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Econometrics and Statistics

2017 - 2023

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

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Volume 25, issue C, 2023

Instrument-free inference under confined regressor endogeneity and mild regularity pp. 1-22 Downloads
Jan F. Kiviet
Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application pp. 23-38 Downloads
Manabu Asai
On a Rosenblatt-type transformation of multivariate copulas pp. 39-48 Downloads
Evgeniy Savinov and Victoria Shamraeva
Combining rules for F- and Beta-statistics from multiply-imputed data pp. 51-65 Downloads
Ashok Chaurasia
Constructing a polygenic risk score for childhood obesity using functional data analysis pp. 66-86 Downloads
Sarah J.C. Craig, Ana M. Kenney, Junli Lin, Ian M. Paul, Leann L. Birch, Jennifer S. Savage, Michele E. Marini, Francesca Chiaromonte, Matthew L. Reimherr and Kateryna D. Makova
Regression Reconstruction from a Retrospective Sample pp. 87-92 Downloads
Christiana Kartsonaki and D. R. Cox
On The Problem of Relevance in Statistical Inference pp. 93-109 Downloads
Subhadeep Mukhopadhyay and Kaijun Wang
Statistical inference for state occupation and transition probabilities in non-Markov multi-state models subject to both random left-truncation and right-censoring pp. 110-124 Downloads
Alexandra Nießl, Arthur Allignol, Jan Beyersmann and Carina Mueller
A Markov decision process for response adaptive designs pp. 125-133 Downloads
Yanqing Yi and Xikui Wang

Volume 24, issue C, 2022

Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption pp. 1-26 Downloads
Johannes Bleher and Thomas Dimpfl
Time series copula models using d-vines and v-transforms pp. 27-48 Downloads
Martin Bladt and Alexander J. McNeil
On the local power of some tests of strict exogeneity in linear fixed effects models pp. 49-74 Downloads
Alexander Mayer
Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach pp. 75-93 Downloads
Yixiao Zhang, Cindy L. Yu and Haitao Li
Convergence of spectral density estimators in the locally stationary framework pp. 94-115 Downloads
Rafael Kawka
Bias-corrected method of moments estimators for dynamic panel data models pp. 116-132 Downloads
Jörg Breitung, Sebastian Kripfganz and Kazuhiko Hayakawa
Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization pp. 133-150 Downloads
Hua Li, Zhidong Bai, Wing-Keung Wong and Michael McAleer
A semi-parametric empirical likelihood approach for conditional estimating equations under endogenous selection pp. 151-163 Downloads
Yves G. Berger and Valentin Patilea
The ARMA Point Process and its Estimation pp. 164-182 Downloads
Michael Schatz, Spencer Wheatley and Didier Sornette
Simultaneous confidence bands for the functional mean of convex curves pp. 183-193 Downloads
Stefano Antonio Gattone, Francesca Fortuna, Adelia Evangelista and Tonio Di Battista

Volume 23, issue C, 2022

Testing for coefficient differences across nested linear regression specifications pp. 1-18 Downloads
McKinley L. Blackburn
AdaVol: An Adaptive Recursive Volatility Prediction Method pp. 19-35 Downloads
Nicklas Werge and Olivier Wintenberger
Correcting Intraday Periodicity Bias in Realized Volatility Measures pp. 36-52 Downloads
Holger Dette, Vasyl Golosnoy and Janosch Kellermann
Stochastic leverage effect in high-frequency data: a Fourier based analysis pp. 53-82 Downloads
Imma Valentina Curato and Simona Sanfelici
Conditional inference for binary panel data models with predetermined covariates pp. 83-104 Downloads
Claudia Pigini and Francesco Bartolucci
Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility pp. 105-127 Downloads
Tore Selland Kleppe, Roman Liesenfeld, Guilherme Valle Moura and Atle Oglend
Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence pp. 128-146 Downloads
Carlos Vladimir Rodríguez-Caballero
Multivariate time-series modeling with generative neural networks pp. 147-164 Downloads
Marius Hofert, Avinash Prasad and Mu Zhu
A bias-adjusted estimator in quantile regression for clustered data pp. 165-186 Downloads
Maria Laura Battagliola, Helle Sørensen, Anders Tolver and Ana-Maria Staicu
High-dimensional GARCH process segmentation with an application to Value-at-Risk pp. 187-203 Downloads
Haeran Cho and Karolos K. Korkas

