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 6, issue 2, 2003

Semiparametric estimation of Value at Risk pp. 261-290

Jianqing Fan and Juan Gu

Tests for a change in persistence against the null of difference-stationarity pp. 291-311

Stephen Leybourne, Tae-Hwan Kim, L. Vanessa Smith and Paul Newbold

A full-factor multivariate GARCH model pp. 312-334

Ioannis Vrontos, Petros Dellaportas and D. N. Politis

ARMA representation of integrated and realized variances pp. 335-356

Nour Meddahi

A radial basis function artificial neural network test for neglected nonlinearity pp. 357-373

Andrew Blake and George Kapetanios

Distribution of preferences and measurement errors in a disaggregated expenditure system pp. 374-400

Jørgen Aasness, Erik Biorn and Terje Skjerpen

Standard error correction in two-stage estimation with nested samples pp. 401-407

Pinar Karaca-Mandic and Kenneth Train

Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter pp. 408-420

Renate Meyer, David A. Fournier and Andreas Berg

Limiting behaviour of Dickey-Fuller t-tests under the crash model alternative pp. 421-429

A. Sen

Econometric inflation targeting pp. 430-461

Gunnar Bårdsen, Eilev Jansen and Ragnar Nymoen

Volume 6, issue 1, 2003

Discrete choice and stochastic utility maximization pp. 1-27

Ruud Koning and Geert Ridder

Hedonic price index estimation under mean-independence of time dummies from quality characteristics pp. 28-45

Yasushi Kondo and Myoung-jae Lee

A note on the estimation of mixture models under endogenous sampling pp. 46-52

João Santos Silva

An I(2) cointegration analysis of small-country import price determination pp. 53-71

Hans Christian Kongsted

Critical values for multiple structural change tests pp. 72-78

Jushan Bai and Pierre Perron

The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series pp. 79-98

Dick van Dijk, Birgit Strikholm and Timo Teräsvirta

Modelling sample selection using Archimedean copulas pp. 99-123

Murray D. Smith

Exploring economic time series: a Bayesian graphical approach pp. 124-145

J. M. Marriott, J. C. Naylor and Andrew Tremayne

Moments of the ARMA--EGARCH model pp. 146-166

Menelaos Karanasos and J. Kim

Generic consistency of the break-point estimator under specification errors pp. 167-192

Terence Tai Leung Chong

Asymptotics for unit root tests under Markov regime-switching pp. 193-216

Giuseppe Cavaliere

Dynamic panel estimation and homogeneity testing under cross section dependence &ast pp. 217-259

Peter Phillips and Donggyu Sul

Volume 5, issue 2, 2002

An investigation of tests for linearity and the accuracy of likelihood based inference using random fields pp. 263-284

Christian Dahl

Distributions of error correction tests for cointegration pp. 285-318

Neil Ericsson and James MacKinnon

Modelling methodology and forecast failure pp. 319-344

Michael Clements and David Hendry

Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model pp. 345-357

Antonis Demos

Residual-based diagnostics for conditional heteroscedasticity models pp. 358-374

Y. K. Tse

Lag length and mean break in stationary VAR models pp. 374-387

Minxian Yang

Testing for reduction to random walk in autoregressive conditional heteroskedasticity models pp. 387-416

Claudia Klüppelberg, Ross A. Maller, Mark van de Vyver and Derick Wee

Multinomial probit estimation without nuisance parameters pp. 417-434

Jon Breslaw

Estimating saving functions in the presence of excessive-zeros problems pp. 435-456

Atsushi Yoshida and Alessandra Guariglia

Projection estimators for autoregressive panel data models pp. 457-479

Stephen Bond and Frank Windmeijer

A comparative study of alternative estimators for the unbalanced two-way error component regression model pp. 480-493

Badi Baltagi, Seuck H. Song and Byoung C. Jung

Bounds for inference with nuisance parameters present only under the alternative pp. 494-519

Filippo Altissimo and Valentina Corradi

An optimal test against a random walk component in a non-orthogonal unobserved components model pp. 520-532

