Econometrics

2013 - 2026

Current editor(s): Ms. Jasmine Liu

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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

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

Marc Hallin

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

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

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

Francesco Giancaterini, Alain Hecq and Claudio Morana

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

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

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

Volume 10, issue 3, 2022

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

Antonio Pacifico

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

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

Robert Jung and Stephanie Glaser

Volume 10, issue 2, 2022

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

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

Jorge González Chapela

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

A Conversation with Katarina Juselius pp. 1-21

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

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

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

Rocco Mosconi and Paolo Paruolo

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 Conversation with Søren Johansen pp. 1-16

Rocco Mosconi and Paolo Paruolo

Volume 10, issue 1, 2022

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

Szabolcs Blazsek and Alvaro Escribano

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

David Pacini

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

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

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

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

Andreas Lichtenberger, Joao Paulo Braga and Willi Semmler

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

Jennifer Castle, Jurgen Doornik and David Hendry

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

Florian Wozny

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

Gianmaria Niccodemi and Tom Wansbeek

Volume 9, issue 4, 2021

Forecasting US Inflation in Real Time pp. 1-20

Chad Fulton and Kirstin Hubrich

Inference Using Simulated Neural Moments pp. 1-15

Michael Creel

Children’s Health Capital Investment: Effects of U.S. Infant Breastfeeding on Teenage Obesity pp. 1-15

Albert Okunade, Ahmad Osmani, Toluwalope Ayangbayi and Adeyinka Kevin Okunade

Climate Finance: Mapping Air Pollution and Finance Market in Time Series pp. 1-15

Zheng Fang, Jianying Xie, Ruiming Peng and Sheng Wang

Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach pp. 1-22

Xin Jin, Jia Liu and Qiao Yang

Interdependency Pattern Recognition in Econometrics: A Penalized Regularization Antidote pp. 1-13

Kimon Ntotsis, Alex Karagrigoriou and Andreas Artemiou

Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation pp. 1-18

J. Eduardo Vera-Valdés

Jointly Modeling Male and Female Labor Participation and Unemployment pp. 1-14

David Bernstein and Andrew Martinez

On the Plausibility of the Latent Ignorability Assumption pp. 1-6

Martin Huber

Air Pollution and Mobility, What Carries COVID-19? pp. 1-17

C. Vladimir Rodríguez-Caballero and J. Eduardo Vera-Valdés

Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors pp. 1-17

Mustafa Salamh and Liqun Wang

Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices pp. 1-24

Kjartan Kloster Osmundsen, Tore Kleppe, Roman Liesenfeld and Atle Oglend

Modeling Hospital Resource Management during the COVID-19 Pandemic: An Experimental Validation pp. 1-16

J. M. Calabuig, Eduardo Jiménez-Fernández, E. A. Sánchez-Pérez and S. Manzanares

Volume 9, issue 3, 2021

Forecasting FOMC Forecasts pp. 1-21

Sarp Kalfa and Jaime Marquez

Special Issue “Celebrated Econometricians: Peter Phillips” pp. 1-3

Federico Bandi, Alex Maynard, Hyungsik Roger Moon and Benoit Perron

On Spurious Causality, CO 2, and Global Temperature pp. 1-18

Philippe Goulet Coulombe and Maximilian Göbel

Cointegration, Root Functions and Minimal Bases pp. 1-27

Massimo Franchi and Paolo Paruolo

Selecting a Model for Forecasting pp. 1-35

Jennifer Castle, Jurgen Doornik and David Hendry

Fisher’s z Distribution-Based Mixture Autoregressive Model pp. 1-35

Arifatus Solikhah, Heri Kuswanto, Nur Iriawan and Kartika Fithriasari

Søren Johansen and Katarina Juselius: A Bibliometric Analysis of Citations through Multivariate Bass Models pp. 1-28

Fragiskos Archontakis and Rocco Mosconi

Multivariate Analysis of Cryptocurrencies pp. 1-17

Vincenzo Candila

Prais–Winsten Algorithm for Regression with Second or Higher Order Autoregressive Errors pp. 1-6

Dimitrios V. Vougas

Volume 9, issue 2, 2021

Quantile Regression with Generated Regressors pp. 1-35

Liqiong Chen, Antonio Galvao and Suyong Song

Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues pp. 1-35

Antonio Pacifico

Debiased/Double Machine Learning for Instrumental Variable Quantile Regressions pp. 1-18

Jau-er Chen, Chien-Hsun Huang and Jia-Jyun Tien

Uncertainty Due to Infectious Diseases and Stock–Bond Correlation pp. 1-18

Konstantinos Gkillas, Christoforos Konstantatos and Costas Siriopoulos

Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models pp. 1-21

Manabu Asai, Chia-Lin Chang, Michael McAleer and Laurent Pauwels

Racial/Ethnic Health Disparity in the U.S.: A Decomposition Analysis pp. 1-14

Kajal Lahiri and Zulkarnain Pulungan

Are Soybean Yields Getting a Free Ride from Climate Change? Evidence from Argentine Time Series Data pp. 1-14

Hildegart Ahumada and Magdalena Cornejo

Multidimensional Arrays, Indices and Kronecker Products pp. 1-15

D. Stephen G. Pollock

Semiparametric Estimation of a Corporate Bond Rating Model pp. 1-20

Yixiao Jiang

Outliers in Semi-Parametric Estimation of Treatment Effects pp. 1-32

Gustavo Canavire-Bacarreza, Luis Castro Peñarrieta and Darwin Ugarte Ontiveros

An Empirical Model of Medicare Costs: The Role of Health Insurance, Employment, and Delays in Medicare Enrollment pp. 1-32

Yuanyuan Deng and Hugo Benitez-Silva

Volume 9, issue 1, 2021

Erratum: Hoover, K.D. 2020. The Discovery of Long-Run Causal Order: A Preliminary Investigation. Econometrics 8: 31 pp. 1-1

Kevin Hoover

Integration and Disintegration of EMU Government Bond Markets pp. 1-17

Christian Leschinski, Michelle Voges and Philipp Sibbertsen

Acknowledgment to Reviewers of Econometrics in 2020 pp. 1-2

Econometrics Editorial Office

Searching for a Theory That Fits the Data: A Personal Research Odyssey pp. 1-27

Katarina Juselius

Towards a New Paradigm for Statistical Evidence in the Use of p -Value pp. 1-3

Muhammad Bhatti and Jae Kim

Regularized Maximum Diversification Investment Strategy pp. 1-23

N’Golo Koné

Enhanced Methods of Seasonal Adjustment pp. 1-23

D. Stephen G. Pollock

Temperature Anomalies, Long Memory, and Aggregation pp. 1-22

J. Eduardo Vera-Valdés

Goodness–of–Fit Tests for Bivariate Time Series of Counts pp. 1-20

Šárka Hudecová, Marie Hušková and Simos G. Meintanis

Hospital Emergency Room Savings via Health Line S24 in Portugal pp. 1-10

Paula Simões, Sérgio Gomes and Isabel Natário

Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions pp. 1-35

Fabian Knorre, Martin Wagner and Maximilian Grupe

New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past? pp. 1-25

Boriss Siliverstovs

Estimating Endogenous Treatment Effects Using Latent Factor Models with and without Instrumental Variables pp. 1-25

Souvik Banerjee and Anirban Basu

Nonlinear Cointegrating Regression of the Earth’s Surface Mean Temperature Anomalies on Total Radiative Forcing pp. 1-25

Kyungsik Nam