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 9, issue 3, 2006

Temporal disaggregation by state space methods: Dynamic regression methods revisited pp. 357-372

Tommaso Proietti

Change-point monitoring in linear models pp. 373-403

Alexander Aue, Lajos Horvath, Marie Hušková and Piotr Kokoszka

The asymptotic distribution of the F-test statistic for individual effects pp. 404-422

Chris Orme and Takashi Yamagata

A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend pp. 423-447

Ai Deng and Pierre Perron

Cross-validation and non-parametric k nearest-neighbour estimation pp. 448-471

Desheng Ouyang, Dong Li and Qi Li

A sequential procedure for determining the number of regimes in a threshold autoregressive model pp. 472-491

Birgit Strikholm and Timo Teräsvirta

Optimal Fractional Dickey-Fuller tests pp. 492-510

Ignacio Lobato and Carlos Velasco

Non-parametric regression for binary dependent variables pp. 511-540

Markus Frölich

Volume 9, issue 2, 2006

Consistent estimation of binary-choice panel data models with heterogeneous linear trends pp. 177-195

Alban Thomas

Joint hypothesis specification for unit root tests with a structural break &ast pp. 196-224

Josep Carrion-i-Silvestre and Andreu Sansó

Unit root tests and structural change when the initial observation is drawn from its unconditional distribution pp. 225-251

Hui Liu and Gabriel Rodríguez

Unit root tests in three-regime SETAR models pp. 252-278

George Kapetanios and Yongcheol Shin

On robust model selection within the Cox model pp. 279-290

Tadeusz Bednarski and Edyta Mocarska

Instrumental variables estimation of stationary and non-stationary cointegrating regressions pp. 291-306

P. M. Robinson and Margherita Gerolimetto

Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization pp. 307-331

Partha Deb and Pravin Trivedi

Semiparametric estimation and testing of the trend of temperature series pp. 332-355

Jiti Gao and Kim Hawthorne

Volume 9, issue 1, 2006

Semiparametric estimation of single-index hazard functions without proportional hazards pp. 1-22

Tue Gørgens

Dynamic adjustment cost models with forward-looking behaviour pp. 23-47

Luca Fanelli

A bootstrap approach to moment selection pp. 48-75

Atsushi Inoue

Simulation-based tests for heteroskedasticity in linear regression models: Some further results pp. 76-97

Leslie Godfrey, Chris Orme and João Santos Silva

The polynomial aggregated AR(1) model pp. 98-122

Terence Tai Leung Chong

Mean group tests for stationarity in heterogeneous panels pp. 123-158

Yongcheol Shin and Andy Snell

Further results on optimal critical values of pre-test when estimating the regression error variance pp. 159-176

Alan Wan, Guohua Zou and Kazuhiro Ohtani

Volume 8, issue 3, 2005

Estimation of the mean of a univariate normal distribution when the variance is not known pp. 277-291

Dmitry Danilov

On the arbitrariness of some asymptotic test statistics based on generalized inverses pp. 292-305

Noxy Dastoor

Artificial regression testing in the GARCH-in-mean model pp. 306-322

Riccardo (Jack) Lucchetti and Eduardo Rossi

Residual-based block bootstrap unit root testing in the presence of trend breaks pp. 323-351

Evangelos E. Ioannidis

Partially adaptive estimation via the maximum entropy densities pp. 352-366

Ximing Wu and Thanasis Stengos

Expansions for approximate maximum likelihood estimators of the fractional difference parameter pp. 367-379

Offer Lieberman and Peter Phillips

Estimating cointegrating relations from a cross section pp. 380-405

Edith Madsen

Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances pp. 406-417

Christian Kleiber and Walter Krämer

Repeated surveys and the Kalman filter pp. 418-427

Jo Lind

Measurement of aggregate risk with copulas pp. 428-454

Markus Junker and Angelika May

Volume 8, issue 2, 2005

Moment approximation for least-squares estimators in dynamic regression models with a unit root &ast pp. 115-142

Jan Kiviet and Garry Phillips

Robust modelling of DTARCH models pp. 143-158

Yer Van Hui and Jiancheng Jiang

Breaking the panels: An application to the GDP per capita pp. 159-175

Josep Carrion-i-Silvestre, Tomás del Barrio-Castro and Enrique Lopez-Bazo

Simultaneous equations in ordered discrete responses with regressor-dependent thresholds pp. 176-196

