Econometrics and Statistics

2017 - 2025

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

Josu Arteche

Estimation of Large Dynamic Covariance Matrices: A Selective Review pp. 16-30

Degui Li

Recent development of covariance structure analysis in economics pp. 31-48

Kazuhiko Hayakawa

Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities pp. 49-63

Zacharias Psaradakis and Martin Sola

A new macro-financial condition index for the euro area pp. 64-87

Claudio Morana

Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs pp. 88-112

Richard T. Baillie, Dooyeon Cho and Seunghwa Rho

COVID-19 spreading in financial networks: A semiparametric matrix regression model pp. 113-131

Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini

Industrial Connectedness and Business Cycle Comovements pp. 132-149

Amy 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

Eva Cantoni, Nadège Jacot and Paolo Ghisletta

Robust penalized spline estimation with difference penalties pp. 169-188

Ioannis Kalogridis and Stefan Van Aelst

Information Criteria for Outlier Detection Avoiding Arbitrary Significance Levels pp. 189-205

Marco Riani, Anthony Curtis Atkinson, Aldo Corbellini, Alessio Farcomeni and Fabrizio Laurini

Robust interactive fixed effects pp. 206-223

Kris Boudt and Ewoud Heyndels

Fast Optimal Subsampling Probability Approximation for Generalized Linear Models pp. 224-237

JooChul Lee, Elizabeth D. Schifano and HaiYing Wang

An extended Babai method for estimating linear model based integer parameters pp. 238-251

Xiao-Wen Chang, Zhilong Chen and Jinming Wen

On some multivariate sign tests for scatter matrix eigenvalues pp. 252-260

Gaspard Bernard and Thomas Verdebout

Cholesky-based multivariate Gaussian regression pp. 261-281

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

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

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

Zefang Song, Xinyuan Song and Yuan Li

Factor-augmented Bayesian treatment effects models for panel outcomes pp. 63-80

Helga Wagner, Sylvia Frühwirth-Schnatter and Liana Jacobi

Implicit Copulas: An Overview pp. 81-104

Michael Stanley Smith

A review of effective age models and associated non- and semiparametric methods pp. 105-119

Eric Beutner

Change point estimation under a copula-based Markov chain model for binomial time series pp. 120-137

Takeshi Emura, Ching-Chieh Lai and Li-Hsien Sun

Partially orthogonal blocked three-level response surface designs pp. 138-154

Heiko Großmann and Steven G. Gilmour

Numerical Methods for Finding A-optimal Designs Analytically pp. 155-162

Ping-Yang Chen, Ray-Bing Chen, Yu-Shi Chen and Weng Kee Wong

Multi-objective optimisation of split-plot designs pp. 163-172

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

Marc Hallin and Carlos Trucíos

A Multivariate Randomized Response Model for Sensitive Binary Data pp. 16-35

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

Masayuki Hirukawa

Seasonality in High Frequency Time Series pp. 62-82

Tommaso Proietti and Diego J. Pedregal

A Two-Way Transformed Factor Model for Matrix-Variate Time Series pp. 83-101

Zhaoxing Gao and Ruey S. Tsay

Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s g Prior for Predictive Robustness pp. 102-119

Christopher M. Hans, Mario Peruggia and Junyan Wang

Inner spike and slab Bayesian nonparametric models pp. 120-135

Antonio Canale, Antonio Lijoi, Bernardo Nipoti and Igor Prünster

Bayesian estimation for mode and anti-mode preserving circular distributions pp. 136-160

Toshihiro Abe, Yoichi Miyata and Takayuki Shiohama

Bayesian analysis for mediation and moderation using g−priors pp. 161-172

Jean-Michel Galharret and Anne Philippe

A Weissman-type estimator of the conditional marginal expected shortfall pp. 173-196

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

Marco Lippi, Manfred Deistler and Brian Anderson

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios pp. 17-30

Mohammad Pesaran and Ronald Smith

Robust Discovery of Regression Models pp. 31-51

Jennifer Castle, Jurgen Doornik and David Hendry

Fast cluster bootstrap methods for linear regression models pp. 52-71

James MacKinnon

Dynamic Tobit models pp. 72-83

Andew Harvey and Yin Liao

Fuzzy sets and (fuzzy) random sets in Econometrics and Statistics pp. 84-98

Ana Colubi and Ana Belén Ramos-Guajardo

Rage Against the Mean – A Review of Distributional Regression Approaches pp. 99-123

Thomas Kneib, Alexander Silbersdorff and Benjamin Säfken

Semi-Supervised Learning of Classifiers from a Statistical Perspective: A Brief Review pp. 124-138

Daniel Ahfock and Geoffrey J. McLachlan

A New Statistic for Bayesian Hypothesis Testing pp. 139-152

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

Christophe Ley

Volume 25, issue C, 2023

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

Jan Kiviet

Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application pp. 23-38

Manabu Asai

On a Rosenblatt-type transformation of multivariate copulas pp. 39-48

Evgeniy Savinov and Victoria Shamraeva

Combining rules for F- and Beta-statistics from multiply-imputed data pp. 51-65

Ashok Chaurasia

Constructing a polygenic risk score for childhood obesity using functional data analysis pp. 66-86

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

Christiana Kartsonaki and D. R. Cox

On The Problem of Relevance in Statistical Inference pp. 93-109

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

Alexandra Nießl, Arthur Allignol, Jan Beyersmann and Carina Mueller

A Markov decision process for response adaptive designs pp. 125-133

Yanqing Yi and Xikui Wang