan Koopman and Marius Ooms
Discrete Choice Methods with Simulation pp. 688-692 Downloads
Florian Heiss

Volume 35, issue 3, 2016

Exact Estimation of Demand Functions under Block-Rate Pricing pp. 311-343 Downloads
Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data pp. 344-372 Downloads
Alain Guay and Florian Pelgrin
The Multistep Beveridge--Nelson Decomposition pp. 373-395 Downloads
Tommaso Proietti
Pooled Panel Unit Root Tests and the Effect of Past Initialization pp. 396-427 Downloads
Joakim Westerlund
Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence pp. 428-463 Downloads
Gerdie Everaert and Tom De Groote

Volume 35, issue 2, 2016

The Co-Integrated Vector Autoregression with Errors-in-Variables pp. 169-200 Downloads
Heino Bohn Nielsen
Empirical Likelihood in Causal Inference pp. 201-231 Downloads
Biao Zhang
Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators pp. 232-256 Downloads
Francesco Audrino, Fulvio Corsi and Kameliya Filipova
Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method pp. 257-262 Downloads
Moawia Alghalith
Conditional VAR and Expected Shortfall: A New Functional Approach pp. 263-292 Downloads
Frédéric Ferraty and Alejandro Quintela-Del-Río
Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model pp. 293-310 Downloads
Sofia Anyfantaki and Antonis Demos

Volume 35, issue 1, 2016

Special Section on Meritocracy and Assessment of Scholarly Outcomes pp. 1-1 Downloads
Esfandiar Maasoumi
Meritocracy Voting: Measuring the Unmeasurable pp. 2-40 Downloads
Peter Phillips
Meritocracy Voting: Measuring the Unmeasurable pp. 41-43 Downloads
Peter Schmidt
Elites and Secret Handshakes Versus Metrics and Rule-Based Acclamation: A Comment on "Measuring the Unmeasurable" pp. 44-49 Downloads
Les Oxley
Robust Ranking of Journal Quality: An Application to Economics pp. 50-97 Downloads
Chia-Lin Chang, Esfandiar Maasoumi and Michael McAleer
Nonparametric Estimation of Large Auctions with Risk Averse Bidders pp. 98-121 Downloads
Xiaodong Liu
The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests pp. 122-168 Downloads
Tomás del Barrio Castro, Denise Osborn and Robert Taylor
Page updated 2017-08-17