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