Econometrics
2013 - 2025
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Volume 6, issue 4, 2018
- A Review on Variable Selection in Regression Analysis pp. 1-27

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

- Yukai Yang and Luc Bauwens
- Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems pp. 1-14

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

- Jianning Kong and Donggyu Sul
- Interval Estimation of Value-at-Risk Based on Nonparametric Models pp. 1-30

- Hussein Khraibani, Bilal Nehme and Olivier Strauss
- Econometrics and Income Inequality pp. 1-3

- Martin Biewen and Emmanuel Flachaire
- On the Stock–Yogo Tables pp. 1-23

- Christopher Skeels and Frank Windmeijer
Volume 6, issue 3, 2018
- Some Results on ℓ 1 Polynomial Trend Filtering pp. 1-10

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

- Chung Choe and Philippe Van Kerm
- Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics pp. 1-45

- Dorota Toczydlowska and Gareth W. Peters
- 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
- Econometrics Best Paper Award 2018 pp. 1-2

- In Choi, Steve Cook, Marc S. Paolella and Jeffrey Racine
- Econometric Fine Art Valuation by Combining Hedonic and Repeat-Sales Information pp. 1-15

- John Galbraith and Douglas J. Hodgson
- The Relation between Monetary Policy and the Stock Market in Europe pp. 1-14

- Helmut Lütkepohl and Aleksei Netšunajev
- Filters, Waves and Spectra pp. 1-33

- D. Stephen G. Pollock
- The Stochastic Stationary Root Model pp. 1-33

- Andreas Hetland
Volume 6, issue 2, 2018
- TSLS and LIML Estimators in Panels with Unobserved Shocks pp. 1-12

- Giovanni Forchini, Bin Jiang and Bin Peng
- 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
- Decomposing Wage Distributions Using Recentered Influence Function Regressions pp. 1-40

- Sergio Firpo, Nicole M. Fortin and Thomas Lemieux
- Structural Break Tests Robust to Regression Misspecification pp. 1-39

- Alaa Abi Morshed, Elena Andreou and Otilia Boldea
- 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
- Recent Developments in Macro-Econometric Modeling: Theory and Applications pp. 1-5

- Gilles Dufrénot, Fredj Jawadi and Alexander Mihailov
- 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
- 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
- Top Incomes and Inequality Measurement: A Comparative Analysis of Correction Methods Using the EU SILC Data pp. 1-21

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

- Dirk Antonczyk, Thomas DeLeire and Bernd Fitzenberger
- Decomposing the Bonferroni Inequality Index by Subgroups: Shapley Value and Balance of Inequality pp. 1-16

- Giovanni Giorgi and Alessio Guandalini
- 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
Volume 6, issue 1, 2018
- Acknowledgement to Reviewers of Econometrics in 2017 pp. 1-2

- Econometrics Editorial Office
- Assessing News Contagion in Finance pp. 1-19

- Paola Cerchiello and Giancarlo Nicola
- 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
- A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns pp. 1-27

- Ralf Becker, Adam Clements and Robert O'Neill
- 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
- Top Incomes, Heavy Tails, and Rank-Size Regressions pp. 1-16

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

- Marie Busch and Philipp Sibbertsen
- Jackknife Bias Reduction in the Presence of a Near-Unit Root pp. 1-28

- Marcus Chambers and Maria Kyriacou
- Response-Based Sampling for Binary Choice Models With Sample Selection pp. 1-17

- Maria Felice Arezzo and Giuseppina Guagnano
- Lasso Maximum Likelihood Estimation of Parametric Models with Singular Information Matrices pp. 1-24

- Fei Jin and Lung-Fei Lee
- Statistical Inference on the Canadian Middle Class pp. 1-18

- Russell Davidson
- Recent Developments in Cointegration pp. 1-5

- Katarina Juselius
Volume 5, issue 4, 2017
- Non-Causality Due to Included Variables pp. 1-4

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

- Alain Hecq, Sean Telg and Lenard Lieb
- Reducing Approximation Error in the Fourier Flexible Functional Form pp. 1-16

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

- Andras Fulop and Jun Yu
- An Interview with William A. Barnett pp. 1-32

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

- Yoontae Jeon and Thomas McCurdy
- Synthetic Control and Inference pp. 1-12

- Jinyong Hahn and Ruoyao Shi
Volume 5, issue 3, 2017
- 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
- 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
- On The Interpretation of Instrumental Variables in the Presence of Specification Errors: A Causal Comment pp. 1-6

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

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

- Jennifer Castle, David Hendry and Andrew Martinez
- Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models pp. 1-15

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

- H. Peter Boswijk and Paolo Paruolo
- Announcement of the 2017 Econometrics Young Researcher Award pp. 1-2

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

- Massimiliano Caporin and Francesco Poli
- 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
Volume 5, issue 2, 2017
- The Realized Hierarchical Archimedean Copula in Risk Modelling pp. 1-31

- Ostap Okhrin and Anastasija Tetereva
- 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
- 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
- Unit Roots and Structural Breaks pp. 1-3

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

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

- Fabrizio Durante, Enrico Foscolo and Alex Weissensteiner
Volume 5, issue 1, 2017
- Consistency of Trend Break Point Estimator with Underspecified Break Number pp. 1-19

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

- Chia-Lin Chang and Michael McAleer
- 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
- 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
- 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
- Regime Switching Vine Copula Models for Global Equity and Volatility Indices pp. 1-38

- Holger Fink, Yulia Klimova, Claudia Czado and Jakob Stöber
- Goodness-of-Fit Tests for Copulas of Multivariate Time Series pp. 1-23

- Bruno Rémillard
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