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.
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Volume 11, issue 4, 2023
- A New Matrix Statistic for the Hausman Endogeneity Test under Heteroskedasticity pp. 1-11

- Alecos Papadopoulos
- 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
- 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
Volume 11, issue 3, 2023
- 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
- 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
Volume 11, issue 2, 2023
- 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
- Socio-Economic and Demographic Factors Associated with COVID-19 Mortality in European Regions: Spatial Econometric Analysis pp. 1-29

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

- Mahmoud Arayssi, Ali Fakih and Nathir Haimoun
- Local Gaussian Cross-Spectrum Analysis pp. 1-27

- Lars Arne Jordanger and Dag Tjøstheim
- Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices pp. 1-26

- Jarosław Gruszka and Janusz Szwabiński
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
- Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models pp. 1-16

- Gianluca Cubadda, Alain Hecq and Elisa Voisin
- 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
- Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles pp. 1-20

- Hui-Ching Chuang and Jau-er Chen
- Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models pp. 1-18

- Omar Abbara and Mauricio Zevallos
- 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
- Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers pp. 1-29

- Graziano Moramarco
Volume 10, issue 4, 2022
- On the Bayesian Mixture of Generalized Linear Models with Gamma-Distributed Responses pp. 1-28

- Irwan Susanto, Nur Iriawan and Heri Kuswanto
- 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
- Is Climate Change Time-Reversible? pp. 1-18

- Francesco Giancaterini, Alain Hecq and Claudio Morana
- Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series pp. 1-9

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

- Neil R. Ericsson, Mohammed H. I. Dore and Hassan Butt
- Linear System Challenges of Dynamic Factor Models pp. 1-26

- Brian D. O. Anderson, Manfred Deistler and Marco Lippi
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
- Common Correlated Effects Estimation for Dynamic Heterogeneous Panels with Non-Stationary Multi-Factor Error Structures pp. 1-27

- Shiyun Cao and Qiankun Zhou
- Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure pp. 1-24

- Antonio Pacifico
Volume 10, issue 2, 2022
- Celebrated Econometricians: Katarina Juselius and Søren Johansen pp. 1-4

- Rocco Mosconi and Paolo Paruolo
- 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
- An Alternative Estimation Method for Time-Varying Parameter Models pp. 1-27

- Mikio Ito, Akihiko Noda and Tatsuma Wada
- 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
- A Binary Choice Model with Sample Selection and Covariate-Related Misclassification pp. 1-20

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

- Paweł Miłobędzki
- 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
- A Conversation with Katarina Juselius pp. 1-21

- Rocco Mosconi and Paolo Paruolo
Volume 10, issue 1, 2022
- Acknowledgment to Reviewers of Econometrics in 2021 pp. 1-2

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

- Ron Mittelhammer, George Judge and Miguel Henry
- Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics pp. 1-21

- Jennifer Castle, Jurgen Doornik and David Hendry
- Identification in Parametric Models: The Minimum Hellinger Distance Criterion pp. 1-14

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

- Andreas Lichtenberger, Joao Paulo Braga and Willi Semmler
- 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
- A New Estimator for Standard Errors with Few Unbalanced Clusters pp. 1-7

- Gianmaria Niccodemi and Tom Wansbeek
- 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
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