Econometrics

2013 - 2025

Current editor(s): Ms. Jasmine Liu

From MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 11, issue 4, 2023

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

Alecos Papadopoulos

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

Mohitosh Kejriwal, Linh Nguyen and Xuewen Yu

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

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

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

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

Willi Semmler, Gabriel R. Padró Rosario and Levent Kockesen

Volume 11, issue 3, 2023

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

Manabu Asai

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

Bilel Sanhaji and Julien Chevallier

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

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

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

Mateusz Szysz and Andrzej Torój

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

Jarosław Gruszka and Janusz Szwabiński

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

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

Paul Haimerl and Tobias Hartl

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

Volume 11, issue 1, 2023

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

Graziano Moramarco

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

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

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

Omar Abbara and Mauricio Zevallos

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

Econometrics Editorial Office

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

Hui-Ching Chuang and Jau-er Chen

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

Gianluca Cubadda, Alain Hecq and Elisa Voisin

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

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

Nick James, Max Menzies and Jennifer Chan

Volume 10, issue 4, 2022

Is Climate Change Time-Reversible? pp. 1-18

Francesco Giancaterini, Alain Hecq and Claudio Morana

Linear System Challenges of Dynamic Factor Models pp. 1-26

Brian D. O. Anderson, Manfred Deistler and Marco Lippi

Validation of a Computer Code for the Energy Consumption of a Building, with Application to Optimal Electric Bill Pricing pp. 1-24

Merlin Keller, Guillaume Damblin, Alberto Pasanisi, Mathieu Schumann, Pierre Barbillon, Fabrizio Ruggeri and Eric Parent

Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series pp. 1-9

Marc Hallin

On the Bayesian Mixture of Generalized Linear Models with Gamma-Distributed Responses pp. 1-28

Irwan Susanto, Nur Iriawan and Heri Kuswanto

Detecting and Quantifying Structural Breaks in Climate pp. 1-27

Neil R. Ericsson, Mohammed H. I. Dore and Hassan Butt

Volume 10, issue 3, 2022

Modelling and Diagnostics of Spatially Autocorrelated Counts pp. 1-17

Robert Jung and Stephanie Glaser

A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model pp. 1-41

Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, Timo Teräsvirta and Glen Wade

Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure pp. 1-24

Antonio Pacifico

Common Correlated Effects Estimation for Dynamic Heterogeneous Panels with Non-Stationary Multi-Factor Error Structures pp. 1-27

Shiyun Cao and Qiankun Zhou

Volume 10, issue 2, 2022

A Conversation with Katarina Juselius pp. 1-21

Rocco Mosconi and Paolo Paruolo

Celebrated Econometricians: Katarina Juselius and Søren Johansen pp. 1-4

Rocco Mosconi and Paolo Paruolo

Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks pp. 1-15

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

Katarina Juselius

Combining Predictions of Auto Insurance Claims pp. 1-15

Chenglong Ye, Lin Zhang, Mingxuan Han, Yanjia Yu, Bingxin Zhao and Yuhong Yang

Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis pp. 1-14

Esam Mahdi and Ameena Al-Abdulla

An Alternative Estimation Method for Time-Varying Parameter Models pp. 1-27

Mikio Ito, Akihiko Noda and Tatsuma Wada

A Binary Choice Model with Sample Selection and Covariate-Related Misclassification pp. 1-20

Jorge González Chapela

A Conversation with Søren Johansen pp. 1-16

Rocco Mosconi and Paolo Paruolo

Causal Transmission in Reduced-Form Models pp. 1-25

Vassili Bazinas and Bent Nielsen

Model Validation and DSGE Modeling pp. 1-25

Niraj Poudyal and Aris Spanos

Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data pp. 1-22

Duo Qin, Sophie van Huellen, Qing Chao Wang and Thanos Moraitis

Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy pp. 1-34

Diogo de Prince, Emerson Marçal and Pedro Valls Pereira

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

Gaetano Perone

Are Vaccinations Alone Enough to Curb the Dynamics of the COVID-19 Pandemic in the European Union? pp. 1-12

Paweł Miłobędzki

Volume 10, issue 1, 2022

Missing Values in Panel Data Unit Root Tests pp. 1-11

Yiannis Karavias, Elias Tzavalis and Haotian Zhang

The Age–Period–Cohort Problem in Hedonic House Prices Models pp. 1-11

Chung-Yim Yiu and Ka-Shing Cheung

Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models pp. 1-29

Szabolcs Blazsek and Alvaro Escribano

The Impact of COVID-19 on Airfares—A Machine Learning Counterfactual Analysis pp. 1-10

Florian Wozny

Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics pp. 1-21

Jennifer Castle, Jurgen Doornik and David Hendry

An Exponential Endogenous Switching Regression with Correlated Random Coefficients pp. 1-16

Myoung-Jin Keay

Forecasting Real GDP Growth for Africa pp. 1-16

Philip Hans Franses and Max Welz

An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses pp. 1-19

Ron Mittelhammer, George Judge and Miguel Henry

Identification in Parametric Models: The Minimum Hellinger Distance Criterion pp. 1-14

David Pacini

Green Bonds for the Transition to a Low-Carbon Economy pp. 1-31

Andreas Lichtenberger, Joao Paulo Braga and Willi Semmler

A New Estimator for Standard Errors with Few Unbalanced Clusters pp. 1-7

Gianmaria Niccodemi and Tom Wansbeek

Acknowledgment to Reviewers of Econometrics in 2021 pp. 1-2

Econometrics Editorial Office