Ralph Bailey and Robert Taylor

Volume 5, issue 1, 2002

Model selection tests for nonlinear dynamic models pp. 1-39

Douglas Rivers and Quang Vuong

Progress from forecast failure -- the Norwegian consumption function pp. 40-64

Øyvind Eitrheim, Eilev Jansen and Ragnar Nymoen

On Monte Carlo estimation of relative power pp. 65-75

Paolo Paruolo

Notation in econometrics: a proposal for a standard pp. 76-90

Karim M. Abadir and Jan Magnus

A new technique for simulating the likelihood of stochastic differential equations pp. 91-103

João Nicolau

Testing linear restrictions in linear models with empirical likelihood pp. 104-130

Francesco Bravo

The tapered block bootstrap for general statistics from stationary sequences pp. 131-148

Efstathios Paparoditis and Dimitris N. Politis

Exact interpretation of dummy variables in semilogarithmic equations pp. 149-159

Kees Jan van Garderen and Chandra Shah

Consistency of kernel variance estimators for sums of semiparametric linear processes pp. 160-175

James Davidson and Robert de Jong

On LM type tests for seasonal unit roots in quarterly data pp. 176-195

Paulo Rodrigues

Forecasting autoregressive time series in the presence of deterministic components pp. 196-224

Serena Ng and Timothy Vogelsang

Estimation of the mean of a univariate normal distribution with known variance pp. 225-236

Jan Magnus

Maximum likelihood estimates for the Hildreth-Houck random coefficients model pp. 237-262

Asad Zaman

Volume 4, issue 2, 2001

Distinguishing between trend-break models: method and empirical evidence pp. 1

Chih-Chiang Hsu and Chung-Ming Kuan

Wage formation and employment in a cointegrated VAR model pp. 2

Thórarinn Pétursson and Torsten Slok

A Gaussian approach for continuous time models of the short-term interest rate pp. 3

Jun Yu and Peter Phillips

Markov level shifts and the unit-root hypothesis pp. 4

Zacharias Psaradakis

The limiting distribution of the t-ratio for the unit root test in an AR(1) pp. 5

Franz Dietrich

Testing for optimality in job search models pp. 6

Gary Koop and Dale J. Poirier

Stochastic specification and the international GDP series pp. 7

Alok Bhargava

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process pp. 8

Helmut Lütkepohl, Pentti Saikkonen and Carsten Trenkler

Review of PcGets 1 for Windows pp. 9

Gunnar Bårdsen

The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model pp. 10

Morten Jensen and Asger Lunde

Volume 4, issue 1, 2001

Forecasting with difference-stationary and trend-stationary models pp. S1-S19

Michael Clements and David Hendry

Nonlinear econometric models with cointegrated and deterministically trending regressors pp. 1-36

Yoosoon Chang, Joon Park and Peter Phillips

Fiscal forecasting: The track record of the IMF, OECD and EC pp. S20-S36

Michael Artis and Massimiliano Marcellino

Analysis of a panel of UK macroeconomic forecasts pp. S37-S55

David Harvey, Stephen Leybourne and Paul Newbold

An automatic leading indicator of economic activity: forecasting GDP growth for European countries pp. 37

Gonzalo Camba-Mendez, George Kapetanios, Richard Smith and Martin Weale

Are apparent findings of nonlinearity due to structural instability in economic time series? pp. 38

Gary Koop and Simon Potter

Graphical conditional moment tests pp. 39

Peter Moffatt

Testing the unit root hypothesis using generalized range statistics pp. 39

Giuseppe Cavaliere

Estimation of AR(1) models with unequally spaced pseudo-panels pp. 40

David McKenzie

Likelihood-based cointegration tests in heterogeneous panels pp. 41

Rolf Larsson, Johan Lyhagen and Mickael Lothgren

Asymptotic approximations in the near-integrated model with a non-zero initial condition pp. 42

Pierre Perron and Cosme Vodounou