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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
Contact information at EDIRC.

Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

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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 Downloads
Ralf Wilke
Non‐parametric models in binary choice fixed effects panel data pp. 351-367 Downloads
Stefan Hoderlein, Enno Mammen and Kyusang Yu
A simple approach to quantile regression for panel data pp. 368-386 Downloads
Ivan Canay
Non‐parametric time‐varying coefficient panel data models with fixed effects pp. 387-408 Downloads
Degui Li, Jia Chen and Jiti Gao
Rank estimation of partially linear index models pp. 409-437 Downloads
Jason Abrevaya and Youngki Shin
Fixed‐b analysis of LM‐type tests for a shift in mean pp. 438-456 Downloads
Jingjing Yang and Timothy Vogelsang
Non‐parametric regression under location shifts pp. 457-486 Downloads
Peter Phillips and Liangjun Su
Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures pp. 487-497 Downloads
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 Downloads
Tomohiro Ando and Ruey S. Tsay
A hierarchical factor analysis of U.S. housing market dynamics pp. C1-C24 Downloads
Emanuel Moench and Serena Ng
Short‐term forecasts of euro area GDP growth pp. C25-C44 Downloads
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 Downloads
Badi Baltagi, Qu Feng and Chihwa Kao
Weak and strong cross‐section dependence and estimation of large panels pp. C45-C90 Downloads
Alexander Chudik, Mohammad Pesaran and Elisa Tosetti
The Hausman test in a Cliff and Ord panel model pp. 48-76 Downloads
Jan Mutl and Michael Pfaffermayr
Fully modified narrow‐band least squares estimation of weak fractional cointegration pp. 77-120 Downloads
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
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