Econometrics

2013 - 2020

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

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Volume 3, issue 4, 2015

Measurement Errors Arising When Using Distances in Microeconometric Modelling and the Individuals’ Position Is Geo-Masked for Confidentiality pp. 1-10

Giuseppe Arbia, Giuseppe Espa and Diego Giuliani

Is Benford’s Law a Universal Behavioral Theory? pp. 1-11

Sofia Villas-Boas, Qiuzi Fu and George Judge

Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality pp. 1-24

Thibault Vatter, Hau-Tieng Wu, Valérie Chavez-Demoulin and Bin Yu

Bootstrap Tests for Overidentification in Linear Regression Models pp. 1-39

Russell Davidson and James MacKinnon

Testing in a Random Effects Panel Data Model with Spatially Correlated Error Components and Spatially Lagged Dependent Variables pp. 1-36

Ming He and Kuan-Pin Lin

Counterfactual Distributions in Bivariate Models—A Conditional Quantile Approach pp. 1-14

Javier Alejo and Nicolás Badaracco

Forecasting Interest Rates Using Geostatistical Techniques pp. 1-28

Giuseppe Arbia and Michele Di Marcantonio

Forecast Combination under Heavy-Tailed Errors pp. 1-28

Gang Cheng, Sicong Wang and Yuhong Yang

Volume 3, issue 3, 2015

Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting pp. 1-23

Stanislav Anatolyev and Stanislav Khrapov

A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise pp. 1-16

Yang Zu

A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index pp. 1-21

Jose Olmo

A Spectral Model of Turnover Reduction pp. 1-13

Zura Kakushadze

On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study pp. 1-13

Antonio F. Galvao and Gabriel Montes-Rojas

Efficient Estimation in Heteroscedastic Varying Coefficient Models pp. 1-7

Chuanhua Wei and Lijie Wan

A New Approach to Model Verification, Falsification and Selection pp. 1-28

Andrew Buck and George M. Lady

Consistency in Estimation and Model Selection of Dynamic Panel Data Models with Fixed Effects pp. 1-31

Guangjie Li

A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models pp. 1-31

Masamune Iwasawa

New Graphical Methods and Test Statistics for Testing Composite Normality pp. 1-29

Marc S. Paolella

A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts pp. 1-20

Hossein Hassani and Emmanuel Sirimal Silva

Volume 3, issue 2, 2015

Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States pp. 1-18

Hassan Mohammadi and Yuting Tan

Detecting Location Shifts during Model Selection by Step-Indicator Saturation pp. 1-25

Jennifer Castle, Jurgen Doornik, David Hendry and Felix Pretis

The SAR Model for Very Large Datasets: A Reduced Rank Approach pp. 1-22

Sandy Burden, Noel Cressie and David G. Steel

Selection Criteria in Regime Switching Conditional Volatility Models pp. 1-28

Thomas Chuffart

Strategic Interaction Model with Censored Strategies pp. 1-31

Nazgul Jenish

A Jackknife Correction to a Test for Cointegration Rank pp. 1-21

Marcus Chambers

Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model pp. 1-36

Shew Fan Liu and Zhenlin Yang

A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models pp. 1-7

Umberto Triacca

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes pp. 1-24

Biqing Cai and Dag Tjøstheim

Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data pp. 1-16

Chi-Yang Chu, Daniel Henderson and Christopher Parmeter

The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms pp. 1-16

Ghassen El Montasser

Bayesian Approach to Disentangling Technical and Environmental Productivity pp. 1-23

Emir Malikov, Subal Kumbhakar and Mike Tsionas

Information Recovery in a Dynamic Statistical Markov Model pp. 1-12

Douglas J. Miller and George Judge

Volume 3, issue 1, 2015

Two-Step Lasso Estimation of the Spatial Weights Matrix pp. 1-28

Achim Ahrens and Arnab Bhattacharjee

A Joint Chow Test for Structural Instability pp. 1-31

Bent Nielsen and Andrew Whitby

Acknowledgement to Reviewers of Econometrics in 2014 pp. 1-1

Econometrics Editorial Office

Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity pp. 1-53

Isao Ishida and Virmantas Kvedaras

Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term pp. 1-27

Osman Doğan

On the Interpretation of Instrumental Variables in the Presence of Specification Errors pp. 1-10

P.A.V.B. Swamy, George Tavlas and Stephen Hall

Entropy Maximization as a Basis for Information Recovery in Dynamic Economic Behavioral Systems pp. 1-10

George Judge

Finding Starting-Values for the Estimation of Vector STAR Models pp. 1-26

Frauke Schleer

Volume 2, issue 4, 2014

Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test pp. 1-14

Francesca Di Iorio and Umberto Triacca

Success at the Summer Olympics: How Much Do Economic Factors Explain? pp. 1-34

Pravin Trivedi and David Zimmer

A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model pp. 1-18

Michael Pfaffermayr

The Biggest Myth in Spatial Econometrics pp. 1-33

James LeSage and R. Kelley Pace

Volume 2, issue 3, 2014

Asymmetry and Leverage in Conditional Volatility Models pp. 1-6

Michael McAleer

Two-Part Models for Fractional Responses Defined as Ratios of Integers pp. 1-22

Harald Oberhofer and Michael Pfaffermayr

Volume 2, issue 2, 2014

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall pp. 1-25

Jochen Krause and Marc S. Paolella

A One Line Derivation of EGARCH pp. 1-6

Michael McAleer and Christian Hafner

Volume 2, issue 1, 2014

Referee Bias and Stoppage Time in Major League Soccer: A Partially Adaptive Approach pp. 1-19

Katherine G. Yewell, Steven B Caudill and Frank Mixon

Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach pp. 1-20

Richard Ashley and Kwok Ping Tsang

Incorporating Responsiveness to Marketing Efforts in Brand Choice Modeling pp. 1-25

Dennis Fok, Richard Paap and Philip Hans Franses

Bias-Correction in Vector Autoregressive Models: A Simulation Study pp. 1-27

Tom Engsted and Thomas Pedersen