Econometrics and Statistics

2017 - 2025

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

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Volume 4, issue C, 2017

A strategy for optimal bandwidth selection in Local Whittle estimation pp. 3-17

Josu Arteche and Jesus Orbe

Generalized empirical likelihood M testing for semiparametric models with time series data pp. 18-30

Francesco Bravo, Ba Chu and David Jacho-Chávez

Non-identifiability of VMA and VARMA systems in the mixed frequency case pp. 31-38

Manfred Deistler, Lukas Koelbl and Brian D.O. Anderson

Estimating the competitive storage model: A simulated likelihood approach pp. 39-56

Tore Kleppe and Atle Oglend

Supervised dimension reduction for multivariate time series pp. 57-69

M. Matilainen, C. Croux, K. Nordhausen and H. Oja

On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks pp. 70-90

Loukia Meligkotsidou, Elias Tzavalis and Ioannis Vrontos

A tractable, parsimonious and flexible model for cylindrical data, with applications pp. 91-104

Toshihiro Abe and Christophe Ley

Identifying gene-environment interactions for prognosis using a robust approach pp. 105-120

Hao Chai, Qingzhao Zhang, Yu Jiang, Guohua Wang, Sanguo Zhang, Syed Ejaz Ahmed and Shuangge Ma

A novel approach to measuring consumer confidence pp. 121-129

Rene Segers, Philip Hans Franses and Bert de Bruijn

Volume 3, issue C, 2017

Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models pp. 3-22

Lutz F. Gruber and Mike West

On efficient Bayesian inference for models with stochastic volatility pp. 23-33

D.K. Sakaria and Jim Griffin

Cholesky realized stochastic volatility model pp. 34-59

Shinichiro Shirota, Yasuhiro Omori, Hedibert. F. Lopes and Haixiang Piao

On limiting distribution of quasi-posteriors under partial identification pp. 60-72

Wenxin Jiang

Incorporating unobserved heterogeneity in Weibull survival models: A Bayesian approach pp. 73-88

Catalina A. Vallejos and Mark Steel

Robust normal mixtures for financial portfolio allocation pp. 91-111

Marco Gambacciani and Marc S. Paolella

Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data pp. 112-131

Francesco Bartolucci, Silvia Bacci and Claudia Pigini

A Fisher-scoring algorithm for fitting latent class models with individual covariates pp. 132-140

Antonio Forcina

Evolutionary clustering for categorical data using parametric links among multinomial mixture models pp. 141-159

Md. Abul Hasnat, Julien Velcin, Stephane Bonnevay and Julien Jacques

A mixture of SDB skew-t factor analyzers pp. 160-168

Paula M. Murray, Ryan P. Browne and Paul D. McNicholas

Volume 2, issue C, 2017

The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation pp. 1-21

Jan Kiviet and Milan Pleus

Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data pp. 22-35

Dawlah Al-Sulami, Zhenyu Jiang, Zudi Lu and Jun Zhu

Neural nets for indirect inference pp. 36-49

Michael Creel

A distance test of normality for a wide class of stationary processes pp. 50-60

Zacharias Psaradakis and Marian Vavra

Meta-analytic cointegrating rank tests for dependent panels pp. 61-72

Deniz Karaman Örsal and Antonia Arsova

Big Data in context and robustness against heterogeneity pp. 73-80

J.S. Marron

Nonparametric causal inference from observational time series through marginal integration pp. 81-105

Shu Li, Jan Ernest and Peter Bühlmann

Preliminary test estimation for multi-sample principal components pp. 106-116

Davy Paindaveine, Rondrotiana Joséa Rasoafaraniaina and Thomas Verdebout

Binary time series models driven by a latent process pp. 117-130

Konstantinos Fokianos and Theodoros Moysiadis

Separating location and dispersion in ordinal regression models pp. 131-148

G. Tutz and M. Berger

Volume 1, issue C, 2017

Econometrics and Statistics pp. 1-1

Erricos Kontoghiorghes, Herman van Dijk and Ana Colubi

Structural vector autoregressions with heteroskedasticity: A review of different volatility models pp. 2-18

Helmut Lütkepohl and Aleksei Netšunajev

Asymmetric stable Paretian distribution testing pp. 19-39

Marc S. Paolella

A dynamic component model for forecasting high-dimensional realized covariance matrices pp. 40-61

Luc Bauwens, Manuela Braione and Giuseppe Storti

Combined Lagrange multiplier test for ARCH in vector autoregressive models pp. 62-84

Paul Catani and N.J.C. Ahlgren

Singular Spectrum Analysis for signal extraction in Stochastic Volatility models pp. 85-98

Josu Arteche and Javier García-Enríquez

Special issue on functional data analysis pp. 99-100

Piotr Kokoszka, Hanny Oja, Byeong Park and Laura Sangalli

Change point and trend analyses of annual expectile curves of tropical storms pp. 101-117

Petra Burdejová, W. Härdle, P. Kokoszka and Q. Xiong

On the consistency of bootstrap methods in separable Hilbert spaces pp. 118-127

Gil González-Rodríguez and Ana Colubi

Prediction of functional ARMA processes with an application to traffic data pp. 128-149

J. Klepsch, C. Klüppelberg and T. Wei

Multinomial functional regression with wavelets and LASSO penalization pp. 150-166

Seyed Nourollah Mousavi and Helle Sørensen

High-dimensional adaptive function-on-scalar regression pp. 167-183

Zhaohu Fan and Matthew Reimherr

Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration pp. 184-200

Han Lin Shang