Econometrics and Statistics

2017 - 2025

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

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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

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