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Econometrics

2013 - 2019

Current editor(s): Prof. Dr. Kerry Patterson

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Volume 7, issue 1, 2019

Acknowledgement to Reviewers of Econometrics in 2018 pp. 1-2 Downloads
Econometrics Editorial Office
The Specification of Dynamic Discrete-Time Two-State Panel Data Models pp. 1-16 Downloads
Tue Gørgens and Dean Hyslop
Gini Regressions and Heteroskedasticity pp. 1-16 Downloads
Arthur Charpentier, Ndéné Ka, Stéphane Mussard and Oumar Hamady Ndiaye
Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient pp. 1-24 Downloads
David H. Bernstein and Bent Nielsen
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors pp. 1-20 Downloads
Mardi Dungey, Stan Hurn, Shuping Shi and Vladimir Volkov
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models pp. 1-10 Downloads
Søren Johansen

Volume 6, issue 4, 2018

On the Stock–Yogo Tables pp. 1-23 Downloads
Christopher L. Skeels and Frank Windmeijer
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering pp. 1-22 Downloads
Yukai Yang and Luc Bauwens
Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems pp. 1-14 Downloads
George Judge
Econometrics and Income Inequality pp. 1-3 Downloads
Martin Biewen and Emmanuel Flachaire
Interval Estimation of Value-at-Risk Based on Nonparametric Models pp. 1-30 Downloads
Hussein Khraibani, Bilal Nehme and Olivier Strauss
A Review on Variable Selection in Regression Analysis pp. 1-27 Downloads
Loann Desboulets
Estimation of Treatment Effects in Repeated Public Goods Experiments pp. 1-24 Downloads
Jianning Kong and Donggyu Sul

Volume 6, issue 3, 2018

Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal? pp. 1-26 Downloads
Chung Choe and Philippe Van Kerm
Filters, Waves and Spectra pp. 1-33 Downloads
D. Stephen G. Pollock
The Stochastic Stationary Root Model pp. 1-33 Downloads
Andreas Hetland
Econometrics Best Paper Award 2018 pp. 1-2 Downloads
In Choi, Steve Cook, Marc S. Paolella and Jeffrey Racine
Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information pp. 1-15 Downloads
John W. Galbraith and Douglas J. Hodgson
Detecting and Measuring Nonlinearity pp. 1-27 Downloads
Rachidi Kotchoni
Using the Entire Yield Curve in Forecasting Output and Inflation pp. 1-27 Downloads
Eric Hillebrand, Huiyu Huang, Tae-Hwy Lee and Canlin Li
Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics pp. 1-45 Downloads
Dorota Toczydlowska and Gareth W. Peters
Some Results on ℓ 1 Polynomial Trend Filtering pp. 1-10 Downloads
Hiroshi Yamada and Ruixue Du
The Relation between Monetary Policy and the Stock Market in Europe pp. 1-14 Downloads
Helmut Lütkepohl and Aleksei Netšunajev

Volume 6, issue 2, 2018

TSLS and LIML Estimators in Panels with Unobserved Shocks pp. 1-12 Downloads
Giovanni Forchini, Bin Jiang and Bin Peng
Recent Developments in Macro-Econometric Modeling: Theory and Applications pp. 1-5 Downloads
Gilles Dufrénot, Fredj Jawadi and Alexander Mihailov
Polarization and Rising Wage Inequality: Comparing the U.S. and Germany pp. 1-33 Downloads
Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger
Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis pp. 1-20 Downloads
Gordon Anderson, M. Grazia Pittau, Roberto Zelli and Jasmin Thomas
Data-Driven Jump Detection Thresholds for Application in Jump Regressions pp. 1-25 Downloads
Robert Davies and George Tauchen
Forecasting Inflation Uncertainty in the G7 Countries pp. 1-25 Downloads
Mawuli Segnon, Stelios Bekiros and Bernd Wilfling
Structural Break Tests Robust to Regression Misspecification pp. 1-39 Downloads
Alaa Abi Morshed, Elena Andreou and Otilia Boldea
Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality pp. 1-16 Downloads
Giovanni M. Giorgi and Alessio Guandalini
On the Decomposition of the Esteban and Ray Index by Income Sources pp. 1-9 Downloads
Elena Barcena and Jacques Silber
Johansen’s Reduced Rank Estimator Is GMM pp. 1-9 Downloads
Bruce E. Hansen
Parametric Inference for Index Functionals pp. 1-11 Downloads
Stéphane Guerrier, Samuel Orso and Maria-Pia Victoria-Feser
A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function pp. 1-11 Downloads
El Moctar Laghlal and Abdoul Aziz Junior Ndoye
Using the GB2 Income Distribution pp. 1-24 Downloads
Duangkamon Chotikapanich, William E. Griffiths, Gholamreza Hajargasht, Wasana Karunarathne and D.S. Prasada Rao
The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections pp. 1-24 Downloads
Tareq Sadeq and Michel Lubrano
Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data? pp. 1-24 Downloads
Gulasekaran Rajaguru, Michael O’Neill and Tilak Abeysinghe
Decomposing Wage Distributions Using Recentered Influence Function Regressions pp. 1-40 Downloads
Sergio Firpo, Nicole M. Fortin and Thomas Lemieux
Top Incomes and Inequality Measurement: A Comparative Analysis of Correction Methods Using the EU SILC Data pp. 1-21 Downloads
Vladimir Hlasny and Paolo Verme

Volume 6, issue 1, 2018

Statistical Inference on the Canadian Middle Class pp. 1-18 Downloads
Russell Davidson
An Overview of Modified Semiparametric Memory Estimation Methods pp. 1-21 Downloads
Marie Busch and Philipp Sibbertsen
Assessing News Contagion in Finance pp. 1-19 Downloads
Paola Cerchiello and Giancarlo Nicola
Response-Based Sampling for Binary Choice Models With Sample Selection pp. 1-17 Downloads
Maria Felice Arezzo and Giuseppina Guagnano
A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns pp. 1-27 Downloads
Ralf Becker, Adam Clements and Robert O'Neill
Lasso Maximum Likelihood Estimation of Parametric Models with Singular Information Matrices pp. 1-24 Downloads
Fei Jin and Lung-Fei Lee
Spurious Seasonality Detection: A Non-Parametric Test Proposal pp. 1-15 Downloads
Aurelio Fernandez Bariviera, Angelo Plastino and George Judge
A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade pp. 1-15 Downloads
Rodolfo Metulini, Roberto Patuelli and Daniel A. Griffith
Acknowledgement to Reviewers of Econometrics in 2017 pp. 1-2 Downloads
Econometrics Editorial Office
Jackknife Bias Reduction in the Presence of a Near-Unit Root pp. 1-28 Downloads
Marcus Chambers and Maria Kyriacou
Top Incomes, Heavy Tails, and Rank-Size Regressions pp. 1-16 Downloads
Christian Schluter
From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective pp. 1-20 Downloads
Francesca Greselin and Ričardas Zitikis
Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve pp. 1-20 Downloads
Francesca Rondina
Recent Developments in Cointegration pp. 1-5 Downloads
Katarina Juselius
Page updated 2019-01-24