Econometrics

2013 - 2025

Current editor(s): Ms. Jasmine Liu

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Volume 7, issue 4, 2019

Likelihood Inference for Generalized Integer Autoregressive Time Series Models pp. 1-13

Harry Joe

Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression pp. 1-14

Marek Chudý and Erhard Reschenhofer

Generalized Binary Time Series Models pp. 1-26

Carsten Jentsch and Lena Reichmann

Causal Random Forests Model Using Instrumental Variable Quantile Regression pp. 1-22

Jau-er Chen and Chen-Wei Hsiang

Uniform Inference in Panel Autoregression pp. 1-28

John C. Chao and Peter Phillips

HAR Testing for Spurious Regression in Trend pp. 1-28

Peter Phillips, Xiaohu Wang and Yonghui Zhang

Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series pp. 1-19

Hiroyuki Kawakatsu

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms pp. 1-35

Takamitsu Kurita and Bent Nielsen

The Replication Crisis as Market Failure pp. 1-8

John Quiggin

Volume 7, issue 3, 2019

Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components pp. 1-43

Franz Ramsauer, Aleksey Min and Michael Lingauer

Evaluating Approximate Point Forecasting of Count Processes pp. 1-28

Annika Homburg, Christian H. Weiß, Layth C. Alwan, Gabriel Frahm and Rainer Göb

A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments pp. 1-28

Chuanming Gao and Kajal Lahiri

A Combination Method for Averaging OLS and GLS Estimators pp. 1-12

Qingfeng Liu and Andrey Vasnev

Misclassification in Binary Choice Models with Sample Selection pp. 1-19

Maria Felice Arezzo and Giuseppina Guagnano

Bayesian Analysis of Coefficient Instability in Dynamic Regressions pp. 1-32

Emanuela Ciapanna and Marco Taboga

Consequences of Model Misspecification for Maximum Likelihood Estimation with Missing Data pp. 1-27

Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner

Optimal Multi-Step-Ahead Prediction of ARCH/GARCH Models and NoVaS Transformation pp. 1-23

Jie Chen and Dimitris N. Politis

On the Forecast Combination Puzzle pp. 1-26

Wei Qian, Craig A. Rolling, Gang Cheng and Yuhong Yang

Bivariate Volatility Modeling with High-Frequency Data pp. 1-15

Marius Matei, Xari Rovira and Núria Agell

Compulsory Schooling and Returns to Education: A Re-Examination pp. 1-20

Sophie van Huellen and Duo Qin

Forecast Bitcoin Volatility with Least Squares Model Averaging pp. 1-20

Tian Xie

Heteroskedasticity in One-Way Error Component Probit Models pp. 1-22

Richard Kouamé Moussa

Volume 7, issue 2, 2019

Threshold Regression with Endogeneity for Short Panels pp. 1-8

Tue Gørgens and Allan Würtz

A Semi-Parametric Approach to the Oaxaca–Blinder Decomposition with Continuous Group Variable and Self-Selection pp. 1-29

Fernando Rios-Avila

Important Issues in Statistical Testing and Recommended Improvements in Accounting Research pp. 1-11

Thomas R. Dyckman and Stephen A. Zeff

Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model pp. 1-11

Pierre Perron and Yohei Yamamoto

On Using the t -Ratio as a Diagnostic pp. 1-3

Jan Magnus

Efficiency of Average Treatment Effect Estimation When the True Propensity Is Parametric pp. 1-13

Kyoo il Kim

Background Indicators pp. 1-14

Burkhard Raunig

A Frequentist Alternative to Significance Testing, p -Values, and Confidence Intervals pp. 1-14

David Trafimow

Covariance Prediction in Large Portfolio Allocation pp. 1-24

Carlos Trucíos, Mauricio Zevallos, Luiz Hotta and Andre Santos

Looking Backward and Looking Forward pp. 1-24

Zhengyuan Gao and Christian Hafner

Measures of Dispersion and Serial Dependence in Categorical Time Series pp. 1-23

Christian H. Weiß

Interval-Based Hypothesis Testing and Its Applications to Economics and Finance pp. 1-22

Jae Kim and Andrew P. Robinson

Volume 7, issue 1, 2019

Acknowledgement to Reviewers of Econometrics in 2018 pp. 1-2

Econometrics Editorial Office

Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models pp. 1-10

Soren Johansen

Not p -Values, Said a Little Bit Differently pp. 1-5

Richard Startz

The Specification of Dynamic Discrete-Time Two-State Panel Data Models pp. 1-16

Tue Gørgens and Dean Hyslop

Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series pp. 1-16

Miguel Henry and George Judge

Gini Regressions and Heteroskedasticity pp. 1-16

Arthur Charpentier, Ndéné Ka, Stéphane Mussard and Oumar Hamady Ndiaye

On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models pp. 1-13

Karl-Heinz Schild and Karsten Schweikert

On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator pp. 1-14

Tomohiro Ando and Naoya Sueishi

Indirect Inference: Which Moments to Match? pp. 1-17

David T. Frazier and Eric Renault

Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence pp. 1-32

Mingmian Cheng and Norman Swanson

Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors pp. 1-20

Mardi Dungey, Stan Hurn, Shuping Shi and Vladimir Volkov

A Parametric Factor Model of the Term Structure of Mortality pp. 1-22

Niels Haldrup and Carsten P. T. Rosenskjold

Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient pp. 1-24

David Bernstein and Bent Nielsen

Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems pp. 1-24

Antonio Pacifico

Monte Carlo Inference on Two-Sided Matching Models pp. 1-15

Taehoon Kim, Jacob Schwartz, Kyungchul Song and Yoon-Jae Whang

Panel Data Estimation for Correlated Random Coefficients Models pp. 1-18

Cheng Hsiao, Qi Li, Zhongwen Liang and Wei Xie