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Econometrics

2013 - 2020

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

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Volume 8, issue 3, 2020

Frequency-Domain Evidence for Climate Change pp. 1-15 Downloads
Manveer Kaur Mangat and Erhard Reschenhofer
Cointegration and Structure in Norwegian Wage–Price Dynamics pp. 1-15 Downloads
Marit Gjelsvik, Ragnar Nymoen and Victoria Sparrman
Confidence Distributions for FIC Scores pp. 1-28 Downloads
Céline Cunen and Nils Lid Hjort
Dynamic Panel Modeling of Climate Change pp. 1-28 Downloads
Peter C. B. Phillips
The Discovery of Long-Run Causal Order: A Preliminary Investigation pp. 1-25 Downloads
Kevin D. Hoover

Volume 8, issue 2, 2020

BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl pp. 1-29 Downloads
Marcin Błażejowski, Jacek Kwiatkowski and Paweł Kufel
Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others? pp. 1-16 Downloads
Michael Clements
Bayesian Model Averaging and Prior Sensitivity in Stochastic Frontier Analysis pp. 1-22 Downloads
Kamil Makieła and Błażej Mazur
Improved Average Estimation in Seemingly Unrelated Regressions pp. 1-22 Downloads
Ali Mehrabani and Aman Ullah
New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section pp. 1-52 Downloads
Bo Yu, Bruce Mizrach and Norman R. Swanson
Gini Index Estimation within Pre-Specified Error Bound: Application to Indian Household Survey Data pp. 1-20 Downloads
Francis Bilson Darku, Frank Konietschke and Bhargab Chattopadhyay
Simultaneous Indirect Inference, Impulse Responses and ARMA Models pp. 1-26 Downloads
Lynda Khalaf and Beatriz Peraza López
Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach pp. 1-26 Downloads
Fernanda Valente and Márcio Laurini
Bayesian Model Averaging Using Power-Expected-Posterior Priors pp. 1-15 Downloads
Dimitris Fouskakis and Ioannis Ntzoufras
Bayesian Model Averaging with the Integrated Nested Laplace Approximation pp. 1-15 Downloads
Virgilio Gómez-Rubio, Roger S. Bivand and Håvard Rue
Maximum-Likelihood Estimation in a Special Integer Autoregressive Model pp. 1-15 Downloads
Robert Jung and Andrew R. Tremayne
Balanced Growth Approach to Tracking Recessions pp. 1-35 Downloads
Marta Boczoń and Jean-Francois Richard
Forecast Accuracy Matters for Hurricane Damage pp. 1-24 Downloads
Andrew Martinez
Sovereign Risk Indices and Bayesian Theory Averaging pp. 1-24 Downloads
Alex Lenkoski and Fredrik L. Aanes
Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models pp. 1-36 Downloads
Annalisa Cadonna, Sylvia Frühwirth-Schnatter and Peter Knaus

Volume 8, issue 1, 2020

Cross-Validation Model Averaging for Generalized Functional Linear Model pp. 1-35 Downloads
Haili Zhang and Guohua Zou
Distributions You Can Count On …But What’s the Point? pp. 1-36 Downloads
Brendan McCabe and Christopher Skeels
Representation of Japanese Candlesticks by Oriented Fuzzy Numbers pp. 1-24 Downloads
Krzysztof Piasecki and Anna Łyczkowska-Hanćkowiak
Sensitivity Analysis of an OLS Multiple Regression Inference with Respect to Possible Linear Endogeneity in the Explanatory Variables, for Both Modest and for Extremely Large Samples pp. 1-24 Downloads
Richard A. Ashley and Christopher Parmeter
Testing for Stochastic Dominance up to a Common Relative Poverty Line pp. 1-9 Downloads
Tahsin Mehdi
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors pp. 1-23 Downloads
Matteo Barigozzi, Marco Lippi and Matteo Luciani
A Review of the ‘BMS’ Package for R with Focus on Jointness pp. 1-21 Downloads
Shahram Amini and Christopher Parmeter
Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14 pp. 1-1 Downloads
David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide and Herman K. Van Dijk
Asymptotic Versus Bootstrap Inference for Inequality Indices of the Cumulative Distribution Function pp. 1-15 Downloads
Ramses Abul Naga, Christopher Stapenhurst and Gaston Yalonetzky
Mahalanobis Distances on Factor Model Based Estimation pp. 1-11 Downloads
Deliang Dai
Acknowledgement to Reviewers of Econometrics in 2019 pp. 1-2 Downloads
Econometrics Editorial Office

Volume 7, issue 4, 2019

Causal Random Forests Model Using Instrumental Variable Quantile Regression pp. 1-22 Downloads
Jau-er Chen and Chen-Wei Hsiang
Likelihood Inference for Generalized Integer Autoregressive Time Series Models pp. 1-13 Downloads
Harry Joe
Generalized Binary Time Series Models pp. 1-26 Downloads
Carsten Jentsch and Lena Reichmann
Uniform Inference in Panel Autoregression pp. 1-28 Downloads
John C. Chao and Peter Phillips
HAR Testing for Spurious Regression in Trend pp. 1-28 Downloads
Peter Phillips, Xiaohu Wang and Yonghui Zhang
The Replication Crisis as Market Failure pp. 1-8 Downloads
John Quiggin
Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series pp. 1-19 Downloads
Hiroyuki Kawakatsu
Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression pp. 1-14 Downloads
Marek Chudý and Erhard Reschenhofer
Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms pp. 1-35 Downloads
Takamitsu Kurita and Bent Nielsen

