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 11, issue 3, 2008

Seasonal unit root tests and the role of initial conditions pp. 409-442

David Harvey, Stephen Leybourne and Robert Taylor

Bootstrap inference in a linear equation estimated by instrumental variables pp. 443-477

Russell Davidson and James MacKinnon

Using semi-parametric methods in an analysis of earnings mobility pp. 478-498

Shawn W. Ulrick

Heterogeneity, state dependence and health pp. 499-516

Timothy Halliday

Semiparametric estimation of the Box--Cox transformation model pp. 517-537

Youngki Shin

A semiparametric derivative estimator in log transformation models pp. 538-553

Chunrong Ai and Edward Norton

Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals pp. 554-572

Badi Baltagi, Chihwa Kao and Long Liu

Asymptotic and qualitative performance of non-parametric density estimators: a comparative study pp. 573-592

Teruko Takada

Estimation of the stochastic conditional duration model via alternative methods pp. 593-616

John Knight and Cathy Ning

Distinguishing short and long memory volatility specifications pp. 617-637

Shiuyan Pong, Mark Shackleton and Stephen J. Taylor

Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent pp. 638-647

Rickard Sandberg

Volume 11, issue 2, 2008

Panel vector autoregression under cross-sectional dependence pp. 219-243

Xiao Huang

Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models pp. 244-270

Robert J. Elliott, Vikram Krishnamurthy and Jörn Sass

Factor analysis in a model with rational expectations pp. 271-286

Andreas Beyer, Roger Farmer, Jerome Henry and Massimiliano Marcellino

Generic consistency of the break-point estimators under specification errors in a multiple-break model pp. 287-307

Jushan Bai, Haiqiang Chen, Terence Tai Leung Chong and Seraph Xin Wang

Representation theorem for convex nonparametric least squares pp. 308-325

Timo Kuosmanen

The impact of homework on student achievement pp. 326-348

Ozkan Eren and Daniel Henderson

Generalized LM tests for functional form and heteroscedasticity pp. 349-376

Zhenlin Yang and Y. K. Tse

A bootstrap procedure for panel data sets with many cross-sectional units pp. 377-395

George Kapetanios

K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables pp. 396-408

Rui Li and Guan Gong

Volume 11, issue 1, 2008

The Econometrics Journal of the Royal Economic Society pp. i-iii

Richard Smith

Bootstrapping Autoregression under Non-stationary Volatility pp. 1-26

Ke-Li Xu

Estimating GARCH models: when to use what&quest pp. 27-38

Da Huang, Hansheng Wang and Qiwei Yao

Influential observations in cointegrated VAR models: Danish money demand 1973--2003 pp. 39-57

Heino Bohn Nielsen

Inflation, exchange rates and PPP in a multivariate panel cointegration model pp. 58-79

Tor Jacobson, Johan Lyhagen, Rolf Larsson and Marianne Nessén

Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects pp. 80-104

Hyungsik Moon and Benoit Perron

A bias-adjusted LM test of error cross-section independence pp. 105-127

Mohammad Pesaran, Aman Ullah and Takashi Yamagata

Economic Reform, Growth and Convergence in China pp. 128-154

Esfandiar Maasoumi and Le Wang

Modelling Portfolio Defaults Using Hidden Markov Models with Covariates pp. 155-171

Konrad Banachewicz, Andre Lucas and Aad van der Vaart

Stochastic frontier models with dependent error components pp. 172-192

Murray D. Smith

Indirect Estimation of α-Stable Distributions and Processes pp. 193-208

Marco Lombardi and Giorgio Calzolari

Exact formulas for the Hodrick-Prescott filter pp. 209-217

Tucker McElroy

Volume 10, issue 3, 2007

On the sensitivity of the restricted least squares estimators to covariance misspecification pp. 471-487

Alan Wan, Guohua Zou and Huaizhen Qin

The Tobit model with a non-zero threshold pp. 488-502

Richard Carson and Yixiao Sun

Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models pp. 503-520

Petros Dellaportas and Ioannis Vrontos

Robust estimators for the fixed effects panel data model pp. 521-540

Maria Caterina Bramati and Christophe Croux

Moments of IV and JIVE estimators pp. 541-553

Russell Davidson and James MacKinnon

Expectations hypotheses tests at Long Horizons pp. 554-579

Barbara Rossi

Searching for cointegration in a dynamic system pp. 580-604

Zhongjun Qu

A mixture-distribution factor model for multivariate outliers pp. 605-636

Iliyan Georgiev

Size matters: covariance matrix estimation under the alternative pp. 637-644

Jason Allen

Volume 10, issue 2, 2007

Semiparametric competing risks analysis pp. 193-215

José Canals-Cerdá and Shiferaw Gurmu

Estimating option implied risk-neutral densities using spline and hypergeometric functions pp. 216-244

Ruijun Bu and Kaddour Hadri

On the inconsistency of the unrestricted estimator of the information matrix near a unit root pp. 245-262

Tassos Magdalinos

Selection correction in panel data models: An application to the estimation of females' wage equations pp. 263-293

Christian Dustmann and María Engracia Rochina-Barrachina

A model selection method for S-estimation pp. 294-319

Arie Preminger and Shinichi Sakata

Method of moment estimation in the COGARCH(1,1) model pp. 320-341

S. Haug, C. Klüppelberg, A. Lindner and M. Zapp

Numerical integration-based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models pp. 342-358

Hiroyuki Kawakatsu

Propensity score matching without conditional independence assumption--with an application to the gender wage gap in the United Kingdom pp. 359-407

Markus Frölich

Bayesian inference for the mixed conditional heteroskedasticity model pp. 408-425

Luc Bauwens and Jeroen Rombouts

Two-stage estimation of limited dependent variable models with errors-in-variables pp. 426-438

Liqun Wang and Cheng Hsiao

Controlling for overdispersion in grouped conditional logit models: A computationally simple application of Dirichlet-multinomial regression pp. 439-452

Paulo Guimaraes and Richard Lindrooth

Estimation of impulse response functions using long autoregression pp. 453-469

Pao-Li Chang and Shinichi Sakata

Volume 10, issue 1, 2007

Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities pp. 1-34

Kyoo il Kim

Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry pp. 35-48

Bryan W. Brown and Douglas Hodgson

Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models pp. 49-81

Cheng Hsiao and Siyan Wang

How useful are tests for unit-root in distinguishing unit-root processes from stationary but non-linear processes&quest pp. 82-112

Chi-Young Choi and Young-Kyu Moh

Non-trading day effects in asymmetric conditional and stochastic volatility models pp. 113-123

Manabu Asai and Michael McAleer

Minimum distance estimation of stationary and non-stationary ARFIMA processes pp. 124-148

Laura Mayoral

Testing for time series linearity pp. 149-165

David Harvey and Stephen Leybourne

Local sensitivity and diagnostic tests pp. 166-192

Jan Magnus and Andrey Vasnev