Econometrics

2013 - 2026

Current editor(s): Ms. Jasmine Liu

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Volume 12, issue 4, 2024

How Financial Stress Can Impact Fiscal and Monetary Policies: Threshold VAR Analysis for Brazilian Economy pp. 1-23

Roberta Wichmann, Werley Cordeiro and João F. Caldeira

Long-Term Care in Germany in the Context of the Demographic Transition—An Outlook for the Expenses of Long-Term Care Insurance through 2050 pp. 1-20

Patrizio Vanella, Christina Benita Wilke and Moritz Heß

Forecasting Wind–Photovoltaic Energy Production and Income with Traditional and ML Techniques pp. 1-15

Giovanni Masala and Amelie Schischke

Instrument Selection in Panel Data Models with Endogeneity: A Bayesian Approach pp. 1-35

Álvaro Herce and Manuel Salvador

Estimating the Effects of Credit Constraints on Productivity of Peruvian Agriculture pp. 1-17

Tiemen Woutersen, Katherine Hauck and Shahidur R. Khandker

Financial Uncertainty and Gold Market Volatility: Evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) Approach with Variable Selection pp. 1-17

O-Chia Chuang, Rangan Gupta, Christian Pierdzioch and Buliao Shu

Bayesian Inference for Long Memory Stochastic Volatility Models pp. 1-28

Pedro Chaim and Márcio Laurini

Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity pp. 1-14

Guglielmo Maria Caporale, Luis Gil-Alana and Pedro Jose Piqueras Martinez

Likert Scale Variables in Personal Finance Research: The Neutral Category Problem pp. 1-11

Blain Pearson, Donald Lacombe and Nasima Khatun

Impact of Areal Factors on Students’ Travel Mode Choices: A Bayesian Spatial Analysis pp. 1-19

Amin Azimian and Alireza Azimian

Exploring the Role of Global Value Chain Position in Economic Models for Bankruptcy Forecasting pp. 1-19

Mélanie Croquet, Loredana Cultrera, Dimitri Laroutis, Laetitia Pozniak and Guillaume Vermeylen

Enhancing Efficiency: Halton Draws in the Generalized True Random Effects Model pp. 1-19

David Bernstein

Econometric Analysis of the Sustainability and Development of an Alternative Strategy to Gross Value Added in Kazakhstan’s Agricultural Sector pp. 1-26

Azat Tleubayev, Seyit Kerimkhulle, Manatzhan Tleuzhanova, Aigul Uchkampirova, Zhanat Bulakbay, Raikhan Mugauina, Zhumagul Tazhibayeva, Alibek Adalbek, Yerassyl Iskakov and Daniyar Toleubay

Volume 12, issue 3, 2024

Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality pp. 1-24

Szabolcs Blazsek, William M. Dos Santos and Andreco S. Edwards

Estimating Treatment Effects Using Observational Data and Experimental Data with Non-Overlapping Support pp. 1-11

Kevin Han, Han Wu, Linjia Wu, Yu Shi and Canyao Liu

Comparing Estimation Methods for the Power–Pareto Distribution pp. 1-28

Frederico Caeiro and Mina Norouzirad

Signs of Fluctuations in Energy Prices and Energy Stock-Market Volatility in Brazil and in the US pp. 1-19

Gabriel Arquelau Pimenta Rodrigues, André Luiz Marques Serrano, Gabriela Mayumi Saiki, Matheus Noschang de Oliveira, Guilherme Fay Vergara, Pedro Augusto Giacomelli Fernandes, Vinícius Pereira Gonçalves and Clóvis Neumann

Stochastic Debt Sustainability Analysis in Romania in the Context of the War in Ukraine pp. 1-23

Gabriela Dobrotă and Alina Daniela Voda

Is It Sufficient to Select the Optimal Class Number Based Only on Information Criteria in Fixed- and Random-Parameter Latent Class Discrete Choice Modeling Approaches? pp. 1-16

Péter Czine, Péter Balogh, Zsanett Blága, Zoltán Szabó, Réka Szekeres, Stephane Hess and Béla Juhász

Transient and Persistent Technical Efficiencies in Rice Farming: A Generalized True Random-Effects Model Approach pp. 1-18

Phuc Trong Ho, Michael Burton, Atakelty Hailu and Chunbo Ma

Instrumental Variable Method for Regularized Estimation in Generalized Linear Measurement Error Models pp. 1-14

Lin Xue and Liqun Wang

Volume 12, issue 2, 2024

Biases in the Maximum Simulated Likelihood Estimation of the Mixed Logit Model pp. 1-15

Maksat Jumamyradov, Murat Munkin, William H. Greene and Benjamin M. Craig

A Pretest Estimator for the Two-Way Error Component Model pp. 1-15

Badi Baltagi, Georges Bresson and Jean-Michel Etienne

Exponential Time Trends in a Fractional Integration Model pp. 1-14

Guglielmo Maria Caporale and Luis Gil-Alana

Short-Term Hourly Ozone Concentration Forecasting Using Functional Data Approach pp. 1-21

Ismail Shah, Naveed Gul, Sajid Ali and Hassan Houmani

On the Validity of Granger Causality for Ecological Count Time Series pp. 1-21

Konstantinos G. Papaspyropoulos and Dimitris Kugiumtzis

The Gini and Mean Log Deviation Indices of Multivariate Inequality of Opportunity pp. 1-16

