Econometrics and Statistics

2017 - 2025

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

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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

Volume 13, issue C, 2020

GMM estimation of affine term structure models pp. 2-15

Jaroslava Hlouskova and Leopold Sögner

Microeconometric dynamic panel data methods: Model specification and selection issues pp. 16-45

Jan Kiviet

Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity pp. 46-68

Yuta Kurose and Yasuhiro Omori

Constructing joint confidence bands for impulse response functions of VAR models – A review pp. 69-83

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation pp. 84-105

Xiuping Mao, Veronika Czellar, Esther Ruiz and Helena Veiga

Variance swap payoffs, risk premia and extreme market conditions pp. 106-124

Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

Quadratic regression for functional response models pp. 125-136

Hidetoshi Matsui

An extreme quantile estimator for the log-generalized Weibull-tail model pp. 137-174

Clément Albert, Anne Dutfoy, Laurent Gardes and Stéphane Girard

A general white noise test based on kernel lag-window estimates of the spectral density operator pp. 175-196

Vaidotas Characiejus and Gregory Rice

Volume 12, issue C, 2019

The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016 pp. 1-24

Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

Particle filtering, learning, and smoothing for mixed-frequency state-space models pp. 25-41

Markus Leippold and Hanlin Yang

Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices pp. 42-65

Claudio Morana

Local Whittle estimation of long memory: Standard versus bias-reducing techniques pp. 66-77

Javier García-Enríquez and Javier Hualde

Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach pp. 78-145

Robert Czudaj

The class of copulas arising from squared distributions: Properties and inference pp. 148-166

Jean-François Quessy and Martin Durocher

Copula information criterion for model selection with two-stage maximum likelihood estimation pp. 167-180

Vinnie Ko and Nils Lid Hjort

Flexible dynamic vine copula models for multivariate time series data pp. 181-197

Elif F. Acar, Claudia Czado and Martin Lysy

Modelling temporal dependence of realized variances with vines pp. 198-216

Claudia Czado, Eugen Ivanov and Yarema Okhrin

Volume 11, issue C, 2019

A Bayesian analysis of linear regression models with highly collinear regressors pp. 1-21

Mohammad Pesaran and Ronald Smith

Modeling Euro STOXX 50 volatility with common and market-specific components pp. 22-42

Fabrizio Cipollini and Giampiero Gallo

Mixed interval realized variance: A robust estimator of stock price volatility pp. 43-62

Maxwell Sutton, Andrey Vasnev and Richard Gerlach

A two-stage estimator for heterogeneous panel models with common factors pp. 63-82

Carolina Castagnetti, Eduardo Rossi and Lorenzo Trapani

The factor analytical method for interactive effects dynamic panel models with moving average errors pp. 83-104

Milda Norkutė and Joakim Westerlund

Parameter regimes in partial functional panel regression pp. 105-115

Dominik Liebl and Fabian Walders

Adaptive semiparametric M-quantile regression pp. 116-129

Fabian Otto-Sobotka, Nicola Salvati, Maria Giovanna Ranalli and Thomas Kneib

Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior pp. 130-144

Lendie Follett and Cindy Yu

Oracle inequalities for sign constrained generalized linear models pp. 145-157

Yuta Koike and Yuta Tanoue