Econometrics and Statistics

2017 - 2025

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

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Volume 19, issue C, 2021

Bootstrap seasonal unit root test under periodic variation pp. 1-21

Nan Zou and Dimitris N. Politis

Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo pp. 22-46

Dan Li, Adam Clements and Christopher Drovandi

Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence pp. 47-57

Francisco Blasques, Andre Lucas and Andries C. van Vlodrop

Jump-preserving varying-coefficient models for nonlinear time series pp. 58-96

Pavel Cizek and Chao Hui Koo

Simulation smoothing for nowcasting with large mixed-frequency VARs pp. 97-113

Sebastian Ankargren and Paulina Jonéus

Cyclical fractional cointegration pp. 114-129

Michelle Voges and Philipp Sibbertsen

Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo pp. 130-150

Alexander Kreuzer and Claudia Czado

EM algorithm using overparameterization for the multivariate skew-normal distribution pp. 151-168

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

Linyuan Li, Pierre Duchesne and Chu Pheuil Liou

Volume 18, issue C, 2021

State-level wage Phillips curves pp. 1-11

George Kapetanios, Simon Price, Menelaos Tasiou and Alexia Ventouri

Spurious cross-sectional dependence in credit spread changes pp. 12-27

Marcin Jaskowski and Michael McAleer

Bayesian analysis of hidden Markov structural equation models with an unknown number of hidden states pp. 29-43

Hefei Liu and Xinyuan Song

Detecting changes in the covariance structure of functional time series with application to fMRI data pp. 44-62

Christina Stoehr, John A D Aston and Claudia Kirch

A class of two-mode clustering algorithms in a fuzzy setting pp. 63-78

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

Lin Cong and Weixin Yao

Efficient surface finish defect detection using reduced rank spline smoothers and probabilistic classifiers pp. 89-105

Natalya Pya Arnqvist, Blaise Ngendangenzwa, Eric Lindahl, Leif Nilsson and Jun Yu

Quantile LASSO in arbitrage-free option markets pp. 106-116

Matúš Maciak

Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression pp. 117-142

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

C. Gourieroux and Alain Monfort

Spatially varying sparsity in dynamic regression models pp. 23-34

Guanyu Hu

Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors pp. 35-63

Samuele Centorrino and Jean-Pierre Florens

Evaluating restricted common factor models for non-stationary data pp. 64-75

Francesca Di Iorio and Stefano Fachin

Multivariate stochastic volatility using the HESSIAN method pp. 76-94

William McCausland, Shirley Miller and Denis Pelletier

Aggregation of Seasonal Long-Memory Processes pp. 95-106

Tomás del Barrio Castro and Heiko Rachinger

A panel cointegrating rank test with structural breaks and cross-sectional dependence pp. 107-129

Antonia Arsova and Deniz Karaman Örsal

A O(n) algorithm for the discrete best L4 monotonic approximation problem pp. 130-144

I.C. Demetriou

Ensembling Imbalanced-Spatial-Structured Support Vector Machine pp. 145-155

Xin Liu, Grace Y. Yi, Glenn Bauman and Wenqing He

A Note on Adaptive Group Lasso for Structural Break Time Series pp. 156-172

Simon Behrendt and Karsten Schweikert

Volume 16, issue C, 2020

DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation pp. 1-27

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

Gerhard Tutz and Moritz Berger

Realized stochastic volatility models with generalized Gegenbauer long memory pp. 42-54

Manabu Asai, Michael McAleer and Shelton Peiris

Identification of independent structural shocks in the presence of multiple Gaussian components pp. 55-68

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

Andrew Phillip, Jennifer Chan and Shelton Peiris

Fractional Brownian markets with time-varying volatility and high-frequency data pp. 91-107

Ananya Lahiri and Rituparna Sen

Semiparametric inference with missing data: Robustness to outliers and model misspecification pp. 108-120

Eva Cantoni and Xavier de Luna

Hypothesis testing for tail dependence parameters on the boundary of the parameter space pp. 121-135

Anna Kiriliouk

Selection tests for possibly misspecified hierarchical multinomial marginal models pp. 136-147

Roberto Colombi

Flexible copula models with dynamic dependence and application to financial data pp. 148-167

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

Rembert De Blander

Combined estimation of semiparametric panel data models pp. 30-45

Bai Huang, Tae Hwy Lee and Aman Ullah

Heteroscedastic stratified two-way EC models of single equations and SUR systems pp. 46-66

Silvia Platoni, Laura Barbieri, Daniele Moro and Paolo Sckokai

Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models pp. 67-83

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

Charles Fontaine, Ron D. Frostig and Hernando Ombao

Bayesian longitudinal spectral estimation with application to resting-state fMRI data analysis pp. 104-116

Ning Dai, Galin L. Jones and Mark Fiecas

A hierarchical bayesian model for differential connectivity in multi-trial brain signals pp. 117-135

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

Abdelaati Daouia, Jean-Pierre Florens and Leopold Simar

A spline function class suitable for demand models pp. 24-37

Jeppe Rich

Bootstrap lag selection in DSGE models with expectations correction pp. 38-48

Giovanni Angelini

Statistical inferences for realized portfolio weights pp. 49-62

Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert and Taras Lazariv

The market rank indicator to detect financial distress pp. 63-73

Silvia Figini, Mario Maggi and Pierpaolo Uberti

Accurate and robust inference pp. 74-88

Elvezio Ronchetti

Regression with I-priors pp. 89-111

Wicher P Bergsma

The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions pp. 112-130

Tucker McElroy and Marc Wildi

A Simple Scale-Invariant Two-Sample Test for High-dimensional Data pp. 131-144

Liang Zhang, Tianming Zhu and Jin-Ting Zhang

Subjective heterogeneity in response attitude for multivariate ordinal outcomes pp. 145-158

Rosaria Simone, Gerhard Tutz and Maria Iannario