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Econometrics

2013 - 2022

Current editor(s): Ms. Tanja Kešelj

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Volume 10, issue 2, 2022

Using the SARIMA Model to Forecast the Fourth Global Wave of Cumulative Deaths from COVID-19: Evidence from 12 Hard-Hit Big Countries pp. 1-23 Downloads
Gaetano Perone
A Conversation with Søren Johansen pp. 1-16 Downloads
Rocco Mosconi and Paolo Paruolo
Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks pp. 1-15 Downloads
Piero C. Kauffmann, Hellinton H. Takada, Ana T. Terada and Julio M. Stern
A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations pp. 1-15 Downloads
Katarina Juselius
Combining Predictions of Auto Insurance Claims pp. 1-15 Downloads
Chenglong Ye, Lin Zhang, Mingxuan Han, Yanjia Yu, Bingxin Zhao and Yuhong Yang
A Conversation with Katarina Juselius pp. 1-21 Downloads
Rocco Mosconi and Paolo Paruolo
A Binary Choice Model with Sample Selection and Covariate-Related Misclassification pp. 1-20 Downloads
Jorge González Chapela
Causal Transmission in Reduced-Form Models pp. 1-25 Downloads
Vassilios Bazinas and Bent Nielsen
Model Validation and DSGE Modeling pp. 1-25 Downloads
Niraj Poudyal and Aris Spanos
An Alternative Estimation Method for Time-Varying Parameter Models pp. 1-27 Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data pp. 1-22 Downloads
Duo Qin, Sophie van Huellen, Qing Chao Wang and Thanos Moraitis

Volume 10, issue 1, 2021

Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics pp. 1-21 Downloads
Jennifer Castle, Jurgen A. Doornik and David Hendry
An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses pp. 1-19 Downloads
Ron Mittelhammer, George Judge and Miguel Henry
Acknowledgment to Reviewers of Econometrics in 2021 pp. 1-2 Downloads
Econometrics Editorial Office
The Impact of COVID-19 on Airfares—A Machine Learning Counterfactual Analysis pp. 1-10 Downloads
Florian Wozny
An Exponential Endogenous Switching Regression with Correlated Random Coefficients pp. 1-16 Downloads
Myoung-Jin Keay
Forecasting Real GDP Growth for Africa pp. 1-16 Downloads
Philip Hans Franses and Max Welz
Identification in Parametric Models: The Minimum Hellinger Distance Criterion pp. 1-14 Downloads
David Pacini
Green Bonds for the Transition to a Low-Carbon Economy pp. 1-31 Downloads
Andreas Lichtenberger, Joao Paulo Braga and Willi Semmler
Missing Values in Panel Data Unit Root Tests pp. 1-11 Downloads
Yiannis Karavias, Elias Tzavalis and Haotian Zhang
The Age–Period–Cohort Problem in Hedonic House Prices Models pp. 1-11 Downloads
Chung-Yim Yiu and Ka-Shing Cheung
Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models pp. 1-29 Downloads
Szabolcs Blazsek and Alvaro Escribano
A New Estimator for Standard Errors with Few Unbalanced Clusters pp. 1-7 Downloads
Gianmaria Niccodemi and Tom Wansbeek

Volume 9, issue 4, 2021

Air Pollution and Mobility, What Carries COVID-19? pp. 1-17 Downloads
C. Vladimir Rodríguez-Caballero and J. Eduardo Vera-Valdés
Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors pp. 1-17 Downloads
Mustafa Salamh and Liqun Wang
Jointly Modeling Male and Female Labor Participation and Unemployment pp. 1-14 Downloads
David Bernstein and Andrew Martinez
Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation pp. 1-18 Downloads
J. Eduardo Vera-Valdés
On the Plausibility of the Latent Ignorability Assumption pp. 1-6 Downloads
Martin Huber
Inference Using Simulated Neural Moments pp. 1-15 Downloads
Michael Creel
Children’s Health Capital Investment: Effects of U.S. Infant Breastfeeding on Teenage Obesity pp. 1-15 Downloads
Albert Okunade, Ahmad Osmani, Toluwalope Ayangbayi and Adeyinka Kevin Okunade
Climate Finance: Mapping Air Pollution and Finance Market in Time Series pp. 1-15 Downloads
Zheng Fang, Jianying Xie, Ruiming Peng and Sheng Wang
Modeling Hospital Resource Management during the COVID-19 Pandemic: An Experimental Validation pp. 1-16 Downloads
J. M. Calabuig, E. Jiménez-Fernández, E. A. Sánchez-Pérez and S. Manzanares
Forecasting US Inflation in Real Time pp. 1-20 Downloads
Chad Fulton and Kirstin Hubrich
Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach pp. 1-22 Downloads
Xin Jin, Jia Liu and Qiao Yang
Interdependency Pattern Recognition in Econometrics: A Penalized Regularization Antidote pp. 1-13 Downloads
Kimon Ntotsis, Alex Karagrigoriou and Andreas Artemiou
Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices pp. 1-24 Downloads
Kjartan Kloster Osmundsen, Tore Kleppe, Roman Liesenfeld and Atle Oglend

