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Econometrics and Statistics

2017 - 2021

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

From Elsevier
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Volume 19, issue C, 2021

Bootstrap seasonal unit root test under periodic variation pp. 1-21 Downloads
Nan Zou and Dimitris N. Politis
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo pp. 22-46 Downloads
Dan Li, Adam Clements and Christopher Drovandi
Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence pp. 47-57 Downloads
Francisco Blasques, André Lucas and Andries C. van Vlodrop
Jump-preserving varying-coefficient models for nonlinear time series pp. 58-96 Downloads
Pavel Čížek and Chao Hui Koo
Simulation smoothing for nowcasting with large mixed-frequency VARs pp. 97-113 Downloads
Sebastian Ankargren and Paulina Jonéus
Cyclical fractional cointegration pp. 114-129 Downloads
Michelle Voges and Philipp Sibbertsen
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo pp. 130-150 Downloads
Alexander Kreuzer and Claudia Czado
EM algorithm using overparameterization for the multivariate skew-normal distribution pp. 151-168 Downloads
Toshihiro Abe, Hironori Fujisawa, Takayuki Kawashima and Christophe Ley
On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods pp. 169-187 Downloads
Linyuan Li, Pierre Duchesne and Chu Pheuil Liou

Volume 18, issue C, 2021

State-level wage Phillips curves pp. 1-11 Downloads
George Kapetanios, Simon Price, Menelaos Tasiou and Alexia Ventouri
Spurious cross-sectional dependence in credit spread changes pp. 12-27 Downloads
Marcin Jaskowski and Michael McAleer
Bayesian analysis of hidden Markov structural equation models with an unknown number of hidden states pp. 29-43 Downloads
Hefei Liu and Xinyuan Song
Detecting changes in the covariance structure of functional time series with application to fMRI data pp. 44-62 Downloads
Christina Stoehr, John A D Aston and Claudia Kirch
A class of two-mode clustering algorithms in a fuzzy setting pp. 63-78 Downloads
Maria Brigida Ferraro, Paolo Giordani and Maurizio Vichi
A Likelihood Ratio Test of a Homoscedastic Multivariate Normal Mixture Against a Heteroscedastic Multivariate Normal Mixture pp. 79-88 Downloads
Lin Cong and Weixin Yao
Efficient surface finish defect detection using reduced rank spline smoothers and probabilistic classifiers pp. 89-105 Downloads
Natalya Pya Arnqvist, Blaise Ngendangenzwa, Eric Lindahl, Leif Nilsson and Jun Yu
Quantile LASSO in arbitrage-free option markets pp. 106-116 Downloads
Matúš Maciak
Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression pp. 117-142 Downloads
Chor-yiu (CY) Sin and Cheng-Few Lee

Volume 17, issue C, 2021

Model risk management: Valuation and governance of pseudo-models pp. 1-22 Downloads
C. Gourieroux and Alain Monfort
Spatially varying sparsity in dynamic regression models pp. 23-34 Downloads
Guanyu Hu
Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors pp. 35-63 Downloads
Samuele Centorrino and Jean-Pierre Florens
Evaluating restricted common factor models for non-stationary data pp. 64-75 Downloads
Francesca Di Iorio and Stefano Fachin
Multivariate stochastic volatility using the HESSIAN method pp. 76-94 Downloads
William McCausland, Shirley Miller and Denis Pelletier
Aggregation of Seasonal Long-Memory Processes pp. 95-106 Downloads
Tomás del Barrio Castro and Heiko Rachinger
A panel cointegrating rank test with structural breaks and cross-sectional dependence pp. 107-129 Downloads
Antonia Arsova and Deniz Karaman Örsal
A O(n) algorithm for the discrete best L4 monotonic approximation problem pp. 130-144 Downloads
I.C. Demetriou
Ensembling Imbalanced-Spatial-Structured Support Vector Machine pp. 145-155 Downloads
Xin Liu, Grace Y. Yi, Glenn Bauman and Wenqing He
A Note on Adaptive Group Lasso for Structural Break Time Series pp. 156-172 Downloads
Simon Behrendt and Karsten Schweikert

