Econometrics and Statistics

2017 - 2025

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

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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

Volume 7, issue C, 2018

A UK financial conditions index using targeted data reduction: Forecasting and structural identification pp. 1-17

George Kapetanios, Simon Price and Garry Young

Stochastic processes of limited frequency and the effects of oversampling pp. 18-29

D.S.G. Pollock

Composite indirect inference with application to corporate risks pp. 30-45

C. Gourieroux and Alain Monfort

Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR pp. 46-62

Nelson Muriel and Graciela González-Farías

Change point detection in heteroscedastic time series pp. 63-88

Tomasz Górecki, Lajos Horvath and Piotr Kokoszka

The copula-graphic estimator in censored nonparametric location-scale regression models pp. 89-114

Aleksandar Sujica and Ingrid Van Keilegom

Composite quantile regression for GARCH models using high-frequency data pp. 115-133

Meng Wang, Zhao Chen and Christina Dan Wang

Binary functional linear models under choice-based sampling pp. 134-152

M.S. Ahmed, M.K. Attouch and S. Dabo-Niang

Discrimination measures for discrete time-to-event predictions pp. 153-164

Matthias Schmid, Gerhard Tutz and Thomas Welchowski

Volume 6, issue C, 2018

Filterbased stochastic volatility in continuous-time hidden Markov models pp. 1-21

Vikram Krishnamurthy, Elisabeth Leoff and Jörn Sass

Spot volatility estimation using the Laplace transform pp. 22-43

Imma Valentina Curato, Maria Elvira Mancino and Maria Recchioni

Higher-order statistics for DSGE models pp. 44-56

Willi Mutschler

Assessing causality and delay within a frequency band pp. 57-73

Jörg Breitung and Sven Schreiber

Semiparametric estimation under shape constraints pp. 74-89

Ximing Wu and Robin Sickles

On the use of higher order bias approximations for 2SLS and k-class estimators with non-normal disturbances and many instruments pp. 90-105

Gareth Liu-Evans and Garry D.A. Phillips

A high quantile estimator based on the log-generalized Weibull tail limit pp. 107-128

Cees de Valk and Juan-Juan Cai

Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions pp. 129-148

Jonathan El Methni and Gilles Stupfler

Tail dependence of recursive max-linear models with regularly varying noise variables pp. 149-167

Nadine Gissibl, Claudia Klüppelberg and Moritz Otto

Volume 5, issue C, 2018

Fast and reliable computation of generalized synthetic controls pp. 1-19

Martin Becker and Stefan Klößner

Designating market maker behaviour in limit order book markets pp. 20-44

Efstathios Panayi, Gareth W. Peters, Jon Danielsson and Jean-Pierre Zigrand

Simple robust tests for the specification of high-frequency predictors of a low-frequency series pp. 45-66

J. Miller

Volatility forecasting using global stochastic financial trends extracted from non-synchronous data pp. 67-82

Lyudmila Grigoryeva, Juan-Pablo Ortega and Anatoly Peresetsky

An information theoretic criterion for empirical validation of simulation models pp. 83-106

Francesco Lamperti

A data-cleaning augmented Kalman filter for robust estimation of state space models pp. 107-123

Martyna Marczak, Tommaso Proietti and Stefano Grassi

Semiparametric method for model structure discovery in additive regression models pp. 124-136

Takuma Yoshida

A discrete modification of the Benjamini–Yekutieli procedure pp. 137-147

Sebastian Döhler

Density estimation over spatio-temporal data streams pp. 148-170

Aboubacar Amiri and Sophie Dabo-Niang

Model comparison for generalized linear models with dependent observations pp. 171-188

Shoichi Eguchi