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Econometric Reviews
1997 - 2012
Edited by Esfandiar Maasoumi
from Taylor and Francis Journals
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Volume 31, issue 6 , 2012
A Review of Some Modern Approaches to the Problem of Trend Extraction pp. 593-624 Theodore Alexandrov , Silvia Bianconcini , Estela Bee Dagum , Peter Maass and Tucker S. McElroy Centered-Residuals-Based Moment Estimator and Test for Stochastic Frontier Models pp. 625-653 Yi-Ting Chen and Hung-Jen Wang A Survey on Time-Varying Copulas: Specification, Simulations, and Application pp. 654-687 Hans Manner and Olga Reznikova Volume 31, issue 5 , 2012
Cross-Sectional Dependence in Panel Data Analysis pp. 483-531 Vasilis Sarafidis and Tom Wansbeek Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models pp. 532-557 Emma M. Iglesias and Garry D. A. Phillips Python for Unified Research in Econometrics and Statistics pp. 558-591 Roseline Bilina and Steve Lawford Volume 30, issue 6 , 2011
Great Expectatrics: Great Papers, Great Journals, Great Econometrics pp. 583-619 Chia-Lin Chang , Michael McAleer and Les Oxley Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model pp. 620-645 George Kapetanios and Yongcheol Shin Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling pp. 646-668 Jose Luis Aznarte , Jesus Alcala-Fdez , Antonio Arauzo and Jose Manuel Benitez Volatility, Jumps, and Predictability of Returns: A Sequential Analysis pp. 669-695 Davide Raggi and Silvano Bordignon Volume 30, issue 5 , 2011
On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series pp. 475-513 Tucker Sprague McElroy and Thomas Trimbur Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices pp. 514-547 David Harvey , Stephen Leybourne and Robert Taylor Alternative Asymmetric Stochastic Volatility Models pp. 548-564 Manabu Asai and Michael McAleer Marginal Changes in Random Parameters Ordered Response Models with Interaction Terms pp. 565-576 Andreas Drichoutis and Rodolfo M. Nayga Book Review: Econometric Modeling and Inference pp. 577-581 Jean-Francois Richard Volume 30, issue 4 , 2011
Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models pp. 359-378 Kulan Ranasinghe and Mervyn Silvapulle Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors pp. 379-405 Nikolay Gospodinov and Ye Tao Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions pp. 406-456 Giuseppe Ragusa Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap pp. 457-468 Dale Poirier Book Review: Introducing Monte Carlo Methods with R pp. 469-474 Richard Luger Volume 30, issue 3 , 2011
A Consistent Test for Multivariate Conditional Distributions pp. 251-273 Fuchun Li and Greg Tkacz Testing for a unit root in a stationary ESTAR process pp. 274-302 Rehim Kılıc Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation pp. 303-336 Emma M. Iglesias and Garry Phillips Estimation of Allocative Inefficiency and Productivity Growth with Dynamic Adjustment Costs pp. 337-357 Scott Atkinson and Christopher Cornwell Volume 30, issue 2 , 2011
Estimation and Asymptotic Inference in the AR-ARCH Model pp. 129-153 Theis Lange , Anders Rahbek and Søren Tolver Jensen Robust Misspecification Tests for the Heckman's Two-Step Estimator pp. 154-172 Gabriel Montes-Rojas Two-Step Estimation of Endogenous and Exogenous Group Effects pp. 173-207 Qingyan Shang and Lung-Fei Lee A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series pp. 208-249 Loukia Meligkotsidou , Elias Tzavalis and Ioannis Vrontos Volume 30, issue 1 , 2011
Empirical Likelihood for Efficient Semiparametric Average Treatment Effects pp. 1-24 Francesco Bravo and David Tomás Jacho-Chávez Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters pp. 25-50 Dinghai Xu and John Knight Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences pp. 88-108 Nikolaos Kourogenis and Nikitas Pittis The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics pp. 109-127 Michael Lechner Volume 29, issue 5-6 , 2010
