Econometrics

2013 - 2025

Current editor(s): Ms. Jasmine Liu

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Volume 4, issue 4, 2016

The Status of Bridge Principles in Applied Econometrics pp. 1-22

Bernt P. Stigum

Panel Cointegration Testing in the Presence of Linear Time Trends pp. 1-16

Uwe Hassler and Mehdi Hosseinkouchack

Pair-Copula Constructions for Financial Applications: A Review pp. 1-15

Kjersti Aas

Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency pp. 1-19

Kyoo Il Kim

Editorial Announcement pp. 1-2

Kerry Patterson

Oil Price and Economic Growth: A Long Story? pp. 1-28

María Gadea, Ana Gómez-Loscos and Antonio Montañés

Testing for the Equality of Integration Orders of Multiple Series pp. 1-10

Man Wang and Ngai Hang Chan

Social Networks and Choice Set Formation in Discrete Choice Models pp. 1-26

Bruno Wichmann, Minjie Chen and Wiktor Adamowicz

Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation pp. 1-24

Badi Baltagi, Chihwa Kao and Peng Bin

Generalized Information Matrix Tests for Detecting Model Misspecification pp. 1-24

Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner

Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters pp. 1-13

Wen Xu

Subset-Continuous-Updating GMM Estimators for Dynamic Panel Data Models pp. 1-13

Richard Ashley and Xiaojin Sun

Volume 4, issue 3, 2016

Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited pp. 1-21

M. Shelton Peiris and Manabu Asai

Measuring the Distance between Sets of ARMA Models pp. 1-11

Umberto Triacca

Econometric Information Recovery in Behavioral Networks pp. 1-11

George Judge

Market Microstructure Effects on Firm Default Risk Evaluation pp. 1-31

Flavia Barsotti and Simona Sanfelici

Nonparametric Regression with Common Shocks pp. 1-17

Eduardo A. Souza-Rodrigues

Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets pp. 1-26

Xin Zhang, Donggyu Kim and Yazhen Wang

Estimation of Gini Index within Pre-Specified Error Bound pp. 1-12

Bhargab Chattopadhyay and Shyamal Krishna De

Econometrics Best Paper Award 2016 pp. 1-2

Kerry Patterson

Special Issues of Econometrics: Celebrated Econometricians pp. 1-2

Econometrics Editorial Office

Volume 4, issue 2, 2016

Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability pp. 1-28

Marc S. Paolella

Distribution of Budget Shares for Food: An Application of Quantile Regression to Food Security 1 pp. 1-12

Charles Moss, James F. Oehmke, Alexandre Lyambabaje and Andrew Schmitz

Evaluating Eigenvector Spatial Filter Corrections for Omitted Georeferenced Variables pp. 1-12

Daniel A. Griffith and Yongwan Chun

Building a Structural Model: Parameterization and Structurality pp. 1-16

Michel Mouchart and Renzo Orsi

Continuous and Jump Betas: Implications for Portfolio Diversification pp. 1-15

Vitali Alexeev, Mardi Dungey and Wenying Yao

Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors pp. 1-27

Xibin Zhang, Maxwell King and Han Lin Shang

Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels pp. 1-27

Masayuki Hirukawa and Mari Sakudo

Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series pp. 1-11

Nunzio Cappuccio and Diego Lubian

Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence pp. 1-21

Ba Chu and Stephen Satchell

Removing Specification Errors from the Usual Formulation of Binary Choice Models pp. 1-21

P.A.V.B. Swamy, I-Lok Chang, Jatinder S. Mehta, William Greene, Stephen Hall and George Tavlas

A Method for Measuring Treatment Effects on the Treated without Randomization pp. 1-23

P.A.V.B. Swamy, Stephen Hall, George Tavlas, I-Lok Chang, Heather Gibson, William Greene and Jatinder S. Mehta

Volume 4, issue 1, 2016

Computational Complexity and Parallelization in Bayesian Econometric Analysis pp. 1-3

Nalan Baştürk, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk

The Evolving Transmission of Uncertainty Shocks in the United Kingdom pp. 1-18

Haroon Mumtaz

Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM pp. 1-20

Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide and Herman van Dijk

Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth pp. 1-16

Mustafa Koroglu and Yiguo Sun

Multiple Discrete Endogenous Variables in Weakly-Separable Triangular Models pp. 1-21

Sung Jae Jun, Joris Pinkse, Haiqing Xu and Neşe Yıldız

Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP pp. 1-23

John Geweke

Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns pp. 1-23

Urbi Garay, Enrique Ter Horst, German Molina and Abel Rodriguez

Timing Foreign Exchange Markets pp. 1-23

Samuel Malone, Robert B. Gramacy and Enrique Ter Horst

Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification pp. 1-14

Ying-Ying Lee

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices pp. 1-19

David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide and Herman van Dijk

Acknowledgement to Reviewers of Econometrics in 2015 pp. 1-2

Econometrics Editorial Office

Spatial Econometrics: A Rapidly Evolving Discipline pp. 1-4

Giuseppe Arbia

A Conditional Approach to Panel Data Models with Common Shocks pp. 1-12

Giovanni Forchini and Bin Peng

Forecasting Value-at-Risk under Different Distributional Assumptions pp. 1-27

Manuela Braione and Nicolas Scholtes

How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply? pp. 1-31

Duo Qin, Sophie van Huellen and Qing-Chao Wang

Bayesian Calibration of Generalized Pools of Predictive Distributions pp. 1-24

Roberto Casarin, Giulia Mantoan and Francesco Ravazzolo

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect pp. 1-24

Francesco Audrino and Yujia Hu

Evolutionary Sequential Monte Carlo Samplers for Change-Point Models pp. 1-33

Arnaud Dufays