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2013 - 2018

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

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Volume 6, issue 4, 2018

On the Stock–Yogo Tables pp. 1-23 Downloads
Christopher L. Skeels and Frank Windmeijer
Estimation of Treatment Effects in Repeated Public Goods Experiments pp. 1-24 Downloads
Jianning Kong and Donggyu Sul
Econometrics and Income Inequality pp. 1-3 Downloads
Martin Biewen and Emmanuel Flachaire

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
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
Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information pp. 1-15 Downloads
John W. Galbraith and Douglas J. Hodgson
Filters, Waves and Spectra pp. 1-33 Downloads
D. Stephen G. Pollock
The Stochastic Stationary Root Model pp. 1-33 Downloads
Andreas Hetland
The Relation between Monetary Policy and the Stock Market in Europe pp. 1-14 Downloads
Helmut Lütkepohl and Aleksei Netšunajev
Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics pp. 1-45 Downloads
Dorota Toczydlowska and Gareth W. Peters
Econometrics Best Paper Award 2018 pp. 1-2 Downloads
In Choi, Steve Cook, Marc S. Paolella and Jeffrey Racine
Some Results on ℓ 1 Polynomial Trend Filtering pp. 1-10 Downloads
Hiroshi Yamada and Ruixue Du

Volume 6, issue 2, 2018

Structural Break Tests Robust to Regression Misspecification pp. 1-39 Downloads
Alaa Abi Morshed, Elena Andreou and Otilia Boldea
TSLS and LIML Estimators in Panels with Unobserved Shocks pp. 1-12 Downloads
Giovanni Forchini, Bin Jiang and Bin Peng
Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis pp. 1-20 Downloads
Gordon Anderson, Maria Grazia Pittau, Roberto Zelli and Jasmin Thomas
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
Decomposing Wage Distributions Using Recentered Influence Function Regressions pp. 1-40 Downloads
Sergio Firpo, Nicole M. Fortin and Thomas Lemieux
Polarization and Rising Wage Inequality: Comparing the U.S. and Germany pp. 1-33 Downloads
Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger
Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality pp. 1-16 Downloads
Giovanni M. Giorgi and Alessio Guandalini
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
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
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
Recent Developments in Macro-Econometric Modeling: Theory and Applications pp. 1-5 Downloads
Gilles Dufrénot, Fredj Jawadi and Alexander Mihailov
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

Volume 6, issue 1, 2018

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
Response-Based Sampling for Binary Choice Models With Sample Selection pp. 1-17 Downloads
Maria Felice Arezzo and Giuseppina Guagnano
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
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
Statistical Inference on the Canadian Middle Class pp. 1-18 Downloads
Russell Davidson
Acknowledgement to Reviewers of Econometrics in 2017 pp. 1-2 Downloads
Econometrics Editorial Office
Top Incomes, Heavy Tails, and Rank-Size Regressions pp. 1-16 Downloads
Christian Schluter
An Overview of Modified Semiparametric Memory Estimation Methods pp. 1-21 Downloads
Marie Busch and Philipp Sibbertsen
Lasso Maximum Likelihood Estimation of Parametric Models with Singular Information Matrices pp. 1-24 Downloads
Fei Jin and Lung-fei Lee
Assessing News Contagion in Finance pp. 1-19 Downloads
Paola Cerchiello and Giancarlo Nicola
Jackknife Bias Reduction in the Presence of a Near-Unit Root pp. 1-28 Downloads
Marcus Chambers and Maria Kyriacou
Recent Developments in Cointegration pp. 1-5 Downloads
Katarina Juselius

Volume 5, issue 4, 2017

Time-Varying Window Length for Correlation Forecasts pp. 1-29 Downloads
Yoontae Jeon and Tom McCurdy
Bayesian Analysis of Bubbles in Asset Prices pp. 1-23 Downloads
Andras Fulop and Jun Yu
Non-Causality Due to Included Variables pp. 1-4 Downloads
Umberto Triacca
Reducing Approximation Error in the Fourier Flexible Functional Form pp. 1-16 Downloads
Tristan Skolrud
Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis pp. 1-28 Downloads
Antoni Espasa and Eva Senra
Inequality and Poverty When Effort Matters pp. 1-19 Downloads
Martin Ravallion
Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility pp. 1-19 Downloads
Yingjie Dong and Yiu-Kuen Tse
An Interview with William A. Barnett pp. 1-32 Downloads
Apostolos Serletis
Synthetic Control and Inference pp. 1-12 Downloads
Jinyong Hahn and Ruoyao Shi
Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? pp. 1-22 Downloads
Alain Hecq, Sean Telg and Lenard Lieb
Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models pp. 1-30 Downloads
Jurgen Doornik, Rocco Mosconi and Paolo Paruolo