The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing pp. 470-475 Esfandiar Maasoumi and Marcelo C. Medeiros Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments pp. 476-510 Nii Ayi Armah and Norman Rasmus Swanson Bagging or Combining (or Both)? An Analysis Based on Forecasting U.S. Employment Growth pp. 511-533 David Rapach and Jack Strauss To Combine Forecasts or to Combine Information? pp. 534-570 Huiyu Huang and Tae-Hwy Lee The Benefits of Bagging for Forecast Models of Realized Volatility pp. 571-593 Eric Hillebrand and Marcelo C. Medeiros An Empirical Comparison of Machine Learning Models for Time Series Forecasting pp. 594-621 Nesreen Ahmed , Amir Atiya , Neamat El Gayar and Hisham El-Shishiny On Some Models for Value-At-Risk pp. 622-641 Philip L.H. Yu , Wai Keung Li and Shusong Jin Time Series Mixtures of Generalized t Experts: ML Estimation and an Application to Stock Return Density Forecasting pp. 642-687 Alexandre Carvalho and Georgios Skoulakis Estimating the Market Share Attraction Model using Support Vector Regressions pp. 688-716 Georgi Nalbantov , Philip Hans Franses , Patrick Groenen and Jan Bioch Estimating Interest Rate Curves by Support Vector Regression pp. 717-753 d'Almeida Monteiro, Andre Identification of Changes in Mean with Regression Trees: An Application to Market Research pp. 754-777 William Stanley Rea , Marco Reale , Carmela Cappelli and Jennifer Brown Volume 29, issue 4 , 2010
On Deconvolution as a First Stage Nonparametric Estimator pp. 365-396 Yingyao Hu and Geert Ridder Cointegrating Regressions with Time Heterogeneity pp. 397-438 Chang Sik Kim and Joon Y. Park A Semiparametric Analysis of Gasoline Demand in the United States Reexamining The Impact of Price pp. 439-468 Sebastiano Manzan and Dawit Zerom Volume 29, issue 3 , 2010
Distributional Overlap: Simple, Multivariate, Parametric, and Nonparametric Tests for Alienation, Convergence, and General Distributional Difference Issues pp. 247-275 Gordon Anderson , Ying Ge and Teng Wah Leo Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes pp. 276-306 Marcelo Fernandes and Breno Pinheiro Neri Information-Theoretic Distribution Test with Application to Normality pp. 307-329 Thanasis Stengos and Ximing Wu Testing, Estimation in GMM and CUE with Nearly-Weak Identification pp. 330-363 Mehmet Caner Volume 29, issue 2 , 2010
Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling pp. 111-145 Christian Gengenbach , Franz C. Palm and Jean-Pierre Urbain Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models pp. 146-157 Edward Cripps , Denzil G. Fiebig and Robert J. Kohn Implementing Box-Cox Quantile Regression pp. 158-181 Bernd Fitzenberger , Ralf Andreas Wilke and Xuan Zhang The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study pp. 182-223 Martin Wagner and Jaroslava Hlouskova Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space pp. 224-242 Gary Koop , Roberto Leon-Gonzalez and Rodney W. Strachan Book Review: New Introduction to Multiple Time Series Analysis pp. 243-246 Oscar Jorda Volume 29, issue 1 , 2010
Gamma Unobserved Heterogeneity and Duration Bias pp. 1-19 Pål Børing A Multivariate Threshold Varying Conditional Correlations Model pp. 20-38 W. Kwan , W. K. Li and K. W. Ng Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models pp. 39-61 Kien C. Tran and Efthymios Mike Tsionas Inferences from Cross-Sectional, Stochastic Frontier Models pp. 62-98 Leopold Simar and Paul W. Wilson Book Review: Identification and Inference for Econometric Models pp. 99-105 Patrik Guggenberger Book Review: Econometrics, Statistics and Computational Approaches in Food and Health Sciences pp. 106-109 Francis Vella
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