Econometrics and Statistics

2017 - 2026

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

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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

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

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

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

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

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