Economics at your fingertips  

Econometrics and Statistics

2017 - 2021

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

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

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 19, issue C, 2021

Bootstrap seasonal unit root test under periodic variation pp. 1-21 Downloads
Nan Zou and Dimitris N. Politis
Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo pp. 22-46 Downloads
Dan Li, Adam Clements and Christopher Drovandi
Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence pp. 47-57 Downloads
Francisco Blasques, André Lucas and Andries C. van Vlodrop
Jump-preserving varying-coefficient models for nonlinear time series pp. 58-96 Downloads
Pavel Čížek and Chao Hui Koo
Simulation smoothing for nowcasting with large mixed-frequency VARs pp. 97-113 Downloads
Sebastian Ankargren and Paulina Jonéus
Cyclical fractional cointegration pp. 114-129 Downloads
Michelle Voges and Philipp Sibbertsen
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo pp. 130-150 Downloads
Alexander Kreuzer and Claudia Czado
EM algorithm using overparameterization for the multivariate skew-normal distribution pp. 151-168 Downloads
Toshihiro Abe, Hironori Fujisawa, Takayuki Kawashima and Christophe Ley
On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods pp. 169-187 Downloads
Linyuan Li, Pierre Duchesne and Chu Pheuil Liou

Volume 18, issue C, 2021

State-level wage Phillips curves pp. 1-11 Downloads
George Kapetanios, Simon Price, Menelaos Tasiou and Alexia Ventouri
Spurious cross-sectional dependence in credit spread changes pp. 12-27 Downloads
Marcin Jaskowski and Michael McAleer
Bayesian analysis of hidden Markov structural equation models with an unknown number of hidden states pp. 29-43 Downloads
Hefei Liu and Xinyuan Song
Detecting changes in the covariance structure of functional time series with application to fMRI data pp. 44-62 Downloads
Christina Stoehr, John A D Aston and Claudia Kirch
A class of two-mode clustering algorithms in a fuzzy setting pp. 63-78 Downloads
Maria Brigida Ferraro, Paolo Giordani and Maurizio Vichi
A Likelihood Ratio Test of a Homoscedastic Multivariate Normal Mixture Against a Heteroscedastic Multivariate Normal Mixture pp. 79-88 Downloads
Lin Cong and Weixin Yao
Efficient surface finish defect detection using reduced rank spline smoothers and probabilistic classifiers pp. 89-105 Downloads
Natalya Pya Arnqvist, Blaise Ngendangenzwa, Eric Lindahl, Leif Nilsson and Jun Yu
Quantile LASSO in arbitrage-free option markets pp. 106-116 Downloads
Matúš Maciak
Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression pp. 117-142 Downloads
Chor-yiu (CY) Sin and Cheng-Few Lee

Volume 17, issue C, 2021

Model risk management: Valuation and governance of pseudo-models pp. 1-22 Downloads
C. Gourieroux and Alain Monfort
Spatially varying sparsity in dynamic regression models pp. 23-34 Downloads
Guanyu Hu
Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors pp. 35-63 Downloads
Samuele Centorrino and Jean-Pierre Florens
Evaluating restricted common factor models for non-stationary data pp. 64-75 Downloads
Francesca Di Iorio and Stefano Fachin
Multivariate stochastic volatility using the HESSIAN method pp. 76-94 Downloads
William McCausland, Shirley Miller and Denis Pelletier
Aggregation of Seasonal Long-Memory Processes pp. 95-106 Downloads
Tomás del Barrio Castro and Heiko Rachinger
A panel cointegrating rank test with structural breaks and cross-sectional dependence pp. 107-129 Downloads
Antonia Arsova and Deniz Karaman Örsal
A O(n) algorithm for the discrete best L4 monotonic approximation problem pp. 130-144 Downloads
I.C. Demetriou
Ensembling Imbalanced-Spatial-Structured Support Vector Machine pp. 145-155 Downloads
Xin Liu, Grace Y. Yi, Glenn Bauman and Wenqing He
A Note on Adaptive Group Lasso for Structural Break Time Series pp. 156-172 Downloads
Simon Behrendt and Karsten Schweikert

Volume 16, issue C, 2020

DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation pp. 1-27 Downloads
Thomai Filippeli, Richard Harrison and Konstantinos Theodoridis
The effect of explanatory variables on income: A tool that allows a closer look at the differences in income pp. 28-41 Downloads
Gerhard Tutz and Moritz Berger
Realized stochastic volatility models with generalized Gegenbauer long memory pp. 42-54 Downloads
Manabu Asai, Michael McAleer and Shelton Peiris
Identification of independent structural shocks in the presence of multiple Gaussian components pp. 55-68 Downloads
Simone Maxand
On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin pp. 69-90 Downloads
Andrew Phillip, Jennifer Chan and Shelton Peiris
Fractional Brownian markets with time-varying volatility and high-frequency data pp. 91-107 Downloads
Ananya Lahiri and Rituparna Sen
Semiparametric inference with missing data: Robustness to outliers and model misspecification pp. 108-120 Downloads
Eva Cantoni and Xavier de Luna
Hypothesis testing for tail dependence parameters on the boundary of the parameter space pp. 121-135 Downloads
Anna Kiriliouk
Selection tests for possibly misspecified hierarchical multinomial marginal models pp. 136-147 Downloads
Roberto Colombi
Flexible copula models with dynamic dependence and application to financial data pp. 148-167 Downloads
Pavel Krupskii and Harry Joe

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 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
Page updated 2021-07-24