Econometrics and Statistics

2017 - 2026

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

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Volume 21, issue C, 2022

An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models pp. 1-18

Stella Hadjiantoni and Erricos Kontoghiorghes

A nonparametric copula approach to conditional Value-at-Risk pp. 19-37

Gery Geenens and Richard Dunn

On temporal aggregation of some nonlinear time-series models pp. 38-49

Wai-Sum Chan

Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo pp. 50-68

Damien C.H. Wee, Feng Chen and William T.M. Dunsmuir

Inference for Nonlinear State Space Models: A Comparison of Different Methods applied to Markov-Switching Multifractal Models pp. 69-95

Thomas Lux

An indirect proof for the asymptotic properties of VARMA model estimators pp. 96-111

Guy Mélard

A Score Based Test for Functional Linear Concurrent Regression pp. 114-130

Rahul Ghosal and Arnab Maity

Functional estimation of extreme conditional expectiles pp. 131-158

Stéphane Girard, Gilles Stupfler and Antoine Usseglio-Carleve

Modeling Probability Density Functions as Data Objects pp. 159-178

Alexander Petersen, Chao Zhang and Piotr Kokoszka

Volume 20, issue C, 2021

Kernel-based Volatility Generalised Least Squares pp. 2-11

Ilias Chronopoulos, George Kapetanios and Katerina Petrova

Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model pp. 12-28

Alessandra Amendola, Vincenzo Candila and Giampiero Gallo

Forecasting bubbles with mixed causal-noncausal autoregressive models pp. 29-45

Alain Hecq and Elisa Voisin

Fixed-bandwidth CUSUM tests under long memory pp. 46-61

Kai Wenger and Christian Leschinski

Model calibration and validation via confidence sets pp. 62-86

Raffaello Seri, Mario Martinoli, Davide Secchi and Samuele Centorrino

Flexible Mixture Priors for Large Time-varying Parameter Models pp. 87-108

Niko Hauzenberger

Bias correction for local linear regression estimation using asymmetric kernels via the skewing method pp. 109-130

Benedikt Funke and Masayuki Hirukawa

Iterated conditional expectation algorithm on DAGs and regression graphs pp. 131-152

Máté Baranyi and Marianna Bolla

Equivalent models for observables under the assumption of missing at random pp. 153-165

Marian Hristache and Valentin Patilea

Quantile LASSO with changepoints in panel data models applied to option pricing pp. 166-175

Matúš Maciak

Blockwise Euclidean likelihood for spatio-temporal covariance models pp. 176-201

Víctor Morales-Oñate, Federico Crudu and Moreno Bevilacqua

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