Volume 9, issue 3, 2021

Special Issue “Celebrated Econometricians: Peter Phillips” pp. 1-3 Downloads
Federico Bandi, Alex Maynard, Hyungsik Roger Moon and Benoit Perron
Multivariate Analysis of Cryptocurrencies pp. 1-17 Downloads
Vincenzo Candila
On Spurious Causality, CO 2, and Global Temperature pp. 1-18 Downloads
Philippe Goulet Coulombe and Maximilian Göbel
Prais–Winsten Algorithm for Regression with Second or Higher Order Autoregressive Errors pp. 1-6 Downloads
Dimitrios V. Vougas
Forecasting FOMC Forecasts pp. 1-20 Downloads
Sarp Kalfa and Jaime Marquez
Søren Johansen and Katarina Juselius: A Bibliometric Analysis of Citations through Multivariate Bass Models pp. 1-28 Downloads
Fragiskos Archontakis and Rocco Mosconi
Selecting a Model for Forecasting pp. 1-35 Downloads
Jennifer Castle, Jurgen Doornik and David Hendry
Fisher’s z Distribution-Based Mixture Autoregressive Model pp. 1-35 Downloads
Arifatus Solikhah, Heri Kuswanto, Nur Iriawan and Kartika Fithriasari
Cointegration, Root Functions and Minimal Bases pp. 1-27 Downloads
Massimo Franchi and Paolo Paruolo

Volume 9, issue 2, 2021

Semiparametric Estimation of a Corporate Bond Rating Model pp. 1-20 Downloads
Yixiao Jiang
Outliers in Semi-Parametric Estimation of Treatment Effects pp. 1-32 Downloads
Gustavo Canavire-Bacarreza, Luis Castro Peñarrieta and Darwin Ugarte Ontiveros
An Empirical Model of Medicare Costs: The Role of Health Insurance, Employment, and Delays in Medicare Enrollment pp. 1-32 Downloads
Yuanyuan Deng and Hugo Benítez-Silva
Quantile Regression with Generated Regressors pp. 1-35 Downloads
Liqiong Chen, Antonio F. Galvao and Suyong Song
Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues pp. 1-35 Downloads
Antonio Pacifico
Racial/Ethnic Health Disparity in the U.S.: A Decomposition Analysis pp. 1-14 Downloads
Kajal Lahiri and Zulkarnain Pulungan
Are Soybean Yields Getting a Free Ride from Climate Change? Evidence from Argentine Time Series Data pp. 1-14 Downloads
Hildegart Ahumada and Magdalena Cornejo
Multidimensional Arrays, Indices and Kronecker Products pp. 1-15 Downloads
D. Stephen G. Pollock
Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions pp. 1-18 Downloads
Jau-er Chen, Chien-Hsun Huang and Jia-Jyun Tien
Uncertainty Due to Infectious Diseases and Stock–Bond Correlation pp. 1-18 Downloads
Konstantinos Gkillas, Christoforos Konstantatos and Costas Siriopoulos
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models pp. 1-21 Downloads
Manabu Asai, Chia-Lin Chang, Michael McAleer and Laurent Pauwels

Volume 9, issue 1, 2020

Integration and Disintegration of EMU Government Bond Markets pp. 1-17 Downloads
Christian Leschinski, Michelle Voges and Philipp Sibbertsen
Temperature Anomalies, Long Memory, and Aggregation pp. 1-22 Downloads
J. Eduardo Vera-Valdés
Goodness–of–Fit Tests for Bivariate Time Series of Counts pp. 1-20 Downloads
Šárka Hudecová, Marie Hušková and Simos G. Meintanis
Erratum: Hoover, K.D. 2020. The Discovery of Long-Run Causal Order: A Preliminary Investigation. Econometrics 8: 31 pp. 1-1 Downloads
Kevin Hoover
Hospital Emergency Room Savings via Health Line S24 in Portugal pp. 1-10 Downloads
Paula Simões, Sérgio Gomes and Isabel Natário
Acknowledgment to Reviewers of Econometrics in 2020 pp. 1-2 Downloads
Econometrics Editorial Office
Regularized Maximum Diversification Investment Strategy pp. 1-23 Downloads
N’Golo Koné
Enhanced Methods of Seasonal Adjustment pp. 1-23 Downloads
D. Stephen G. Pollock
Towards a New Paradigm for Statistical Evidence in the Use of p -Value pp. 1-3 Downloads
Muhammad Ishaq Bhatti and Jae Kim
Searching for a Theory That Fits the Data: A Personal Research Odyssey pp. 1-27 Downloads
Katarina Juselius
Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions pp. 1-35 Downloads
Fabian Knorre, Martin Wagner and Maximilian Grupe
New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past? pp. 1-25 Downloads
Boriss Siliverstovs
Estimating Endogenous Treatment Effects Using Latent Factor Models with and without Instrumental Variables pp. 1-25 Downloads
Souvik Banerjee and Anirban Basu
Nonlinear Cointegrating Regression of the Earth’s Surface Mean Temperature Anomalies on Total Radiative Forcing pp. 1-25 Downloads
Kyungsik Nam
Page updated 2022-05-16