Marek Kapera and Martyna Kobus

Stein-like Common Correlated Effects Estimation under Structural Breaks pp. 1-23

Shahnaz Parsaeian

Financial and Oil Market’s Co-Movements by a Regime-Switching Copula pp. 1-19

Manel Soury

Predicting the Direction of NEPSE Index Movement with News Headlines Using Machine Learning pp. 1-26

Keshab Raj Dahal, Ankrit Gupta and Nawa Raj Pokhrel

Modeling the Economic Impact of the COVID-19 Pandemic Using Dynamic Panel Models and Seemingly Unrelated Regressions pp. 1-26

Ioannis D. Vrontos, John Galakis, Ekaterini Panopoulou and Spyridon D. Vrontos

Investigation of Equilibrium in Oligopoly Markets with the Help of Tripled Fixed Points in Banach Spaces pp. 1-24

Atanas Ilchev, Vanya Ivanova, Hristina Kulina, Polina Yaneva and Boyan Zlatanov

Volume 12, issue 1, 2024

Publisher’s Note: Econometrics —A New Era for a Well-Established Journal pp. 1-2

Peter Roth

Introduction to the Special Issue “High-Dimensional Time Series in Macroeconomics and Finance” pp. 1-2

Benedikt Pötscher, Leopold Sögner and Martin Wagner

Is Monetary Policy a Driver of Cryptocurrencies? Evidence from a Structural Break GARCH-MIDAS Approach pp. 1-20

Md Samsul Alam, Alessandra Amendola, Vincenzo Candila and Shahram Dehghan Jabarabadi

Estimating Linear Dynamic Panels with Recentered Moments pp. 1-48

Yong Bao

Influence of Digitalisation on Business Success in Austrian Traded Prime Market Companies—A Longitudinal Study pp. 1-32

Christa Hangl

Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension pp. 1-28

João Pedro Coli de Souza Monteneri Nacinben and Márcio Laurini

Public Debt and Economic Growth: A Panel Kink Regression Latent Group Structures Approach pp. 1-19

Chaoyi Chen, Thanasis Stengos and Jianhan Zhang

Volume 11, issue 4, 2023

Liquidity and Business Cycles—With Occasional Disruptions pp. 1-20

Willi Semmler, Gabriel R. Padró Rosario and Levent Kockesen

When It Counts—Econometric Identification of the Basic Factor Model Based on GLT Structures pp. 1-30

Sylvia Frühwirth-Schnatter, Darjus Hosszejni and Hedibert Freitas Lopes

Multistep Forecast Averaging with Stochastic and Deterministic Trends pp. 1-44

Mohitosh Kejriwal, Linh Nguyen and Xuewen Yu

On the Proper Computation of the Hausman Test Statistic in Standard Linear Panel Data Models: Some Clarifications and New Results pp. 1-28

Julie Le Gallo and Marc-Alexandre Senegas

Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis pp. 1-32

Minkun Kim, David Lindberg, Martin Crane and Marija Bezbradica

A New Matrix Statistic for the Hausman Endogeneity Test under Heteroskedasticity pp. 1-11

Alecos Papadopoulos

Volume 11, issue 3, 2023

Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum pp. 1-36

Bilel Sanhaji and Julien Chevallier

Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter pp. 1-14

Manabu Asai

Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases pp. 1-73

Dean Fantazzini and Yufeng Xiao

Locationally Varying Production Technology and Productivity: The Case of Norwegian Farming pp. 1-20

Subal Kumbhakar, Jingfang Zhang and Gudbrand Lien

Competition–Innovation Nexus: Product vs. Process, Does It Matter? pp. 1-20

Emil Palikot

Volume 11, issue 2, 2023

Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices pp. 1-26

Jarosław Gruszka and Janusz Szwabiński

Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market pp. 1-19

Chengyu Li, Luyi Shen and Guoqi Qian

Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes pp. 1-11

Dietmar Bauer

Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series pp. 1-11

Tamás Szabados

Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models pp. 1-15

Paul Haimerl and Tobias Hartl

Local Gaussian Cross-Spectrum Analysis pp. 1-27

Lars Arne Jordanger and Dag Tjøstheim

Skill Mismatch, Nepotism, Job Satisfaction, and Young Females in the MENA Region pp. 1-20

Mahmoud Arayssi, Ali Fakih and Nathir Haimoun

Socio-Economic and Demographic Factors Associated with COVID-19 Mortality in European Regions: Spatial Econometric Analysis pp. 1-29

Mateusz Szysz and Andrzej Torój

Volume 11, issue 1, 2023

Semi-Metric Portfolio Optimization: A New Algorithm Reducing Simultaneous Asset Shocks pp. 1-33

Nick James, Max Menzies and Jennifer Chan

Acknowledgment to the Reviewers of Econometrics in 2022 pp. 1-2

Econometrics Editorial Office

Causal Vector Autoregression Enhanced with Covariance and Order Selection pp. 1-30

Marianna Bolla, Dongze Ye, Haoyu Wang, Renyuan Ma, Valentin Frappier, William Thompson, Catherine Donner, Máté Baranyi and Fatma Abdelkhalek

Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models pp. 1-18

Omar Abbara and Mauricio Zevallos

Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models pp. 1-16

Gianluca Cubadda, Alain Hecq and Elisa Voisin

Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers pp. 1-29

Graziano Moramarco

Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks pp. 1-37

Anthony Hall, Annastiina Silvennoinen and Timo Teräsvirta

Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles pp. 1-20

Hui-Ching Chuang and Jau-er Chen

Comparing the Conditional Logit Estimates and True Parameters under Preference Heterogeneity: A Simulated Discrete Choice Experiment pp. 1-13

Maksat Jumamyradov, Benjamin M. Craig, Murat Munkin and William Greene