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Econometrics and Statistics

2017 - 2024

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

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Volume 29, issue C, 2024

Bootstrapping long memory time series: Application in low frequency estimators pp. 1-15 Downloads
Josu Arteche
Estimation of Large Dynamic Covariance Matrices: A Selective Review pp. 16-30 Downloads
Degui Li
Recent development of covariance structure analysis in economics pp. 31-48 Downloads
Kazuhiko Hayakawa
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities pp. 49-63 Downloads
Zacharias Psaradakis and Martin Sola
A new macro-financial condition index for the euro area pp. 64-87 Downloads
Claudio Morana
Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs pp. 88-112 Downloads
Richard T. Baillie, Dooyeon Cho and Seunghwa Rho
COVID-19 spreading in financial networks: A semiparametric matrix regression model pp. 113-131 Downloads
Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini
Industrial Connectedness and Business Cycle Comovements pp. 132-149 Downloads
Amy Y. Guisinger, Michael Owyang and Daniel Soques
Review and comparison of measures of explained variation and model selection in linear mixed-effects models pp. 150-168 Downloads
Eva Cantoni, Nadège Jacot and Paolo Ghisletta
Robust penalized spline estimation with difference penalties pp. 169-188 Downloads
Ioannis Kalogridis and Stefan Van Aelst
Information Criteria for Outlier Detection Avoiding Arbitrary Significance Levels pp. 189-205 Downloads
Marco Riani, Anthony Curtis Atkinson, Aldo Corbellini, Alessio Farcomeni and Fabrizio Laurini
Robust interactive fixed effects pp. 206-223 Downloads
Kris Boudt and Ewoud Heyndels
Fast Optimal Subsampling Probability Approximation for Generalized Linear Models pp. 224-237 Downloads
JooChul Lee, Elizabeth D. Schifano and HaiYing Wang
An extended Babai method for estimating linear model based integer parameters pp. 238-251 Downloads
Xiao-Wen Chang, Zhilong Chen and Jinming Wen
On some multivariate sign tests for scatter matrix eigenvalues pp. 252-260 Downloads
Gaspard Bernard and Thomas Verdebout
Cholesky-based multivariate Gaussian regression pp. 261-281 Downloads
Thomas Muschinski, Georg J. Mayr, Thorsten Simon, Nikolaus Umlauf and Achim Zeileis

Volume 28, issue C, 2023

Networks in risk spillovers: A multivariate GARCH perspective pp. 1-29 Downloads
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
Bayesian estimation of realized GARCH-type models with application to financial tail risk management pp. 30-46 Downloads
Cathy W. S. Chen, Toshiaki Watanabe and Edward M.H. Lin
Bayesian Analysis of ARCH-M model with a dynamic latent variable pp. 47-62 Downloads
Zefang Song, Xinyuan Song and Yuan Li
Factor-augmented Bayesian treatment effects models for panel outcomes pp. 63-80 Downloads
Helga Wagner, Sylvia Frühwirth-Schnatter and Liana Jacobi
Implicit Copulas: An Overview pp. 81-104 Downloads
Michael Stanley Smith
A review of effective age models and associated non- and semiparametric methods pp. 105-119 Downloads
Eric Beutner
Change point estimation under a copula-based Markov chain model for binomial time series pp. 120-137 Downloads
Takeshi Emura, Ching-Chieh Lai and Li-Hsien Sun
Partially orthogonal blocked three-level response surface designs pp. 138-154 Downloads
Heiko Großmann and Steven G. Gilmour
Numerical Methods for Finding A-optimal Designs Analytically pp. 155-162 Downloads
Ping-Yang Chen, Ray-Bing Chen, Yu-Shi Chen and Weng Kee Wong
Multi-objective optimisation of split-plot designs pp. 163-172 Downloads
Matteo Borrotti, Francesco Sambo and Kalliopi Mylona

Volume 27, issue C, 2023

Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach pp. 1-15 Downloads
Marc Hallin and Carlos Trucíos
A Multivariate Randomized Response Model for Sensitive Binary Data pp. 16-35 Downloads
Amanda M.Y. Chu, Yasuhiro Omori, Hing-yu So and Mike K.P. So
Robust Covariance Matrix Estimation in Time Series: A Review pp. 36-61 Downloads
Masayuki Hirukawa
Seasonality in High Frequency Time Series pp. 62-82 Downloads
Tommaso Proietti and Diego J. Pedregal
A Two-Way Transformed Factor Model for Matrix-Variate Time Series pp. 83-101 Downloads
Zhaoxing Gao and Ruey S. Tsay
Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s g Prior for Predictive Robustness pp. 102-119 Downloads
Christopher M. Hans, Mario Peruggia and Junyan Wang
Inner spike and slab Bayesian nonparametric models pp. 120-135 Downloads
Antonio Canale, Antonio Lijoi, Bernardo Nipoti and Igor Prünster
Bayesian estimation for mode and anti-mode preserving circular distributions pp. 136-160 Downloads
Toshihiro Abe, Yoichi Miyata and Takayuki Shiohama
Bayesian analysis for mediation and moderation using g−priors pp. 161-172 Downloads
Jean-Michel Galharret and Anne Philippe
A Weissman-type estimator of the conditional marginal expected shortfall pp. 173-196 Downloads
Yuri Goegebeur, Armelle Guillou, Nguyen Khanh Le Ho and Jing Qin

Volume 26, issue C, 2023

High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research pp. 3-16 Downloads
Marco Lippi, Manfred Deistler and Brian Anderson
Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios pp. 17-30 Downloads
Mohammad Pesaran and Ronald Smith
Robust Discovery of Regression Models pp. 31-51 Downloads
Jennifer L. Castle, Jurgen Doornik and David Hendry
Fast cluster bootstrap methods for linear regression models pp. 52-71 Downloads
James MacKinnon
Dynamic Tobit models pp. 72-83 Downloads
Andew Harvey and Yin Liao
Fuzzy sets and (fuzzy) random sets in Econometrics and Statistics pp. 84-98 Downloads
Ana Colubi and Ana Belén Ramos-Guajardo
Rage Against the Mean – A Review of Distributional Regression Approaches pp. 99-123 Downloads
Thomas Kneib, Alexander Silbersdorff and Benjamin Säfken
Semi-Supervised Learning of Classifiers from a Statistical Perspective: A Brief Review pp. 124-138 Downloads
Daniel Ahfock and Geoffrey J. McLachlan
A New Statistic for Bayesian Hypothesis Testing pp. 139-152 Downloads
Su Chen and Stephen G. Walker
When the score function is the identity function - A tale of characterizations of the normal distribution pp. 153-160 Downloads
Christophe Ley

Volume 25, issue C, 2023

Instrument-free inference under confined regressor endogeneity and mild regularity pp. 1-22 Downloads
Jan 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
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