Econometrics and Statistics

2017 - 2026

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

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Volume 40, issue C, 2026

Center-outward Rank- and Sign-based VARMA Portmanteau Tests: Chitturi, Hosking, and Li–McLeod revisited pp. 1-23

Marc Hallin and Hang Liu

On the consistency of K-sign depth tests pp. 24-38

Kevin Leckey, Mirko Jakubzik and Christine H. Müller

On the distribution-freeness of a test of angular symmetry based on halfspace depth pp. 39-53

Alexander Dürre and Davy Paindaveine

On approximate robust confidence distributions pp. 54-69

Elena Bortolato and Laura Ventura

A Review of Outlier Detection and Robust Estimation Methods for High Dimensional Time Series Data pp. 70-88

Daniel Peña and Víctor J. Yohai

On the Robust Estimation of Spatial Autoregressive Models pp. 89-102

Zhi Yang Tho, Ding Ding, Francis K.C. Hui, A.H. Welsh and Tao Zou

Predictability hidden by Anomalous Observations in Financial Data pp. 103-125

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

Tandem clustering with invariant coordinate selection pp. 126-152

Andreas Alfons, Aurore Archimbaud, Klaus Nordhausen and Anne Ruiz-Gazen

Robust two-layer partition clustering of sparse multivariate functional data pp. 153-172

Zhuo Qu, Wenlin Dai and Marc G. Genton

Robust Clustering with Normal Mixture Models: A Pseudo β-Likelihood Approach pp. 173-194

Soumya Chakraborty, Ayanendranath Basu and Abhik Ghosh

Volume 39, issue C, 2026

Factor models and high-dimensional time series A tribute to Marco Lippi on the occasion of his 80th birthday pp. 1-3

Matteo Barigozzi, Manfred Deistler and Marc Hallin

Highly irregular serial correlation tests pp. 4-21

Dante Amengual, Xinyue Bei and Enrique Sentana

Multivariate Hermite polynomials and information matrix tests pp. 22-48

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

The Asymptotic Equivalence of Ridge and Principal Component Regression with Many Predictors pp. 49-60

Christine De Mol, Domenico Giannone and Lucrezia Reichlin

Macroeconomic uncertainty and vector autoregressions pp. 61-80

Mario Forni, Luca Gambetti and Luca Sala

Estimating the number of common trends in large T and N factor models via canonical correlations analysis pp. 81-95

Massimo Franchi, Iliyan Georgiev and Paolo Paruolo

Estimating the Output Gap with High‐Dimensional Time Series pp. 96-119

A. Giovannelli and Tommaso Proietti

Second Special Issue on time series econometrics pp. 120-121

Alessandra Amendola, Christian Francq, Marc Hallin and Zacharias Psaradakis

Risk Assessment and Spurious Seasonality pp. 122-140

Malte S. Kurz and Stefan Mittnik

Estimation of Extreme Risk Measures for Stochastic Volatility Models with Long Memory and Heavy Tails pp. 141-159

Clémonell Bilayi-Biakana, Gail Ivanoff and Rafał Kulik

Vine Copula based Portfolio Level Conditional Risk Measure Forecasting pp. 160-178

Emanuel Sommer, Karoline Bax and Claudia Czado

Multivariate outlier explanations using Shapley values and Mahalanobis distances pp. 179-199

Marcus Mayrhofer and Peter Filzmoser

A novel estimation procedure for robust CANDECOMP/PARAFAC model fitting pp. 200-215

Valentin Todorov, Violetta Simonacci, Michele Gallo and Nikolay Trendafilov

Optimal Covariance Estimation for Condition Number Loss in the Spiked model pp. 216-267

David Donoho and Behrooz Ghorbani

The Influence Function of Graphical Lasso Estimators pp. 268-280

Gaëtan Louvet, Jakob Raymaekers, Germain Van Bever and Ines Wilms

Robust thin-plate splines for multivariate spatial smoothing pp. 281-293

Ioannis Kalogridis

Robust nonparametric regression: Review and practical considerations pp. 294-309

Matias Salibian-Barrera

Robust nonparametric multiple changepoint detection for multivariate variability pp. 310-337

Kelly Ramsay and Shojaeddin Chenouri

A spline-assisted semiparametric approach to nonparametric measurement error models pp. 338-352

Fei Jiang, Yanyuan Ma and Raymond J. Carroll

Addressing robust estimation in covariate–specific ROC curves pp. 353-370

Ana M. Bianco and Graciela Boente

Volume 38, issue C, 2026

Editorial: Special Issue on Robustness Dedicated to Elvezio Ronchetti and Peter Rousseeuw pp. 1-5

Eva Cantoni, Mia Hubert, Davide La Vecchia and Stefan Van Aelst

Challenges of cellwise outliers pp. 6-25

Jakob Raymaekers and Peter J. Rousseeuw

Comments on “Challenges of cellwise outliers” by Jakob Raymaekers and Peter J. Rousseeuw pp. 26-28

Claudio Agostinelli

Rejoinder to the comment of Agostinelli pp. 29-30

Jakob Raymaekers and Peter J. Rousseeuw

Analyzing cellwise weighted data pp. 31-41

Peter J. Rousseeuw

Using Canonical Quantile Regression to predict company performance: better prediction than using CEO compensation pp. 42-52

Stephen Portnoy and Yossi Haimberg

Highly Efficient Estimators with High Breakdown Point for Linear Models with Structured Covariance Matrices pp. 53-73

Hendrik Paul Lopuhaä

Normality testing after outlier removal pp. 74-96

Vanessa Berenguer-Rico and Bent Nielsen

Robust logistic regression for ordered and unordered responses pp. 97-121

Maria Iannario and Anna Clara Monti

A Robust Quantitative Risk Screening for Subgroup Pursuit in Clinical Trials pp. 122-141

Xinzhou Guo, Ruosha Li, Jianjun Zhou and Xuming He

Robust empirical risk minimization via Newton’s method pp. 142-168

Eirini Ioannou, Muni Sreenivas Pydi and Po-Ling Loh

Volume 37, issue C, 2026

Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels pp. 1-25

Alexander Chudik, Mohammad Pesaran and Ronald Smith

Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors pp. 26-41

Yu Bai, Massimiliano Marcellino and George Kapetanios

Risk-return trade-off in international stock returns: Skewness and business cycles pp. 42-60

Henri Nyberg and Christos S. Savva

Monitoring cointegration in systems of cointegrating relationships pp. 61-86

Etienne Theising and Dominik Wied

A new test for common breaks in heterogeneous panel data models pp. 87-125

Peiyun Jiang and Eiji Kurozumi

A nonparametric spatial regression model using partitioning estimators pp. 126-153

Jose Olmo and Marcos Sanso-Navarro

Robust Fixed-b Inference in the Presence of Time-Varying Volatility pp. 154-173

Matei Demetrescu, Christoph Hanck and Robinson Kruse-Becher

Estimating a discrete distribution subject to random left-truncation with an application to structured finance pp. 174-198

Jackson P. Lautier, Vladimir Pozdnyakov and Jun Yan

Instrumental variable quantile regression for clustered data pp. 199-213

Galina Besstremyannaya and Sergei Golovan

A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation pp. 214-229

Zhihao Xu and Clifford Hurvich

Fluctuation-type monitoring test for explosive behavior pp. 230-249

Eiji Kurozumi

A computationally efficient mixture innovation model for time-varying parameter regressions pp. 250-269

Zhongfang He