Econometrics and Statistics

2017 - 2025

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

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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

Volume 10, issue C, 2019

Sign tests for dependent observations pp. 1-8

Donald Brown and Rustam Ibragimov

An improved bootstrap test of density ratio ordering pp. 9-26

Brendan Beare and Xiaoxia Shi

Closed-form results for vector moving average models with a univariate estimation approach pp. 27-52

Federico Poloni and Giacomo Sbrana

On accepting the edge-effect (for the inference of ARMA-type processes in Z2) pp. 53-70

Chrysoula Dimitriou-Fakalou

Alternative over-identifying restriction test in the GMM estimation of panel data models pp. 71-95

Kazuhiko Hayakawa

Improving weighted least squares inference pp. 96-119

Cyrus J. DiCiccio, Joseph P. Romano and Michael Wolf

Joint estimation of multiple network Granger causal models pp. 120-133

A. Skripnikov and G. Michailidis

On-line peak detection in medical time series with adaptive regression methods pp. 134-150

Carlo Grillenzoni and Michele Fornaciari

A Harris process to model stochastic volatility pp. 151-169

Michelle Anzarut and Ramsés H. Mena

Volume 9, issue C, 2019

Estimating MIDAS regressions via OLS with polynomial parameter profiling pp. 1-16

Eric Ghysels and Hang Qian

Robust analysis of the martingale hypothesis pp. 17-41

Christian Gourieroux and Joann Jasiak

Testing subspace Granger causality pp. 42-61

Majid Al-Sadoon

Estimation for time-invariant effects in dynamic panel data models with application to income dynamics pp. 62-77

Yonghui Zhang and Qiankun Zhou

Model order selection in periodic long memory models pp. 78-94

Christian Leschinski and Philipp Sibbertsen

Nonparametric regression on contaminated functional predictor with application to hyperspectral data pp. 95-107

Frédéric Ferraty, Anthony Zullo and Mathieu Fauvel

Robust Monitoring of Time Series with Application to Fraud Detection pp. 108-121

Peter Rousseeuw, Domenico Perrotta, Marco Riani and Mia Hubert

Testing for heteroscedasticity in high-dimensional regressions pp. 122-139

Zhaoyuan Li and Jianfeng Yao

Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model pp. 140-155

Yanqing Sun, Yuanqing Zhang and Jianhua Z. Huang

Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach pp. 156-170

Benedikt Funke and Masayuki Hirukawa

Volume 8, issue C, 2018

Heterogeneity and nonconstant effect in two-stage quantile regression pp. 3-12

Christophe Muller

Quantile continuous treatment effects pp. 13-36

Javier Alejo, Antonio Galvao and Gabriel Montes-Rojas

A hyperplanes intersection simulated annealing algorithm for maximum score estimation pp. 37-55

Kostas Florios

Combining Value-at-Risk forecasts using penalized quantile regressions pp. 56-77

Sebastian Bayer

Covariates missing at random under signed-rank inference pp. 78-93

Huybrechts F. Bindele

Estimating Chinese Treasury yield curves with Bayesian smoothing splines pp. 94-124

Xiaojun Tong, Zhuoqiong Chong He and Dongchu Sun

Semiparametric count data modeling with an application to health service demand pp. 125-140

Philipp Bach, Helmut Farbmacher and Martin Spindler

Estimation of grouped, time-varying convergence in economic growth pp. 141-158

Harry Haupt, Joachim Schnurbus and Willi Semmler

Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data pp. 161-183

Marius Hofert and Wayne Oldford

Approximating expected shortfall for heavy-tailed distributions pp. 184-203

Simon Broda, Jochen Krause and Marc S. Paolella

A new particle filtering approach to estimate stochastic volatility models with Markov-switching pp. 204-230

Frédéric Karamé

A two-decrement model for the valuation and risk measurement of a guaranteed annuity option pp. 231-249

Yixing Zhao, Rogemar Mamon and Huan Gao