Econometric Reviews

1982 - 2008

Edited by Esfandiar Maasoumi

from Taylor and Francis Journals
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Volume 27, issue 4-6, 2008

Information Theoretic and Entropy Methods: An Overview pp. 317-328

Amos Golan and Esfandiar Maasoumi

Approximate Entropy as an Irregularity Measure for Financial Data pp. 329-362

Steve Pincus

Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective pp. 363-384

Andreas Koutris, Maria Heracleous and Aris Spanos

Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach pp. 385-397

Jan Jacobs and Pieter Otter

Entropy-Based Moment Selection in the Presence of Weak Identification pp. 398-427

Alastair Hall, Atsushi Inoue and Changmock Shin

Bayes Estimate and Inference for Entropy and Information Index of Fit pp. 428-456

Thomas Mazzuchi, Ehsan Soofi and Refik Soyer

Generalized Safety First and a New Twist on Portfolio Performance pp. 457-483

M. Ryan Haley and Charles Whiteman

Optimal Portfolio Diversification Using the Maximum Entropy Principle pp. 484-512

Anil Bera and Sung Park

Large-Deviations Theory and Empirical Estimator Choice pp. 513-525

Marian Grendar and George Judge

Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator pp. 526-541

Patrik Guggenberger

A Class of Improved Parametrically Guided Nonparametric Regression Estimators pp. 542-573

Martins-Filho, Carlos, Santosh Mishra and Aman Ullah

A Generalized Cross-Entropy Approach for Modeling Spatially Correlated Counts pp. 574-595

Avinash Singh Bhati

A Composite Generalized Cross-Entropy Formulation in Small Samples Estimation pp. 596-609

R. Bernardini Papalia

Volume 27, issue 1-3, 2008

Realized Volatility and Long Memory: An Overview pp. 1-9

Esfandiar Maasoumi and Michael McAleer

Realized Volatility: A Review pp. 10-45

Michael McAleer and Marcelo Medeiros

The Volatility of Realized Volatility pp. 46-78

Fulvio Corsi, Stefan Mittnik, Christian Pigorsch and Uta Pigorsch

Moving Average-Based Estimators of Integrated Variance pp. 79-111

Peter Hansen, Jeremy Houston Large and Asger Lunde

Nonparametric Estimation Methods of Integrated Multivariate Volatilities pp. 112-138

Toshiya Hoshikawa, Keiji Nagai, Taro Kanatani and Yoshihiko Nishiyama

Edgeworth Corrections for Realized Volatility pp. 139-162

Sílvia Gonçalves and Nour Meddahi

Using High-Frequency Data in Dynamic Portfolio Choice pp. 163-198

Federico Bandi, Jeffrey Russell and Yinghua Zhu

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? pp. 199-229

Michiel de Pooter, Martin Martens and Dick van Dijk

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? pp. 230-253

Jim Griffin and Roel Oomen

Refined Inference on Long Memory in Realized Volatility pp. 254-267

Offer Lieberman and Peter C. B. Phillips

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory pp. 268-297

Afonso Gonçalves da Silva and Peter Robinson

Why Aggregate Long Memory Time Series? pp. 298-316

Leonardo Rocha Souza

Volume 26, issue 6, 2007

Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity pp. 609-641

Sílvia Gonçalves and Lutz Kilian

Testing Covariance Stationarity pp. 643-667

Zhijie Xiao and Luiz Renato Lima

Specification and Identification of Stochastic Demand Models pp. 669-683

Walter Beckert

Testing for State Dependence with Time-Variant Transition Probabilities pp. 685-703

Timothy J. Halliday

Testing for the Null Hypothesis of Cointegration with a Structural Break pp. 705-739

Yoichi Arai and Eiji Kurozumi

Volume 26, issue 5, 2007

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression pp. 487-501

Bent Nielsen and J James Reade

Assessing the Precision of Turning Point Estimates in Polynomial Regression Functions pp. 503-528

Florenz Plassmann and Neha Khanna

Bayesian Proportional Hazard Analysis of the Timing of High School Dropout Decisions pp. 529-556

Mingliang Li

A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns pp. 557-566

Yasemin Ulu

U-Statistics and Their Asymptotic Results for Some Inequality and Poverty Measures pp. 567-577

Kuan Xu

Formative Indicators and Effects of a Causal Model for Household Human Capital with Application pp. 579-596

Camilo Dagum, Giorgio Vittadini and Pietro Giorgio Lovaglio

A Review of: "Book Review: Empirical Dynamic Asset Pricing" pp. 597-604

Massimo Guidolin

A Review of: "Book Review: Mathematical and Statistical Foundations" pp. 605-607

James Davidson

Volume 26, issue 2-4, 2007

Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics pp. 107-112

Gary Koop and Herman K. van Dijk

Bayesian Analysis of DSGE Models pp. 113-172

Sungbae An and Frank Schorfheide

Bayesian Analysis of DSGE Models - Some Comments pp. 173-185

Malin Adolfson, Jesper Lindé and Mattias Villani

Bayesian Analysis of DSGE Models by S. An and F. Schorfheide pp. 187-192

Fabio Canova

Comment pp. 193-200

John Geweke

Econometric Issues in DSGE Models pp. 201-204

Fabio Milani and Dale J. Poirier

Comment on An and Schorfheide's Bayesian Analysis of DSGE Models pp. 205-210

Tao Zha

Bayesian Analysis of DSGE Models - Rejoinder pp. 211-219

Sungbae An and Frank Schorfheide

Normalization in Econometrics pp. 221-252

James Hamilton, Daniel F. Waggoner and Tao Zha

Learning, Structural Instability, and Present Value Calculations pp. 253-288

M Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann

Forecasting Performance of an Open Economy DSGE Model pp. 289-328

Malin Adolfson, Jesper Lindé and Mattias Villani

Forecast Combination and Model Averaging Using Predictive Measures pp. 329-363

Jana Eklund and Sune Karlsson

Bayesian Clustering of Many Garch Models pp. 365-386

Luc Bauwens and Jeroen VK Rombouts

Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter pp. 387-418

Catherine S. Forbes, Gael Margaret Martin and Jill Wright

Flexible Threshold Models for Modelling Interest Rate Volatility pp. 419-437

Petros Dellaportas, David G. T. Denison and Chris Holmes

Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model pp. 439-468

Rodney Strachan

Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market pp. 469-486

Luc Bauwens and Michel Lubrano

Volume 26, issue 1, 2007

Variance (Non) Causality in Multivariate GARCH pp. 1-24

Massimiliano Caporin

The Sample Selection Model from a Method of Moments Perspective pp. 25-51

Erik Meijer and Tom Wansbeek

MIDAS Regressions: Further Results and New Directions pp. 53-90

Eric Ghysels, Arthur Sinko and Rossen Valkanov

Nonparametric Methods in Continuous Time Model Specification pp. 91-106

Isabel Casas and Jiti Gao