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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 Downloads
Giuseppe Arbia, Giuseppe Espa and Diego Giuliani
Is Benford’s Law a Universal Behavioral Theory? pp. 1-11 Downloads
Sofia Villas-Boas, Qiuzi Fu and George Judge
Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality pp. 1-24 Downloads
Thibault Vatter, Hau-Tieng Wu, Valérie Chavez-Demoulin and Bin Yu
Bootstrap Tests for Overidentification in Linear Regression Models pp. 1-39 Downloads
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 Downloads
Ming He and Kuan-Pin Lin
Counterfactual Distributions in Bivariate Models—A Conditional Quantile Approach pp. 1-14 Downloads
Javier Alejo and Nicolás Badaracco
Forecasting Interest Rates Using Geostatistical Techniques pp. 1-28 Downloads
Giuseppe Arbia and Michele Di Marcantonio
Forecast Combination under Heavy-Tailed Errors pp. 1-28 Downloads
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 Downloads
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 Downloads
Yang Zu
A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index pp. 1-21 Downloads
Jose Olmo
A Spectral Model of Turnover Reduction pp. 1-13 Downloads
Zura Kakushadze
On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study pp. 1-13 Downloads
Antonio F. Galvao and Gabriel Montes-Rojas
Efficient Estimation in Heteroscedastic Varying Coefficient Models pp. 1-7 Downloads
Chuanhua Wei and Lijie Wan
A New Approach to Model Verification, Falsification and Selection pp. 1-28 Downloads
Andrew Buck and George M. Lady
Consistency in Estimation and Model Selection of Dynamic Panel Data Models with Fixed Effects pp. 1-31 Downloads
Guangjie Li
A Joint Specification Test for Response Probabilities in Unordered Multinomial Choice Models pp. 1-31 Downloads
Masamune Iwasawa
New Graphical Methods and Test Statistics for Testing Composite Normality pp. 1-29 Downloads
Marc S. Paolella
A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts pp. 1-20 Downloads
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 Downloads
Hassan Mohammadi and Yuting Tan
Detecting Location Shifts during Model Selection by Step-Indicator Saturation pp. 1-25 Downloads
Jennifer Castle, Jurgen Doornik, David Hendry and Felix Pretis
The SAR Model for Very Large Datasets: A Reduced Rank Approach pp. 1-22 Downloads
Sandy Burden, Noel Cressie and David G. Steel
Selection Criteria in Regime Switching Conditional Volatility Models pp. 1-28 Downloads
Thomas Chuffart
Strategic Interaction Model with Censored Strategies pp. 1-31 Downloads
Nazgul Jenish
A Jackknife Correction to a Test for Cointegration Rank pp. 1-21 Downloads
Marcus Chambers
Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model pp. 1-36 Downloads
Shew Fan Liu and Zhenlin Yang
A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models pp. 1-7 Downloads
Umberto Triacca
Nonparametric Regression Estimation for Multivariate Null Recurrent Processes pp. 1-24 Downloads
Biqing Cai and Dag Tjøstheim
Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data pp. 1-16 Downloads
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 Downloads
Ghassen El Montasser
Bayesian Approach to Disentangling Technical and Environmental Productivity pp. 1-23 Downloads
Emir Malikov, Subal Kumbhakar and Mike Tsionas
Information Recovery in a Dynamic Statistical Markov Model pp. 1-12 Downloads
Douglas J. Miller and George Judge

Volume 3, issue 1, 2015

Two-Step Lasso Estimation of the Spatial Weights Matrix pp. 1-28 Downloads
Achim Ahrens and Arnab Bhattacharjee
A Joint Chow Test for Structural Instability pp. 1-31 Downloads
Bent Nielsen and Andrew Whitby
Acknowledgement to Reviewers of Econometrics in 2014 pp. 1-1 Downloads
Econometrics Editorial Office
Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity pp. 1-53 Downloads
Isao Ishida and Virmantas Kvedaras
Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term pp. 1-27 Downloads
Osman Doğan
On the Interpretation of Instrumental Variables in the Presence of Specification Errors pp. 1-10 Downloads
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 Downloads
George Judge
Finding Starting-Values for the Estimation of Vector STAR Models pp. 1-26 Downloads
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 Downloads
Francesca Di Iorio and Umberto Triacca
Success at the Summer Olympics: How Much Do Economic Factors Explain? pp. 1-34 Downloads
Pravin Trivedi and David Zimmer
A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model pp. 1-18 Downloads
Michael Pfaffermayr
The Biggest Myth in Spatial Econometrics pp. 1-33 Downloads
James LeSage and R. Kelley Pace

Volume 2, issue 3, 2014

Asymmetry and Leverage in Conditional Volatility Models pp. 1-6 Downloads
Michael McAleer
Two-Part Models for Fractional Responses Defined as Ratios of Integers pp. 1-22 Downloads
Harald Oberhofer and Michael Pfaffermayr

Volume 2, issue 2, 2014

A Fast, Accurate Method for Value-at-Risk and Expected Shortfall pp. 1-25 Downloads
Jochen Krause and Marc S. Paolella
A One Line Derivation of EGARCH pp. 1-6 Downloads
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 Downloads
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 Downloads
Richard Ashley and Kwok Ping Tsang
Incorporating Responsiveness to Marketing Efforts in Brand Choice Modeling pp. 1-25 Downloads
Dennis Fok, Richard Paap and Philip Hans Franses
Bias-Correction in Vector Autoregressive Models: A Simulation Study pp. 1-27 Downloads
Tom Engsted and Thomas Pedersen
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