International Econometric Review (IER)

2009 - 2024

Current editor(s): Asad Zaman

From Econometric Research Association
Contact information at EDIRC.
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Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis pp. 51-63: Muhammad Malik and Atiq Rehman
Forecasting Turkish Industrial Production Growth With Static Factor Models pp. 64-78: Mahmut Gunay

Comparison of the r - (k, d) Class Estimator with some Estimators for Multicollinearity under the Mahalanobis Loss Function pp. 1-12: Shalini Chandra and Nityananda Sarkar
Structural Breaks, Long Memory, or Unit Roots in Stock Prices: Evidence from Emerging Markets pp. 13-33: Mehmet Balcilar, Zeynel Ozdemir and Esin Cakan
The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model pp. 34-50: Kushal Banik Chowdhury and Nityananda Sarkar

Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan pp. 58-76: Munazza Jabeen and Saud Ahmad Khan
Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach pp. 77-99: Márcio Laurini and Armênio Westin Neto

Forecasting House Prices in the United States with Multiple Structural Breaks pp. 1-23: Mahua Barari, Nityananda Sarkar, Srikanta Kundu and Kushal Banik Chowdhury
A Bayesian Analysis of Unobserved Heterogeneity for Unemployment Duration Data in the Presence of Interval Censoring pp. 24-41: Mojtaba Ganjali, T. Baghfalaki and D. Berridge
An Empirical Evaluation of the Relationship between Trade Openness and External Debt: Turkish Case pp. 42-58: Ozlem Ayvaz Kizilgol and Evren Ipek

Confirmation, Correction and Improvement for Outlier Validation Using Dummy Variables: t-Statistics or F-Incremental Statistics is not enough in OLS pp. 43-52: Arzdar Kiraci
ANN Models and Bayesian Spline Models for Analysis of Exchange Rates and Gold Price pp. 53-69: Ozer Ozdemir, Memmedaga Memmedli and Akhlitdin Nizamitdinov

Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India pp. 1-19: Debabrata Mukhopadhyay and Nityananda Sarkar
A Review of Kernel Density Estimation with Applications to Econometrics pp. 20-42: Adriano Z. Zambom and Ronaldo Dias

Cost Function Estimation with Proportional Errors in Variables pp. 59-81: Richard Just and Rulon D. Pope
Evaluating the performance of inflation targeting regime in three Asian economies pp. 82-98: Siok Kun Sek
Methodological Mistakes and Econometric Consequences pp. 99-122: Asad Zaman

An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors pp. 1-16: Alessandro Cardinali
A k-sample homogeneity test: the Harmonic Weighted Mass index pp. 17-39: Jeroen Hinloopen, Rien J.L.M. Wagenvoort and Charles Marrewijk
WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia pp. 40-58: Karen Poghosyan and Jan Magnus

A Structural Approach for Testing Causality pp. 1-12: Zahid Asghar
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics pp. 13-21: Mehmet Caner
Impact of Model Specification Decisions on Unit Root Tests pp. 22-33: Atiq Rehman

Intra-European Trade of Manufacturing Goods: An Extension of the Gravity Model pp. 1-24: Mark Vancauteren and Daniel Weiserbs
Market Efficiency within the German Stock Market: A Comparative Study of the Relative Efficiencies of the DAX, MDAX, SDAX and ASE Indices pp. 25-37: Admin Starcevic and Timothy Rodgers

Variance Estimates and Model Selection pp. 57-72: Sýdýka Baþçý, Asad Zaman and Arzdar Kiracý
Behavior of realized volatility and correlation in exchange markets pp. 73-96: Amir Safari and Detlef Seese

Editor’s Introduction pp. 1-2: Asad Zaman
Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations pp. 3-10: Yilmaz Akdi, Koray Kalafatcılar and Kivilcim Metin-Ozcan
Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment pp. 11-35: Lorne Switzer and Haibo Fan
Causal Relations via Econometrics pp. 36-56: Asad Zaman

A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run pp. 63-76: Bruce Morley
Testing Stationarity of Budgetary Position in Developing Countries pp. 77-87: Evan Lau, Ahmad Zubaidi Baharumshah, Shazali Abu Mansor and Chin-Hong Puah

Editor’s Introduction pp. 1-2: Asad Zaman
In Memoriam David Freedman (March 5, 1938–Oct 17, 2008) pp. 3-4: Asad Zaman
Limits of Econometrics pp. 5-17: David A. Freedman
What Now? Some Brief Reflections on Model-Free Data Analysis pp. 18-27: Richard Berk
Comments on “Limits of Econometrics” by David Freedman pp. 28-32: Arnold Zellner
A Minimum Power Divergence Class of CDFs and Estimators for the Binary Choice Model pp. 33-49: Ron Mittelhammer and George Judge
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model pp. 50-62: Walid Ben Omrane and Christian Hafner