Econometrics and Statistics

2017 - 2025

Current editor(s): E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

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Volume 34, issue C, 2025

Sensitivity of Bounds on ATEs under Survey Nonresponse pp. 1-13

Lukáš Lafférs and Roman Nedela

A cluster plugin method for selecting the GLM lasso tuning parameters in models for unbalanced panel data pp. 14-31

David M. Drukker and Di Liu

Sparse simulation-based estimator built on quantiles pp. 32-43

Paola Stolfi, Mauro Bernardi and Lea Petrella

A Consistent Estimator for Model Structure and Variable Selection pp. 44-68

Taining Wang, Xiaoqi Zhang and Jinjing Tian

Note on the Uniqueness of the Maximum Likelihood Estimator for a Heckman’s Simultaneous Equations Model pp. 69-77

Kentaro Akashi and Tetsushi Horie

Robust Estimation of Probit Models with Endogeneity pp. 78-90

Andrea A. Naghi, Máté Váradi and Mikhail Zhelonkin

Estimation in copula models with two-piece skewed margins using the inference for margins method pp. 91-108

Jonas Baillien, Irène Gijbels and Anneleen Verhasselt

Sufficient Dimension Reduction for Poisson Regression pp. 109-119

Jianxuan Liu

Volume 33, issue C, 2025

Inference in mixed causal and noncausal models with generalized Student’s t-distributions pp. 1-12

Francesco Giancaterini and Alain Hecq

The dynamics of U.S. industrial production: A time-varying Granger causality perspective pp. 13-22

Christopher Baum, Stan Hurn and Jesus Otero

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall pp. 23-34

Leopoldo Catania and Alessandra Luati

Flexible and Robust Particle Tempering for State Space Models pp. 35-55

David Gunawan, Robert Kohn and Minh Ngoc Tran

Diversifying Trends pp. 56-79

Charles Chevalier and Serge Darolles

Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss pp. 80-104

Matei Demetrescu and Christoph Roling

Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR) pp. 105-134

Pu Chen, Willi Semmler and Helmut Maurer

Panel cointegrating polynomial regression analysis and an illustration with the environmental kuznets curve pp. 135-165

Robert M. de Jong and Martin Wagner

Risk Estimation With Composite Quantile Regression pp. 166-179

Eliana Christou and Michael Grabchak

Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving pp. 180-208

Tak Kuen Siu

Multiplicative Error Models: 20 years on pp. 209-229

Fabrizio Cipollini and Giampiero Gallo

Directional Tests and Confidence Bounds on Economic Inequality pp. 230-245

Jean-Marie Dufour, Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout

Quasi-likelihood analysis for nonlinear stochastic processes pp. 246-257

Nakahiro Yoshida

New estimation approaches for graphical models with elastic net penalty pp. 258-281

Davide Bernardini, Sandra Paterlini and Emanuele Taufer

ICS for multivariate functional anomaly detection with applications to predictive maintenance and quality control pp. 282-303

Aurore Archimbaud, Feriel Boulfani, Xavier Gendre, Klaus Nordhausen, Anne Ruiz-Gazen and Joni Virta

Covariate balancing for causal inference on categorical and continuous treatments pp. 304-329

Seong-ho Lee, Yanyuan Ma and Xavier de Luna

Volume 32, issue C, 2024

Risk reduction and portfolio optimization using clustering methods pp. 1-16

Jörn Sass and Anna-Katharina Thös

Dynamic portfolio selection with sector-specific regularization pp. 17-33

Christian M. Hafner and Linqi Wang

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility pp. 34-56

Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model pp. 57-72

Annastiina Silvennoinen and Timo Teräsvirta

Estimation of ergodic square-root diffusion under high-frequency sampling pp. 73-87

Yuzhong Cheng, Nicole Hufnagel and Hiroki Masuda

Estimation in the High Dimensional Additive Hazard Model with l0 Type of Penalty pp. 88-97