Volume 5, issue 3, 2017

Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models pp. 1-15 Downloads
Soren Johansen and Morten Tabor
Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge pp. 1-20 Downloads
Katarina Juselius
Building News Measures from Textual Data and an Application to Volatility Forecasting pp. 1-46 Downloads
Massimiliano Caporin and Francesco Poli
Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development pp. 1-33 Downloads
Dorian Owen
Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations pp. 1-33 Downloads
Ronald W. Butler and Marc S. Paolella
Evaluating Forecasts, Narratives and Policy Using a Test of Invariance pp. 1-27 Downloads
Jennifer Castle, David Hendry and Andrew Martinez
On The Interpretation of Instrumental Variables in the Presence of Specification Errors: A Causal Comment pp. 1-6 Downloads
Burkhard Raunig
Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems pp. 1-17 Downloads
H. Peter Boswijk and Paolo Paruolo
Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels pp. 1-23 Downloads
Jae Kim and In Choi
Announcement of the 2017 Econometrics Young Researcher Award pp. 1-2 Downloads
Econometrics Editorial Office
Modeling Real Exchange Rate Persistence in Chile pp. 1-21 Downloads
Leonardo Salazar
Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity pp. 1-21 Downloads
Junrong Liu, Robin C. Sickles and E. G. Tsionas
The Turkish Spatial Wage Curve pp. 1-21 Downloads
Haci Mevlut Karatas
Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market pp. 1-21 Downloads
Andreas Hetland and Simon Hetland
On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply pp. 1-3 Downloads
P.A.V.B. Swamy, Stephen Hall, George Tavlas and Peter von zur Muehlen
Recent Developments in Copula Models pp. 1-3 Downloads
Jean-David Fermanian

Volume 5, issue 2, 2017

Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions pp. 1-20 Downloads
Jurgen Doornik
Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles pp. 1-20 Downloads
Massimo Franchi and Soren Johansen
Dependence between Stock Returns of Italian Banks and the Sovereign Risk pp. 1-14 Downloads
Fabrizio Durante, Enrico Foscolo and Alex Weissensteiner
The Univariate Collapsing Method for Portfolio Optimization pp. 1-33 Downloads
Marc S. Paolella
The Realized Hierarchical Archimedean Copula in Risk Modelling pp. 1-31 Downloads
Ostap Okhrin and Anastasija Tetereva
Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting pp. 1-23 Downloads
Benedikt Schamberger, Lutz F. Gruber and Claudia Czado
A Spatial Econometric Analysis of the Calls to the Portuguese National Health Line pp. 1-23 Downloads
Paula Simões, M. Lucília Carvalho, Sandra Aleixo, Sérgio Gomes and Isabel Natário
Sustainable Financial Obligations and Crisis Cycles pp. 1-23 Downloads
John Juselius and Moshe Kim
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity pp. 1-24 Downloads
Fabrizio Cipollini, Robert Engle and Giampiero Gallo
Copula-Based Factor Models for Multivariate Asset Returns pp. 1-24 Downloads
Eugen Ivanov, Aleksey Min and Franz Ramsauer
Unit Roots and Structural Breaks pp. 1-3 Downloads
Pierre Perron
Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations pp. 1-10 Downloads
Ricardo Quineche and Gabriel Rodríguez

Volume 5, issue 1, 2017

Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries pp. 1-17 Downloads
Jesus Clemente Lopez, María Gadea, Antonio Montañés and Marcelo Reyes
Testing for a Structural Break in a Spatial Panel Model pp. 1-17 Downloads
Aparna Sengupta
Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models pp. 1-17 Downloads
P.A.V.B. Swamy, Jatinder S. Mehta and I-Lok Chang
Fixed- b Inference for Testing Structural Change in a Time Series Regression pp. 1-26 Downloads
Cheol-Keun Cho and Timothy J. Vogelsang
Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses pp. 1-26 Downloads
Seong Yeon Chang and Pierre Perron
Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models pp. 1-54 Downloads
Jan Kiviet, Milan Pleus and Rutger Poldermans
Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation pp. 1-54 Downloads
Ragnar Nymoen
Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression pp. 1-11 Downloads
Luis Alvarez
A Note on Identification of Bivariate Copulas for Discrete Count Data pp. 1-11 Downloads
Pravin Trivedi and David Zimmer
Regime Switching Vine Copula Models for Global Equity and Volatility Indices pp. 1-38 Downloads
Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
Consistency of Trend Break Point Estimator with Underspecified Break Number pp. 1-19 Downloads
Jingjing Yang
A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators pp. 1-16 Downloads
Jochen Heberle and Cristina Sattarhoff
Acknowledgement to Reviewers of Econometrics in 2016 pp. 1-2 Downloads
Econometrics Editorial Office
Goodness-of-Fit Tests for Copulas of Multivariate Time Series pp. 1-23 Downloads
Bruno Rémillard
A Simple Test for Causality in Volatility pp. 1-5 Downloads
Chia-Lin Chang and Michael McAleer
Page updated 2018-11-20