Econometrics

2013 - 2025

Current editor(s): Ms. Jasmine Liu

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Volume 6, issue 4, 2018

Interval Estimation of Value-at-Risk Based on Nonparametric Models pp. 1-30

Hussein Khraibani, Bilal Nehme and Olivier Strauss

A Review on Variable Selection in Regression Analysis pp. 1-27

Loann Desboulets

Econometrics and Income Inequality pp. 1-3

Martin Biewen and Emmanuel Flachaire

State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering pp. 1-22

Yukai Yang and Luc Bauwens

On the Stock–Yogo Tables pp. 1-23

Christopher Skeels and Frank Windmeijer

Estimation of Treatment Effects in Repeated Public Goods Experiments pp. 1-24

Jianning Kong and Donggyu Sul

Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems pp. 1-14

George Judge

Volume 6, issue 3, 2018

The Relation between Monetary Policy and the Stock Market in Europe pp. 1-14

Helmut Lütkepohl and Aleksei Netšunajev

Some Results on ℓ 1 Polynomial Trend Filtering pp. 1-10

Hiroshi Yamada and Ruixue Du

Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics pp. 1-45

Dorota Toczydlowska and Gareth W. Peters

Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information pp. 1-15

John Galbraith and Douglas J. Hodgson

Econometrics Best Paper Award 2018 pp. 1-2

In Choi, Steve Cook, Marc S. Paolella and Jeffrey Racine

Filters, Waves and Spectra pp. 1-33

D. Stephen G. Pollock

The Stochastic Stationary Root Model pp. 1-33

Andreas Hetland

Detecting and Measuring Nonlinearity pp. 1-27

Rachidi Kotchoni

Using the Entire Yield Curve in Forecasting Output and Inflation pp. 1-27

Eric Hillebrand, Huiyu Huang, Tae Hwy Lee and Canlin Li

Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal? pp. 1-26

Chung Choe and Philippe Van Kerm

Volume 6, issue 2, 2018

Parametric Inference for Index Functionals pp. 1-11

Stéphane Guerrier, Samuel Orso and Maria-Pia Victoria-Feser

A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function pp. 1-11

El Moctar Laghlal and Abdoul Aziz Junior Ndoye

Data-Driven Jump Detection Thresholds for Application in Jump Regressions pp. 1-25

Robert Davies and George Tauchen

Forecasting Inflation Uncertainty in the G7 Countries pp. 1-25

Mawuli Segnon, Stelios Bekiros and Bernd Wilfling

Decomposing Wage Distributions Using Recentered Influence Function Regressions pp. 1-40

Sergio Firpo, Nicole M. Fortin and Thomas Lemieux

Using the GB2 Income Distribution pp. 1-24

Duangkamon Chotikapanich, William Griffiths, Gholamreza Hajargasht, Wasana Karunarathne and D.S. Prasada Rao

The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections pp. 1-24

Tareq Sadeq and Michel Lubrano

Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data? pp. 1-24

Gulasekaran Rajaguru, Michael O’Neill and Tilak Abeysinghe

Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality pp. 1-16

Giovanni Giorgi and Alessio Guandalini

Polarization and Rising Wage Inequality: Comparing the U.S. and Germany pp. 1-33

Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger

TSLS and LIML Estimators in Panels with Unobserved Shocks pp. 1-12

Giovanni Forchini, Bin Jiang and Bin Peng

Top Incomes and Inequality Measurement: A Comparative Analysis of Correction Methods Using the EU SILC Data pp. 1-21

Vladimir Hlasny and Paolo Verme

Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis pp. 1-20

Gordon Anderson, Maria Grazia Pittau, Roberto Zelli and Jasmin Thomas

Recent Developments in Macro-Econometric Modeling: Theory and Applications pp. 1-5

Gilles Dufrénot, Fredj Jawadi and Alexander Mihailov

On the Decomposition of the Esteban and Ray Index by Income Sources pp. 1-9

Elena Barcena-Martin and Jacques Silber

Johansen’s Reduced Rank Estimator Is GMM pp. 1-9

Bruce Hansen

Structural Break Tests Robust to Regression Misspecification pp. 1-39

Alaa Abi Morshed, Elena Andreou and Otilia Boldea

Volume 6, issue 1, 2018

Acknowledgement to Reviewers of Econometrics in 2017 pp. 1-2

Econometrics Editorial Office

Recent Developments in Cointegration pp. 1-5

Katarina Juselius

A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns pp. 1-27

Ralf Becker, Adam Clements and Robert O'Neill

Spurious Seasonality Detection: A Non-Parametric Test Proposal pp. 1-15

Aurelio Fernandez Bariviera, Angelo Plastino and George Judge

A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade pp. 1-15

Rodolfo Metulini, Roberto Patuelli and Daniel A. Griffith

Statistical Inference on the Canadian Middle Class pp. 1-18

Russell Davidson

From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective pp. 1-20

Francesca Greselin and Ričardas Zitikis

Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve pp. 1-20

Francesca Rondina

Assessing News Contagion in Finance pp. 1-19

Paola Cerchiello and Giancarlo Nicola

An Overview of Modified Semiparametric Memory Estimation Methods pp. 1-21

Marie Busch and Philipp Sibbertsen

Top Incomes, Heavy Tails, and Rank-Size Regressions pp. 1-16

Christian Schluter

Response-Based Sampling for Binary Choice Models With Sample Selection pp. 1-17

Maria Felice Arezzo and Giuseppina Guagnano

Jackknife Bias Reduction in the Presence of a Near-Unit Root pp. 1-28

Marcus Chambers and Maria Kyriacou

Lasso Maximum Likelihood Estimation of Parametric Models with Singular Information Matrices pp. 1-24

