Economics at your fingertips  

Econometrics and Statistics

2017 - 2017

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

From Elsevier
Series data maintained by Dana Niculescu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 3, issue C, 2017

Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models pp. 3-22 Downloads
Lutz F. Gruber and Mike West
On efficient Bayesian inference for models with stochastic volatility pp. 23-33 Downloads
D.K. Sakaria and Jim Griffin
Cholesky realized stochastic volatility model pp. 34-59 Downloads
Shinichiro Shirota, Yasuhiro Omori, Hedibert. F. Lopes and Haixiang Piao
On limiting distribution of quasi-posteriors under partial identification pp. 60-72 Downloads
Wenxin Jiang
Incorporating unobserved heterogeneity in Weibull survival models: A Bayesian approach pp. 73-88 Downloads
Catalina A. Vallejos and Mark Steel
Robust normal mixtures for financial portfolio allocation pp. 91-111 Downloads
Marco Gambacciani and Marc S. Paolella
Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data pp. 112-131 Downloads
Francesco Bartolucci, Silvia Bacci and Claudia Pigini
A Fisher-scoring algorithm for fitting latent class models with individual covariates pp. 132-140 Downloads
Antonio Forcina
Evolutionary clustering for categorical data using parametric links among multinomial mixture models pp. 141-159 Downloads
Md. Abul Hasnat, Julien Velcin, Stephane Bonnevay and Julien Jacques
A mixture of SDB skew-t factor analyzers pp. 160-168 Downloads
Paula M. Murray, Ryan P. Browne and Paul D. McNicholas

Volume 2, issue C, 2017

The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation pp. 1-21 Downloads
Jan Kiviet and Milan Pleus
Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data pp. 22-35 Downloads
Dawlah Al-Sulami, Zhenyu Jiang, Zudi Lu and Jun Zhu
Neural nets for indirect inference pp. 36-49 Downloads
Michael Creel
A distance test of normality for a wide class of stationary processes pp. 50-60 Downloads
Zacharias Psaradakis and Marian Vavra
Meta-analytic cointegrating rank tests for dependent panels pp. 61-72 Downloads
Deniz Dilan Karaman Örsal and Antonia Arsova
Big Data in context and robustness against heterogeneity pp. 73-80 Downloads
J.S. Marron
Nonparametric causal inference from observational time series through marginal integration pp. 81-105 Downloads
Shu Li, Jan Ernest and Peter Bühlmann
Preliminary test estimation for multi-sample principal components pp. 106-116 Downloads
Davy Paindaveine, Rondrotiana Joséa Rasoafaraniaina and Thomas Verdebout
Binary time series models driven by a latent process pp. 117-130 Downloads
Konstantinos Fokianos and Theodoros Moysiadis
Separating location and dispersion in ordinal regression models pp. 131-148 Downloads
G. Tutz and Marguerite Berger

Volume 1, issue C, 2017

Econometrics and Statistics pp. 1-1 Downloads
Erricos Kontoghiorghes, Herman K. Van Dijk and Ana Colubi
Structural vector autoregressions with heteroskedasticity: A review of different volatility models pp. 2-18 Downloads
Helmut Lütkepohl and Aleksei Netšunajev
Asymmetric stable Paretian distribution testing pp. 19-39 Downloads
Marc S. Paolella
A dynamic component model for forecasting high-dimensional realized covariance matrices pp. 40-61 Downloads
Luc Bauwens, Manuela Braione and Giuseppe Storti
Combined Lagrange multiplier test for ARCH in vector autoregressive models pp. 62-84 Downloads
Paul Catani and N.J.C. Ahlgren
Singular Spectrum Analysis for signal extraction in Stochastic Volatility models pp. 85-98 Downloads
Josu Arteche and Javier García-Enríquez
Special issue on functional data analysis pp. 99-100 Downloads
Piotr Kokoszka, Hanny Oja, Byeong Park and Laura Sangalli
Change point and trend analyses of annual expectile curves of tropical storms pp. 101-117 Downloads
P. Burdejova, Wolfgang Härdle, P. Kokoszka and Q. Xiong
On the consistency of bootstrap methods in separable Hilbert spaces pp. 118-127 Downloads
Gil González-Rodríguez and Ana Colubi
Prediction of functional ARMA processes with an application to traffic data pp. 128-149 Downloads
J. Klepsch, C. Klüppelberg and T. Wei
Multinomial functional regression with wavelets and LASSO penalization pp. 150-166 Downloads
Seyed Nourollah Mousavi and Helle Sørensen
High-dimensional adaptive function-on-scalar regression pp. 167-183 Downloads
Zhaohu Fan and Matthew Reimherr
Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration pp. 184-200 Downloads
Han Lin Shang
Page updated 2017-10-23