Econometrics

2013 - 2026

Current editor(s): Ms. Jasmine Liu

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Volume 8, issue 4, 2020

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

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

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

Erhard Reschenhofer and Manveer K. Mangat

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

Eric Hillebrand, Soren Johansen and Torben Schmith

Volume 8, issue 3, 2020

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

D. Stephen G. Pollock

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

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

Jeremy Arkes

Indirect Inference Estimation of Spatial Autoregressions pp. 1-26

Yong Bao, Xiaotian Liu and Lihong Yang

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

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

Stefan Mittnik, Willi Semmler and Alexander Haider

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

Kevin Hoover

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

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

Volume 8, issue 2, 2020

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

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

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

Balanced Growth Approach to Tracking Recessions pp. 1-35

Marta Boczoń and Jean-Francois Richard

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

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

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

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

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

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

Michael Clements

Volume 8, issue 1, 2020

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

Ramses Abul Naga, Christopher Stapenhurst and Gaston Yalonetzky

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

Matteo Barigozzi, Marco Lippi and Matteo Luciani

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

Deliang Dai

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

Haili Zhang and Guohua Zou

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

Shahram Amini and Christopher Parmeter

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

Brendan McCabe and Christopher Skeels

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

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

Tahsin Mehdi

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

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

Econometrics Editorial Office

Volume 7, issue 4, 2019

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

Hiroyuki Kawakatsu

The Replication Crisis as Market Failure pp. 1-8

John Quiggin

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

Harry Joe

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

Takamitsu Kurita and Bent Nielsen

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

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

Jau-er Chen and Chen-Wei Hsiang

Generalized Binary Time Series Models pp. 1-26

Carsten Jentsch and Lena Reichmann

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

Marek Chudý and Erhard Reschenhofer

Volume 7, issue 3, 2019

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

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

Marius Matei, Xari Rovira and Núria Agell

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

Richard Kouamé Moussa

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

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

Emanuela Ciapanna and Marco Taboga

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

Jie Chen and Dimitris N. Politis

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

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

Qingfeng Liu and Andrey Vasnev

On the Forecast Combination Puzzle pp. 1-26

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

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

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

Maria Felice Arezzo and Giuseppina Guagnano

Volume 7, issue 2, 2019

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

Jae Kim and Andrew P. Robinson

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

Fernando Rios-Avila

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

Christian H. Weiß

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

Background Indicators pp. 1-14

Burkhard Raunig

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

David Trafimow

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

Tue Gørgens and Allan Würtz

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

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

Volume 7, issue 1, 2019

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

Mingmian Cheng and Norman Swanson

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

Niels Haldrup and Carsten P. T. Rosenskjold

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

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

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

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

Cheng Hsiao, Qi Li, Zhongwen Liang and Wei Xie

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

Richard Startz

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

Karl-Heinz Schild and Karsten Schweikert

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

Soren Johansen

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

David T. Frazier and Eric Renault

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

Tomohiro Ando and Naoya Sueishi

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

Econometrics Editorial Office

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

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