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Econometrics and Statistics

2017 - 2020

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

From Elsevier
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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 S. 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

Volume 13, issue C, 2020

GMM estimation of affine term structure models pp. 2-15 Downloads
Jaroslava Hlouskova and Leopold Sögner
Microeconometric dynamic panel data methods: Model specification and selection issues pp. 16-45 Downloads
Jan Kiviet
Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity pp. 46-68 Downloads
Yuta Kurose and Yasuhiro Omori
Constructing joint confidence bands for impulse response functions of VAR models – A review pp. 69-83 Downloads
Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker
Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation pp. 84-105 Downloads
Xiuping Mao, Veronika Czellar, Esther Ruiz and Helena Veiga
Variance swap payoffs, risk premia and extreme market conditions pp. 106-124 Downloads
Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante
Quadratic regression for functional response models pp. 125-136 Downloads
Hidetoshi Matsui
An extreme quantile estimator for the log-generalized Weibull-tail model pp. 137-174 Downloads
Clément Albert, Anne Dutfoy, Laurent Gardes and Stéphane Girard
A general white noise test based on kernel lag-window estimates of the spectral density operator pp. 175-196 Downloads
Vaidotas Characiejus and Gregory Rice

Volume 12, issue C, 2019

The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016 pp. 1-24 Downloads
Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang
Particle filtering, learning, and smoothing for mixed-frequency state-space models pp. 25-41 Downloads
Markus Leippold and Hanlin Yang
Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices pp. 42-65 Downloads
Claudio Morana
Local Whittle estimation of long memory: Standard versus bias-reducing techniques pp. 66-77 Downloads
Javier García-Enríquez and Javier Hualde
Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach pp. 78-145 Downloads
Robert Czudaj
The class of copulas arising from squared distributions: Properties and inference pp. 148-166 Downloads
Jean-François Quessy and Martin Durocher
Copula information criterion for model selection with two-stage maximum likelihood estimation pp. 167-180 Downloads
Vinnie Ko and Nils Lid Hjort
Flexible dynamic vine copula models for multivariate time series data pp. 181-197 Downloads
Elif F. Acar, Claudia Czado and Martin Lysy
Modelling temporal dependence of realized variances with vines pp. 198-216 Downloads
Claudia Czado, Eugen Ivanov and Yarema Okhrin

Volume 11, issue C, 2019

A Bayesian analysis of linear regression models with highly collinear regressors pp. 1-21 Downloads
M Pesaran and Ronald Smith
Modeling Euro STOXX 50 volatility with common and market-specific components pp. 22-42 Downloads
Fabrizio Cipollini and Giampiero Gallo
Mixed interval realized variance: A robust estimator of stock price volatility pp. 43-62 Downloads
Maxwell Sutton, Andrey 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
Fabian Otto-Sobotka, 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 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
Chrysoula Dimitriou-Fakalou
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
Page updated 2020-08-08