Fei Jin and Lung-Fei Lee

Volume 5, issue 4, 2017

An Interview with William A. Barnett pp. 1-32

Apostolos Serletis

Inequality and Poverty When Effort Matters pp. 1-19

Martin Ravallion

Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility pp. 1-19

Yingjie Dong and Yiu-Kuen Tse

Bayesian Analysis of Bubbles in Asset Prices pp. 1-23

Andras Fulop and Jun Yu

Synthetic Control and Inference pp. 1-12

Jinyong Hahn and Ruoyao Shi

Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models pp. 1-30

Jurgen Doornik, Rocco Mosconi and Paolo Paruolo

Reducing Approximation Error in the Fourier Flexible Functional Form pp. 1-16

Tristan Skolrud

Non-Causality Due to Included Variables pp. 1-4

Umberto Triacca

Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates? pp. 1-22

Alain Hecq, Sean Telg and Lenard Lieb

Time-Varying Window Length for Correlation Forecasts pp. 1-29

Yoontae Jeon and Thomas McCurdy

Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis pp. 1-28

Antoni Espasa and Eva Senra

Volume 5, issue 3, 2017

Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels pp. 1-23

Jae Kim and In Choi

Modeling Real Exchange Rate Persistence in Chile pp. 1-21

Leonardo Salazar

Bayesian Treatments for Panel Data Stochastic Frontier Models with Time Varying Heterogeneity pp. 1-21

Junrong Liu, Robin Sickles and Mike Tsionas

The Turkish Spatial Wage Curve pp. 1-21

Haci Mevlut Karatas

Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market pp. 1-21

Andreas Hetland and Simon Hetland

Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge pp. 1-20

Katarina Juselius

Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models pp. 1-15

Soren Johansen and Morten Tabor

Evaluating Forecasts, Narratives and Policy Using a Test of Invariance pp. 1-27

Jennifer Castle, David Hendry and Andrew Martinez

Announcement of the 2017 Econometrics Young Researcher Award pp. 1-2

Econometrics Editorial Office

On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply pp. 1-3

P.A.V.B. Swamy, Stephen Hall, George Tavlas and Peter von zur Muehlen

Recent Developments in Copula Models pp. 1-3

Jean-David Fermanian

Building News Measures from Textual Data and an Application to Volatility Forecasting pp. 1-46

Massimiliano Caporin and Francesco Poli

On The Interpretation of Instrumental Variables in the Presence of Specification Errors: A Causal Comment pp. 1-6

Burkhard Raunig

Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems pp. 1-17

H. Peter Boswijk and Paolo Paruolo

Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development pp. 1-33

Dorian Owen

Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations pp. 1-33

Ronald W. Butler and Marc S. Paolella

Volume 5, issue 2, 2017

Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity pp. 1-24

Fabrizio Cipollini, Robert Engle and Giampiero Gallo

Copula-Based Factor Models for Multivariate Asset Returns pp. 1-24

Eugen Ivanov, Aleksey Min and Franz Ramsauer

Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations pp. 1-10

Ricardo Quineche and Gabriel Rodríguez

Dependence between Stock Returns of Italian Banks and the Sovereign Risk pp. 1-14

Fabrizio Durante, Enrico Foscolo and Alex Weissensteiner

Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions pp. 1-20

Jurgen Doornik

Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles pp. 1-20

Massimo Franchi and Soren Johansen

Unit Roots and Structural Breaks pp. 1-3

Pierre Perron

Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting pp. 1-23

Benedikt Schamberger, Lutz F. Gruber and Claudia Czado

A Spatial Econometric Analysis of the Calls to the Portuguese National Health Line pp. 1-23

Paula Simões, M. Lucília Carvalho, Sandra Aleixo, Sérgio Gomes and Isabel Natário

Sustainable Financial Obligations and Crisis Cycles pp. 1-23

John Juselius and Moshe Kim

The Univariate Collapsing Method for Portfolio Optimization pp. 1-33

Marc S. Paolella

The Realized Hierarchical Archimedean Copula in Risk Modelling pp. 1-31

Ostap Okhrin and Anastasija Tetereva

Volume 5, issue 1, 2017

Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries pp. 1-17

Jesus Clemente Lopez, María Gadea, Antonio Montañés and Marcelo Reyes

Testing for a Structural Break in a Spatial Panel Model pp. 1-17

Aparna Sengupta

Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models pp. 1-17

P.A.V.B. Swamy, Jatinder S. Mehta and I-Lok Chang

A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators pp. 1-16

Jochen Heberle and Cristina Sattarhoff

Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression pp. 1-11

Luis Alvarez

A Note on Identification of Bivariate Copulas for Discrete Count Data pp. 1-11

Pravin Trivedi and David Zimmer

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models pp. 1-54

Jan Kiviet, Milan Pleus and Rutger Poldermans

Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation pp. 1-54

Ragnar Nymoen

Acknowledgement to Reviewers of Econometrics in 2016 pp. 1-2

Econometrics Editorial Office

Fixed- b Inference for Testing Structural Change in a Time Series Regression pp. 1-26

Cheol-Keun Cho and Timothy Vogelsang

Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses pp. 1-26

Seong Yeon Chang and Pierre Perron

Regime Switching Vine Copula Models for Global Equity and Volatility Indices pp. 1-38

Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber

A Simple Test for Causality in Volatility pp. 1-5

Chia-Lin Chang and Michael McAleer

Goodness-of-Fit Tests for Copulas of Multivariate Time Series pp. 1-23

Bruno Rémillard

Consistency of Trend Break Point Estimator with Underspecified Break Number pp. 1-19

Jingjing Yang