Myoung-jae Lee and Ayal Kimhi

Functional-coefficient models under unit root behaviour pp. 197-213

Ted Juhl

Temporal disaggregation using multivariate structural time series models pp. 214-234

Filippo Moauro and Giovanni Savio

Adaptive MCMC methods for inference on affine stochastic volatility models with jumps pp. 235-250

Davide Raggi

Non-linear GARCH models for highly persistent volatility pp. 251-276

Markku Lanne and Pentti Saikkonen

Volume 8, issue 1, 2005

Counts with an endogenous binary regressor: A series expansion approach pp. 1-22

Andres Romeu and Marcos Vera-Hernandez

Granger's representation theorem: A closed-form expression for I(1) processes pp. 23-38

Peter Hansen

On Theil's errors pp. 39-54

Jan Magnus and Ashoke K. Sinha

Testing for stationarity in heterogeneous panel data where the time dimension is finite pp. 55-69

Kaddour Hadri and Rolf Larsson

Bootstrap estimation of covariance matrices via the percentile method pp. 70-78

José António Machado and Paulo Parente

Estimating the effect of price limits on limit-hitting days pp. 79-96

Jeff Chung and Li Gan

On testing for unit roots and the initial observation pp. 97-111

David Harvey and Stephen Leybourne

Volume 7, issue 2, 2004

The consequences of seasonal adjustment for periodic autoregressive processes pp. 307-321

Tomás del Barrio Castro and Denise Osborn

Some cautions on the use of panel methods for integrated series of macroeconomic data pp. 322-340

Anindya Banerjee, Massimiliano Marcellino and Chiara Osbat

Testing linearity in cointegrating smooth transition regressions pp. 341-365

In Choi and Pentti Saikkonen

Response error in a transformation model with an application to earnings-equation estimation &ast pp. 366-388

Jason Abrevaya and Jerry Hausman

More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term pp. 389-397

Soren Johansen and Anders Rygh Swensen

Markov switching stochastic frontier model pp. 398-425

Mike Tsionas and Subal Kumbhakar

Semiparametric mixture models for multivariate count data, with application pp. 426-454

Marco Alfò and Giovanni Trovato

On the forecasting ability of ARFIMA models when infrequent breaks occur pp. 455-475

Vasco Gabriel and Luis Martins

Oil prices and exchange rates: Norwegian evidence pp. 476-504

Qaisar Akram

Asymptotic confidence intervals for impulse responses of near-integrated processes pp. 505-527

Nikolay Gospodinov

Testing for duration dependence in economic cycles pp. 528-549

Jonathan Ohn, Larry W. Taylor and Adrian Pagan

Forecasting in dynamic factor models using Bayesian model averaging pp. 550-565

Gary Koop and Simon Potter

Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts pp. 566-584

A. Cameron, Tong Li, Pravin Trivedi and David Zimmer

A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error pp. 585-617

Ekaterini Panopoulou and Nikitas Pittis

Identification of causal factor models of stationary time series pp. 618-627

Chris Heaton and Victor Solo

Vector equilibrium correction models with non-linear discontinuous adjustments pp. 628-651

Frédérique Bec and Anders Rahbek

Volume 7, issue 1, 2004

Pooling of forecasts pp. 1-31

David Hendry and Michael Clements

Least squares estimation and tests of breaks in mean and variance under misspecification pp. 32-54

Jean-Yves Pitarakis

Linearity tests and stationarity pp. 55-62

Rehim Kilic

Efficient inference in multivariate fractionally integrated time series models pp. 63-97

Morten Nielsen

The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects pp. 98-119

William Greene

Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers pp. 120-142

Wei Zhang and Lung-Fei Lee

Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques pp. 143-167

Sylvia Fruhwirth-Schnatter

Asymptotic inference results for multivariate long-memory processes pp. 168-190

Juan Dolado and Francesc Marmol

Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion pp. 191-217

David Harris and Donald Poskitt

Two-stage quantile regression when the first stage is based on quantile regression pp. 218-231

Tae-Hwan Kim and Christophe Muller

Modelling phase shifts among stochastic cycles pp. 232-248

Gerhard Rünstler

Cointegration analysis in the presence of outliers pp. 249-271

Heino Bohn Nielsen

Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations pp. 272-306

Jinyong Hahn, Jerry Hausman and Guido Kuersteiner