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Econometrics

2013 - 2020

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

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Volume 4, issue 4, 2016

Editorial Announcement pp. 1-2 Downloads
Kerry Patterson
Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation pp. 1-24 Downloads
Badi Baltagi, Chihwa Kao and Bin Peng
Generalized Information Matrix Tests for Detecting Model Misspecification pp. 1-24 Downloads
Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner
Social Networks and Choice Set Formation in Discrete Choice Models pp. 1-26 Downloads
Bruno Wichmann, Minjie Chen and Wiktor Adamowicz
The Status of Bridge Principles in Applied Econometrics pp. 1-22 Downloads
Bernt P. Stigum
Panel Cointegration Testing in the Presence of Linear Time Trends pp. 1-16 Downloads
Uwe Hassler and Mehdi Hosseinkouchack
Testing for the Equality of Integration Orders of Multiple Series pp. 1-10 Downloads
Man Wang and Ngai Hang Chan
Oil Price and Economic Growth: A Long Story? pp. 1-28 Downloads
María Gadea, Ana Gómez-Loscos and Antonio Montañés
Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency pp. 1-19 Downloads
Kyoo Il Kim
Pair-Copula Constructions for Financial Applications: A Review pp. 1-15 Downloads
Kjersti Aas
Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters pp. 1-13 Downloads
Wen Xu
Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models pp. 1-13 Downloads
Richard Ashley and Xiaojin Sun

Volume 4, issue 3, 2016

Econometrics Best Paper Award 2016 pp. 1-2 Downloads
Kerry Patterson
Special Issues of Econometrics: Celebrated Econometricians pp. 1-2 Downloads
Econometrics Editorial Office
Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited pp. 1-21 Downloads
M. Shelton Peiris and Manabu Asai
Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets pp. 1-26 Downloads
Xin Zhang, Donggyu Kim and Yazhen Wang
Nonparametric Regression with Common Shocks pp. 1-17 Downloads
Eduardo A. Souza-Rodrigues
Estimation of Gini Index within Pre-Specified Error Bound pp. 1-12 Downloads
Bhargab Chattopadhyay and Shyamal Krishna De
Measuring the Distance between Sets of ARMA Models pp. 1-11 Downloads
Umberto Triacca
Econometric Information Recovery in Behavioral Networks pp. 1-11 Downloads
George Judge
Market Microstructure Effects on Firm Default Risk Evaluation pp. 1-31 Downloads
Flavia Barsotti and Simona Sanfelici

Volume 4, issue 2, 2016

Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors pp. 1-27 Downloads
Xibin Zhang, Maxwell King and Han Lin Shang
Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels pp. 1-27 Downloads
Masayuki Hirukawa and Mari Sakudo
Building a Structural Model: Parameterization and Structurality pp. 1-16 Downloads
Michel Mouchart and Renzo Orsi
Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence pp. 1-21 Downloads
Ba Chu and Stephen Satchell
Removing Specification Errors from the Usual Formulation of Binary Choice Models pp. 1-21 Downloads
P.A.V.B. Swamy, I-Lok Chang, Jatinder S. Mehta, William Greene, Stephen Hall and George Tavlas
A Method for Measuring Treatment Effects on the Treated without Randomization pp. 1-23 Downloads
P.A.V.B. Swamy, Stephen Hall, George Tavlas, I-Lok Chang, Heather Gibson, William Greene and Jatinder S. Mehta
Continuous and Jump Betas: Implications for Portfolio Diversification pp. 1-15 Downloads
Vitali Alexeev, Mardi Dungey and Wenying Yao
Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series pp. 1-11 Downloads
Nunzio Cappuccio and Diego Lubian
Distribution of Budget Shares for Food: An Application of Quantile Regression to Food Security 1 pp. 1-12 Downloads
Charles Moss, James F. Oehmke, Alexandre Lyambabaje and Andrew Schmitz
Evaluating Eigenvector Spatial Filter Corrections for Omitted Georeferenced Variables pp. 1-12 Downloads
Daniel A. Griffith and Yongwan Chun
Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability pp. 1-28 Downloads
Marc S. Paolella

Volume 4, issue 1, 2016

Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth pp. 1-16 Downloads
Mustafa Koroglu and Yiguo Sun
Spatial Econometrics: A Rapidly Evolving Discipline pp. 1-4 Downloads
Giuseppe Arbia
Multiple Discrete Endogenous Variables in Weakly-Separable Triangular Models pp. 1-21 Downloads
Sung Jae Jun, Joris Pinkse, Haiqing Xu and Neşe Yıldız
Acknowledgement to Reviewers of Econometrics in 2015 pp. 1-2 Downloads
Econometrics Editorial Office
Computational Complexity and Parallelization in Bayesian Econometric Analysis pp. 1-3 Downloads
Nalan Baştürk, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk
Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification pp. 1-14 Downloads
Ying-Ying Lee
How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply? pp. 1-31 Downloads
Duo Qin, Sophie van Huellen and Qing-Chao Wang
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models pp. 1-33 Downloads
Arnaud Dufays
Forecasting Value-at-Risk under Different Distributional Assumptions pp. 1-27 Downloads
Manuela Braione and Nicolas Scholtes
Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP pp. 1-23 Downloads
John Geweke
Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns pp. 1-23 Downloads
Urbi Garay, Enrique Ter Horst, German Molina and Abel Rodriguez
Timing Foreign Exchange Markets pp. 1-23 Downloads
Samuel Malone, Robert B. Gramacy and Enrique Ter Horst
Bayesian Calibration of Generalized Pools of Predictive Distributions pp. 1-24 Downloads
Roberto Casarin, Giulia Mantoan and Francesco Ravazzolo
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect pp. 1-24 Downloads
Francesco Audrino and Yujia Hu
The Evolving Transmission of Uncertainty Shocks in the United Kingdom pp. 1-18 Downloads
Haroon Mumtaz
Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM pp. 1-20 Downloads
Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices pp. 1-19 Downloads
David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide and Herman van Dijk
A Conditional Approach to Panel Data Models with Common Shocks pp. 1-12 Downloads
Giovanni Forchini and Bin Peng
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