Volume 22, issue C, 2022

Gradient boosting in Markov-switching generalized additive models for location, scale, and shape pp. 3-16 Downloads
Timo Adam, Andreas Mayr and Thomas Kneib
Optimal stratification of survival data via Bayesian nonparametric mixtures pp. 17-38 Downloads
Riccardo Corradin, Luis Enrique Nieto-Barajas and Bernardo Nipoti
A hierarchical mixture cure model with unobserved heterogeneity for credit risk pp. 39-55 Downloads
Lore Dirick, Gerda Claeskens, Andrey Vasnev and Bart Baesens
Asymptotics for Markov chain mixture detection pp. 56-66 Downloads
Matthew Fitzpatrick and Michael Stewart
Improved Inference of Gaussian Mixture Copula Model for Clustering and Reproducibility Analysis using Automatic Differentiation pp. 67-97 Downloads
Siva Rajesh Kasa and Vaibhav Rajan
A mixture model for ordinal variables measured on semantic differential scales pp. 98-123 Downloads
Marica Manisera and Paola Zuccolotto
Modelling Multiple Regimes in Economic Growth by Mixtures of Generalised Nonlinear Models pp. 124-135 Downloads
Sanela Omerovic, Herwig Friedl and Bettina Grün
Vine copula mixture models and clustering for non-Gaussian data pp. 136-158 Downloads
Özge Sahin and Claudia Czado
Machine Learning Embedded Semiparametric Mixtures of Regressions with Covariate-Varying Mixing Proportions pp. 159-171 Downloads
Jiacheng Xue and Weixin Yao
A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions pp. 172-189 Downloads
Haoxin Zhuang, Liqun Diao and Grace Y. Yi

Volume 21, issue C, 2022

An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models pp. 1-18 Downloads
Stella Hadjiantoni and Erricos John Kontoghiorghes
A nonparametric copula approach to conditional Value-at-Risk pp. 19-37 Downloads
Gery Geenens and Richard Dunn
On temporal aggregation of some nonlinear time-series models pp. 38-49 Downloads
Wai-Sum Chan
Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo pp. 50-68 Downloads
Damien C.H. Wee, Feng Chen and William T.M. Dunsmuir
Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models pp. 69-95 Downloads
Thomas Lux
An indirect proof for the asymptotic properties of VARMA model estimators pp. 96-111 Downloads
Guy Mélard
A Score Based Test for Functional Linear Concurrent Regression pp. 114-130 Downloads
Rahul Ghosal and Arnab Maity
Functional estimation of extreme conditional expectiles pp. 131-158 Downloads
Stéphane Girard, Gilles Stupfler and Antoine Usseglio-Carleve
Modeling Probability Density Functions as Data Objects pp. 159-178 Downloads
Alexander Petersen, Chao Zhang and Piotr Kokoszka

Volume 20, issue C, 2021

Kernel-based Volatility Generalised Least Squares pp. 2-11 Downloads
Ilias Chronopoulos, George Kapetanios and Katerina Petrova
Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model pp. 12-28 Downloads
Alessandra Amendola, Vincenzo Candila and Giampiero Gallo
Forecasting bubbles with mixed causal-noncausal autoregressive models pp. 29-45 Downloads
Alain Hecq and Elisa Voisin
Fixed-bandwidth CUSUM tests under long memory pp. 46-61 Downloads
Kai Wenger and Christian Leschinski
Model calibration and validation via confidence sets pp. 62-86 Downloads
Raffaello Seri, Mario Martinoli, Davide Secchi and Samuele Centorrino
Flexible Mixture Priors for Large Time-varying Parameter Models pp. 87-108 Downloads
Niko Hauzenberger
Bias correction for local linear regression estimation using asymmetric kernels via the skewing method pp. 109-130 Downloads
Benedikt Funke and Masayuki Hirukawa
Iterated conditional expectation algorithm on DAGs and regression graphs pp. 131-152 Downloads
Máté Baranyi and Marianna Bolla
Equivalent models for observables under the assumption of missing at random pp. 153-165 Downloads
Marian Hristache and Valentin Patilea
Quantile LASSO with changepoints in panel data models applied to option pricing pp. 166-175 Downloads
Matúš Maciak
Blockwise Euclidean likelihood for spatio-temporal covariance models pp. 176-201 Downloads
Víctor Morales-Oñate, Federico Crudu and Moreno Bevilacqua
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