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Econometrics and Statistics

2017 - 2019

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

From Elsevier
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Volume 11, issue C, 2019

A Bayesian analysis of linear regression models with highly collinear regressors pp. 1-21 Downloads
M. Hashem Pesaran and Ron P. Smith
Modeling Euro STOXX 50 volatility with common and market-specific components pp. 22-42 Downloads
Fabrizio Cipollini and Giampiero M. Gallo
Mixed interval realized variance: A robust estimator of stock price volatility pp. 43-62 Downloads
Maxwell Sutton, Andrey L. Vasnev and Richard Gerlach
A two-stage estimator for heterogeneous panel models with common factors pp. 63-82 Downloads
Carolina Castagnetti, Eduardo Rossi and Lorenzo Trapani
The factor analytical method for interactive effects dynamic panel models with moving average errors pp. 83-104 Downloads
Milda Norkutė and Joakim Westerlund
Parameter regimes in partial functional panel regression pp. 105-115 Downloads
Dominik Liebl and Fabian Walders
Adaptive semiparametric M-quantile regression pp. 116-129 Downloads
Otto-Sobotka, Fabian, Nicola Salvati, Maria Giovanna Ranalli and Thomas Kneib
Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior pp. 130-144 Downloads
Lendie Follett and Cindy Yu
Oracle inequalities for sign constrained generalized linear models pp. 145-157 Downloads
Yuta Koike and Yuta Tanoue

Volume 10, issue C, 2019

Sign tests for dependent observations pp. 1-8 Downloads
Donald Brown and Rustam Ibragimov
An improved bootstrap test of density ratio ordering pp. 9-26 Downloads
Brendan K. Beare and Xiaoxia Shi
Closed-form results for vector moving average models with a univariate estimation approach pp. 27-52 Downloads
Federico Poloni and Giacomo Sbrana
On accepting the edge-effect (for the inference of ARMA-type processes in Z2) pp. 53-70 Downloads
Dimitriou-Fakalou, Chrysoula
Alternative over-identifying restriction test in the GMM estimation of panel data models pp. 71-95 Downloads
Kazuhiko Hayakawa
Improving weighted least squares inference pp. 96-119 Downloads
Cyrus J. DiCiccio, Joseph P. Romano and Michael Wolf
Joint estimation of multiple network Granger causal models pp. 120-133 Downloads
A. Skripnikov and G. Michailidis
On-line peak detection in medical time series with adaptive regression methods pp. 134-150 Downloads
Carlo Grillenzoni and Michele Fornaciari
A Harris process to model stochastic volatility pp. 151-169 Downloads
Michelle Anzarut and Ramsés H. Mena

Volume 9, issue C, 2019

Estimating MIDAS regressions via OLS with polynomial parameter profiling pp. 1-16 Downloads
Eric Ghysels and Hang Qian
Robust analysis of the martingale hypothesis pp. 17-41 Downloads
Christian Gourieroux and Joann Jasiak
Testing subspace Granger causality pp. 42-61 Downloads
Majid Al-Sadoon
Estimation for time-invariant effects in dynamic panel data models with application to income dynamics pp. 62-77 Downloads
Yonghui Zhang and Qiankun Zhou
Model order selection in periodic long memory models pp. 78-94 Downloads
Christian Leschinski and Philipp Sibbertsen
Nonparametric regression on contaminated functional predictor with application to hyperspectral data pp. 95-107 Downloads
Frédéric Ferraty, Anthony Zullo and Mathieu Fauvel
Robust Monitoring of Time Series with Application to Fraud Detection pp. 108-121 Downloads
Peter Rousseeuw, Domenico Perrotta, Marco Riani and Mia Hubert
Testing for heteroscedasticity in high-dimensional regressions pp. 122-139 Downloads
Zhaoyuan Li and Jianfeng Yao
Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model pp. 140-155 Downloads
Yanqing Sun, Yuanqing Zhang and Jianhua Z. Huang
Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach pp. 156-170 Downloads
Benedikt Funke and Masayuki Hirukawa

