EconPapers    
Economics at your fingertips  
 

Econometrics and Statistics

2017 - 2019

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

From Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 11, issue C, 2019

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

Volume 9, issue C, 2019

Estimating MIDAS regressions via OLS with polynomial parameter profiling pp. 1-16 Downloads
Eric Ghysels and Hang Qian
Robust analysis of the martingale hypothesis pp. 17-41 Downloads
Christian Gourieroux and Joann Jasiak
Testing subspace Granger causality pp. 42-61 Downloads
Majid Al-Sadoon
Estimation for time-invariant effects in dynamic panel data models with application to income dynamics pp. 62-77 Downloads
Yonghui Zhang and Qiankun Zhou
Model order selection in periodic long memory models pp. 78-94 Downloads
Christian Leschinski and Philipp Sibbertsen
Nonparametric regression on contaminated functional predictor with application to hyperspectral data pp. 95-107 Downloads
Frédéric Ferraty, Anthony Zullo and Mathieu Fauvel
Robust Monitoring of Time Series with Application to Fraud Detection pp. 108-121 Downloads
Peter Rousseeuw, Domenico Perrotta, Marco Riani and Mia Hubert
Testing for heteroscedasticity in high-dimensional regressions pp. 122-139 Downloads
Zhaoyuan Li and Jianfeng Yao
Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model pp. 140-155 Downloads
Yanqing Sun, Yuanqing Zhang and Jianhua Z. Huang
Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach pp. 156-170 Downloads
Benedikt Funke and Masayuki Hirukawa

Volume 8, issue C, 2018

Heterogeneity and nonconstant effect in two-stage quantile regression pp. 3-12 Downloads
Christophe Muller
Quantile continuous treatment effects pp. 13-36 Downloads
Javier Alejo, Antonio F. Galvao and Gabriel Montes-Rojas
A hyperplanes intersection simulated annealing algorithm for maximum score estimation pp. 37-55 Downloads
Kostas Florios
Combining Value-at-Risk forecasts using penalized quantile regressions pp. 56-77 Downloads
Sebastian Bayer
Covariates missing at random under signed-rank inference pp. 78-93 Downloads
Huybrechts F. Bindele
Estimating Chinese Treasury yield curves with Bayesian smoothing splines pp. 94-124 Downloads
Xiaojun Tong, Zhuoqiong Chong He and Dongchu Sun
Semiparametric count data modeling with an application to health service demand pp. 125-140 Downloads
Philipp Bach, Helmut Farbmacher and Martin Spindler
Estimation of grouped, time-varying convergence in economic growth pp. 141-158 Downloads
Harry Haupt, Joachim Schnurbus and Willi Semmler
Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data pp. 161-183 Downloads
Marius Hofert and Wayne Oldford
Approximating expected shortfall for heavy-tailed distributions pp. 184-203 Downloads
Simon A. Broda, Jochen Krause and Marc S. Paolella
A new particle filtering approach to estimate stochastic volatility models with Markov-switching pp. 204-230 Downloads
Frédéric Karamé
A two-decrement model for the valuation and risk measurement of a guaranteed annuity option pp. 231-249 Downloads
Yixing Zhao, Rogemar Mamon and Huan Gao

Volume 7, issue C, 2018

A UK financial conditions index using targeted data reduction: Forecasting and structural identification pp. 1-17 Downloads
George Kapetanios, Simon Price and Garry Young
Stochastic processes of limited frequency and the effects of oversampling pp. 18-29 Downloads
D.S.G. Pollock
Composite indirect inference with application to corporate risks pp. 30-45 Downloads
C. Gourieroux and A. Monfort
Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR pp. 46-62 Downloads
Nelson Muriel and González-Farías, Graciela
Change point detection in heteroscedastic time series pp. 63-88 Downloads
Tomasz Górecki, Lajos Horvath and Piotr Kokoszka
The copula-graphic estimator in censored nonparametric location-scale regression models pp. 89-114 Downloads
Aleksandar Sujica and Ingrid Van Keilegom
Composite quantile regression for GARCH models using high-frequency data pp. 115-133 Downloads
Meng Wang, Zhao Chen and Christina Dan Wang
Binary functional linear models under choice-based sampling pp. 134-152 Downloads
M.S. Ahmed, M.K. Attouch and Dabo-Niang, S.
Discrimination measures for discrete time-to-event predictions pp. 153-164 Downloads
Matthias Schmid, Gerhard Tutz and Thomas Welchowski

Volume 6, issue C, 2018

Filterbased stochastic volatility in continuous-time hidden Markov models pp. 1-21 Downloads
Vikram Krishnamurthy, Elisabeth Leoff and Jörn Sass
Spot volatility estimation using the Laplace transform pp. 22-43 Downloads
Imma Valentina Curato, Maria Elvira Mancino and Maria Cristina Recchioni
Higher-order statistics for DSGE models pp. 44-56 Downloads
Willi Mutschler
Assessing causality and delay within a frequency band pp. 57-73 Downloads
Jörg Breitung and Sven Schreiber
Semiparametric estimation under shape constraints pp. 74-89 Downloads
Ximing Wu and Robin Sickles
On the use of higher order bias approximations for 2SLS and k-class estimators with non-normal disturbances and many instruments pp. 90-105 Downloads
Gareth Liu-Evans and Garry D.A. Phillips
A high quantile estimator based on the log-generalized Weibull tail limit pp. 107-128 Downloads
Cees de Valk and Juan-Juan Cai
Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions pp. 129-148 Downloads
Jonathan El Methni and Gilles Stupfler
Tail dependence of recursive max-linear models with regularly varying noise variables pp. 149-167 Downloads
Nadine Gissibl, Claudia Klüppelberg and Moritz Otto
Page updated 2019-07-22