Econometrics and Statistics

2017 - 2026

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.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 37, issue C, 2026

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

Alexander Chudik, M. Hashem Pesaran and Ron P. 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 M. 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

Volume 36, issue C, 2025

The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight pp. 1-18

Marcos Escobar-Anel, Lars Stentoft and Xize Ye

Variable Selection in Macroeconomic Forecasting with Many Predictors pp. 19-36

Zhenzhong Wang, Zhengyuan Zhu and Cindy Yu

GMM Model Averaging Using Higher Order Approximations pp. 37-54

Luis F. Martins and Vasco Gabriel

Technical efficiency and inefficiency: Reliability of standard SFA models and a misspecification problem pp. 55-72

Subal C. Kumbhakar, Anatoly Peresetsky, Y. Shchetynin and A. Zaytsev

Calibrating with a smile: A Mellin transform approach to volatility surface calibration pp. 73-80

M. Rodrigo and A. Lo

Nearest neighbor matching: M-out-of-N bootstrapping without bias correction vs. the naive bootstrap pp. 81-89

Christopher Walsh and Carsten Jentsch

Nonparametric estimation of copulas and copula densities by orthogonal projections pp. 90-118

Yves I. Ngounou Bakam and Denys Pommeret

Approximation of BSDE with hidden forward equation and unknown volatility pp. 119-132

Oleg V. Chernoyarov and Yury A. Kutoyants

Volume 35, issue C, 2025

Model Risk of Volatility Models pp. 1-22

Emese Lazar and Ning Zhang

Testing liquidity: A statistical theory based on asset staleness pp. 23-40

Davide Pirino, Alessandro Pollastri and Luca Trapin

Joint Hypothesis Testing from Heterogeneous Samples under Cross-dependence pp. 41-54

Uwe Hassler and Mehdi Hosseinkouchack

Bayesian analysis of seasonally cointegrated VAR models pp. 55-70

Justyna Wróblewska

An Automatic Portmanteau Test For Nonlinear Dependence pp. 71-83

Charisios Grivas

On tail-risk measures for non-integrable heavy-tailed random variables pp. 84-100

Laurent Gardes

A new bootstrap assisted test for checking second order stationarity pp. 101-119

Lei Jin and Suojin Wang

Testing Heteroskedasticity in High‐Dimensional Linear Regression pp. 120-134

Akira Shinkyu

Volume 34, issue C, 2025

Sensitivity of Bounds on ATEs under Survey Nonresponse pp. 1-13

Lukáš Lafférs and Roman Nedela

A cluster plugin method for selecting the GLM lasso tuning parameters in models for unbalanced panel data pp. 14-31

David Drukker and Di Liu

Sparse simulation-based estimator built on quantiles pp. 32-43

Paola Stolfi, Mauro Bernardi and Lea Petrella

A Consistent Estimator for Model Structure and Variable Selection pp. 44-68

Taining Wang, Xiaoqi Zhang and Jinjing Tian

Note on the Uniqueness of the Maximum Likelihood Estimator for a Heckman’s Simultaneous Equations Model pp. 69-77

Kentaro Akashi and Tetsushi Horie

Robust Estimation of Probit Models with Endogeneity pp. 78-90

Andrea A. Naghi, Máté Váradi and Mikhail Zhelonkin

Estimation in copula models with two-piece skewed margins using the inference for margins method pp. 91-108

Jonas Baillien, Irène Gijbels and Anneleen Verhasselt

Sufficient Dimension Reduction for Poisson Regression pp. 109-119

Jianxuan Liu

Volume 33, issue C, 2025

Inference in mixed causal and noncausal models with generalized Student’s t-distributions pp. 1-12

Francesco Giancaterini and Alain Hecq

The dynamics of U.S. industrial production: A time-varying Granger causality perspective pp. 13-22

Christopher Baum, Stan Hurn and Jesus Otero

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall pp. 23-34

Leopoldo Catania and Alessandra Luati

Flexible and Robust Particle Tempering for State Space Models pp. 35-55

David Gunawan, Robert Kohn and Minh Ngoc Tran

Diversifying Trends pp. 56-79

Charles Chevalier and Serge Darolles

Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss pp. 80-104

Matei Demetrescu and Christoph Roling

Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR) pp. 105-134

Pu Chen, Willi Semmler and Helmut Maurer

Panel cointegrating polynomial regression analysis and an illustration with the environmental kuznets curve pp. 135-165

Robert M. de Jong and Martin Wagner

Risk Estimation With Composite Quantile Regression pp. 166-179

Eliana Christou and Michael Grabchak

Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving pp. 180-208

Tak Kuen Siu

Multiplicative Error Models: 20 years on pp. 209-229

Fabrizio Cipollini and Giampiero Gallo

Directional Tests and Confidence Bounds on Economic Inequality pp. 230-245

Jean-Marie Dufour, Emmanuel Flachaire, Lynda Khalaf and Abdallah Zalghout

Quasi-likelihood analysis for nonlinear stochastic processes pp. 246-257

Nakahiro Yoshida

New estimation approaches for graphical models with elastic net penalty pp. 258-281

Davide Bernardini, Sandra Paterlini and Emanuele Taufer

ICS for multivariate functional anomaly detection with applications to predictive maintenance and quality control pp. 282-303

Aurore Archimbaud, Feriel Boulfani, Xavier Gendre, Klaus Nordhausen, Anne Ruiz-Gazen and Joni Virta

Covariate balancing for causal inference on categorical and continuous treatments pp. 304-329

Seong-ho Lee, Yanyuan Ma and Xavier de Luna