Volume 16, issue C, 2020

DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation pp. 1-27 Downloads
Thomai Filippeli, Richard Harrison and Konstantinos Theodoridis
The effect of explanatory variables on income: A tool that allows a closer look at the differences in income pp. 28-41 Downloads
Gerhard Tutz and Moritz Berger
Realized stochastic volatility models with generalized Gegenbauer long memory pp. 42-54 Downloads
Manabu Asai, Michael McAleer and Shelton Peiris
Identification of independent structural shocks in the presence of multiple Gaussian components pp. 55-68 Downloads
Simone Maxand
On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin pp. 69-90 Downloads
Andrew Phillip, Jennifer Chan and Shelton Peiris
Fractional Brownian markets with time-varying volatility and high-frequency data pp. 91-107 Downloads
Ananya Lahiri and Rituparna Sen
Semiparametric inference with missing data: Robustness to outliers and model misspecification pp. 108-120 Downloads
Eva Cantoni and Xavier de Luna
Hypothesis testing for tail dependence parameters on the boundary of the parameter space pp. 121-135 Downloads
Anna Kiriliouk
Selection tests for possibly misspecified hierarchical multinomial marginal models pp. 136-147 Downloads
Roberto Colombi
Flexible copula models with dynamic dependence and application to financial data pp. 148-167 Downloads
Pavel Krupskii and Harry Joe

Volume 15, issue C, 2020

Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models pp. 3-29 Downloads
Rembert De Blander
Combined estimation of semiparametric panel data models pp. 30-45 Downloads
Bai Huang, Tae Hwy Lee and Aman Ullah
Heteroscedastic stratified two-way EC models of single equations and SUR systems pp. 46-66 Downloads
Silvia Platoni, Laura Barbieri, Daniele Moro and Paolo Sckokai
Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models pp. 67-83 Downloads
Jhames M. Sampaio and Pedro A. Morettin
Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials pp. 85-103 Downloads
Charles Fontaine, Ron D. Frostig and Hernando Ombao
Bayesian longitudinal spectral estimation with application to resting-state fMRI data analysis pp. 104-116 Downloads
Ning Dai, Galin L. Jones and Mark Fiecas
A hierarchical bayesian model for differential connectivity in multi-trial brain signals pp. 117-135 Downloads
Lechuan Hu, Michele Guindani, Norbert J. Fortin and Hernando Ombao

Volume 14, issue C, 2020

Robust frontier estimation from noisy data: A Tikhonov regularization approach pp. 1-23 Downloads
Abdelaati Daouia, Jean-Pierre Florens and Leopold Simar
A spline function class suitable for demand models pp. 24-37 Downloads
Jeppe Rich
Bootstrap lag selection in DSGE models with expectations correction pp. 38-48 Downloads
Giovanni Angelini
Statistical inferences for realized portfolio weights pp. 49-62 Downloads
Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert and Taras Lazariv
The market rank indicator to detect financial distress pp. 63-73 Downloads
Silvia Figini, Mario Maggi and Pierpaolo Uberti
Accurate and robust inference pp. 74-88 Downloads
Elvezio Ronchetti
Regression with I-priors pp. 89-111 Downloads
Wicher P Bergsma
The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions pp. 112-130 Downloads
Tucker McElroy and Marc Wildi
A Simple Scale-Invariant Two-Sample Test for High-dimensional Data pp. 131-144 Downloads
Liang Zhang, Tianming Zhu and Jin-Ting Zhang
Subjective heterogeneity in response attitude for multivariate ordinal outcomes pp. 145-158 Downloads
Rosaria Simone, Gerhard Tutz and Maria Iannario
Page updated 2021-07-24