Econometrics

2013 - 2025

Current editor(s): Ms. Jasmine Liu

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Volume 9, issue 4, 2021

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

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

Martin Huber

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

David Bernstein and Andrew Martinez

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

Xin Jin, Jia Liu and Qiao Yang

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

J. Eduardo Vera-Valdés

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

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

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

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

Kimon Ntotsis, Alex Karagrigoriou and Andreas Artemiou

Forecasting US Inflation in Real Time pp. 1-20

Chad Fulton and Kirstin Hubrich

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

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

Volume 9, issue 3, 2021

Multivariate Analysis of Cryptocurrencies pp. 1-17

Vincenzo Candila

Forecasting FOMC Forecasts pp. 1-21

Sarp Kalfa and Jaime Marquez

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

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

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

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

Massimo Franchi and Paolo Paruolo

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

Dimitrios V. Vougas

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

Philippe Goulet Coulombe and Maximilian Göbel

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

Fragiskos Archontakis and Rocco Mosconi

Volume 9, issue 2, 2021

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

D. Stephen G. Pollock

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

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

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

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

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

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

Volume 9, issue 1, 2021

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

Christian Leschinski, Michelle Voges and Philipp Sibbertsen

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

Šárka Hudecová, Marie Hušková and Simos G. Meintanis

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

Econometrics Editorial Office

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

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

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

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

Katarina Juselius

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

Paula Simões, Sérgio Gomes and Isabel Natário

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

Kevin Hoover

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

J. Eduardo Vera-Valdés

Volume 8, issue 4, 2020

Reducing the Bias of the Smoothed Log Periodogram Regression for Financial High-Frequency Data pp. 1-15

Erhard Reschenhofer and Manveer K. Mangat

A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing pp. 1-54

Dietmar Bauer, Lukas Matuschek, Patrick de Matos Ribeiro and Martin Wagner

Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature pp. 1-19

Eric Hillebrand, Soren Johansen and Torben Schmith

Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational pp. 1-26

Michael D. Goldberg, Olesia Kozlova and Deniz Ozabaci

On the Asymptotic Distribution of Ridge Regression Estimators Using Training and Test Samples pp. 1-25

Nandana Sengupta and Fallaw Sowell

Direct and Indirect Effects under Sample Selection and Outcome Attrition pp. 1-25

Martin Huber and Anna Solovyeva

Volume 8, issue 3, 2020

Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model pp. 1-27

Stefan Mittnik, Willi Semmler and Alexander Haider

Teaching Graduate (and Undergraduate) Econometrics: Some Sensible Shifts to Improve Efficiency, Effectiveness, and Usefulness pp. 1-23

Jeremy Arkes

Frequency-Domain Evidence for Climate Change pp. 1-15

Manveer Kaur Mangat and Erhard Reschenhofer

Cointegration and Structure in Norwegian Wage–Price Dynamics pp. 1-15

Marit Gjelsvik, Ragnar Nymoen and Victoria Sparrman

The Discovery of Long-Run Causal Order: A Preliminary Investigation pp. 1-25

Kevin Hoover

Confidence Distributions for FIC Scores pp. 1-28

Céline Cunen and Nils Lid Hjort

Dynamic Panel Modeling of Climate Change pp. 1-28

Peter Phillips

Maximum Likelihood Estimation for the Fractional Vasicek Model pp. 1-28

Katsuto Tanaka, Weilin Xiao and Jun Yu

Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size pp. 1-28

Yuanyuan Li and Dietmar Bauer

Linear Stochastic Models in Discrete and Continuous Time pp. 1-22

D. Stephen G. Pollock

Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment pp. 1-16

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

Indirect Inference Estimation of Spatial Autoregressions pp. 1-26

Yong Bao, Xiaotian Liu and Lihong Yang

Volume 8, issue 2, 2020

Gini Index Estimation within Pre-Specified Error Bound: Application to Indian Household Survey Data pp. 1-20

Francis Bilson Darku, Frank Konietschke and Bhargab Chattopadhyay

Forecast Accuracy Matters for Hurricane Damage pp. 1-24

Andrew Martinez

Sovereign Risk Indices and Bayesian Theory Averaging pp. 1-24

Alex Lenkoski and Fredrik L. Aanes

Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models pp. 1-36

Annalisa Cadonna, Sylvia Frühwirth-Schnatter and Peter Knaus

BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl pp. 1-29

Marcin Błażejowski, Jacek Kwiatkowski and Pawel Kufel

Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others? pp. 1-16

Michael Clements

Balanced Growth Approach to Tracking Recessions pp. 1-35

Marta Boczoń and Jean-Francois Richard

New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section pp. 1-52

Bo Yu, Bruce Mizrach and Norman Swanson

Bayesian Model Averaging Using Power-Expected-Posterior Priors pp. 1-15

Dimitris Fouskakis and Ioannis Ntzoufras

Bayesian Model Averaging with the Integrated Nested Laplace Approximation pp. 1-15

Virgilio Gómez-Rubio, Roger Bivand and Håvard Rue

Maximum-Likelihood Estimation in a Special Integer Autoregressive Model pp. 1-15

Robert Jung and Andrew Tremayne

Simultaneous Indirect Inference, Impulse Responses and ARMA Models pp. 1-26

Lynda Khalaf and Beatriz Peraza López

Tornado Occurrences in the United States: A Spatio-Temporal Point Process Approach pp. 1-26

Fernanda Valente and Márcio Laurini

Bayesian Model Averaging and Prior Sensitivity in Stochastic Frontier Analysis pp. 1-22

Kamil Makieła and Błażej Mazur

Improved Average Estimation in Seemingly Unrelated Regressions pp. 1-22

Ali Mehrabani and Aman Ullah

Volume 8, issue 1, 2020

A Review of the ‘BMS’ Package for R with Focus on Jointness pp. 1-21

Shahram Amini and Christopher Parmeter

Acknowledgement to Reviewers of Econometrics in 2019 pp. 1-2

Econometrics Editorial Office

Representation of Japanese Candlesticks by Oriented Fuzzy Numbers pp. 1-24

Krzysztof Piasecki and Anna Łyczkowska-Hanćkowiak

Sensitivity Analysis of an OLS Multiple Regression Inference with Respect to Possible Linear Endogeneity in the Explanatory Variables, for Both Modest and for Extremely Large Samples pp. 1-24

Richard Ashley and Christopher Parmeter

Distributions You Can Count On …But What’s the Point? pp. 1-36

Brendan McCabe and Christopher Skeels

Testing for Stochastic Dominance up to a Common Relative Poverty Line pp. 1-9

Tahsin Mehdi

Cross-Validation Model Averaging for Generalized Functional Linear Model pp. 1-35

Haili Zhang and Guohua Zou

Mahalanobis Distances on Factor Model Based Estimation pp. 1-11

Deliang Dai

Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors pp. 1-23

Matteo Barigozzi, Marco Lippi and Matteo Luciani

Asymptotic Versus Bootstrap Inference for Inequality Indices of the Cumulative Distribution Function pp. 1-15

Ramses Abul Naga, Christoper Stapenhurst and Gaston Yalonetzky

Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14 pp. 1-1

David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide and Herman van Dijk