Volume 7, issue 3, 2019

Bivariate Volatility Modeling with High-Frequency Data pp. 1-15 Downloads
Marius Matei, Xari Rovira and Núria Agell
On the Forecast Combination Puzzle pp. 1-26 Downloads
Wei Qian, Craig A. Rolling, Gang Cheng and Yuhong Yang
Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components pp. 1-43 Downloads
Franz Ramsauer, Aleksey Min and Michael Lingauer
Evaluating Approximate Point Forecasting of Count Processes pp. 1-28 Downloads
Annika Homburg, Christian H. Weiß, Layth C. Alwan, Gabriel Frahm and Rainer Göb
A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments pp. 1-28 Downloads
Chuanming Gao and Kajal Lahiri
Bayesian Analysis of Coefficient Instability in Dynamic Regressions pp. 1-32 Downloads
Emanuela Ciapanna and Marco Taboga
Compulsory Schooling and Returns to Education: A Re-Examination pp. 1-20 Downloads
Sophie van Huellen and Duo Qin
Forecast Bitcoin Volatility with Least Squares Model Averaging pp. 1-20 Downloads
Tian Xie
Heteroskedasticity in One-Way Error Component Probit Models pp. 1-22 Downloads
Richard Kouamé Moussa
A Combination Method for Averaging OLS and GLS Estimators pp. 1-12 Downloads
Qingfeng Liu and Andrey Vasnev
Misclassification in Binary Choice Models with Sample Selection pp. 1-19 Downloads
Maria Felice Arezzo and Giuseppina Guagnano
Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation pp. 1-23 Downloads
Jie Chen and Dimitris N. Politis
Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data pp. 1-27 Downloads
Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner

Volume 7, issue 2, 2019

Measures of Dispersion and Serial Dependence in Categorical Time Series pp. 1-23 Downloads
Christian H. Weiß
Covariance Prediction in Large Portfolio Allocation pp. 1-24 Downloads
Carlos Trucíos, Mauricio Zevallos, Luiz Hotta and Andre Santos
Looking Backward and Looking Forward pp. 1-24 Downloads
Zhengyuan Gao and Christian Hafner
On Using the t -Ratio as a Diagnostic pp. 1-3 Downloads
Jan Magnus
Background Indicators pp. 1-14 Downloads
Burkhard Raunig
A Frequentist Alternative to Significance Testing, p -Values, and Confidence Intervals pp. 1-14 Downloads
David Trafimow
Efficiency of Average Treatment Effect Estimation When the True Propensity Is Parametric pp. 1-13 Downloads
Kyoo il Kim
Interval-Based Hypothesis Testing and Its Applications to Economics and Finance pp. 1-22 Downloads
Jae Kim and Andrew P. Robinson
A Semi-Parametric Approach to the Oaxaca–Blinder Decomposition with Continuous Group Variable and Self-Selection pp. 1-29 Downloads
Fernando Rios-Avila
Important Issues in Statistical Testing and Recommended Improvements in Accounting Research pp. 1-11 Downloads
Thomas R. Dyckman and Stephen A. Zeff
Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model pp. 1-11 Downloads
Pierre Perron and Yohei Yamamoto
Threshold Regression with Endogeneity for Short Panels pp. 1-8 Downloads
Tue Gørgens and Allan Würtz

Volume 7, issue 1, 2019

Indirect Inference: Which Moments to Match? pp. 1-17 Downloads
David T. Frazier and Eric Renault
Not p -Values, Said a Little Bit Differently pp. 1-5 Downloads
Richard Startz
Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient pp. 1-24 Downloads
David Bernstein and Bent Nielsen
Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems pp. 1-24 Downloads
Antonio Pacifico
Panel Data Estimation for Correlated Random Coefficients Models pp. 1-18 Downloads
Cheng Hsiao, Qi Li, Zhongwen Liang and Wei Xie
On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator pp. 1-14 Downloads
Tomohiro Ando and Naoya Sueishi
On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models pp. 1-13 Downloads
Karl-Heinz Schild and Karsten Schweikert
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
Soren Johansen
The Specification of Dynamic Discrete-Time Two-State Panel Data Models pp. 1-16 Downloads
Tue Gørgens and Dean Hyslop
Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series pp. 1-16 Downloads
Miguel Henry and George Judge
Gini Regressions and Heteroskedasticity pp. 1-16 Downloads
Arthur Charpentier, Ndéné Ka, Stéphane Mussard and Oumar Hamady Ndiaye
A Parametric Factor Model of the Term Structure of Mortality pp. 1-22 Downloads
Niels Haldrup and Carsten P. T. Rosenskjold
Acknowledgement to Reviewers of Econometrics in 2018 pp. 1-2 Downloads
Econometrics Editorial Office
Monte Carlo Inference on Two-Sided Matching Models pp. 1-15 Downloads
Taehoon Kim, Jacob Schwartz, Kyungchul Song and Yoon-Jae Whang
Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence pp. 1-32 Downloads
Mingmian Cheng and Norman Swanson
Page updated 2020-08-04