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.
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Volume 3, issue 2, 2000

Prediction-based estimating functions pp. 123-147

Michael Sørensen

Testing for stationarity in heterogeneous panel data pp. 148-161

Kaddour Hadri

The representative household’s demand for money in a cointegrated VAR model pp. 162-176

Thórarinn Pétursson

Testing for linear autoregressive dynamics under heteroskedasticity pp. 177-197

Christian Hafner and Helmut Herwartz

BUGS for a Bayesian analysis of stochastic volatility models pp. 198-215

Renate Meyer and Jun Yu

Cointegration analysis in the presence of structural breaks in the deterministic trend pp. 216-249

Soren Johansen, Rocco Mosconi and Bent Nielsen

Determining the order of differencing in seasonal time series processes pp. 250-264

Philip Hans Franses And A. M. Robert Taylor

Volume 3, issue 1, 2000

Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis pp. 1-15

Stephen J. Leybourne And Paul Newbold

Non-monotonic hazard functions and the autoregressive conditional duration model pp. 16-38

Joachim Grammig and Kai-Oliver Maurer

Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods pp. 39-65

Sylvia Kaufmann

Controlling the significance levels of prediction error tests for linear regression models pp. 66-83

Leslie Godfrey and Chris Orme

Signal extraction and the formulation of unobserved components models pp. 84-107

Andrew Harvey and Siem Jan Koopman

The finite sample distribution of the KPSS test pp. 108-121

Attila Hornok and Rolf Larsson

Volume 2, issue 2, 1999

Data mining reconsidered: encompassing and the general-to-specific approach to specification search pp. 167-191

Kevin Hoover and Stephen Perez

Discussion of 'Data mining reconsidered' pp. 192-201

Bruce Hansen

Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez pp. 202-219

David Hendry and Hans-Martin Krolzig

Data mining with local model specification uncertainty: a discussion of Hoover and Perez pp. 220-225

Clive Granger and Allan Timmermann

Contructive data mining: modeling consumers' expenditure in Venezuela pp. 226-240

Julia Campos and Neil Ericsson

Discussion contribution on 'Data mining reconsidered: encompassing and the general-to-specific approach to specification search' by Hoover and Perez pp. 241-243

David J. Hand

Reply to our discussants pp. 244-247

Kevin Hoover and Stephen Perez

Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling pp. 248-267

Robert P. Sherman, Yu-Yun K. Ho and Siddhartha R. Dalal

The optimal capital structure of a liquidity-insuring bank pp. 268-291

Hans-Jürg Büttler

Rank estimation of a transformation model with observed truncation pp. 292-305

Jason Abrevaya

Some tests for parameter constancy in cointegrated VAR-models pp. 306-333

Henrik Hansen and Soren Johansen

Volume 2, issue 1, 1999

Nonparametric bounds on employment and income effects of continuous vocational training in East Germany pp. 1-28

Michael Lechner

Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application pp. 29-48

Murat Munkin and Pravin Trivedi

Inference for Lorenz curve orderings pp. 49-75

Valentino Dardanoni and Antonio Forcina

Cointegration rank inference with stationary regressors in VAR models pp. 76-91

Anders Rahbek and Rocco Mosconi

The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis pp. 92-106

Stephen Leybourne and Paul Newbold

Statistical algorithms for models in state space using SsfPack 2.2 pp. 107-160

Siem Jan Koopman, Neil Shephard and Jurgen Doornik

Review of SsfPack 2.2: statistical algorithms for models in state space pp. 161-166

Marius Ooms

Volume 1, issue RegularPapers, 1998

Foreword by the Editors pp. i-ii

David Hendry and Neil Shephard

The relation between conditionally heteroskedastic factor models and factor GARCH models pp. 1-9

Enrique Sentana

Distribution approximation of unit root tests in autoregressive models pp. 10-26

Rolf Larsson

An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy pp. 27-43

Zhije Xiao and Peter Phillips

Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models pp. 44-70

Jan Kiviet and Garry Phillips

Volume 1, issue ConferenceIssue, 1998

Simulation methods in econometrics: editors' introduction pp. Ci-Cvii

Giampiero Gallo and Grayham Mizon

Spurious periodic autoregressions pp. C1-C22

Tommaso Proietti

Bayesian inference on GARCH models using the Gibbs sampler pp. C23-C46

Luc Bauwens and Michel Lubrano

A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP pp. C47-C75

Michael Clements and Hans-Martin Krolzig

Estimating the Kronecker indices of cointegrated echelon-form VARMA models pp. C76-C99

Holger Bartel and Helmut Lütkepohl

Control variates for variance reduction in indirect inference: Interest rate models in continuous time pp. C100-C112

Giorgio Calzolari, Francesca Di Iorio and Gabriele Fiorentini

Estimating stochastic volatility models through indirect inference pp. C113-C128

Chiara Monfardini

Simulated maximum likelihood estimation in transition models pp. C129-C153

Thierry Kamionka

Simulation-based finite sample normality tests in linear regressions pp. C154-C173

Jean-Marie Dufour, Abdeljelil Farhat, Lucien Gardiol and Lynda Khalaf

Simulation-based likelihood inference for limited dependent processes pp. C174-C202

Aurora Manrique and Neil Shephard

Computationally attractive stability tests for the efficient method of moments pp. C203-C227

Pieter van der Sluis

A framework for economic forecasting pp. C228-C266

Neil Ericsson and Jaime Marquez