Econometrics Journal

1998 - 2011

Continued by Econometrics Journal.

Current editor(s): Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

From Royal Economic Society
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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 Wilke

Non‐parametric models in binary choice fixed effects panel data pp. 351-367

Stefan Hoderlein, Enno Mammen and Kyusang Yu

A simple approach to quantile regression for panel data pp. 368-386

Ivan 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 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 L ee (M young‐jae ) pp. B1-B4

João 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 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 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 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 Brinch

Volume 14, issue 1, 2011

Quantile regression models with factor‐augmented predictors and information criterion pp. 1-24

Tomohiro Ando and Ruey S. Tsay

A hierarchical factor analysis of U.S. housing market dynamics pp. C1-C24

Emanuel Moench and Serena Ng

Short‐term forecasts of euro area GDP growth pp. C25-C44

Elena Angelini, Gonzalo Camba‐Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rünstler

Testing for sphericity in a fixed effects panel data model pp. 25-47

Badi Baltagi, Qu Feng and Chihwa Kao

Weak and strong cross‐section dependence and estimation of large panels pp. C45-C90

Alexander Chudik, Mohammad 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 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 Feve 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 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 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 Kiefer

Testing the adequacy of conventional asymptotics in GMM pp. 205-217

Jonathan Wright

Theory and inference for a Markov switching GARCH model pp. 218-244

Luc Bauwens, Arie Preminger and Jeroen Rombouts

ECF estimation of Markov models where the transition density is unknown pp. 245-270

George J. Jiang and John Knight

Bimodal t-ratios: the impact of thick tails on inference pp. 271-289

Carlo Fiorio, Vassilis Hajivassiliou and Peter Phillips

Volume 13, issue 1, 2010

Heterogeneity in dynamic discrete choice models pp. 1-39

Martin Browning and Jesus 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 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 Phillips

Distribution-free specification tests for dynamic linear models pp. S105-S134

Miguel Delgado, Javier Hidalgo and Carlos Velasco

Efficient GMM with nearly-weak instruments pp. S135-S171

Bertille Antoine and Eric Renault

Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities pp. S172-S199

Donald Andrews and Sukjin Han

More on monotone instrumental variables pp. S200-S216

Charles Manski and John Pepper

Two-step series estimation of sample selection models pp. S217-S229

Whitney Newey

A note on adapting propensity score matching and selection models to choice based samples pp. S230-S234

James Heckman and Petra Todd

Volume 12, issue 3, 2009

Realized kernels in practice: trades and quotes pp. C1-C32

Ole Barndorff-Nielsen, P. Reinhard Hansen, Asger Lunde and Neil Shephard

An arbitrage-free generalized Nelson--Siegel term structure model pp. C33-C64

Jens Christensen, Francis Diebold and Glenn 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, Xavier D'Haultfoeuille 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 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, Wolfgang Härdle and V. Spokoiny

Multi-tail generalized elliptical distributions for asset returns pp. 272-291

Sebastian Kring, Svetlozar T. Rachev, Markus Höchstötter, Frank 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 Fiebig, Edward Cripps and Robert 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 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 Hoderlein and Enno Mammen

Assessing the magnitude of the concentration parameter in a simultaneous equations model pp. 26-44

Donald Poskitt and Christopher 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 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