Volume 8, issue C, 2018

Heterogeneity and nonconstant effect in two-stage quantile regression pp. 3-12 Downloads
Christophe Muller
Quantile continuous treatment effects pp. 13-36 Downloads
Javier Alejo, Antonio F. Galvao and Gabriel Montes-Rojas
A hyperplanes intersection simulated annealing algorithm for maximum score estimation pp. 37-55 Downloads
Kostas Florios
Combining Value-at-Risk forecasts using penalized quantile regressions pp. 56-77 Downloads
Sebastian Bayer
Covariates missing at random under signed-rank inference pp. 78-93 Downloads
Huybrechts F. Bindele
Estimating Chinese Treasury yield curves with Bayesian smoothing splines pp. 94-124 Downloads
Xiaojun Tong, Zhuoqiong Chong He and Dongchu Sun
Semiparametric count data modeling with an application to health service demand pp. 125-140 Downloads
Philipp Bach, Helmut Farbmacher and Martin Spindler
Estimation of grouped, time-varying convergence in economic growth pp. 141-158 Downloads
Harry Haupt, Joachim Schnurbus and Willi Semmler
Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data pp. 161-183 Downloads
Marius Hofert and Wayne Oldford
Approximating expected shortfall for heavy-tailed distributions pp. 184-203 Downloads
Simon A. Broda, Jochen Krause and Marc S. Paolella
A new particle filtering approach to estimate stochastic volatility models with Markov-switching pp. 204-230 Downloads
Frédéric Karamé
A two-decrement model for the valuation and risk measurement of a guaranteed annuity option pp. 231-249 Downloads
Yixing Zhao, Rogemar Mamon and Huan Gao

Volume 7, issue C, 2018

A UK financial conditions index using targeted data reduction: Forecasting and structural identification pp. 1-17 Downloads
George Kapetanios, Simon Price and Garry Young
Stochastic processes of limited frequency and the effects of oversampling pp. 18-29 Downloads
D.S.G. Pollock
Composite indirect inference with application to corporate risks pp. 30-45 Downloads
C. Gourieroux and A. Monfort
Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR pp. 46-62 Downloads
Nelson Muriel and González-Farías, Graciela
Change point detection in heteroscedastic time series pp. 63-88 Downloads
Tomasz Górecki, Lajos Horvath and Piotr Kokoszka
The copula-graphic estimator in censored nonparametric location-scale regression models pp. 89-114 Downloads
Aleksandar Sujica and Ingrid Van Keilegom
Composite quantile regression for GARCH models using high-frequency data pp. 115-133 Downloads
Meng Wang, Zhao Chen and Christina Dan Wang
Binary functional linear models under choice-based sampling pp. 134-152 Downloads
M.S. Ahmed, M.K. Attouch and Dabo-Niang, S.
Discrimination measures for discrete time-to-event predictions pp. 153-164 Downloads
Matthias Schmid, Gerhard Tutz and Thomas Welchowski

Volume 6, issue C, 2018

Filterbased stochastic volatility in continuous-time hidden Markov models pp. 1-21 Downloads
Vikram Krishnamurthy, Elisabeth Leoff and Jörn Sass
Spot volatility estimation using the Laplace transform pp. 22-43 Downloads
Imma Valentina Curato, Maria Elvira Mancino and Maria Cristina Recchioni
Higher-order statistics for DSGE models pp. 44-56 Downloads
Willi Mutschler
Assessing causality and delay within a frequency band pp. 57-73 Downloads
Jörg Breitung and Sven Schreiber
Semiparametric estimation under shape constraints pp. 74-89 Downloads
Ximing Wu and Robin Sickles
On the use of higher order bias approximations for 2SLS and k-class estimators with non-normal disturbances and many instruments pp. 90-105 Downloads
Gareth Liu-Evans and Garry D.A. Phillips
A high quantile estimator based on the log-generalized Weibull tail limit pp. 107-128 Downloads
Cees de Valk and Juan-Juan Cai
Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions pp. 129-148 Downloads
Jonathan El Methni and Gilles Stupfler
Tail dependence of recursive max-linear models with regularly varying noise variables pp. 149-167 Downloads
Nadine Gissibl, Claudia Klüppelberg and Moritz Otto
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