Yunpeng Zhou and Kam Chuen Yuen

Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes pp. 98-121

Mattias Villani, Matias Quiroz, Robert Kohn and Robert Salomone

Spectral Dependence pp. 122-159

Hernando Ombao and Marco Pinto

Volume 31, issue C, 2024

Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables pp. 1-18

Alessandro Barbarino and Efstathia Bura

Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification pp. 19-37

Rong Peng and Zudi Lu

Bias correction for Vandermonde low-rank approximation pp. 38-48

Antonio Fazzi, Alexander Kukush and Ivan Markovsky

Conditional Quantile Functions for Zero-Inflated Longitudinal Count Data pp. 49-65

Carlos Lamarche, Xuan Shi and Derek S. Young

Edgeworth expansions for multivariate random sums pp. 66-80

Farrukh Javed, Nicola Loperfido and Stepan Mazur

Differentially Private Goodness-of-Fit Tests for Continuous Variables pp. 81-99

Seung Woo Kwak, Jeongyoun Ahn, Jaewoo Lee and Cheolwoo Park

Multivariate Count Time Series Modelling pp. 100-116

Konstantinos Fokianos

Spatial-Temporal Analysis of Multi-Subject Functional Magnetic Resonance Imaging Data pp. 117-129

Tingting Zhang, Minh Pham, Guofen Yan, Yaotian Wang, Sara Medina-DeVilliers and James A. Coan

Volume 30, issue C, 2024

Partially one-sided semiparametric inference for trending persistent and antipersistent processes pp. 1-14

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Integrated nested Laplace approximations for threshold stochastic volatility models pp. 15-35

P. de Zea Bermudez, J. Miguel Marín, Håvard Rue and Helena Veiga

GMM with Nearly-Weak Identification pp. 36-59

Bertille Antoine and Eric Renault

Modeling Turning Points in the Global Equity Market pp. 60-75

Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin

Data segmentation algorithms: Univariate mean change and beyond pp. 76-95

Haeran Cho and Claudia Kirch

Exact Simulation of Max-Infinitely Divisible Processes pp. 96-109

Peng Zhong, Raphaël Huser and Thomas Opitz

Fuzzy k-Means: history and applications pp. 110-123

Maria Brigida Ferraro

A model specification test for semiparametric nonignorable missing data modeling pp. 124-132

Cheng Yong Tang

Volume 29, issue C, 2024

Bootstrapping long memory time series: Application in low frequency estimators pp. 1-15

Josu Arteche

Estimation of Large Dynamic Covariance Matrices: A Selective Review pp. 16-30

Degui Li

Recent development of covariance structure analysis in economics pp. 31-48

Kazuhiko Hayakawa

Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities pp. 49-63

Zacharias Psaradakis and Martin Sola

A new macro-financial condition index for the euro area pp. 64-87

Claudio Morana

Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs pp. 88-112

Richard T. Baillie, Dooyeon Cho and Seunghwa Rho

COVID-19 spreading in financial networks: A semiparametric matrix regression model pp. 113-131

Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini

Industrial Connectedness and Business Cycle Comovements pp. 132-149

Amy Guisinger, Michael Owyang and Daniel Soques

Review and comparison of measures of explained variation and model selection in linear mixed-effects models pp. 150-168

Eva Cantoni, Nadège Jacot and Paolo Ghisletta

Robust penalized spline estimation with difference penalties pp. 169-188

Ioannis Kalogridis and Stefan Van Aelst

Information Criteria for Outlier Detection Avoiding Arbitrary Significance Levels pp. 189-205

Marco Riani, Anthony Curtis Atkinson, Aldo Corbellini, Alessio Farcomeni and Fabrizio Laurini

Robust interactive fixed effects pp. 206-223

Kris Boudt and Ewoud Heyndels

Fast Optimal Subsampling Probability Approximation for Generalized Linear Models pp. 224-237

JooChul Lee, Elizabeth D. Schifano and HaiYing Wang

An extended Babai method for estimating linear model based integer parameters pp. 238-251

Xiao-Wen Chang, Zhilong Chen and Jinming Wen

On some multivariate sign tests for scatter matrix eigenvalues pp. 252-260

Gaspard Bernard and Thomas Verdebout

Cholesky-based multivariate Gaussian regression pp. 261-281

Thomas Muschinski, Georg J. Mayr, Thorsten Simon, Nikolaus Umlauf and Achim Zeileis